pinecone/core-2020-05-10-deduplication huggingface dataset:
Bayesian $l_0$-regularized Least Squares

Bayesian $l_0$-regularized least squares is a variable selection technique
for high dimensional predictors. The challenge is optimizing a non-convex
objective function via search over model space consisting of all possible
predictor combinations. Spike-and-slab (a.k.a. Bernoulli-Gaussian) priors are
the gold standard for Bayesian variable selection, with a caveat of
computational speed and scalability. Single Best Replacement (SBR) provides a
fast scalable alternative. We provide a link between Bayesian regularization
and proximal updating, which provides an equivalence between finding a
posterior mode and a posterior mean with a different regularization prior. This
allows us to use SBR to find the spike-and-slab estimator. To illustrate our
methodology, we provide simulation evidence and a real data example on the
statistical properties and computational efficiency of SBR versus direct
posterior sampling using spike-and-slab priors. Finally, we conclude with
directions for future research.Comment: 22 pages, 6 figures, 1 tabl
Estimation in the continuous time mover-stayer model with an application to bond ratings migration

The usual tool for modeling bond ratings migration is a discrete, timehomogeneuous
Markov chain. Such model assumes that all bonds are homogeneous with respect to their movement behavior among rating categories
and that the movement behavior does not change over time. However, among
recognized sources of heterogeneity in ratings migration is age of a bond (time
elapsed since issuance). It has been observed that young bonds have a lower propensity to change ratings, and thus to default, than more seasoned bonds. The aimof this paper is to introduce a continuous, time-nonhomogeneuous model for bond ratings migration, which also incorporates a simple form of population heterogeneity. The specific form of heterogeneity postulated by
the proposed model appears to be suitable for modeling the effect of age of a bond on its propensity to change ratings. This model, called a mover-stayer model, is an extension of a time-nonhomogeneuous Markov chain.
This paper derives the maximum likelihood estimators for the parameters of a continuous time mover-stayer model based on a sample of independent continuously monitored histories of the process, and develops the likelihood
ratio test for discriminating between the Markov chain and the mover-stayer model. The methods are illustrated using a sample of rating histories of young corporate issuers. For this sample, the likelihood ratio test rejects a Markov chain in favor of a mover-stayer model. For young bonds with
lowest rating the default probabilities predicted by the mover-stayer model
are substantially lower than those predicted by the Markov chain.Statistics Working Papers Serie
Mixed effect model for absolute log returns of ultra high frequency data

The influence of covariates on absolute log returns of ultra high frequency data is analysed. Therefore we construct a mixed effect model for the absolute log returns. The parameters are estimated in a state space approach. To analyse the correlation in these irregularly spaced data empirically, the variogram, known mainly from spatial statistics, will be used. In a small simulation study the performance of the estimators will be analysed. In the end we apply the model to IBM trade data and analyse the influence of the covariates.
Structured count data regression

Overdispersion in count data regression is often caused by neglection or inappropriate modelling of individual heterogeneity, temporal or spatial correlation, and nonlinear covariate effects. In this paper, we develop and study semiparametric count data models which can deal with these issues by incorporating corresponding components in structured additive form into the predictor. The models are fully Bayesian and inference is carried out by computationally efficient MCMC techniques. In a simulation study, we investigate how well the different components can be identified with the data at hand. The approach is applied to a large data set of claim frequencies from car insurance.
Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio

The internal-ratings based Basel II approach increases the need for the development of more realistic default probability models. In this paper we follow the approach taken in McNeil and Wendin (2006) by constructing generalized linear mixed models for estimating default probabilities from annual data on companies with different credit ratings. The models considered, in contrast to McNeil and Wendin (2006), allow parsimonious parametric models to capture simultaneously dependencies of the default probabilities on time and credit ratings. Macro-economic variables can also be included. Estimation of all model parameters are facilitated with a Bayesian approach using Markov Chain Monte Carlo methods. Special emphasis is given to the investigation of predictive capabilities of the models considered. In particular predictable model specifications are used. The empirical study using default data from Standard and Poor gives evidence that the correlation between credit ratings further apart decreases and is higher than the one induced by the autoregressive time dynamics.
On estimating the conditional expected shortfall

Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Y-t with special reference to the case when auxiliary information is available in the form of a set of predictors X-t. We consider three classes of estimators of the conditional expected shortfall of Y-t given X-t: a class of fully non-parametric estimators and two classes of analog estimators based, respectively, on the empirical conditional quantile function and the empirical conditional distribution function. We study their sampling properties by means of a set of Monte Carlo experiments and analyze their performance in an empirical application to financial data. Copyright (C) 2008 John Wiley & Sons, Ltd
On the Estimation of the Heavy-Tail Exponent in Time Series using the
  Max-Spectrum

This paper addresses the problem of estimating the tail index of
distributions with heavy, Pareto-type tails for dependent data, that is of
interest in the areas of finance, insurance, environmental monitoring and
teletraffic analysis. A novel approach based on the max self-similarity scaling
behavior of block maxima is introduced. The method exploits the increasing lack
of dependence of maxima over large size blocks, which proves useful for time
series data. We establish the consistency and asymptotic normality of the
proposed max-spectrum estimator for a large class of m-dependent time series,
in the regime of intermediate block-maxima. In the regime of large
block-maxima, we demonstrate the distributional consistency of the estimator
for a broad range of time series models including linear processes. The
max-spectrum estimator is a robust and computationally efficient tool, which
provides a novel time-scale perspective to the estimation of the
tail--exponents. Its performance is illustrated over synthetic and real data
sets
Pension funding problem with regime-switching geometric brownian motion assets and liabilities

This paper extends the pension funding model in (N. Am. Actuarial J. 2003; 7:37-51) to a regimeswitching case. The market mode is modeled by a continuous-time stationary Markov chain. The asset value process and liability value process are modeled by Markov-modulated geometric Brownian motions. We consider a pension funding plan in which the asset value is to be within a band that is proportional to the liability value. The pension plan sponsor is asked to provide sufficient funds to guarantee the asset value stays above the lower barrier of the band. The amount by which the asset value exceeds the upper barrier will be paid back to the sponsor. By applying differential equation approach, this paper calculates the expected present value of the payments to be made by the sponsor as well as that of the refunds to the sponsor. In addition, we study the effects of different barriers and regime switching on the results using some numerical examples. The optimal dividend problem is studied in our examples as an application of our theory. Copyright © 2009 John Wiley & Sons, Ltd.postprin
On orderings and bounds in a generalized Sparre Andersen risk model

A generalization of the Gerber-Shiu function proposed by (Cheung et al., Scand. Actuarial J., in press, 2010) is used to derive some ordering properties for certain ruin-related quantities in a Sparre Andersen type risk model. Additional bounds and/or refinements can be obtained by further assuming that the claim size and the interclaim time distributions possess certain reliability properties. Finally, numerical examples are considered to compare the exact solution to the bounds. © 2010 John Wiley & Sons, Ltd.link_to_subscribed_fulltex
Ruin problems under IBNR Dynamics

In this paper, we consider a discrete-time risk process allowing for delay in claim settlement, which introduces a certain type of dependence in the process. From martingale theory, an expression for the ultimate ruin probability is obtained, and Lundberg-type inequalities are derived. The impact of delay in claim settlement is then investigated. To this end, a convex order comparison of the aggregate claim amounts is performed with the corresponding non-delayed risk model, and numerical simulations are carried out with Belgian market data
On the use of phase-type distributions for inventory management with supply disruptions

