Semi-parametric estimation of shifts

We observe a large number of functions differing from each other only by a translation parameter. While the main pattern is unknown, we propose to estimate the shift parameters using $M$-estimators. Fourier transform enables to transform this statistical problem into a semi-parametric framework. We study the convergence of the estimator and provide its asymptotic behavior. Moreover, we use the method in the applied case of velocity curve forecasting.Comment: Published in at http://dx.doi.org/10.1214/07-EJS026 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org

Discrete-time approximation of multidimensional BSDEs with oblique reflections

In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010) 89-121] and generalized by Hamad\`ene and Zhang [Stochastic Process. Appl. 120 (2010) 403-426]. In comparison to the penalizing approach followed by Hamad\`{e}ne and Jeanblanc [Math. Oper. Res. 32 (2007) 182-192] or Elie and Kharroubi [Statist. Probab. Lett. 80 (2010) 1388-1396], we study a more natural scheme based on oblique projections. We provide a control on the error of the algorithm by introducing and studying the notion of multidimensional discretely reflected BSDE. In the particular case where the driver does not depend on the variable $Z$, the error on the grid points is of order $1/2-\varepsilon$, $\varepsilon>0$.Comment: Published in at http://dx.doi.org/10.1214/11-AAP771 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Manifold embedding for curve registration

We focus on the problem of finding a good representative of a sample of random curves warped from a common pattern f. We first prove that such a problem can be moved onto a manifold framework. Then, we propose an estimation of the common pattern f based on an approximated geodesic distance on a suitable manifold. We then compare the proposed method to more classical methods

Kernel estimation of Greek weights by parameter randomization

A Greek weight associated to a parameterized random variable $Z(\lambda)$ is a random variable $\pi$ such that $\nabla_{\lambda}E[\phi(Z(\lambda))]=E[\phi(Z(\lambda))\pi]$ for any function $\phi$. The importance of the set of Greek weights for the purpose of Monte Carlo simulations has been highlighted in the recent literature. Our main concern in this paper is to devise methods which produce the optimal weight, which is well known to be given by the score, in a general context where the density of $Z(\lambda)$ is not explicitly known. To do this, we randomize the parameter $\lambda$ by introducing an a priori distribution, and we use classical kernel estimation techniques in order to estimate the score function. By an integration by parts argument on the limit of this first kernel estimator, we define an alternative simpler kernel-based estimator which turns out to be closely related to the partial gradient of the kernel-based estimator of $\mathbb{E}[\phi(Z(\lambda))]$. Similarly to the finite differences technique, and unlike the so-called Malliavin method, our estimators are biased, but their implementation does not require any advanced mathematical calculation. We provide an asymptotic analysis of the mean squared error of these estimators, as well as their asymptotic distributions. For a discontinuous payoff function, the kernel estimator outperforms the classical finite differences one in terms of the asymptotic rate of convergence. This result is confirmed by our numerical experiments.Comment: Published in at http://dx.doi.org/10.1214/105051607000000186 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Study of the cavitating instability on a grooved Venturi profile

Cavitation is a limiting phenomenon in many domains of fluid mechanics. Instabilities of a partial cavity developed on an hydrofoil, a converging-diverging step or in an inter-blade channel in turbomachinery, have already been investigated and described in many previous works. The aim of this study is to evaluate a passive control method of the sheet cavity. According to operating conditions, cavitation can be described by two different regimes: an unstable regime with a cloud cavitation shedding and a stable regime with only a pulsating sheet cavity. Avoiding cloud cavitation can limit structure damages since a pulsating sheet cavity is less agressive. The surface condition of a converging-diverging step, like a Venturi-type obstacle, is here studied as a solution for a passive control of the cavitation. This study discusses the effect of an organized roughness, in the shape of longitudinal grooves, on the developed sheet cavity. Analyzes conducted with Laser Doppler Velocimetry, visualisations and pressure measurements show that the grooves geometry, and especially the groove depth, acts on the sheet cavity dynamics. Results show that modifying the surface condition, by varying the grooves geometry, can reduce cavity sheet length and even suppress the cloud cavitation shedding.Comment: Submitted to Journal of Fluids Engineerin

Selective genotyping pour la détection de QTL

International audienceLes nouvelles technologies en matière de génomique se révèlent être efficaces afin de percer les secrets de la variation génétique d'un caractère quantitatif. Ces technologies permettent la caractérisation moléculaire de marqueurs polymorphes (i.e. présentant plusieurs allèles) sur l'ensemble du génome. Ces derniers seront par la suite utilisés pour identifier et localiser les loci (i.e. emplacements physiques précis sur un chromosome) où la variation allélique est associée à la variation du caractère quantitatif considéré. On nomme QTL de tels loci. Néanmoins, les coûts dûs au génotypage demeurent très élevés. C'est pourquoi l'optimisation du processus expérimental est primordiale. L'un de ces processus expérimentaux s'intitule selective genotyping. Il a été proposé par Lebowitz and al. (1987), et élaboré par Lander et Botstein (1989), Darvasi et Soller (1992), Muranty et Goffinet (1997). Le selective genotyping consiste à génotyper uniquement les individus dont la valeur du caractère quantitatif est extrême (plus grande ou plus petite qu'un seuil). Cela permet de réduire les coûts dûs au génotypage tout en gardant une bonne puissance pour le test statistique, à condition que le nombre d'individus ait été augmenté. Dans cet exposé, sont étudiées différentes stratégies pour l'analyse statistique en selective genotyping. Les tests statistiques correspondants, seront comparés en terme d'efficacité au test oracle, celui où tous les génotypes sont connus

Non parametric estimation of the structural expectation of a stochastic increasing function

This article introduces a non parametric warping model for functional data. When the outcome of an experiment is a sample of curves, data can be seen as realizations of a stochastic process, which takes into account the small variations between the different observed curves. The aim of this work is to define a mean pattern which represents the main behaviour of the set of all the realizations. So we define the structural expectation of the underlying stochastic function. Then we provide empirical estimators of this structural expectation and of each individual warping function. Consistency and asymptotic normality for such estimators are proved

France Telecom : une hybridation réussie ?

En partant de l'exemple FRANCE TELECOM, cette communication a pour objet de discuter les conditions pour réussir une hybridation entre administration et entreprise. La Direction Générale des Télécommunications a beau s'auto- baptiser FRANCE TELECOM pour faire comme BRITISH TELECOM, elle a l'allure d'une entreprise, le style de gestion d'une entreprise, les contraintes d'exploitation d'une entreprise... mais c'est encore une administration centrale. Pour combien de temps

Pourquoi l'Europe est-elle à la traîne des Etats-Unis ? Le face-à-face des économistes Elie Cohen et Jean-Paul Fitoussi.

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