The Institute of Statistical Mathematics

The history of the development of statistical hypothesis testing in time series analysis is reviewed briefly and it is pointed out that the hypothesis testing procedure is not adequately defined as the procedure for statistical model identification. The classical maximum likelihood estimation procedure is reviewed and a new estimate minimum information theoretical criterion (AIC) estimate (MAICE) which is designed for the purpose of statistical identification is introduced. When there are several competing models the MAICE is defined by the model and the maximum likelihood estimates of the parameters which give the minimum of AIC defined by AIC = (-2)log-(maximum likelihood) + 2(number of independently adjusted parameters within the model). MAICE provides a versatile procedure for statistical model identification which is free from the ambiguities inherent in the application of conventional hypothesis testing procedure. The practical utility of MAICE in time series analysis is demonstrated with some numerical examples.

The information criterion AIC was introduced to extend the method of maximum likelihood to the multimodel situation. It was obtained by relating the successful experience of the order determination of an autoregressive model to the determination of the number of factors in the maximum likelihood factor analysis. The use of the AIC criterion in the factor analysis is particularly interesting when it is viewed as the choice of a Bayesian model. This observation shows that the area of application of AIC can be much wider than the conventional i.i.d. type models on which the original derivation of the criterion was based. The observation of the Bayesian structure of the factor analysis model leads us to the handling of the problem of improper solution by introducing a natural prior distribution of factor loadings.

Abstract When surrounded by a transparent emission region, black holes are expected to reveal a dark shadow caused by gravitational light bending and photon capture at the event horizon. To image and study this phenomenon, we have assembled the Event Horizon Telescope, a global very long baseline interferometry array observing at a wavelength of 1.3 mm. This allows us to reconstruct event-horizon-scale images of the supermassive black hole candidate in the center of the giant elliptical galaxy M87. We have resolved the central compact radio source as an asymmetric bright emission ring with a diameter of 42 ± 3 μ as, which is circular and encompasses a central depression in brightness with a flux ratio ≳10:1. The emission ring is recovered using different calibration and imaging schemes, with its diameter and width remaining stable over four different observations carried out in different days. Overall, the observed image is consistent with expectations for the shadow of a Kerr black hole as predicted by general relativity. The asymmetry in brightness in the ring can be explained in terms of relativistic beaming of the emission from a plasma rotating close to the speed of light around a black hole. We compare our images to an extensive library of ray-traced general-relativistic magnetohydrodynamic simulations of black holes and derive a central mass of M = (6.5 ± 0.7) × 10 9 M ⊙ . Our radio-wave observations thus provide powerful evidence for the presence of supermassive black holes in centers of galaxies and as the central engines of active galactic nuclei. They also present a new tool to explore gravity in its most extreme limit and on a mass scale that was so far not accessible.

An approximately unbiased (AU) test that uses a newly devised multiscale bootstrap technique was developed for general hypothesis testing of regions in an attempt to reduce test bias. It was applied to maximum-likelihood tree selection for obtaining the confidence set of trees. The AU test is based on the theory of Efron et al. (Proc. Natl. Acad. Sci. USA 93:13429-13434; 1996), but the new method provides higher-order accuracy yet simpler implementation. The AU test, like the Shimodaira-Hasegawa (SH) test, adjusts the selection bias overlooked in the standard use of the bootstrap probability and Kishino-Hasegawa tests. The selection bias comes from comparing many trees at the same time and often leads to overconfidence in the wrong trees. The SH test, though safe to use, may exhibit another type of bias such that it appears conservative. Here I show that the AU test is less biased than other methods in typical cases of tree selection. These points are illustrated in a simulation study as well as in the analysis of mammalian mitochondrial protein sequences. The theoretical argument provides a simple formula that covers the bootstrap probability test, the Kishino-Hasegawa test, the AU test, and the Zharkikh-Li test. A practical suggestion is provided as to which test should be used under particular circumstances.

