Search results for "ESTIMATOR"
showing 10 items of 313 documents
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
2011
The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of 9 improved covariance estimation procedures by using daily returns of 90 highly capitalized US stocks for the period 1997-2007. We find that the usefulness of covariance matrix estimators strongly depends on the ratio between estimation period T and number of stocks N, on the presence or absence of short selling, and on the performance metric considered. When short selling is allowed, several estimation methods achieve a realized risk that is significantly smaller than the one obtai…
A partially reflecting random walk on spheres algorithm for electrical impedance tomography
2015
In this work, we develop a probabilistic estimator for the voltage-to-current map arising in electrical impedance tomography. This novel so-called partially reflecting random walk on spheres estimator enables Monte Carlo methods to compute the voltage-to-current map in an embarrassingly parallel manner, which is an important issue with regard to the corresponding inverse problem. Our method uses the well-known random walk on spheres algorithm inside subdomains where the diffusion coefficient is constant and employs replacement techniques motivated by finite difference discretization to deal with both mixed boundary conditions and interface transmission conditions. We analyze the global bias…
An estimator algorithm for the rotation time of magnetization vector in nuclear magnetic resonance for imaging (NMRI)
2018
The purpose of this paper is to propose a useful method to investigate the rotation time of the magnetization vector in the nuclear magnetic resonance for imaging (NMRI) system. The ninety degrees rotation of the magnetization vector is the first step in order to establish the free induction decay that radiates electromagnetic energy inside the NMRI chamber. The estimator involved in this research is called Luenberger's observer which is a state estimator of a dynamical system. The Bloch's equation is a dynamical system characterized by a radio frequency (RF) impulse located inside the dynamic matrix, which means the system is not linear. The observer algorithm involved in this paper estim…
Elastic Constants of Quantum Solids by Path Integral Simulations
2000
Two methods are proposed to evaluate the second-order elastic constants of quantum mechanically treated solids. One method is based on path-integral simulations in the (NVT) ensemble using an estimator for elastic constants. The other method is based on simulations in the (NpT) ensemble exploiting the relationship between strain fluctuations and elastic constants. The strengths and weaknesses of the methods are discussed thoroughly. We show how one can reduce statistical and systematic errors associated with so-called primitive estimators. The methods are then applied to solid argon at atmospheric pressures and solid helium 3 (hcp, fcc, and bcc) under varying pressures. Good agreement with …
Comparing estimators of the galaxy correlation function
1999
We present a systematic comparison of some usual estimators of the 2--point correlation function, some of them currently used in Cosmology, others extensively employed in the field of the statistical analysis of point processes. At small scales, it is known that the correlation function follows reasonably well a power--law expression $\xi(r) \propto r^{-\gamma}$. The accurate determination of the exponent $\gamma$ (the order of the pole) depends on the estimator used for $\xi(r)$; on the other hand, its behavior at large scale gives information on a possible trend to homogeneity. We study the concept, the possible bias, the dependence on random samples and the errors of each estimator. Erro…
Joint constraints on galaxy bias and σ8 through the N-pdf of the galaxy number density
2015
We present a full description of the N-probability density function of the galaxy number density fluctuations. This N-pdf is given in terms, on the one hand, of the cold dark matter correlations and, on the other hand, of the galaxy bias parameter. The method relies on the assumption commonly adopted that the dark matter density fluctuations follow a local non-linear transformation of the initial energy density perturbations. The N-pdf of the galaxy number density fluctuations allows for an optimal estimation of the bias parameter (e.g., via maximum-likelihood estimation, or Bayesian inference if there exists any a priori information on the bias parameter), and of those parameters defining …
Comparison of two non-primitive methods for path integral simulations: Higher-order corrections vs. an effective propagator approach
2002
Two methods are compared that are used in path integral simulations. Both methods aim to achieve faster convergence to the quantum limit than the so-called primitive algorithm (PA). One method, originally proposed by Takahashi and Imada, is based on a higher-order approximation (HOA) of the quantum mechanical density operator. The other method is based upon an effective propagator (EPr). This propagator is constructed such that it produces correctly one and two-particle imaginary time correlation functions in the limit of small densities even for finite Trotter numbers P. We discuss the conceptual differences between both methods and compare the convergence rate of both approaches. While th…
Measurement of Ab_FB using inclusive b-hadron decays
2001
Based on a sample of four million events collected by ALEPH from 1991 to 1995, a measurement of the forward-backward asymmetry in Z -> b-barb decays using inclusive final states is presented. High-performance tagging of b-barb events in a wide angular range is achieved using neural network techniques. An optimal hemisphere charge estimator is built by merging primary and secondary vertex information, leading kaon identification and jet charge in a neural network. The average charge asymmetry, the flavour tagging efficiencies and mean b-hemisphere charges are measured from data and used to extract the pole b asymmetry in the Standard Model A^{0,b}_{FB} = 0.1009 +- 0.0027 (stat) +- 0.0015 …
Measurement of damping and temperature: Precision bounds in Gaussian dissipative channels
2011
We present a comprehensive analysis of the performance of different classes of Gaussian states in the estimation of Gaussian phase-insensitive dissipative channels. In particular, we investigate the optimal estimation of the damping constant and reservoir temperature. We show that, for two-mode squeezed vacuum probe states, the quantum-limited accuracy of both parameters can be achieved simultaneously. Moreover, we show that for both parameters two-mode squeezed vacuum states are more efficient than either coherent, thermal or single-mode squeezed states. This suggests that at high energy regimes two-mode squeezed vacuum states are optimal within the Gaussian setup. This optimality result i…
Implementation of a two stage fully-blind self-adapted spectrum sensing algorithm
2017
In this paper, an experimental validation of a combined two-stage detector called 2EMC is carried out. The detector is proposed in [1]. The 2EMC is composed of energy detector as a primary stage and maximum-minimum eigenvalue detector as a secondary stage. The 2EMC outperforms the two individual detectors in terms of the probability of detection for the same probability of false alarm. Regarding the complexity measured in the sensing time, the 2EMC sensing time is bounded by the sensing times of the two individual detectors. 2EMC incorporates noise estimation that is used by the energy detector, which makes it fully-blind and self-adapted detector. The noise estimator performance is express…