Outlier robust corner-preserving methods for reconstructing noisy images

The ability to remove a large amount of noise and the ability to preserve most structure are desirable properties of an image smoother. Unfortunately, they usually seem to be at odds with each other; one can only improve one property at the cost of the other. By combining M-smoothing and least-squares-trimming, the TM-smoother is introduced as a means to unify corner-preserving properties and outlier robustness. To identify edge- and corner-preserving properties, a new theory based on differential geometry is developed. Further, robustness concepts are transferred to image processing. In two examples, the TM-smoother outperforms other corner-preserving smoothers. A software package containing both the TM- and the M-smoother can be downloaded from the Internet.Comment: Published at http://dx.doi.org/10.1214/009053606000001109 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Global Business Cycles: Degree of Synchronization in the Current Downturn Is Unprecedented

Empirical data analysis shows that the business cycles of industrialized nations demonstrate a fairly strong degree of synchronization in periods of growth, and a lesser degree of synchronization during periods of contraction. The current recession, however, breaks this pattern: the business cycles of industrialized nations have exhibited an unprecedented degree of synchronization since the start of the crisis. In the worst economic downturn since the end of the Second World War, the most important national economies have been drawn one after another into the maelstrom of global recession. In this paper we present a method for measuring business-cycle synchronization between individual countries. In our comparison of the current crisis with previous recessions, a focus is placed on the G7 nations and Germany's most important trading partners.Business cycle synchronisation, Markov switching models

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we elaborate how our model naturally leads to a Gaussian copula approach for describing dependence between both risk types. In particular, we suggest estimators for the correlation parameter of the Gaussian copula that can be used for general credit portfolios. Finally, we use our findings to calculate aggregated risk capital of a sample portfolio both by numerical and analytical techniques. -- Die Berechnung einer bankweit aggregierten Risikokennzahl (normalerweise ausgedrückt durch das ökonomische Kapital) ist ein äußerst wichtiger Bestandteil eines modernen Risikocontrollings and als solches von besonderer Bedeutung für bankinterne als auch regulatorische Zwecke. Eine wichtige Frage dabei betrifft die Behandlung von risikoreduzierenden Diversifikationseffekten, die als Folge der Geschäftsstrategie einer Bank (z.B. durch Produktdiversifikation oder geografische Diversifikation) auftreten können. Solche Diversifikationseffekte stellen einen Wettbewerbsvorteil dar, den Banken deshalb bei der Bestimmung ihrer Kapitaladäquanz mit einbeziehen wollen. Auch die Bankenaufsicht erkennt in ihren Ausführungen über die bankinternen Kapitalbeurteilungsverfahren nach den Grundsätzen der zweiten Säule von Basel II die Existenz von Diversifikationseffekten an. Bei der praktischen Berechnung des Diversifikationseffektes unterscheidet man oft zwischen Intrarisiko- und Interrisikodiversifikation. Letztere behandelt die Diversifikation innerhalb einer Risikoart (z.B. Markt- oder Kreditrisiko), wohingegen Interrisiko-Diversifikation die Diversifikation zwischen verschiedenen Risikoarten beschreibt und meist durch eine Interrisiko-Korrelationsmatrix erfasst wird.Risk aggregation,Inter-risk correlation,economic capital,ICAAP,diversification

Sentiment analysis of European bonds 2016 - 2018

We revisit the discussion of market sentiment in European sovereign bonds using a correlation analysis toolkit based on influence networks and hierarchical clustering. We focus on three case studies of political interest. In the case of the 2016 Brexit referendum, the market showed negative correlations between core and periphery only in the week before the referendum. Before the French presidential elections in 2017, the French bond spread widened together with the estimated Le Pen election probability, but the position of French bonds in the correlation blocks did not weaken. In summer 2018, during the budget negotiations within the new Italian coalition, the Italian bonds reacted very sensitively to changing political messages but did not show contagion risk to Spain or Portugal for several months. The situation changed during the week from October 22 to 26, as a spillover pattern of negative sentiment also to the other peripheral countries emerged

Nie zuvor war konjunktureller Gleichlauf im Abschwung so hoch

In früheren Konjunkturzyklen war zu beobachten, dass sich ein Aufschwung in den Industriestaaten recht gleichmäßig verbreitete, während bei Rezessionen ein weniger ausgeprägter Gleichlauf zu beobachten war. In der derzeitigen Krise ist das allerdings anders: Sie zeichnet sich nicht nur durch eine bisher in der Nachkriegszeit ungekannte Talfahrt aus, sie weist auch eine beispielslose Gleichzeitigkeit auf, mit der die wichtigsten Volkwirtschaften rund um den Globus in den Sog der Rezession geraten sind. In der Untersuchung wird eine Methode vorgestellt, mit der die Synchronität des Konjunkturverlaufs unter einzelnen Staaten gemessen werden kann. Die derzeitige Krise wird mit früheren Rezessionen verglichen - und zwar mit Blick auf die G7-Staaten und die wichtigsten Handelspartner Deutschlands.Business cycle synchronisation, Markov switching models