Abstract A new algorithm for the prediction, filtering, and smoothing of non-Gaussian nonlinear state space models is shown. The algorithm is based on a Monte Carlo method in which successive prediction, filtering (and subsequently smoothing), conditional probability density functions are approximated by many of their realizations. The particular contribution of this algorithm is that it can be applied to a broad class of nonlinear non-Gaussian higher dimensional state space models on the provision that the dimensions of the system noise and the observation noise are relatively low. Several numerical examples are shown.

Abstract This article discusses several classes of stochastic models for the origin times and magnitudes of earthquakes. The models are compared for a Japanese data set for the years 1885–1980 using likelihood methods. For the best model, a change of time scale is made to investigate the deviation of the data from the model. Conventional graphical methods associated with stationary Poisson processes can be used with the transformed time scale. For point processes, effective use of such residual analysis makes it possible to find features of the data set that are not captured in the model. Based on such analyses, the utility of seismic quiescence for the prediction of a major earthquake is investigated. Key Words: Akaike information criterionEpidemic-type modelsConditional intensityLikelihoodMarked point processSeismic quiescenceTrigger models

UNLABELLED: CONSEL is a program to assess the confidence of the tree selection by giving the p-values for the trees. The main thrust of the program is to calculate the p-value of the Approximately Unbiased (AU) test using the multi-scale bootstrap technique. This p-value is less biased than the other conventional p-values such as the Bootstrap Probability (BP), the Kishino-Hasegawa (KH) test, the Shimodaira-Hasegawa (SH) test, and the Weighted Shimodaira-Hasegawa (WSH) test. CONSEL calculates all these p-values from the output of the phylogeny program packages such as Molphy, PAML, and PAUP*. Furthermore, CONSEL is applicable to a wide class of problems where the BPs are available. AVAILABILITY: The programs are written in C language. The source code for Unix and the executable binary for DOS are found at http://www.ism.ac.jp/~shimo/ CONTACT: shimo@ism.ac.jp

Summary Markov chain Monte Carlo and sequential Monte Carlo methods have emerged as the two main tools to sample from high dimensional probability distributions. Although asymptotic convergence of Markov chain Monte Carlo algorithms is ensured under weak assumptions, the performance of these algorithms is unreliable when the proposal distributions that are used to explore the space are poorly chosen and/or if highly correlated variables are updated independently. We show here how it is possible to build efficient high dimensional proposal distributions by using sequential Monte Carlo methods. This allows us not only to improve over standard Markov chain Monte Carlo schemes but also to make Bayesian inference feasible for a large class of statistical models where this was not previously so. We demonstrate these algorithms on a non-linear state space model and a Lévy-driven stochastic volatility model.

Abstract We present the first Event Horizon Telescope (EHT) observations of Sagittarius A* (Sgr A*), the Galactic center source associated with a supermassive black hole. These observations were conducted in 2017 using a global interferometric array of eight telescopes operating at a wavelength of λ = 1.3 mm. The EHT data resolve a compact emission region with intrahour variability. A variety of imaging and modeling analyses all support an image that is dominated by a bright, thick ring with a diameter of 51.8 ± 2.3 μ as (68% credible interval). The ring has modest azimuthal brightness asymmetry and a comparatively dim interior. Using a large suite of numerical simulations, we demonstrate that the EHT images of Sgr A* are consistent with the expected appearance of a Kerr black hole with mass ∼4 × 10 6 M ⊙ , which is inferred to exist at this location based on previous infrared observations of individual stellar orbits, as well as maser proper-motion studies. Our model comparisons disfavor scenarios where the black hole is viewed at high inclination ( i > 50°), as well as nonspinning black holes and those with retrograde accretion disks. Our results provide direct evidence for the presence of a supermassive black hole at the center of the Milky Way, and for the first time we connect the predictions from dynamical measurements of stellar orbits on scales of 10 3 –10 5 gravitational radii to event-horizon-scale images and variability. Furthermore, a comparison with the EHT results for the supermassive black hole M87* shows consistency with the predictions of general relativity spanning over three orders of magnitude in central mass.

