scholarly journals Regime-switching model detection map for direct exoplanet detection in ADI sequences

2020 ◽  
Vol 633 ◽  
pp. A95
Author(s):  
C.-H. Dahlqvist ◽  
F. Cantalloube ◽  
O. Absil

Context. Beyond the choice of wavefront control systems or coronographs, advanced data processing methods play a crucial role in disentangling potential planetary signals from bright quasi-static speckles. Among these methods, angular differential imaging (ADI) for data sets obtained in pupil tracking mode (ADI sequences) is one of the foremost research avenues, considering the many observing programs performed with ADI-based techniques and the associated discoveries. Aims. Inspired by the field of econometrics, here we propose a new detection algorithm for ADI sequences, deriving from the regime-switching model first proposed in the 1980s. Methods. The proposed model is very versatile as it allows the use of PSF-subtracted data sets (residual cubes) provided by various ADI-based techniques, separately or together, to provide a single detection map. The temporal structure of the residual cubes is used for the detection as the model is fed with a concatenated series of pixel-wise time sequences. The algorithm provides a detection probability map by considering two possible regimes for concentric annuli, the first one accounting for the residual noise and the second one for the planetary signal in addition to the residual noise. Results. The algorithm performance is tested on data sets from two instruments, VLT/NACO and VLT/SPHERE. The results show an overall better performance in the receiver operating characteristic space when compared with standard signal-to-noise-ratio maps for several state-of-the-art ADI-based post-processing algorithms.

2018 ◽  
Vol 11 (2) ◽  
pp. 169-186 ◽  
Author(s):  
Omokolade Akinsomi ◽  
Yener Coskun ◽  
Rangan Gupta ◽  
Chi Keung Marco Lau

PurposeThis paper aims to examine herding behaviour among investors and traders in UK-listed Real Estate Investment Trusts (REITs) within three market regimes (low, high and extreme volatility periods) from the period June 2004 to April 2016.Design/methodology/approachObservations of investors in 36 REITs that trade on the London Stock Exchange as at April 2016 were used to analyse herding behaviour among investors and traders of shares of UK REITs, using a Markov regime-switching model.FindingsAlthough a static herding model rejects the existence of herding in REITs markets, estimates from the regime-switching model reveal substantial evidence of herding behaviour within the low volatility regime. Most interestingly, the authors observed a shift from anti-herding behaviour within the high volatility regime to herding behaviour within the low volatility regime, with this having been caused by the FTSE 100 Volatility Index (UK VIX).Originality/valueThe results have various implications for decisions regarding asset allocation, diversification and value management within UK REITs. Market participants and analysts may consider that collective movements and market sentiment/psychology are determinative factors of risk-return in UK REITs. In addition, general uncertainty in the equity market, proxied by the impact of the UK VIX, may also provide a signal for increasing herding-related risks among UK REITs.


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