Function Of Sampling Frequency Research Articles

Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange

The realized stochastic volatility model has been introduced to estimate more accurate volatility by using both daily returns and realized volatility. The main advantage of the model is that no special bias-correction factor for the realized volatility is required a priori. Instead, the model introduces a bias-correction parameter responsible for the bias hidden in realized volatility. We empirically investigate the bias-correction parameter for realized volatilities calculated at various sampling frequencies for six stocks on the Tokyo Stock Exchange, and then show that the dynamic behavior of the bias-correction parameter as a function of sampling frequency is qualitatively similar to that of the Hansen–Lunde bias-correction factor although their values are substantially different. Under the stochastic diffusion assumption of the return dynamics, we investigate the accuracy of estimated volatilities by examining the standardized returns. We find that while the moments of the standardized returns from low-frequency realized volatilities are consistent with the expectation from the Gaussian variables, the deviation from the expectation becomes considerably large at high frequencies. This indicates that the realized stochastic volatility model itself cannot completely remove bias at high frequencies.

Maximum-Likelihood Estimation of Scintillation Pulse Timing

Including time-of-flight information in positron emission tomography (PET) reconstruction increases the signal-to-noise ratio if the timing information is sufficiently accurate. We estimate timing information by analyzing sampled waveforms, where the sampling frequency and number of samples acquired affect the accuracy of timing estimation. An efficient data-acquisition system acquires the minimum number of samples that contains the most timing information for a desired resolution. We describe a maximum-likelihood (ML) estimation algorithm to assign a time stamp to digital pulses. The method is based on a contracting-grid search algorithm that can be implemented in a field-programmable gate array and in graphics processing units. The Fisher-information (FI) matrix quantifies the amount of timing information that can be extracted from the waveforms. FI analyses on different segments of the waveform allow us to determine the smallest amount of data that we need to acquire in order to obtain a desired timing resolution. We describe the model and the procedure used to simulate waveforms for ML estimation and FI analysis, the ML-estimation algorithm and the timing resolution obtained from experimental data using a LaBr3:Ce crystal and two photomultiplier tubes. The results show that for lengthening segments of the pulse, timing resolution approaches a limit. We explored the method as a function of sampling frequency and compared the results to other digital time pickoff methods. This information will be used to build an efficient data-acquisition system with reduced complexity and cost that nonetheless preserves full timing performance.

Carbonate Chemistry and Air–Sea CO2 Flux in a NW Mediterranean Bay Over a Four-Year Period: 2007–2011

The Service d’Observation de la Rade de Villefranche-sur-Mer is designed to study the temporal variability of hydrological conditions as well as the abundance and composition of holo- and meroplankton at a fixed station in this bay of the northwest Mediterranean. The weekly data collected at this site, designated as “Point B” since 1957, represent a long-term time series of hydrological conditions in a coastal environment. Since 2007, the historical measurements of hydrological and biological conditions have been complemented by measurements of the CO2–carbonic acid system parameters. In this contribution, CO2–carbonic acid system parameters and ancillary data are presented for the period 2007–2011. The data are evaluated in the context of the physical and biogeochemical processes that contribute to variations in CO2 in the water column and exchange of this gas between the ocean and atmosphere. Seasonal cycles of the partial pressure of CO2 in seawater (pCO2) are controlled principally by variations in temperature, showing maxima in the summer and minima during the winter. Normalization of pCO2 to the mean seawater temperature (18.5 °C), however, reveals an apparent reversal of the seasonal cycle with maxima observed in the winter and minima in the summer, consistent with a biogeochemical control of pCO2 by primary production. Calculations of fluxes of CO2 show this area to be a weak source of CO2 to the atmosphere during the summer and a weak sink during the winter but near neutral overall (range −0.3 to +0.3 mmol CO2 m−2 h−1, average 0.02 mmol CO2 m−2 h−1). We also provide an assessment of errors incurred from the estimation of annual fluxes of CO2 as a function of sampling frequency (3-hourly, daily, weekly), using data obtained at the Hawaii Kilo Nalu coastal time-series station, which shows similar behavior to the Point B location despite significant differences in climate and hydrological conditions and the proximity of a coral reef ecosystem.