Abstract We present measurements of the properties of the central radio source in M87 using Event Horizon Telescope data obtained during the 2017 campaign. We develop and fit geometric crescent models (asymmetric rings with interior brightness depressions) using two independent sampling algorithms that consider distinct representations of the visibility data. We show that the crescent family of models is statistically preferred over other comparably complex geometric models that we explore. We calibrate the geometric model parameters using general relativistic magnetohydrodynamic (GRMHD) models of the emission region and estimate physical properties of the source. We further fit images generated from GRMHD models directly to the data. We compare the derived emission region and black hole parameters from these analyses with those recovered from reconstructed images. There is a remarkable consistency among all methods and data sets. We find that >50% of the total flux at arcsecond scales comes from near the horizon, and that the emission is dramatically suppressed interior to this region by a factor >10, providing direct evidence of the predicted shadow of a black hole. Across all methods, we measure a crescent diameter of 42 ± 3 μ as and constrain its fractional width to be <0.5. Associating the crescent feature with the emission surrounding the black hole shadow, we infer an angular gravitational radius of GM / Dc 2 = 3.8 ± 0.4 μ as. Folding in a distance measurement of gives a black hole mass of . This measurement from lensed emission near the event horizon is consistent with the presence of a central Kerr black hole, as predicted by the general theory of relativity.

Abstract We present the first Event Horizon Telescope (EHT) images of M87, using observations from April 2017 at 1.3 mm wavelength. These images show a prominent ring with a diameter of ∼40 μ as, consistent with the size and shape of the lensed photon orbit encircling the “shadow” of a supermassive black hole. The ring is persistent across four observing nights and shows enhanced brightness in the south. To assess the reliability of these results, we implemented a two-stage imaging procedure. In the first stage, four teams, each blind to the others’ work, produced images of M87 using both an established method (CLEAN) and a newer technique (regularized maximum likelihood). This stage allowed us to avoid shared human bias and to assess common features among independent reconstructions. In the second stage, we reconstructed synthetic data from a large survey of imaging parameters and then compared the results with the corresponding ground truth images. This stage allowed us to select parameters objectively to use when reconstructing images of M87. Across all tests in both stages, the ring diameter and asymmetry remained stable, insensitive to the choice of imaging technique. We describe the EHT imaging procedures, the primary image features in M87, and the dependence of these features on imaging assumptions.

Abstract The Event Horizon Telescope (EHT) has mapped the central compact radio source of the elliptical galaxy M87 at 1.3 mm with unprecedented angular resolution. Here we consider the physical implications of the asymmetric ring seen in the 2017 EHT data. To this end, we construct a large library of models based on general relativistic magnetohydrodynamic (GRMHD) simulations and synthetic images produced by general relativistic ray tracing. We compare the observed visibilities with this library and confirm that the asymmetric ring is consistent with earlier predictions of strong gravitational lensing of synchrotron emission from a hot plasma orbiting near the black hole event horizon. The ring radius and ring asymmetry depend on black hole mass and spin, respectively, and both are therefore expected to be stable when observed in future EHT campaigns. Overall, the observed image is consistent with expectations for the shadow of a spinning Kerr black hole as predicted by general relativity. If the black hole spin and M87’s large scale jet are aligned, then the black hole spin vector is pointed away from Earth. Models in our library of non-spinning black holes are inconsistent with the observations as they do not produce sufficiently powerful jets. At the same time, in those models that produce a sufficiently powerful jet, the latter is powered by extraction of black hole spin energy through mechanisms akin to the Blandford-Znajek process. We briefly consider alternatives to a black hole for the central compact object. Analysis of existing EHT polarization data and data taken simultaneously at other wavelengths will soon enable new tests of the GRMHD models, as will future EHT campaigns at 230 and 345 GHz.

Optimal estimation problems for non-linear non-Gaussian state-space models do not typically admit analytic solutions. Since their introduction in 1993, particle filtering methods have become a very popular class of algorithms to solve these estimation problems numerically in an online manner, i.e. recursively as observations become available, and are now routinely used in fields as diverse as computer vision, econometrics, robotics and navigation. The objective of this tutorial is to provide a complete, up-to-date survey of this field as of 2008. Basic and advanced particle methods for filtering as well as smoothing are presented.

