infonet-economy

This research presents methods for detecting and isolating faults in multiple Micro-Electro-Mechanical System (MEMS) Inertial Measurement Unit (IMU) configurations. Traditionally, in the inertial technology, the task Fault Detection and Isolation (FDI) is realized by the parity space method. However, this approach performs poorly with low-cost MEMS-IMUs, although, it provides...

Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called “soft dollars,” which basically are amounts spent in “research” for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD 10 paid in commissions. Obviously they are costly, and it is interesting for an institutional investor to...

To assess the quality of the fit in a multiple linear regression, the coefficient of determination or R2 is a very simple tool, yet the most used by statistics users. It is well known that the classical (least-squares) fit and coefficient of determination can be arbitrary misleading in the presence of a single outlier. In many applied setting, the assumption of normality of the error...

Extreme value data with a high clump-at-zero occur in many domains. Moreover, it might happen that the observed data are either truncated below a given threshold and/or might not be reliable enough below that threshold because of the recording devices. This situations occurs in particular with radio audience data measured using personal meters that record environmental noise every...

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by a simple but effective (pseudo) long memory process, the Heterogeneous Auto-Regressive Gamma with Leverage (HARGL) process. Both the...

Background The Psychiatric arm of the population-based CoLaus study (PsyCoLaus) is designed to: 1) establish the prevalence of threshold and subthreshold psychiatric syndromes in the 35 to 66 year-old population of the city of Lausanne (Switzerland); 2) test the validity of postulated definitions for subthreshold mood and anxiety syndromes; 3) determine the associations between...