Cataloged from PDF version of article.Maintaining the continuity of operations becomes increasingly important for systems that are subject to disruptions due to various reasons. In this paper, we study an inventory system operating under a (q, r) policy, where the supply can become inaccessible for random durations. The availability of the supply is modeled by assuming a single supplier that goes through ON and OFF periods of stochastic duration, both of which are modeled by phase-type distributions (PTD). We provide two alternative representations of the state transition probabilities of the system, one with integral and the other employing Kolmogorov differential equations. We then use an efficient formulation for the analytical model that gives the optimal policy parameters and the long-run average cost. An extensive numerical study is conducted, which shows that OFF time characteristics have a bigger impact on optimal policy parameters. The ON time characteristics are also important for critical goods if disasters can happen. Copyright (C) 2011 John Wiley & Sons, Ltd
Resolving the Source Populations that Contribute to the X-ray Background: The 2 Ms Chandra Deep Field-North Survey

With ~2 Ms of Chandra exposure, the Chandra Deep Field-North (CDF-N) survey provides the deepest view of the Universe in the 0.5-8.0 keV band. Five hundred and three (503) X-ray sources are detected down to on-axis 0.5-2.0 keV and 2-8 keV flux limits of ~1.5x10^{-17} erg cm^{-2} s^{-1} and ~1.0x10^{-16} erg cm^{-2} s^{-1}, respectively. These flux limits correspond to L_{0.5-8.0 keV}~3x10^{41} erg s^{-1} at z=1 and L_{0.5-8.0 keV}~2x10^{43} erg s^{-1} at z=6; thus this survey is sensitive enough to detect starburst galaxies out to moderate redshift and Seyfert galaxies out to high redshift. We present the X-ray observations and basic analysis, describe the broad diversity of X-ray selected sources, and review the prospects for deeper Chandra exposures
The Weak Outnumbering the Mighty: Normal Galaxies in Deep Chandra Surveys

Chandra is detecting a significant population of normal and starburst galaxies in extremely deep X-ray exposures. For example, approximately 15% of the sources arising in the 2 Ms Chandra Deep Field-North survey are fairly normal galaxies, where "normal" means "Milky Way-type" X-ray emission rather than simply exhibiting an "optically normal" spectrum. Many of these galaxies are being detected at large look-back times z=0.1-0.5, allowing the study of the evolution of X-ray binary populations over significant cosmological timescales. We are also detecting individual off-nuclear ultraluminous X-ray sources (e.g., X-ray binaries), providing the first direct constraints on the prevalence of lower-mass black holes at significantly earlier times. The X-ray emission from such "normal" galaxies may also be a useful star-formation rate indicator, based on radio/X-ray cross-identifications. We describe the contribution of normal galaxies to the populations which make up the X-ray background and present their directly measured X-ray number counts. We find that normal and starburst galaxies should dominate the 0.5--2 keV number counts at X-ray fluxes fainter than 7e-18 erg cm^{-2} s^{-1} (thus they will outnumber the "mighty" AGN). Finally, we look to the future, suggesting that it is important that the population of X-ray faint normal and starburst galaxies be well constrained in order to design the next generation of X-ray observatories
The CYDER Survey: First Results

We present the Calan-Yale Deep Extragalactic Research (CYDER) Survey. The broad goals of the survey are the study of stellar populations, the star formation history of the universe and the formation and evolution of galaxies. The fields studied include Chandra deep pointings in order to characterize the X-ray faint populations. Here we present the results on the first fields studied. We find that the redshift distribution is consistent with that found in the Chandra Deep Field North. The distribution of hardness ratios is, however, softer in our sample. We find a high redshift quasar, CXOCY J125304.0-090737 at z=4.179, which suggests that the abundance of low luminosity high redshift quasars may be larger than what would be expected from reasonable extrapolations from the quasar optical luminosity function
Galactic X-ray Survey