The Omori formula n(t)=K(t+c)-1 and its modified form n(t)=K(t+c)-P have been successfully applied to many aftershock sequences since the former was proposed just 100 years ago. This paper summarizes studies using these formulae. The problems of fitting these formulae and related point process models to observational data are discussed mainly. Studies published during the last 1/3 century confirmed that the modified Omori formula generally provides an appropriate representation of the temporal variation of aftershock activity. Although no systematic dependence of the index p has been found on the magnitude of the main shock and on the lowest limit of magnitude above which aftershocks are counted, this index (usually p = 0.9-1.5) differs from sequence to. sequence. This variability may be related to the tectonic condition of the region such as structural heterogeneity, stress, and temperature, but it is not clear which factor is most significant in controlling the p value. The constant c is a controversial quantity. It is strongly influenced by incomplete detection of small aftershocks in the early stage of sequence. Careful analyses indicate that c is positive at least for some sequences. Point process models for the temporal pattern of shallow seismicity must include the existence of aftershocks, most suitably expressed by the modified Omori law. Among such models, the ETAS model seems to best represent the main features of seismicity with only five parameters. An anomalous decrease in aftershock activity below the level predicted by the modified Omori formula sometimes precedes a large aftershock. An anomalous decrease in seismic activity of a region below the level predicted by the ETAS model is sometimes followed by a large earthquake in the same or in a neighboring region.

We present possible observing scenarios for the Advanced LIGO, Advanced Virgo and KAGRA gravitational-wave detectors over the next decade, with the intention of providing information to the astronomy community to facilitate planning for multi-messenger astronomy with gravitational waves. We estimate the sensitivity of the network to transient gravitational-wave signals, and study the capability of the network to determine the sky location of the source. We report our findings for gravitational-wave transients, with particular focus on gravitational-wave signals from the inspiral of binary neutron star systems, which are the most promising targets for multi-messenger astronomy. The ability to localize the sources of the detected signals depends on the geographical distribution of the detectors and their relative sensitivity, and [Formula: see text] credible regions can be as large as thousands of square degrees when only two sensitive detectors are operational. Determining the sky position of a significant fraction of detected signals to areas of 5-[Formula: see text] requires at least three detectors of sensitivity within a factor of [Formula: see text] of each other and with a broad frequency bandwidth. When all detectors, including KAGRA and the third LIGO detector in India, reach design sensitivity, a significant fraction of gravitational-wave signals will be localized to a few square degrees by gravitational-wave observations alone.

Abstract The Event Horizon Telescope (EHT) is a very long baseline interferometry (VLBI) array that comprises millimeter- and submillimeter-wavelength telescopes separated by distances comparable to the diameter of the Earth. At a nominal operating wavelength of ∼1.3 mm, EHT angular resolution ( λ / D ) is ∼25 μ as, which is sufficient to resolve nearby supermassive black hole candidates on spatial and temporal scales that correspond to their event horizons. With this capability, the EHT scientific goals are to probe general relativistic effects in the strong-field regime and to study accretion and relativistic jet formation near the black hole boundary. In this Letter we describe the system design of the EHT, detail the technology and instrumentation that enable observations, and provide measures of its performance. Meeting the EHT science objectives has required several key developments that have facilitated the robust extension of the VLBI technique to EHT observing wavelengths and the production of instrumentation that can be deployed on a heterogeneous array of existing telescopes and facilities. To meet sensitivity requirements, high-bandwidth digital systems were developed that process data at rates of 64 gigabit s −1 , exceeding those of currently operating cm-wavelength VLBI arrays by more than an order of magnitude. Associated improvements include the development of phasing systems at array facilities, new receiver installation at several sites, and the deployment of hydrogen maser frequency standards to ensure coherent data capture across the array. These efforts led to the coordination and execution of the first Global EHT observations in 2017 April, and to event-horizon-scale imaging of the supermassive black hole candidate in M87.

