Stationary processes for object detection and non-rigid structure-from-motion

Stationary processes are random variables whose value is a signal and whose distribution is invariant to translation in the domain of the signal. They are intimately connected to convolution, and therefore to the Fourier transform, since the covariance matrix of a stationary process is a Toeplitz matrix, and Toeplitz matrices are the expression of convolution as a linear operator. This thesis utilises this connection in the study of i) efficient training algorithms for object detection and ii) trajectory-based non-rigid structure-from-motion.

Online bayesian inference in some time-frequency representations of non-stationary processes

The use of Bayesian inference in the inference of time-frequency representations has, thus far, been limited to offline analysis of signals, using a smoothing spline based model of the time-frequency plane. In this paper we introduce a new framework that allows the routine use of Bayesian inference for online estimation of the time-varying spectral density of a locally stationary Gaussian process. The core of our approach is the use of a likelihood inspired by a local Whittle approximation. This choice, along with the use of a recursive algorithm for non-parametric estimation of the local spectral density, permits the use of a particle filter for estimating the time-varying spectral density online. We provide demonstrations of the algorithm through tracking chirps and the analysis of musical data.

Comparing time-varying autoregressive structures of locally stationary processes

In this paper, a novel statistical test is introduced to compare two locally stationary time series. The proposed approach is a Wald test considering time-varying autoregressive modeling and function projections in adequate spaces. The covariance structure of the innovations may be also time- varying. In order to obtain function estimators for the time- varying autoregressive parameters, we consider function expansions in splines and wavelet bases. Simulation studies provide evidence that the proposed test has a good performance. We also assess its usefulness when applied to a financial time series.

Modelling of non-stationary processes using radial basis function networks

This paper reports preliminary progress on a principled approach to modelling nonstationary phenomena using neural networks. We are concerned with both parameter and model order complexity estimation. The basic methodology assumes a Bayesian foundation. However to allow the construction of pragmatic models, successive approximations have to be made to permit computational tractibility. The lowest order corresponds to the (Extended) Kalman filter approach to parameter estimation which has already been applied to neural networks. We illustrate some of the deficiencies of the existing approaches and discuss our preliminary generalisations, by considering the application to nonstationary time series.

Functional Transfer Theorems for Maxima of Stationary Processes

2000 Mathematics Subject Classification: 60G70, 60F12, 60G10.

Software simulation of the EEG

The literature contains many examples of digital procedures for the analytical treatment of electroencephalograms, but there is as yet no standard by which those techniques may be judged or compared. This paper proposes one method of generating an EEG, based on a computer program for Zetterberg's simulation. It is assumed that the statistical properties of an EEG may be represented by stationary processes having rational transfer functions and achieved by a system of software fillers and random number generators.The model represents neither the neurological mechanism response for generating the EEG, nor any particular type of EEG record; transient phenomena such as spikes, sharp waves and alpha bursts also are excluded. The basis of the program is a valid ‘partial’ statistical description of the EEG; that description is then used to produce a digital representation of a signal which if plotted sequentially, might or might not by chance resemble an EEG, that is unimportant. What is important is that the statistical properties of the series remain those of a real EEG; it is in this sense that the output is a simulation of the EEG. There is considerable flexibility in the form of the output, i.e. its alpha, beta and delta content, which may be selected by the user, the same selected parameters always producing the same statistical output. The filtered outputs from the random number sequences may be scaled to provide realistic power distributions in the accepted EEG frequency bands and then summed to create a digital output signal, the ‘stationary EEG’. It is suggested that the simulator might act as a test input to digital analytical techniques for the EEG, a simulator which would enable at least a substantial part of those techniques to be compared and assessed in an objective manner. The equations necessary to implement the model are given. The program has been run on a DEC1090 computer but is suitable for any microcomputer having more than 32 kBytes of memory; the execution time required to generate a 25 s simulated EEG is in the region of 15 s.

First passage probability during random vibration

The probability that a random process crosses an arbitrary level for the first time is expressed as a Gram—Charlier series, the leading term of which is the Poisson approximation. The coefficients of this series are related to the moments of the number of level crossings. The results are applicable to both stationary and non-stationary processes. Some numerical results are presented for the response process of a linear single-degree-of-freedom oscillator under Gaussian white noise excitation.

