scholarly journals BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO

2018 ◽  
Vol 21 (08) ◽  
pp. 1850054 ◽  
Author(s):  
DAVID BAUDER ◽  
TARAS BODNAR ◽  
STEPAN MAZUR ◽  
YAREMA OKHRIN
Keyword(s):  
Bayesian Inference ◽  
Point Of View ◽  
Posterior Distributions ◽  
Conditional Distributions ◽  
Linear Combinations ◽  
Conjugate Priors ◽  
Mean And Variance ◽  
The Mean ◽  
Stochastic Representations ◽  
Mean Vector

In this paper, we consider the estimation of the weights of tangent portfolios from the Bayesian point of view assuming normal conditional distributions of the logarithmic returns. For diffuse and conjugate priors for the mean vector and the covariance matrix, we derive stochastic representations for the posterior distributions of the weights of tangent portfolio and their linear combinations. Separately, we provide the mean and variance of the posterior distributions, which are of key importance for portfolio selection. The analytic results are evaluated within a simulation study, where the precision of coverage intervals is assessed.

Impacts of atypical data on Bayesian inference and robust Bayesian approach in fisheries

1999 ◽  
Vol 56 (9) ◽  
pp. 1525-1533 ◽  
Author(s):  
Y Chen ◽  
D Fournier
Keyword(s):  
Bayesian Inference ◽  
Bayesian Method ◽  
Mixture Distribution ◽  
Posterior Distributions ◽  
Bayesian Analyses ◽  
Probability Of Occurrence ◽  
Likelihood Functions ◽  
The Mean ◽  
Atypical Values ◽  
Simple Growth

Bayesian inference is increasingly used in fisheries. In formulating likelihood functions in Bayesian inference, data have been analyzed as if they are normally, identically, and independently distributed. It has come to be believed that the first two of the assumptions are frequently inappropriate in fisheries studies. In fact, data distributions are likely to be leptokurtic and (or) contaminated by occasional bad values giving rise to outliers in many fisheries studies. Despite the likelihood of having outliers in fisheries studies, the impacts of outliers on Bayesian inference have received little attention. In this study, using a simple growth model as an example, we evaluate the impacts of outliers on the derivation of posterior distributions in Bayesian analyses. Posterior distributions derived from the Bayesian method commonly used in fisheries are found to be sensitive to outliers. The distributions are severely biased in the presence of atypical values. The sensitivity of normality-based Bayesian analyses on atypical data may result from small "tails" of normal distribution so that the probability of occurrence of an event drops off quickly as one moves away from the mean a distance of a few standard deviations. A robust Bayesian method can be derived by including a mixture distribution that increases the size of tail so that the probability of occurrence of an event does not drop off too quickly as one moves away from the mean. The posterior distributions derived from this proposed approach are found to be robust to atypical data in this study. The proposed approach offers a potentially useful addition to Bayesian methods used in fisheries.

Der Sommer und Herbst 2003 aus phänologischer Sicht | Summer and autumn 2003 from a phenological point of view

2004 ◽  
Vol 155 (5) ◽  
pp. 142-145 ◽  
Author(s):  
Claudio Defila
Keyword(s):  
Time Series ◽  
New Record ◽  
Point Of View ◽  
Late Spring ◽  
Mean Deviation ◽  
Leaf Shedding ◽  
The Mean ◽  
Very High ◽  
Selection Of

The record-breaking heatwave of 2003 also had an impact on the vegetation in Switzerland. To examine its influences seven phenological late spring and summer phases were evaluated together with six phases in the autumn from a selection of stations. 30% of the 122 chosen phenological time series in late spring and summer phases set a new record (earliest arrival). The proportion of very early arrivals is very high and the mean deviation from the norm is between 10 and 20 days. The situation was less extreme in autumn, where 20% of the 103 time series chosen set a new record. The majority of the phenological arrivals were found in the class «normal» but the class«very early» is still well represented. The mean precocity lies between five and twenty days. As far as the leaf shedding of the beech is concerned, there was even a slight delay of around six days. The evaluation serves to show that the heatwave of 2003 strongly influenced the phenological events of summer and spring.

Descriptive statistics

2017 ◽  
Author(s):  
Andrew Gelman ◽  
Deborah Nolan
Keyword(s):  
Descriptive Statistics ◽  
Metabolic Rates ◽  
World Record ◽  
Linear Combinations ◽  
Record Times ◽  
Starting Point ◽  
Statistics Course ◽  
Scatter Plots ◽  
Economic Indexes ◽  
The Mean

Descriptive statistics is the typical starting point for a statistics course, and it can be tricky to teach because the material is more difficult than it first appears. The activities in this chapter focus more on the topics of data displays and transformations, rather than the mean, median, and standard deviation, which are covered easily in a textbook and on homework assignments. Specific topics include: distributions and handedness scores; extrapolation of time series and world record times for the mile run; linear combinations and economic indexes; scatter plots and exam scores; and logarithmic transformations and metabolic rates.

