Search results for "kurtosis"
showing 10 items of 35 documents
The percolation phase transition and statistical multifragmentation in finite systems
2020
The cumulant ratios up to fourth order of the $Z$ distributions of the largest fragment in spectator fragmentation following $^{107,124}$Sn+Sn and $^{124}$La+Sn collisions at 600 MeV/nucleon have been investigated. They are found to exhibit the signatures of a second-order phase transition established with cubic bond percolation and previously observed in the ALADIN experimental data for fragmentation of $^{197}$Au projectiles at similar energies. The deduced pseudocritical points are found to be only weakly dependent on the $A/Z$ ratio of the fragmenting spectator source. The same holds for the corresponding chemical freeze-out temperatures of close to 6 MeV. The experimental cumulant dist…
Non-Gaussian Distribution for Var Calculation
2003
Publisher Summary This chapter compares different approaches to computing Value-at-Risk (VaR) for heavy tailed return series. Each model has been submitted to a backtest analysis. The most representative asset returns of the Italian stock market and the exchange rates for the major currencies are used. The results obtained confirm that when the percentiles are below 5%, the hypothesis of normality of the conditional return distribution determines intervals of confidence whose forecast ability is low. In fact, it is observed that the return distributions are asymmetric and leptokurtic and the hypothesis of normality is usually rejected when subject to statistical test. Among the alternative …
PERFORMANCE OF DIFFUSION KURTOSIS IMAGING FOR CHARACTERIZATION OF PROSTATE LESIONS USING 1.5T MAGNETIC RESONANCE IMAGING SCANNER
2020
The aim of the study is to evaluate the diagnostic performance of apparent diffusion coefficient (ADC) and apparent kurtosis coefficient (Kapp) for the characterization of prostate lesions on 1.5T MRI. This retrospective study included 34 patients with at least one lesion with PI-RADS score≥ 3. Performances of ADC and Kapp were evaluated using the Mann-Whitney U test and receiver operating characteristics curve (AUROC). Lesions with Gleason score≥6 had significantly lower Kapp compared to benign lesions (p=0.025). The ADC-ratio was the only significantly different parameter between GS≥7 and GS=6 lesions (p=0.039). Kapp showed the largest AUROC for the diagnosis of GS≥6 prostate cancers (AUR…
Event signal characterization for disturbance interpretation in power grid
2018
This paper presents the signal processing approach to detect and characterize the physical events that occur in power system using PMUs signals. A small window is applied so that the extracted spectral features belong to a stationary signal. This is based on applying empirical mode decomposition, followed by square root of spectral kurtosis (SRSK) for computation of statistical indices to indicate the event occurrence. Subsequently, features from these events are extracted using mel frequency cepstral coefficients on SRSK. © 2018 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/re…
Jump-diffusion models of German stock returns
1991
This paper discusses the statistical properties of jump-diffusion processes and reports on parameter estimates for the DAX stock index and 48 German stocks with traded options. It is found that a Poisson-type jump-diffusion process can explain the high levels of kurtosis and skewness of observed return distributions of German stocks. Furthermore, we demonstrate that the return dynamics of the DAX include a statistically significant jump component except for a few sample subperiods. This finding is seen to be inconsistent with asset pricing models assuming that the jump component of the stock's return is unsystematic and diversifiable in the market portfolio.
Modeling the coupled return-spread high frequency dynamics of large tick assets
2015
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov process is the transition between spreads. We then use a finite Markov mixture of logit regressions on past squared returns to describe the dependence of the probability of price changes. The model can thus be seen as a Double Chain Markov Model. We show that the model describes the shape of return distribution at different time aggregations, volatility clustering, and the anomalo…
Tests of multinormality based on location vectors and scatter matrices
2007
Classical univariate measures of asymmetry such as Pearson’s (mean-median)/σ or (mean-mode)/σ often measure the standardized distance between two separate location parameters and have been widely used in assessing univariate normality. Similarly, measures of univariate kurtosis are often just ratios of two scale measures. The classical standardized fourth moment and the ratio of the mean deviation to the standard deviation serve as examples. In this paper we consider tests of multinormality which are based on the Mahalanobis distance between two multivariate location vector estimates or on the (matrix) distance between two scatter matrix estimates, respectively. Asymptotic theory is develop…
Fourth Moments and Independent Component Analysis
2015
In independent component analysis it is assumed that the components of the observed random vector are linear combinations of latent independent random variables, and the aim is then to find an estimate for a transformation matrix back to these independent components. In the engineering literature, there are several traditional estimation procedures based on the use of fourth moments, such as FOBI (fourth order blind identification), JADE (joint approximate diagonalization of eigenmatrices), and FastICA, but the statistical properties of these estimates are not well known. In this paper various independent component functionals based on the fourth moments are discussed in detail, starting wi…
Large-sample properties of unsupervised estimation of the linear discriminant using projection pursuit
2021
We study the estimation of the linear discriminant with projection pursuit, a method that is unsupervised in the sense that it does not use the class labels in the estimation. Our viewpoint is asymptotic and, as our main contribution, we derive central limit theorems for estimators based on three different projection indices, skewness, kurtosis, and their convex combination. The results show that in each case the limiting covariance matrix is proportional to that of linear discriminant analysis (LDA), a supervised estimator of the discriminant. An extensive comparative study between the asymptotic variances reveals that projection pursuit gets arbitrarily close in efficiency to LDA when the…
Source separation on hyperspectral cube applied to dermatology
2010
International audience; This paper proposes a method of quantification of the components underlying the human skin that are supposed to be responsible for the effective reflectance spectrum of the skin over the visible wavelength. The method is based on independent component analysis assuming that the epidermal melanin and the dermal haemoglobin absorbance spectra are independent of each other. The method extracts the source spectra that correspond to the ideal absorbance spectra of melanin and haemoglobin. The noisy melanin spectrum is fixed using a polynomial fit and the quantifications associated with it are reestimated. The results produce feasible quantifications of each source compone…