Copula Processes

We define a copula process which describes the dependencies between arbitrarily many random variables independently of their marginal distributions. As an example, we develop a stochastic volatility model, Gaussian Copula Process Volatility (GCPV), to predict the latent standard deviations of a sequence of random variables. To make predictions we use Bayesian inference, with the Laplace approximation, and with Markov chain Monte Carlo as an alternative. We find both methods comparable. We also find our model can outperform GARCH on simulated and financial data. And unlike GARCH, GCPV can easily handle missing data, incorporate covariates other than time, and model a rich class of covariance structures.

Frequency-based interpolation of sampled signals with applications in audio restoration

A new interpolation technique has been developed for replacing missing samples in a sampled waveform drawn from a stationary stochastic process, given the power spectrum for the process. The method works with a finite block of data and is based on the assumption that components of the block DFT are Gaussian zero-mean independent random variables with variance proportional to the power spectrum at each frequency value. These assumptions make the interpolator particularly suitable for signals with a sharply-defined harmonic structure, such as audio waveforms recorded from music or voiced speech. Some results are presented and comparisons are made with existing techniques.

Enhanced poisson sum representation for alpha-stable processes

In this paper we present Poisson sum series representations for α-stable (αS) random variables and a-stable processes, in particular concentrating on continuous-time autoregressive (CAR) models driven by α-stable Lévy processes. Our representations aim to provide a conditionally Gaussian framework, which will allow parameter estimation using Rao-Blackwellised versions of state of the art Bayesian computational methods such as particle filters and Markov chain Monte Carlo (MCMC). To overcome the issues due to truncation of the series, novel residual approximations are developed. Simulations demonstrate the potential of these Poisson sum representations for inference in otherwise intractable α-stable models. © 2011 IEEE.

Copula-based Kernel Dependency Measures

The paper presents a new copula based method for measuring dependence between random variables. Our approach extends the Maximum Mean Discrepancy to the copula of the joint distribution. We prove that this approach has several advantageous properties. Similarly to Shannon mutual information, the proposed dependence measure is invariant to any strictly increasing transformation of the marginal variables. This is important in many applications, for example in feature selection. The estimator is consistent, robust to outliers, and uses rank statistics only. We derive upper bounds on the convergence rate and propose independence tests too. We illustrate the theoretical contributions through a series of experiments in feature selection and low-dimensional embedding of distributions.

The ensemble statistics of the band-averaged energy of a random system

This paper is concerned with the response statistics of a dynamic system that has random properties. The frequency-band-averaged energy of the system is considered, and a closed form expression is derived for the relative variance of this quantity. The expression depends upon three parameters: the modal overlap factor m, a bandwidth parameter B, and a parameter α that defines the nature of the loading (for example single point forcing or rain-on-the-roof loading). The result is applicable to any single structural component or acoustic volume, and a comparison is made here with simulation results for a mass loaded plate. Good agreement is found between the simulations and the theory. © 2003 Published by Elsevier Ltd.

The ensemble statistics of the energy of a random system subjected to harmonic excitation

This paper is concerned with the ensemble statistics of the response to harmonic excitation of a single dynamic system such as a plate or an acoustic volume. Random point process theory is employed, and various statistical assumptions regarding the system natural frequencies are compared, namely: (i) Poisson natural frequency spacings, (ii) statistically independent Rayleigh natural frequency spacings, and (iii) natural frequency spacings conforming to the Gaussian orthogonal ensemble (GOE). The GOE is found to be the most realistic assumption, and simple formulae are derived for the variance of the energy of the system under either point loading or rain-on-the-roof excitation. The theoretical results are compared favourably with numerical simulations and experimental data for the case of a mass loaded plate. © 2003 Elsevier Ltd. All rights reserved.