We review highlights of the results obtained from recent Galactic X-ray survey observations, in particular ASCA Galactic center and plane survey and our Chandra deep survey on the (l,b)=(28.5,0) region. Strong hard X-ray diffuse components are observed from Galactic ridge, center and bulge, and they have both thermal and non-thermal spectral components. Dozens of discrete and extended sources have been discovered on the Galactic plane, which also indicate thermal and/or non-thermal X-ray energy spectra. They are often associated with radio sources and are considered to be SNR candidates. Most of the hard X-ray point sources in the outer part of the Galactic plane are considered to be background AGNs, while fraction of the Galactic hard X-ray sources (such as quiescent dwarf novae) increases toward the Galactic center. Most of the soft X-ray sources on the Galactic plane are presumably nearby active stars
The source content of low galactic latitude XMM-Newton surveys

We present results from a project conducted by the Survey Science Center of the XMM-Newton satellite and aiming at the identification and characterisation of serendipitous EPIC sources at low galactic latitudes. Deep multi-colour optical imaging and spectroscopic observations have been obtained in the framework of several observing campaigns carried out at ING, CFHT and ESO. These observations have lead to a number of optical identifications, mostly with active stars. We describe the identified source content at low galactic latitudes and compare stellar populations properties at low and high galactic latitudes with those expected from stellar X-ray count models
Deep XMM-Newton survey of M33

In an XMM-Newton raster observation of the bright local group spiral galaxy M33 we study the population of X-ray sources (X-ray binaries, supernova remnants, super-shells) down to a 0.5-10 keV luminosity of 10^35 erg s^-1 -- more than a factor of 10 deeper than earlier ROSAT observations. EPIC spectra and hardness ratios are used to distinguish between different source classes. We confirmed the 3.45 d orbital light curve of the X-ray binary M33 X7, detected a transient super-soft source in M33, and searched for short term variability of the brighter sources. We characterize the diffuse X-ray component that is correlated with the inner disk and spiral arms. We will compare the results with other nearby galaxies
X-ray and optical properties of X-ray sources in the 13hr XMM-Newton/Chandra deep survey

The 13hr XMM-Newton/Chandra deep survey is the first of two extremely deep XMM-Newton fields observed by the XMM-OM consortium. A 120 ks Chandra mosaic, covering 0.2 square degrees, provides sensitive, confusion-free point source detection with sub-arcsecond positions, while the 200 ks XMM-Newton observation provides high quality X-ray spectroscopy over the same sky area. We have optical spectroscopic identifications for 70 X-ray sources. Of these, 42 are broad emission-line AGN with a wide range of redshifts. The optical counterparts of a further 23 sources are narrow emission line galaxies and absorption line galaxies. These 23 sources all lie at z < 1 and typically have lower X-ray luminosities than the broad-line AGN. About half of them show significant X-ray absorption and are almost certainly intrinsically absorbed AGN. However some of them have unabsorbed, AGN-like, power-law components in their X-ray spectra, but do not show broad emission lines in their optical spectra. These sources may be weak, unobscured AGN in bright galaxies and their existence at low redshifts could be a consequence of the strong cosmological evolution of AGN characteristic luminosities
Radio observations of the XMM-Newton/Chandra 13hr deep survey field

Our VLA observations of the XMM-Newton/Chandra 13hr deep survey field (see Page et al., this proceedings) result in one of the two deepest 1.4GHz radio maps ever made. Within the 15' radius field covered by the deep X-ray data (0.19 sq deg), a total of 556 radio sources are detected, down to a 4 sigma flux limit of 28uJy. Of the 214 Chandra sources, 55 have radio counterparts. The sub-arcsecond accuracy of the VLA and Chandra positions enable us to determine with high confidence the sources common to both surveys. Here we present the relationship between the X-ray and radio source populations at the faintest radio flux limits yet probed by such a study. We discuss how the X-ray/radio relationship differs as a function of optical morphology, ie between unresolved `stellar' objects and well resolved galaxies. We then discuss the origin of the X-ray and radio emission, ie AGN, starburst or a mixture of both, in these two classes of object
Do sub-mm sources and quasars form an evolutionary sequence?