On consistency of redescending M-kernel smoothers

Abstract M-estimators and M-kernel estimators with a redescending ψ-function are not in general consistent. This is often handled by means of coupling the estimator to a consistent one. Coupling the estimator to the (inconsistent) starting point improves the jump preserving properties. However, the consistency depends heavily on the shape of the density of the residuals. This paper shows inconsistency under convenient conditions as well as consistency-even at jump points-under somewhat stronger conditions

Radio-echo sounding and waveform modeling reveal abundant marine ice in former rifts and basal crevasses within Crary Ice Rise, Antarctica

Crary Ice Rise formed after the Ross Ice Shelf re-grounded ~1 kyr BP. We present new ice-penetrating radar data from two systems operating at center frequencies of 7 and 750 MHz that confirm the ice rise is composed of a former ice shelf buried by subsequent accumulation. Stacks of englacial diffraction hyperbolas are present almost everywhere across the central ice rise and extend up to ~350 m above the bed. In many cases, bed reflections beneath the diffraction hyperbolas are obscured for distances up to 1 km. Waveform modeling indicates that the diffraction hyperbolas are likely caused by marine ice deposits in former basal crevasses and rifts. The in-filling of rifts and basal crevasses may have strengthened the connection between the ice rise and the surrounding ice shelf, which could have influenced local and regional ice dynamics. Three internal reflection horizons mark the upper limit of disturbed ice and diffraction hyperbolas in different sections of the ice rise, indicating at least three stages of flow stabilization across the ice rise. A surface lineation visible in MODIS imagery corresponds spatially to deepening and strong deformation of these layers, consistent with the characteristics of former grounding lines observed elsewhere in Antarctica

Iron, silicate, and light co-limitation of three Southern Ocean diatom species

The effect of combined iron, silicate, and light co-limitation was investigated in the three diatom species Actinocyclus sp. Ehrenberg, Chaetoceros dichaeta Ehrenberg, and Chaetoceros debilis Cleve, isolated from the Southern Ocean (SO). Growth of all species was co-limited by iron and silicate, reflected in a significant increase in the number of cell divisions compared to the control. Lowest relative Si uptake and drastic frustule malformation was found under iron and silicate co-limitation in C. dichaeta, while Si limitation in general caused cell elongation in both Chaetoceros species. Higher light intensities similar to SO surface conditions showed a negative impact on growth of C. dichaeta and Actinocyclus sp. and no effect on C. debilis. This is in contrast to the assumed light limitation of SO diatoms due to deep wind driven mixing. Our results suggest that growth and species composition of Southern Ocean diatoms is influenced by a sensitive interaction of the abiotic factors, iron, silicate, and light

Interactions between visual and semantic processing during object recognition revealed by modulatory effects of age of acquisition

The age of acquisition (AoA) of objects and their names is a powerful determinant of processing speed in adulthood, with early-acquired objects being recognized and named faster than late-acquired objects. Previous research using fMRI (Ellis et al., 2006. Traces of vocabulary acquisition in the brain: evidence from covert object naming. NeuroImage 33, 958–968) found that AoA modulated the strength of BOLD responses in both occipital and left anterior temporal cortex during object naming. We used magnetoencephalography (MEG) to explore in more detail the nature of the influence of AoA on activity in those two regions. Covert object naming recruited a network within the left hemisphere that is familiar from previous research, including visual, left occipito-temporal, anterior temporal and inferior frontal regions. Region of interest (ROI) analyses found that occipital cortex generated a rapid evoked response (~ 75–200 ms at 0–40 Hz) that peaked at 95 ms but was not modulated by AoA. That response was followed by a complex of later occipital responses that extended from ~ 300 to 850 ms and were stronger to early- than late-acquired items from ~ 325 to 675 ms at 10–20 Hz in the induced rather than the evoked component. Left anterior temporal cortex showed an evoked response that occurred significantly later than the first occipital response (~ 100–400 ms at 0–10 Hz with a peak at 191 ms) and was stronger to early- than late-acquired items from ~ 100 to 300 ms at 2–12 Hz. A later anterior temporal response from ~ 550 to 1050 ms at 5–20 Hz was not modulated by AoA. The results indicate that the initial analysis of object forms in visual cortex is not influenced by AoA. A fastforward sweep of activation from occipital and left anterior temporal cortex then results in stronger activation of semantic representations for early- than late-acquired objects. Top-down re-activation of occipital cortex by semantic representations is then greater for early than late acquired objects resulting in delayed modulation of the visual response