scholarly journals Weighted statistical binary patterns for facial feature representation

2021 ◽  
Author(s):  
Hung Phuoc Truong ◽  
Thanh Phuong Nguyen ◽  
Yong-Guk Kim
Keyword(s):  
Comprehensive Evaluation ◽  
Facial Feature ◽  
Input Image ◽  
Feature Representation ◽  
Illumination Variation ◽  
Straight Line ◽  
Mean And Variance ◽  
The Mean ◽  
Face Datasets ◽  
Degraded Images

AbstractWe present a novel framework for efficient and robust facial feature representation based upon Local Binary Pattern (LBP), called Weighted Statistical Binary Pattern, wherein the descriptors utilize the straight-line topology along with different directions. The input image is initially divided into mean and variance moments. A new variance moment, which contains distinctive facial features, is prepared by extracting root k-th. Then, when Sign and Magnitude components along four different directions using the mean moment are constructed, a weighting approach according to the new variance is applied to each component. Finally, the weighted histograms of Sign and Magnitude components are concatenated to build a novel histogram of Complementary LBP along with different directions. A comprehensive evaluation using six public face datasets suggests that the present framework outperforms the state-of-the-art methods and achieves 98.51% for ORL, 98.72% for YALE, 98.83% for Caltech, 99.52% for AR, 94.78% for FERET, and 99.07% for KDEF in terms of accuracy, respectively. The influence of color spaces and the issue of degraded images are also analyzed with our descriptors. Such a result with theoretical underpinning confirms that our descriptors are robust against noise, illumination variation, diverse facial expressions, and head poses.

scholarly journals Groups and Individuals: Optical Flow Patterns of Broiler Chicken Flocks Are Correlated with the Behavior of Individual Birds

Animals ◽  
2021 ◽  
Vol 11 (2) ◽  
pp. 568
Author(s):  
Sabine G. Gebhardt-Henrich ◽  
Ariane Stratmann ◽  
Marian Stamp Dawkins
Keyword(s):  
Optical Flow ◽  
Broiler Chicken ◽  
Average Length ◽  
Flow Patterns ◽  
Group Level ◽  
Positive Correlation ◽  
Water Test ◽  
Mean And Variance ◽  
The Mean

Group level measures of welfare flocks have been criticized on the grounds that they give only average measures and overlook the welfare of individual animals. However, we here show that the group-level optical flow patterns made by broiler flocks can be used to deliver information not just about the flock averages but also about the proportion of individuals in different movement categories. Mean optical flow provides information about the average movement of the whole flock while the variance, skew and kurtosis quantify the variation between individuals. We correlated flock optical flow patterns with the behavior and welfare of a sample of 16 birds per flock in two runway tests and a water (latency-to-lie) test. In the runway tests, there was a positive correlation between the average time taken to complete the runway and the skew and kurtosis of optical flow on day 28 of flock life (on average slow individuals came from flocks with a high skew and kurtosis). In the water test, there was a positive correlation between the average length of time the birds remained standing and the mean and variance of flock optical flow (on average, the most mobile individuals came from flocks with the highest mean). Patterns at the flock level thus contain valuable information about the activity of different proportions of the individuals within a flock.

scholarly journals A New Model for the Stochastic Point Reactor: Development and Comparison with Available Models

Energies ◽  
2021 ◽  
Vol 14 (4) ◽  
pp. 955
Author(s):  
Alamir Elsayed ◽  
Mohamed El-Beltagy ◽  
Amnah Al-Juhani ◽  
Shorooq Al-Qahtani
Keyword(s):  
Kinetic Model ◽  
Differential Equations ◽  
Test Cases ◽  
System Of Differential Equations ◽  
Reactor Model ◽  
Time System ◽  
New Model ◽  
Reactor Dynamics ◽  
Mean And Variance ◽  
The Mean

The point kinetic model is a system of differential equations that enables analysis of reactor dynamics without the need to solve coupled space-time system of partial differential equations (PDEs). The random variations, especially during the startup and shutdown, may become severe and hence should be accounted for in the reactor model. There are two well-known stochastic models for the point reactor that can be used to estimate the mean and variance of the neutron and precursor populations. In this paper, we reintroduce a new stochastic model for the point reactor, which we named the Langevin point kinetic model (LPK). The new LPK model combines the advantages, accuracy, and efficiency of the available models. The derivation of the LPK model is outlined in detail, and many test cases are analyzed to investigate the new model compared with the results in the literature.

A model for random instantaneous growth on an interval

1991 ◽  
Vol 28 (3) ◽  
pp. 529-538
Author(s):  
M. P. Quine
Keyword(s):  
Asymptotic Normality ◽  
Instantaneous Growth ◽  
Mean And Variance ◽  
The Mean

Points arrive in succession on an interval and immediately ‘cover' a region of length ½ to each side (less if they are close to the boundary or to a covered part). The location of a new point is uniformly distributed on the uncovered parts. We study the mean and variance of the total number of points ever formed, in particular as a → 0, in which case we also establish asymptotic normality.

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