On the theorem of Reichert

This paper reworks and amplifies Reichert's proof of his theorem (1969) which asserts that any impedance function of a one-port electrical network which can be realised with two reactive elements and an arbitrary number of resistors can be realised with two reactive elements and three resistors. © 2012 Elsevier B.V. All rights reserved.

Uniform stability of a particle approximation of the optimal filter derivative

Sequential Monte Carlo methods, also known as particle methods, are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. In many applications it may be necessary to compute the sensitivity, or derivative, of the optimal filter with respect to the static parameters of the state-space model; for instance, in order to obtain maximum likelihood model parameters of interest, or to compute the optimal controller in an optimal control problem. In Poyiadjis et al. [2011] an original particle algorithm to compute the filter derivative was proposed and it was shown using numerical examples that the particle estimate was numerically stable in the sense that it did not deteriorate over time. In this paper we substantiate this claim with a detailed theoretical study. Lp bounds and a central limit theorem for this particle approximation of the filter derivative are presented. It is further shown that under mixing conditions these Lp bounds and the asymptotic variance characterized by the central limit theorem are uniformly bounded with respect to the time index. We demon- strate the performance predicted by theory with several numerical examples. We also use the particle approximation of the filter derivative to perform online maximum likelihood parameter estimation for a stochastic volatility model.

Rhythm generation in monkey motor cortex explored using pyramidal tract stimulation.

We investigated whether stimulation of the pyramidal tract (PT) could reset the phase of 15-30 Hz beta oscillations observed in the macaque motor cortex. We recorded local field potentials (LFPs) and multiple single-unit activity from two conscious macaque monkeys performing a precision grip task. EMG activity was also recorded from the second animal. Single PT stimuli were delivered during the hold period of the task, when oscillations in the LFP were most prominent. Stimulus-triggered averaging of the LFP showed a phase-locked oscillatory response to PT stimulation. Frequency domain analysis revealed two components within the response: a 15-30 Hz component, which represented resetting of on-going beta rhythms, and a lower frequency 10 Hz response. Only the higher frequency could be observed in the EMG activity, at stronger stimulus intensities than were required for resetting the cortical rhythm. Stimulation of the PT during movement elicited a greatly reduced oscillatory response. Analysis of single-unit discharge confirmed that PT stimulation was capable of resetting periodic activity in motor cortex. The firing patterns of pyramidal tract neurones (PTNs) and unidentified neurones exhibited successive cycles of suppression and facilitation, time locked to the stimulus. We conclude that PTN activity directly influences the generation of the 15-30 Hz rhythm. These PTNs facilitate EMG activity in upper limb muscles, contributing to corticomuscular coherence at this same frequency. Since the earliest oscillatory effect observed following stimulation was a suppression of firing, we speculate that inhibitory feedback may be the key mechanism generating such oscillations in the motor cortex.

Projective Limit Random Probabilities on Polish Spaces

A pivotal problem in Bayesian nonparametrics is the construction of prior distributions on the space M(V) of probability measures on a given domain V. In principle, such distributions on the infinite-dimensional space M(V) can be constructed from their finite-dimensional marginals---the most prominent example being the construction of the Dirichlet process from finite-dimensional Dirichlet distributions. This approach is both intuitive and applicable to the construction of arbitrary distributions on M(V), but also hamstrung by a number of technical difficulties. We show how these difficulties can be resolved if the domain V is a Polish topological space, and give a representation theorem directly applicable to the construction of any probability distribution on M(V) whose first moment measure is well-defined. The proof draws on a projective limit theorem of Bochner, and on properties of set functions on Polish spaces to establish countable additivity of the resulting random probabilities.

Bayesian signal processing

The application of Bayes' Theorem to signal processing provides a consistent framework for proceeding from prior knowledge to a posterior inference conditioned on both the prior knowledge and the observed signal data. The first part of the lecture will illustrate how the Bayesian methodology can be applied to a variety of signal processing problems. The second part of the lecture will introduce the concept of Markov Chain Monte-Carlo (MCMC) methods which is an effective approach to overcoming many of the analytical and computational problems inherent in statistical inference. Such techniques are at the centre of the rapidly developing area of Bayesian signal processing which, with the continual increase in available computational power, is likely to provide the underlying framework for most signal processing applications.