多尺度分解与相位反褶积提高海上地震资料分辨率和信噪比

Offshore seismic exploration is full of high investment and risk. And there are many problems, such as multiple. The technology of high resolution and high S/N ratio on marine seismic data processing is becoming an important project. In this paper, the technology of multi-scale decomposition on both prestack and poststack seismic data based on wavelet and Hilbert-Huang transform and the theory of phase deconvolution is proposed by analysis of marine seismic exploration, investigation and study of literatures, and integration of current mainstream and emerging technology. Related algorithms are studied. The Pyramid algorithm of decomposition and reconstruction had been given by the Mallat algorithm of discrete wavelet transform In this paper, it is introduced into seismic data processing, the validity is shown by test with field data. The main idea of Hilbert-Huang transform is the empirical mode decomposition with which any complicated data set can be decomposed into a finite and often small number of intrinsic mode functions that admit well-behaved Hilbert transform. After the decomposition, a analytical signal is constructed by Hilbert transform, from which the instantaneous frequency and amplitude can be obtained. And then, Hilbert spectrum. This decomposition method is adaptive and highly efficient. Since the decomposition is based on the local characteristics of the time scale of data, it is applicable to nonlinear and non-stationary processes. The phenomenons of fitting overshoot and undershoot and end swings are analyzed in Hilbert-Huang transform. And these phenomenons are eliminated by effective method which is studied in the paper. The technology of multi-scale decomposition on both prestack and poststack seismic data can realize the amplitude preserved processing, enhance the seismic data resolution greatly, and overcome the problem that different frequency components can not restore amplitude properly uniformly in the conventional method. The method of phase deconvolution, which has overcome the minimum phase limitation in traditional deconvolution, approached the base fact well that the seismic wavelet is phase mixed in practical application. And a more reliable result will be given by this method. In the applied research, the high resolution relative amplitude preserved processing result has been obtained by careful analysis and research with the application of the methods mentioned above in seismic data processing in four different target areas of China Sea. Finally, a set of processing flow and method system was formed in the paper, which has been carried on in the application in the actual production process and has made the good progress and the huge economic benefit.

Quelques théorèmes ergodiques pour des suites de fonctions

Le théorème ergodique de Birkhoff nous renseigne sur la convergence de suites de fonctions. Nous nous intéressons alors à étudier la convergence en moyenne et presque partout de ces suites, mais dans le cas où la suite est une suite strictement croissante de nombres entiers positifs. C’est alors que nous définirons les suites uniformes et étudierons la convergence presque partout pour ces suites. Nous regarderons également s’il existe certaines suites pour lesquelles la convergence n’a pas lieu. Nous présenterons alors un résultat dû en partie à Alexandra Bellow qui dit que de telles suites existent. Finalement, nous démontrerons une équivalence entre la notion de transformatiuon fortement mélangeante et la convergence d'une certaine suite qui utilise des “poids” qui satisfont certaines propriétés.

Les modèles vectoriels et multiplicatifs avec erreurs non-négatives de séries chronologiques.

L'objectif du présent mémoire vise à présenter des modèles de séries chronologiques multivariés impliquant des vecteurs aléatoires dont chaque composante est non-négative. Nous considérons les modèles vMEM (modèles vectoriels et multiplicatifs avec erreurs non-négatives) présentés par Cipollini, Engle et Gallo (2006) et Cipollini et Gallo (2010). Ces modèles représentent une généralisation au cas multivarié des modèles MEM introduits par Engle (2002). Ces modèles trouvent notamment des applications avec les séries chronologiques financières. Les modèles vMEM permettent de modéliser des séries chronologiques impliquant des volumes d'actif, des durées, des variances conditionnelles, pour ne citer que ces applications. Il est également possible de faire une modélisation conjointe et d'étudier les dynamiques présentes entre les séries chronologiques formant le système étudié. Afin de modéliser des séries chronologiques multivariées à composantes non-négatives, plusieurs spécifications du terme d'erreur vectoriel ont été proposées dans la littérature. Une première approche consiste à considérer l'utilisation de vecteurs aléatoires dont la distribution du terme d'erreur est telle que chaque composante est non-négative. Cependant, trouver une distribution multivariée suffisamment souple définie sur le support positif est plutôt difficile, au moins avec les applications citées précédemment. Comme indiqué par Cipollini, Engle et Gallo (2006), un candidat possible est une distribution gamma multivariée, qui impose cependant des restrictions sévères sur les corrélations contemporaines entre les variables. Compte tenu que les possibilités sont limitées, une approche possible est d'utiliser la théorie des copules. Ainsi, selon cette approche, des distributions marginales (ou marges) peuvent être spécifiées, dont les distributions en cause ont des supports non-négatifs, et une fonction de copule permet de tenir compte de la dépendance entre les composantes. Une technique d'estimation possible est la méthode du maximum de vraisemblance. Une approche alternative est la méthode des moments généralisés (GMM). Cette dernière méthode présente l'avantage d'être semi-paramétrique dans le sens que contrairement à l'approche imposant une loi multivariée, il n'est pas nécessaire de spécifier une distribution multivariée pour le terme d'erreur. De manière générale, l'estimation des modèles vMEM est compliquée. Les algorithmes existants doivent tenir compte du grand nombre de paramètres et de la nature élaborée de la fonction de vraisemblance. Dans le cas de l'estimation par la méthode GMM, le système à résoudre nécessite également l'utilisation de solveurs pour systèmes non-linéaires. Dans ce mémoire, beaucoup d'énergies ont été consacrées à l'élaboration de code informatique (dans le langage R) pour estimer les différents paramètres du modèle. Dans le premier chapitre, nous définissons les processus stationnaires, les processus autorégressifs, les processus autorégressifs conditionnellement hétéroscédastiques (ARCH) et les processus ARCH généralisés (GARCH). Nous présentons aussi les modèles de durées ACD et les modèles MEM. Dans le deuxième chapitre, nous présentons la théorie des copules nécessaire pour notre travail, dans le cadre des modèles vectoriels et multiplicatifs avec erreurs non-négatives vMEM. Nous discutons également des méthodes possibles d'estimation. Dans le troisième chapitre, nous discutons les résultats des simulations pour plusieurs méthodes d'estimation. Dans le dernier chapitre, des applications sur des séries financières sont présentées. Le code R est fourni dans une annexe. Une conclusion complète ce mémoire.

