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2,130
Statistical Analysis of Cointegrated Vectors
 Journal of Economic Dynamics and Control
, 1988
"... We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimen ..."
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Cited by 2576 (12 self)
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We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions. Further we test linear hypotheses about the cointegration vectors. The asymptotic distribution of these test statistics are found and the first is described by a natural multivariate version of the usual test for unit root in an autoregressive process, and the other is a x2 test. 1.
Detecting faces in images: A survey
 IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLIGENCE
, 2002
"... Images containing faces are essential to intelligent visionbased human computer interaction, and research efforts in face processing include face recognition, face tracking, pose estimation, and expression recognition. However, many reported methods assume that the faces in an image or an image se ..."
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Cited by 831 (4 self)
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Images containing faces are essential to intelligent visionbased human computer interaction, and research efforts in face processing include face recognition, face tracking, pose estimation, and expression recognition. However, many reported methods assume that the faces in an image or an image sequence have been identified and localized. To build fully automated systems that analyze the information contained in face images, robust and efficient face detection algorithms are required. Given a single image, the goal of face detection is to identify all image regions which contain a face regardless of its threedimensional position, orientation, and the lighting conditions. Such a problem is challenging because faces are nonrigid and have a high degree of variability in size, shape, color, and texture. Numerous techniques have been developed to detect faces in a single image, and the purpose of this paper is to categorize and evaluate these algorithms. We also discuss relevant issues such as data collection, evaluation metrics, and benchmarking. After analyzing these algorithms and identifying their limitations, we conclude with several promising directions for future research.
Investor psychology and security market under and overreactions
 Journal of Finance
, 1998
"... We propose a theory of securities market under and overreactions based on two wellknown psychological biases: investor overconfidence about the precision of private information; and biased selfattribution, which causes asymmetric shifts in investors ’ confidence as a function of their investment ..."
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Cited by 661 (38 self)
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We propose a theory of securities market under and overreactions based on two wellknown psychological biases: investor overconfidence about the precision of private information; and biased selfattribution, which causes asymmetric shifts in investors ’ confidence as a function of their investment outcomes. We show that overconfidence implies negative longlag autocorrelations, excess volatility, and, when managerial actions are correlated with stock mispricing, publiceventbased return predictability. Biased selfattribution adds positive shortlag autocorrelations ~“momentum”!, shortrun earnings “drift, ” but negative correlation between future returns and longterm past stock market and accounting performance. The theory also offers several untested implications and implications for corporate financial policy. IN RECENT YEARS A BODY OF evidence on security returns has presented a sharp challenge to the traditional view that securities are rationally priced to ref lect all publicly available information. Some of the more pervasive anoma
Determining the Number of Factors in Approximate Factor Models
, 2000
"... In this paper we develop some statistical theory for factor models of large dimensions. The focus is the determination of the number of factors, which is an unresolved issue in the rapidly growing literature on multifactor models. We propose a panel Cp criterion and show that the number of factors c ..."
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Cited by 538 (29 self)
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In this paper we develop some statistical theory for factor models of large dimensions. The focus is the determination of the number of factors, which is an unresolved issue in the rapidly growing literature on multifactor models. We propose a panel Cp criterion and show that the number of factors can be consistently estimated using the criterion. The theory is developed under the framework of large crosssections (N) and large time dimensions (T). No restriction is imposed on the relation between N and T. Simulations show that the proposed criterion yields almost precise estimates of the number of factors for configurations of the panel data encountered in practice. The idea that variations in a large number of economic variables can be modelled bya small number of reference variables is appealing and is used in manyeconomic analysis. In the finance literature, the arbitrage pricing theory(APT) of Ross (1976) assumes that a small number of factors can be used to explain a large number of asset returns.
Missing value estimation methods for DNA microarrays
, 2001
"... Motivation: Gene expression microarray experiments can generate data sets with multiple missing expression values. Unfortunately, many algorithms for gene expression analysis require a complete matrix of gene array values as input. For example, methods such as hierarchical clustering and Kmeans clu ..."
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Cited by 476 (26 self)
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Motivation: Gene expression microarray experiments can generate data sets with multiple missing expression values. Unfortunately, many algorithms for gene expression analysis require a complete matrix of gene array values as input. For example, methods such as hierarchical clustering and Kmeans clustering are not robust to missing data, and may lose effectiveness even with a few missing values. Methods for imputing missing data are needed, therefore, to minimize the effect of incomplete data sets on analyses, and to increase the range of data sets to which these algorithms can be applied. In this report, we investigate automated methods for estimating missing data.