The high redshift sub-mm sources discovered by SCUBA are widely believed to represent the dust-enshrouded formation of massive elliptical galaxies. Given the strong evidence for a link between the formation of the spheroid and the growth of the central black hole, one might expect to see a luminous quasar at the nucleus of every SCUBA source. Somewhat surprisingly, however, only a very small fraction (~5%) are detected by Chandra with quasar luminosities. In this paper I discuss some of the implications of these results and discuss the accumulating evidence that sub-mm sources and quasars may represent different stages in the evolutionary sequence of a massive proto-spheroid
Hard X-ray observations of Extremely Red Objects

Extremely Red Objects (EROs, R-K>5) constitute a heterogenous class of extragalactic sources including high redshift elliptical galaxies, dusty star-forming systems and heavily obscured AGNs. Hard X-ray observations provide an unique and powerful tool to uncover obscured nuclear or star-forming activity. We present the results of XMM-Newton observations of the largest sample of EROs available to date (about 450 objects over a contiguous area of 700 arcmin^2). Five of the 46 hard X-ray selected sources brighter than 3x10^{-15} cgs in the 2-10 keV band, are associated with EROs. All of the X-ray detected EROs show rather extreme X-ray-to-optical flux ratios, suggesting the presence of highly obscured AGN activity. We also report on the X-ray stacking analysis of spectroscopically identified EROs in the Chandra Deep Field South
Optical and near-infrared observations of hard serendipitous Chandra sources

We have been carrying out a successful observational programme targeted at finding the highly obscured quasars that are thought to be the main contributors to the hard X-ray background. Out of 56 sources so far studied with optical and near-infrared imaging and spectroscopy, we have found three definite and a further twelve possible Type II quasars. Few sources show significant line emission, suggesting that the line photons are depleted by the large columns of obscuring matter. The redshift distribution of our sources shows a distinct peak at z~1. The broad-band colours and magnitudes of the optical/near-infrared counterparts indicate that the light in these bands is dominated by the continuum of a massive bright galaxy
DUET - The Dark Universe Exploration Telescope

DUET, a proposed NASA Midex class mission, will produce a catalog of ~20,000 X-ray selected clusters and groups of galaxies suitable for detailed cosmological investigations. We present the cosmological constraints achievable by DUET, the functional requirements of the survey, and briefly describe an instrument/mission design capable of achieving these requirements. The advantages of an X-ray survey for constraining the nature and amount of dark energy and dark matter are emphasized. Constraints on cosmological parameters are precise and complementary to other approaches. The density of dark energy, dark matter, and neutrinos will be measured with a statistical uncertainty of 0.5%, 0.5%, and 0.2% of the critical density and the dark energy equation of state can be measured to +/- 0.2 if dark energy and dark matter contribute ~2/3 and ~1/3 of the critical density as currently believed. DUET is a multi-national collaboration led by GSFC with substantial contributions from groups in the US, Europe, and Japan
Gravitational singularities via acceleration: the case of the
  Schwarzschild solution and Bach's gamma metric

The so called gamma metric corresponds to a two-parameter family of axially
symmetric, static solutions of Einstein's equations found by Bach. It contains
the Schwarzschild solution for a particular value of one of the parameters,
that rules a deviation from spherical symmetry.
  It is shown that there is invariantly definable singular behaviour beyond the
one displayed by the Kretschmann scalar when a unique, hypersurface orthogonal,
timelike Killing vector exists. In this case, a particle can be defined to be
at rest when its world-line is a corresponding Killing orbit. The norm of the
acceleration on such an orbit proves to be singular not only for metrics that
deviate from Schwarzschild's metric, but also on approaching the horizon of
Schwarzschild metric itself, in contrast to the discontinuous behaviour of the
curvature scalar.Comment: 8 pages; text accepted for publication by Astronomische Nachrichte