Modeling and Analysis of Some Heavy Tailed Time Series

The thesis has covered various aspects of modeling and analysis of finite mean time series with symmetric stable distributed innovations. Time series analysis based on Box and Jenkins methods are the most popular approaches where the models are linear and errors are Gaussian. We highlighted the limitations of classical time series analysis tools and explored some generalized tools and organized the approach parallel to the classical set up. In the present thesis we mainly studied the estimation and prediction of signal plus noise model. Here we assumed the signal and noise follow some models with symmetric stable innovations.We start the thesis with some motivating examples and application areas of alpha stable time series models. Classical time series analysis and corresponding theories based on finite variance models are extensively discussed in second chapter. We also surveyed the existing theories and methods correspond to infinite variance models in the same chapter. We present a linear filtering method for computing the filter weights assigned to the observation for estimating unobserved signal under general noisy environment in third chapter. Here we consider both the signal and the noise as stationary processes with infinite variance innovations. We derived semi infinite, double infinite and asymmetric signal extraction filters based on minimum dispersion criteria. Finite length filters based on Kalman-Levy filters are developed and identified the pattern of the filter weights. Simulation studies show that the proposed methods are competent enough in signal extraction for processes with infinite variance.Parameter estimation of autoregressive signals observed in a symmetric stable noise environment is discussed in fourth chapter. Here we used higher order Yule-Walker type estimation using auto-covariation function and exemplify the methods by simulation and application to Sea surface temperature data. We increased the number of Yule-Walker equations and proposed a ordinary least square estimate to the autoregressive parameters. Singularity problem of the auto-covariation matrix is addressed and derived a modified version of the Generalized Yule-Walker method using singular value decomposition.In fifth chapter of the thesis we introduced partial covariation function as a tool for stable time series analysis where covariance or partial covariance is ill defined. Asymptotic results of the partial auto-covariation is studied and its application in model identification of stable auto-regressive models are discussed. We generalize the Durbin-Levinson algorithm to include infinite variance models in terms of partial auto-covariation function and introduce a new information criteria for consistent order estimation of stable autoregressive model.In chapter six we explore the application of the techniques discussed in the previous chapter in signal processing. Frequency estimation of sinusoidal signal observed in symmetric stable noisy environment is discussed in this context. Here we introduced a parametric spectrum analysis and frequency estimate using power transfer function. Estimate of the power transfer function is obtained using the modified generalized Yule-Walker approach. Another important problem in statistical signal processing is to identify the number of sinusoidal components in an observed signal. We used a modified version of the proposed information criteria for this purpose.

Do shocks to G7 stock prices have a permanent effect? : evidence from panel unit root tests with structural change

There is a plethora of studies that investigate evidence for the behaviour of stock prices using univariate techniques for unit roots. Whether or not stock prices are characterised by a unit root have implications for the efficient market hypothesis, which asserts that returns of a stock market are unpredictable from previous price changes. The extant literature has found mixed evidence on the integrational properties of stock prices. In this paper, for the first time, we provide evidence on the unit root hypothesis for G7 stock price indices using the Lagrangian multiplier panel unit root test that allows for structural breaks. Our main finding is that stock prices are stationary processes, inconsistent with the efficient market hypothesis.

Examining the behaviour of visitor arrivals to Australia from twenty different countries : an application of panel unit root tests

Testing for the behaviour of visitor arrivals has important implications for policy, for if visitor arrivals are stationary processes then it implies that shocks to visitor arrivals are transitory. However, if visitor arrivals are found to be characterised by a unit root then this implies that shocks to visitor arrivals are permanent. In this paper we provide the first evidence on the unit root hypothesis for visitor arrivals to Australia using a suite of recently developed panel unit root tests. Our main finding is that visitor arrivals to Australia from twenty tourist source markets and from the G7 markets are mean reverting. implying that any shocks will have only a transitory effect. However; visitor arrivals from eight Asian countries are characterised by a unit root. implying that shocks will have a permanent effect on this market.

An urn-based Bayesian block bootstrap

Block bootstrap has been introduced in the literature for resampling dependent data, i.e. stationary processes. One of the main assumptions in block bootstrapping is that the blocks of observations are exchangeable, i.e. their joint distribution is immune to permutations. In this paper we propose a new Bayesian approach to block bootstrapping, starting from the construction of exchangeable blocks. Our sampling mechanism is based on a particular class of reinforced urn processes

Some misspecfication problems in long-memory time series models

Doctor of Philosophy in Mathematics