Kernel independent component analysis
 Journal of Machine Learning Research
, 2002
"... We present a class of algorithms for independent component analysis (ICA) which use contrast functions based on canonical correlations in a reproducing kernel Hilbert space. On the one hand, we show that our contrast functions are related to mutual information and have desirable mathematical propert ..."
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Cited by 465 (27 self)
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We present a class of algorithms for independent component analysis (ICA) which use contrast functions based on canonical correlations in a reproducing kernel Hilbert space. On the one hand, we show that our contrast functions are related to mutual information and have desirable mathematical properties as measures of statistical dependence. On the other hand, building on recent developments in kernel methods, we show that these criteria can be computed efficiently. Minimizing these criteria leads to flexible and robust algorithms for ICA. We illustrate with simulations involving a wide variety of source distributions, showing that our algorithms outperform many of the presently known algorithms. 1.
Predictive regressions
 Journal of Financial Economics
, 1999
"... When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's "nitesample properties, derived here, can depart substantially from the standard regression set ..."
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Cited by 452 (19 self)
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When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's "nitesample properties, derived here, can depart substantially from the standard regression setting. Bayesian posterior distributions for the regression parameters are obtained under speci"cations that di!er with respect to (i) prior beliefs about the autocorrelation of the regressor and (ii) whether the initial observation of the regressor is speci"ed as "xed or stochastic. The posteriors di!er across such speci"cations, and asset allocations in the presence of estimation risk exhibit sensitivity to those
Determining the Epipolar Geometry and its Uncertainty: A Review
 International Journal of Computer Vision
, 1998
"... Two images of a single scene/object are related by the epipolar geometry, which can be described by a 3×3 singular matrix called the essential matrix if images' internal parameters are known, or the fundamental matrix otherwise. It captures all geometric information contained in two i ..."
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Cited by 400 (9 self)
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Two images of a single scene/object are related by the epipolar geometry, which can be described by a 3&times;3 singular matrix called the essential matrix if images' internal parameters are known, or the fundamental matrix otherwise. It captures all geometric information contained in two images, and its determination is very important in many applications such as scene modeling and vehicle navigation. This paper gives an introduction to the epipolar geometry, and provides a complete review of the current techniques for estimating the fundamental matrix and its uncertainty. A wellfounded measure is proposed to compare these techniques. Projective reconstruction is also reviewed. The software which we have developed for this review is available on the Internet.
Personal Religious Orientation and Prejudice
 Journal ofPersonality and Social Psychology
, 1967
"... 3 generalizations seem well established concerning the relationship between subjective religion and ethnic prejudice: (a) On the average churchgoers are more prejudiced than nonchurchgoers; (b) the relationship is curvilinear; (c) people with an extrinsic religious orientation are significantly more ..."
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Cited by 275 (0 self)
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3 generalizations seem well established concerning the relationship between subjective religion and ethnic prejudice: (a) On the average churchgoers are more prejudiced than nonchurchgoers; (b) the relationship is curvilinear; (c) people with an extrinsic religious orientation are significantly more prejudiced than people with an intrinsic religious orientation. With the aid of a scale to measure extrinsic and intrinsic orientation this research confirmed previous findings and added a 4th: people who are indiscriminately proreligious are the most prejudiced of all. The interpretations offered are in terms of cognitive style. Previous psychological and survey research has established three important facts regarding the relationship between prejudiced attitudes and the personal practice of religion. 1. On the average, church attenders are more prejudiced than nonattenders.
Communication on the Grassmann Manifold: A Geometric Approach to the Noncoherent MultipleAntenna Channel
 IEEE Trans. Inform. Theory
, 2002
"... In this paper, we study the capacity of multipleantenna fading channels. We focus on the scenario where the fading coefficients vary quickly; thus an accurate estimation of the coefficients is generally not available to either the transmitter or the receiver. We use a noncoherent block fading model ..."
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Cited by 271 (8 self)
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In this paper, we study the capacity of multipleantenna fading channels. We focus on the scenario where the fading coefficients vary quickly; thus an accurate estimation of the coefficients is generally not available to either the transmitter or the receiver. We use a noncoherent block fading model proposed by Marzetta and Hochwald. The model does not assume any channel side information at the receiver or at the transmitter, but assumes that the coefficients remain constant for a coherence interval of length symbol periods. We compute the asymptotic capacity of this channel at high signaltonoise ratio (SNR) in terms of the coherence time , the number of transmit antennas , and the number of receive antennas . While the capacity gain of the coherent multiple antenna channel is min bits per second per hertz for every 3dB increase in SNR, the corresponding gain for the noncoherent channel turns out to be (1 ) bits per second per herz, where = min 2 . The capacity expression has a geometric interpretation as sphere packing in the Grassmann manifold.