Abstract In December 2019, the International Association of Geomagnetism and Aeronomy (IAGA) Division V Working Group (V-MOD) adopted the thirteenth generation of the International Geomagnetic Reference Field (IGRF). This IGRF updates the previous generation with a definitive main field model for epoch 2015.0, a main field model for epoch 2020.0, and a predictive linear secular variation for 2020.0 to 2025.0. This letter provides the equations defining the IGRF, the spherical harmonic coefficients for this thirteenth generation model, maps of magnetic declination, inclination and total field intensity for the epoch 2020.0, and maps of their predicted rate of change for the 2020.0 to 2025.0 time period.

Abstract We present the calibration and reduction of Event Horizon Telescope (EHT) 1.3 mm radio wavelength observations of the supermassive black hole candidate at the center of the radio galaxy M87 and the quasar 3C 279, taken during the 2017 April 5–11 observing campaign. These global very long baseline interferometric observations include for the first time the highly sensitive Atacama Large Millimeter/submillimeter Array (ALMA); reaching an angular resolution of 25 μ as, with characteristic sensitivity limits of ∼1 mJy on baselines to ALMA and ∼10 mJy on other baselines. The observations present challenges for existing data processing tools, arising from the rapid atmospheric phase fluctuations, wide recording bandwidth, and highly heterogeneous array. In response, we developed three independent pipelines for phase calibration and fringe detection, each tailored to the specific needs of the EHT. The final data products include calibrated total intensity amplitude and phase information. They are validated through a series of quality assurance tests that show consistency across pipelines and set limits on baseline systematic errors of 2% in amplitude and 1° in phase. The M87 data reveal the presence of two nulls in correlated flux density at ∼3.4 and ∼8.3 G λ and temporal evolution in closure quantities, indicating intrinsic variability of compact structure on a timescale of days, or several light-crossing times for a few billion solar-mass black hole. These measurements provide the first opportunity to image horizon-scale structure in M87.

Abstract A non-Gaussian state—space approach to the modeling of nonstationary time series is shown. The model is expressed in state—space form, where the system noise and the observational noise are not necessarily Gaussian. Recursive formulas of prediction, filtering, and smoothing for the state estimation and identification of the non-Gaussian state—space model are given. Also given is a numerical method based on piecewise linear approximation to the density functions for realizing these formulas. Significant merits of non-Gaussian modeling and the wide range of applicability of the method are illustrated by some numerical examples. A typical application of this non-Gaussian modeling is the smoothing of a time series that has mean value function with both abrupt and gradual changes. Simple Gaussian state—space modeling is not adequate for this situation. Here the model with small system noise variance cannot detect jump, whereas the one with large system noise variance yields unfavorable wiggle. To work out this problem within the ordinary linear Gaussian model framework, sophisticated treatment of outliers is required. But by the use of an appropriate non-Gaussian model for system noise, it is possible to reproduce both abrupt and gradual change of the mean without any special treatment. Nonstandard observations such as the ones distributed as non-Gaussian distribution can be easily treated by the direct modeling of an observational scheme. Smoothing of a transformed series such as a log periodogram can be treated by this method. Outliers in the observations can be treated as well by using heavy-tailed distribution for observational noise density. The algorithms herein can be easily extended to a wider class of models. As an example, the smoothing of nonhomogeneous binomial mean function is shown, where the observation is distributed according to a discrete random variable. Extension to a nonlinear system is also straightforward.

AbstractThis article is concerned with objective estimation of the spatial intensity function of the background earthquake occurrences from an earthquake catalog that includes numerous clustered events in space and time, and also with an algorithm for producing declustered catalogs from the original catalog. A space-time branching process model (the ETAS model) is used for describing how each event generates offspring events. It is shown that the background intensity function can be evaluated if the total spatial seismicity intensity and the branching structure can be estimated. In fact, the whole space-time process is split into two subprocesses, the background events and the clustered events. The proposed algorithm combines a parametric maximum likelihood estimate for the clustering structures using the space-time ETAS model and a nonparametric estimate of the background seismicity that we call a variable weighted kernel estimate. To demonstrate the present methods, we estimate the background seismic activities in the central region of New Zealand and in the central and western regions of Japan, then use these estimates to produce catalogs of background events.KEY WORDS: Background seismicityBranching processesEarthquake declusteringSpace-time etas modelThinning methodVariable weighted kernel estimate