Spatial-temporal variations of microbial water quality in surface reservoirs and canals used for irrigation

Guidelines for microbial irrigation water quality have been proposed by regulatory agencies and organizations to reduce potential risks of waterborne contamination of produce. Most recommendations emphasize threshold values of fecal indicators and typically rely on only a limited number of water tests over the course of irrigation season. In this study, two irrigation canals and four surface reservoirs located in Ohio, USA were repeatedly sampled (n=227) to investigate fluctuations of fecal indicators concentration over an irrigation season (2010). Bootstrap analysis was applied to determine the sensitivity of the measured parameters as a function of sampling frequency. Escherichia coli counts in water collected from irrigation canals were approximately one order of magnitude higher (2.48±0.79 log MPN per 100ml) than that in reservoirs (1.54±0.04 log MPN per 100ml) and increased following heavy rainfall events (>20mm) (P<0.01). Sampling frequency was estimated in terms of accuracy and precision. The 95% bootstrap confidence interval width surrounding coliform and E. coli estimates based on a single sample were broad, including or exceeding the upper limit for acceptable use standards recommended by several organizations (126CFU/100ml). In conclusion, a single water sample imprecisely reflected the quality of water over the course of the irrigation period. Caution should be used when drawing conclusions about the microbial acceptability of water used for irrigation purposes based on a limited number of water quality measurements. Environmental factors influencing the spatiotemporal variation in the water quality (i.e. the type of water source and recent heavy precipitation events) and the expected interval between testing and the time of harvest should be considered in developing irrigation water testing frequency guidelines.

Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market

We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon sessions. After calculating the realized volatilities at various sampling frequencies we evaluate the bias from the microstructure noise as a function of sampling frequency. Taking into account of the bias to realized volatility we examine returns standardized by realized volatilities and confirm that price returns on the Tokyo Stock Exchange are described approximately by Gaussian time series with time-varying volatility, i.e. consistent with a mixture of distributions hypothesis.

Digital pulse-shape discrimination of fast neutrons and [formula omitted] rays

Discrimination of the detection of fast neutrons and γ rays in a liquid scintillator detector has been investigated using digital pulse-processing techniques. An experimental setup with a 252Cf source, a BC-501 liquid scintillator detector, and a BaF 2 detector was used to collect waveforms with a 100 Ms/s, 14 bit sampling ADC. Three identical ADCs were combined to increase the sampling frequency to 300 Ms/s. Four different digital pulse-shape analysis algorithms were developed and compared to each other and to data obtained with an analogue neutron– γ discrimination unit. Two of the digital algorithms were based on the charge comparison method, while the analogue unit and the other two digital algorithms were based on the zero-crossover method. Two different figure-of-merit parameters, which quantify the neutron– γ discrimination properties, were evaluated for all four digital algorithms and for the analogue data set. All of the digital algorithms gave similar or better figure-of-merit values than what was obtained with the analogue setup. A detailed study of the discrimination properties as a function of sampling frequency and bit resolution of the ADC was performed. It was shown that a sampling ADC with a bit resolution of 12 bits and a sampling frequency of 100 Ms/s is adequate for achieving an optimal neutron– γ discrimination for pulses having a dynamic range for deposited neutron energies of 0.3–12 MeV. An investigation of the influence of the sampling frequency on the time resolution was made. A FWHM of 1.7 ns was obtained at 100 Ms/s.

Effect of different sampling designs and methods on the estimation of secondary production: A simulation

This article reports the results of a simulation study designed to investigate the effect of several sampling design factors on the accuracy and precision of various estimates of secondary production. Whereas most previous studies of this sort were concerned with freshwater fauna (e.g., insects), the hypothetical population used here reflects the characteristics of marine mussels from cold‐temperate and subarctic regions. It features the simultaneous presence of different cohorts, gradual recruit arrival, seasonal growth oscillation, and quadratdependent population density, as well as random individual variation both in survival and in weight gain. For this population, the percentage relative bias (PRB) and relative root mean squared error (RRMSE) of 4 classic cohort‐based methods, 3 size‐based methods, and several variants thereof were computed as a function of sampling frequency, distribution of sampling dates, number of quadrats sampled per occasion, inclusion or omission of the last sampling date, and coarseness of the size classes and sieve aperture. Although most methods performed reasonably well, non‐negligible differences were observed among them. A version of Allen's curve technique and a mass‐specific growth rate method gave the best results for cohort‐ and size‐based method groups, respectively. Sampling effort, in terms of both frequency of sampling and number of samples per date, had the largest documented influence on both PRB and RRMSE. Recommendations are made for the best compromises between methods and sampling designs to achieve reliable production estimates for populations with similar characteristics.

ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*

Estimation and forecasting for realistic continuous‐time stochastic volatility models is hampered by the lack of closed‐form expressions for the likelihood. In response, Andersen, Bollerslev, Diebold, and Labys (Econometrica, 71 (2003), 579–625) advocate forecasting integrated volatility via reduced‐form models for the realized volatility, constructed by summing high‐frequency squared returns. Building on the eigenfunction stochastic volatility models, we present analytical expressions for the forecast efficiency associated with this reduced‐form approach as a function of sampling frequency. For popular models like GARCH, multifactor affine, and lognormal diffusions, the reduced form procedures perform remarkably well relative to the optimal (infeasible) forecasts.

SPEED-ACCURACY TRADE-OFFS IN COMPUTING SPATIAL IMPULSE RESPONSES FOR SIMULATING MEDICAL ULTRASOUND IMAGING

Medical ultrasound imaging can be simulated realistically using linear acoustics. One of the most powerful approaches is to employ spatial impulse responses. Hereby both emitted fields and pulse-echo responses from point scatterers can be determined. Also any kind of dynamic focusing and apodization can be incorporated, as has been done in the Field II simulation program. Here the transducer is modeled through a set of either rectangles, triangles, or bounding lines, so that any geometry can be simulated. The response from the transducer is found by summing the spatial impulse responses from the individual elements. One of the problems in using spatial impulse responses is the abrupt changes in the responses due to the sharp transducer boundaries. Sampling the responses directly therefore have to be done at very high sampling frequencies to keep the shape and energy of the response. The high sampling frequency is unnecessary in the final signals, since the transducers used in medical ultrasound are band limited. Approaches to reduce the sampling frequency are, thus, needed to make efficient simulation programs. Field II uses time integration of the spatial impulse responses using a continuous rather than discrete time-axis. This preserves the energy in the responses and makes it possible to make sub-sample interval delays for focusing. The paper discusses the consequence of the integration for the rectangular elements that uses an approximative calculation of the spatial impulse responses. Data for the accuracy as a function of sampling frequency is given, and it is shown how a sampling frequency of 100 MHz gives similar results to using 2 GHz sampling of the analytic solution for rectangular elements. The spatial impulse responses for the triangular and bounding line elements are found analytically, and an iterative integration routine has to be used. The Romberg integration routine is used, and the accuracy versus sampling frequency for bounding line is shown. An increased accuracy is attained for the lines compared to the rectangles, but the simulation times are significantly higher. Line elements should therefore, in this implementation, only be used very close to the transducer, and if a very high precision is needed in the calculation.

Detailed analysis of the error associated with the rainfall retrieved by the NOAA/NESDIS SSM/I algorithm: 1. Tropical oceanic rainfall

A general formulation has been established for the total error associated with passive microwave retrieval of space‐time rainfall. The total error consists of two independent components: the sampling error and the algorithm error. The former arises from the discrete sampling scheme of a polar‐orbiting satellite, and the later is the result of the imperfect algorithm used to convert the measured radiation to instantaneous rain rate. Rainfall data over the Tropical Ocean and Global Atmosphere/Coupled Ocean and Atmosphere Response Experiment (TOGA/COARE) region has been used to represent oceanic rainfall conditions to evaluate the error of the National Oceanic and Atmospheric Administration/National Environmental Satellite, Data, and Information Service (NOAA/ NESDIS) Special Sensor Microwave/Imager (SSM/I) rainfall algorithm. Rainfall statistics that affect the sampling error have been obtained from radar data, which include mean, variance, and autocorrelation of areal rain. The magnitude of the variance and the strength of the autocorrelation are quantitatively related to the size of the averaging area. Instantaneous measurement errors on the FOV scale and the large scale (2.5° box) are obtained by analyzing simultaneous observations of SSM/I and radar. Based on these parameter values, the sampling error, the algorithm error, and the total error are computed as a function of sampling frequency, size of averaging area, and other factors. This study has demonstrated the feasibility of a procedure to quantify the total retrieval error of space‐time rainfall by focusing on TOGA/COARE area (equivalent in size to a 2.5° box). The same procedure can potentially be applied to other grid boxes to produce a global error field if rain statistics and measurement errors are estimated for those boxes. The accuracy of the global error field will depend on the accuracy of the rain statistics and the measurement error values used in the individual grid boxes.

