Search results for "Covar"
showing 10 items of 509 documents
Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs
2011
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globalization. The fast dynamics is associated with critical events that originate in a specific country or region of the world and rapidly affect the global system. We provide evidence that the short term timescale of correlation among market indices is less than 3 trading months (about 60 trading days). The average values of the non diagonal elements of the correlation matrix, corre…
Application of alternating projection method to ensure feasibility of shadowing cross-correlation models
2007
A novel procedure based on the alternating projection method to adjust experimental shadowing cross-correlation (SCC) matrices is proposed. Given an SCC matrix derived from any experimental model, this procedure finds the nearest diagonalisable correlation matrix. This adjustment allows a proper simulation of shadowing samples, since it produces correlation matrices for which Cholesky factorisation is feasible. Simulation results using this procedure for three different SCC models are compared and discussed.
Breakup and default risks in the great lockdown
2023
Abstract In this paper, we exploit CDS quotes for contracts denominated in different currencies and with different default clauses to estimate the risk of a breakup of the Eurozone and the propagation of breakup and default risks after the COVID-19 shock. Our main result is that the risk of a Eurozone breakup is significant although, quantitatively, it is not larger than in the period before the COVID-19 shock. In addition, we find that an increase in the redenomination risk in one country is associated with an increase in default premia and bond spreads in other Eurozone countries. Finally, we find that a sizeable fraction of the changes in the cost of insuring against redenomination and d…
Sparse model-based network inference using Gaussian graphical models
2010
We consider the problem of estimating a sparse dynamic Gaussian graphical model with L1 penalized maximum likelihood of structured precision matrix. The structure can consist of specific time dynamics, known presence or absence of links in the graphical model or equality constraints on the parameters. The model is defined on the basis of partial correlations, which results in a specific class precision matrices. A priori L1 penalized maximum likelihood estimation in this class is extremely difficult, because of the above mentioned constraints, the computational complexity of the L1 constraint on the side of the usual positive-definite constraint. The implementation is non-trivial, but we sh…
Ray-Space-Based Multichannel Nonnegative Matrix Factorization for Audio Source Separation
2021
Nonnegative matrix factorization (NMF) has been traditionally considered a promising approach for audio source separation. While standard NMF is only suited for single-channel mixtures, extensions to consider multi-channel data have been also proposed. Among the most popular alternatives, multichannel NMF (MNMF) and further derivations based on constrained spatial covariance models have been successfully employed to separate multi-microphone convolutive mixtures. This letter proposes a MNMF extension by considering a mixture model with Ray-Space-transformed signals, where magnitude data successfully encodes source locations as frequency-independent linear patterns. We show that the MNMF alg…
Measuring Spatiotemporal Dependencies in Bivariate Temporal Random Sets with Applications to Cell Biology
2008
Analyzing spatiotemporal dependencies between different types of events is highly relevant to many biological phenomena (e.g., signaling and trafficking), especially as advances in probes and microscopy have facilitated the imaging of dynamic processes in living cells. For many types of events, the segmented areas can overlap spatially and temporally, forming random clumps. In this paper, we model the binary image sequences of two different event types as a realization of a bivariate temporal random set and propose a nonparametric approach to quantify spatial and spatiotemporal interrelations using the pair correlation, cross-covariance, and the Ripley K functions. Based on these summary st…
The impact of feature extraction on the performance of a classifier : kNN, Naïve Bayes and C4.5
2005
"The curse of dimensionality" is pertinent to many learning algorithms, and it denotes the drastic raise of computational complexity and the classification error in high dimensions. In this paper, different feature extraction techniques as means of (1) dimensionality reduction, and (2) constructive induction are analyzed with respect to the performance of a classifier. Three commonly used classifiers are taken for the analysis: kNN, Naïve Bayes and C4.5 decision tree. One of the main goals of this paper is to show the importance of the use of class information in feature extraction for classification and (in)appropriateness of random projection or conventional PCA to feature extraction for …
Vector anisotropic filter for multispectral image denoising
2015
In this paper, we propose an approach to extend the application of anisotropic Gaussian filtering for multi- spectral image denoising. We study the case of images corrupted with additive Gaussian noise and use sparse matrix transform for noise covariance matrix estimation. Specifically we show that if an image has a low local variability, we can make the assumption that in the noisy image, the local variability originates from the noise variance only. We apply the proposed approach for the denoising of multispectral images corrupted by noise and compare the proposed method with some existing methods. Results demonstrate an improvement in the denoising performance.
Linear transform for simultaneous diagonalization of covariance and perceptual metric matrix in image coding
2003
Two types ofredundancies are contained in images: statistical redundancy and psychovisual redundancy. Image representation techniques for image coding should remove both redundancies in order to obtain good results. In order to establish an appropriate representation, the standard approach to transform coding only considers the statistical redundancy, whereas the psychovisual factors are introduced after the selection ofthe representation as a simple scalar weighting in the transform domain. In this work, we take into account the psychovisual factors in the de8nition of the representation together with the statistical factors, by means of the perceptual metric and the covariance matrix, res…
Sign and Rank Covariance Matrices: Statistical Properties and Application to Principal Components Analysis
2002
In this paper, the estimation of covariance matrices based on multivariate sign and rank vectors is discussed. Equivariance and robustness properties of the sign and rank covariance matrices are described. We show their use for the principal components analysis (PCA) problem. Limiting efficiencies of the estimation procedures for PCA are compared.