Intensive Venous Sampling Paradigms Disclose High Frequency Adrenocorticotropin Release Episodes in Normal Men*

Recent studies in the rat and rhesus monkey have disclosed apparently high frequency in vivo ACTH release episodes. While the circadian pattern of plasma ACTH concentrations has been known for many years, the exact frequency of ultradian pulsatile ACTH release in man is not clear, due in part to variable intensities of blood-sampling schedules and the limited availability of sensitive ACTH assays. In this study we used a new sensitive and specific immunoradiometric assay to measure plasma ACTH concentrations in blood sampled at 1) 2-min intervals for 3 h, followed by 4-min intervals for 4 more h in six men; and 2) 10-min intervals for 24 h in eight other men. An objective peak detection algorithm (Cluster) and cosinor analyses were used to assess the episodic pulsatility and circadian rhythmicity of ACTH. Comparisons were made among the 2 min (3 h), 4, 8, and 12 min (7 h), and 10 min (24 h) time series. Mean ACTH interpulse intervals were significantly different among the five sampling groups (P less than 0.00001). Sampling every 2 min yielded a mean ACTH interpulse interval of 18 min, which was significantly shorter than the mean interpulse intervals of 35, 53, 52, and 73 min resulting, respectively, from sampling every 4, 8, 10, and 12 min (P less than 0.05). In contrast, maximal peak ACTH amplitudes (picomoles per L or percent increase) did not vary as a function of sampling frequency. The 24-h plasma ACTH concentration time series showed significant diurnal variation, with a mean circadian amplitude of 0.95 +/- 0.15 pmol/L occurring at 1008 h (+/- 25 min). Cosinor analysis of various ACTH pulse parameters deduced from the 24-h time series revealed significant circadian rhythmicity in the ACTH peak maxima (P less than 0.05), peak increments (P less than 0.05), and prepeak nadir (P less than 0.05) concentrations, but not in ACTH interpulse intervals. We conclude that in men, 1) intensive sampling at 2-min intervals unmasks high frequency ACTH release episodes that cannot be detected at conventional sampling rates; and 2) ACTH peak amplitude, but not frequency, varies significantly during the course of circadian changes in the plasma ACTH concentrations.

Effect of Sampling Frequency on Intersample Variance and Food Consumption Estimates of Nonpiscivorous Largemouth Bass

We assessed the effect of sampling schedule on estimates of diet composition of an age-II+ cohort of largemouth bass Micropterus salmoides in a small lake in Michiganˈs upper peninsula. Our objectives were to determine the effects of sampling frequency on diet variance and on estimated prey consumption by the fish population. Sampling frequency ranged from 2 to 30 samples per 45-d sampling period in summer 1987. We determined the mean variance of an index of relative importance for each of six prey types as a function of sampling frequency. Estimates of mean rates of total population food consumption (based on percent wet weights of each prey type) were calculated with a generalized bioenergetics model. Feeding on each of three prey items (i.e., zooplankton, chironomids, and trichopterans) fluctuated irregularly over time, and intervals of 3–18 d between feeding bouts were determined from the data. Sampling frequency influenced the accuracy of consumption rate estimates. A minimum sampling frequency of three times per 45 d was necessary for accurate estimates of consumption rates for Chaoborus spp., for odonate naiads, and possibly for ephemeropterans. However, accurate estimates of consumption rates for zooplankton (Daphnia spp. and Holopedium gibberum), trichopterans, and chironomid pupae required more frequent sampling. Increased sampling did not decrease the intersample variance, but the error in estimates of consumption rates decreased with increased sampling frequency.