Application of nonlinear filtering to credit risk

Merton's model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the filter itself depends on the parameters in question, this does not permit direct maximum likelihood estimation, but does pave the way for the `Expectation-Maximization' method for estimating parameters. (C) 2010 Elsevier B.V. All rights reserved.

Bayesian Decentralized Spectrum Sensing in Cognitive Radio Networks

This paper considers the problem of spectrum sensing, i.e., the detection of whether or not a primary user is transmitting data by a cognitive radio. The Bayesian framework is adopted, with the performance measure being the probability of detection error. A decentralized setup, where N sensors use M observations each to arrive at individual decisions that are combined at a fusion center to form the overall decision is considered. The unknown fading channel between the primary sensor and the cognitive radios makes the individual decision rule computationally complex, hence, a generalized likelihood ratio test (GLRT)-based approach is adopted. Analysis of the probabilities of false alarm and miss detection of the proposed method reveals that the error exponent with respect to M is zero. Also, the fusion of N individual decisions offers a diversity advantage, similar to diversity reception in communication systems, and a tight bound on the error exponent is presented. Through an analysis in the low power regime, the number of observations needed as a function of received power, to achieve a given probability of error is determined. Monte-Carlo simulations confirm the accuracy of the analysis.

A Two Stage Selective Averaging LDPC Decoding

Low density parity-check (LDPC) codes are a class of linear block codes that are decoded by running belief propagation (BP) algorithm or log-likelihood ratio belief propagation (LLR-BP) over the factor graph of the code. One of the disadvantages of LDPC codes is the onset of an error floor at high values of signal to noise ratio caused by trapping sets. In this paper, we propose a two stage decoder to deal with different types of trapping sets. Oscillating trapping sets are taken care by the first stage of the decoder and the elementary trapping sets are handled by the second stage of the decoder. Simulation results on the regular PEG (504,252,3,6) code and the irregular PEG (1024,518,15,8) code shows that the proposed two stage decoder performs significantly better than the standard decoder.

Robust GNSS signal detection in the presence of navigation data bits

This paper considers the problem of weak signal detection in the presence of navigation data bits for Global Navigation Satellite System (GNSS) receivers. Typically, a set of partial coherent integration outputs are non-coherently accumulated to combat the effects of model uncertainties such as the presence of navigation data-bits and/or frequency uncertainty, resulting in a sub-optimal test statistic. In this work, the test-statistic for weak signal detection is derived in the presence of navigation data-bits from the likelihood ratio. It is highlighted that averaging the likelihood ratio based test-statistic over the prior distributions of the unknown data bits and the carrier phase uncertainty leads to the conventional Post Detection Integration (PDI) technique for detection. To improve the performance in the presence of model uncertainties, a novel cyclostationarity based sub-optimal PDI technique is proposed. The test statistic is analytically characterized, and shown to be robust to the presence of navigation data-bits, frequency, phase and noise uncertainties. Monte Carlo simulation results illustrate the validity of the theoretical results and the superior performance offered by the proposed detector in the presence of model uncertainties.

Narrowband signal detection techniques in shallow ocean by acoustic vector sensor array

This paper presents the formulation and performance analysis of four techniques for detection of a narrowband acoustic source in a shallow range-independent ocean using an acoustic vector sensor (AVS) array. The array signal vector is not known due to the unknown location of the source. Hence all detectors are based on a generalized likelihood ratio test (GLRT) which involves estimation of the array signal vector. One non-parametric and three parametric (model-based) signal estimators are presented. It is shown that there is a strong correlation between the detector performance and the mean-square signal estimation error. Theoretical expressions for probability of false alarm and probability of detection are derived for all the detectors, and the theoretical predictions are compared with simulation results. It is shown that the detection performance of an AVS array with a certain number of sensors is equal to or slightly better than that of a conventional acoustic pressure sensor array with thrice as many sensors.

A Bacterial Foraging Optimization and Learning Automata Based Feature Selection for Motor Imagery EEG Classification

Selection of relevant features is an open problem in Brain-computer interfacing (BCI) research. Sometimes, features extracted from brain signals are high dimensional which in turn affects the accuracy of the classifier. Selection of the most relevant features improves the performance of the classifier and reduces the computational cost of the system. In this study, we have used a combination of Bacterial Foraging Optimization and Learning Automata to determine the best subset of features from a given motor imagery electroencephalography (EEG) based BCI dataset. Here, we have employed Discrete Wavelet Transform to obtain a high dimensional feature set and classified it by Distance Likelihood Ratio Test. Our proposed feature selector produced an accuracy of 80.291% in 216 seconds.

SPEECH ENHANCEMENT USING DISCRIMINATIVE RANDOM FIELDS

Speech enhancement in stationary noise is addressed using the ideal channel selection framework. In order to estimate the binary mask, we propose to classify each time-frequency (T-F) bin of the noisy signal as speech or noise using Discriminative Random Fields (DRF). The DRF function contains two terms - an enhancement function and a smoothing term. On each T-F bin, we propose to use an enhancement function based on likelihood ratio test for speech presence, while Ising model is used as smoothing function for spectro-temporal continuity in the estimated binary mask. The effect of the smoothing function over successive iterations is found to reduce musical noise as opposed to using only enhancement function. The binary mask is inferred from the noisy signal using Iterated Conditional Modes (ICM) algorithm. Sentences from NOIZEUS corpus are evaluated from 0 dB to 15 dB Signal to Noise Ratio (SNR) in 4 kinds of additive noise settings: additive white Gaussian noise, car noise, street noise and pink noise. The reconstructed speech using the proposed technique is evaluated in terms of average segmental SNR, Perceptual Evaluation of Speech Quality (PESQ) and Mean opinion Score (MOS).

Effect of a magnetic field on the flow and blood oxygenation in channels of variable cross-section

The effect of a magnetic field on the flow and oxygenation of an incompressible Newtonian conducting fluid in channels with irregular boundaries has been investigated. The geometric parameter δ, which is a ratio of the mean half width of the channel d to the characteristic length λ along the channel over which the significant changes in the flow quantities occur, has been used for perturbing the governing equations. Closed form solutions of the various order equations are presented for the stream function. The equations for oxygen partial pressure remain nonlinear even after perturbation, therefore a numerical solution is presented. The expressions for shear stress at a wall and pressure distributions are derived. Here the separation in the flow occurs at a higher Reynolds number than the corresponding non-magnetic case. It is found that the magnetic field has an effect on local oxygen concentration but has a little effect on the saturation length.

Unfolding of Plasmodium falciparum Triosephosphate Isomerase in Urea and Guanidinium Chloride: Evidence for a Novel Disulfide Exchange Reaction in a Covalently Cross-Linked Mutant†

The conformational stability of Plasmodium falciparum triosephosphate isomerase (TIMWT) enzyme has been investigated in urea and guanidinium chloride (GdmCl) solutions using circular dichroism, fluorescence, and size-exclusion chromatography. The dimeric enzyme is remarkably stable in urea solutions. It retains considerable secondary, tertiary, and quaternary structure even in 8 M urea. In contrast, the unfolding transition is complete by 2.4 M GdmCl. Although the secondary as well as the tertiary interactions melt before the perturbation of the quaternary structure, these studies imply that the dissociation of the dimer into monomers ultimately leads to the collapse of the structure, suggesting that the interfacial interactions play a major role in determining multimeric protein stability. The C-m(urea)/C-m(GdmCl) ratio (where C-m is the concentration of the denaturant required at the transition midpoint) is unusually high for triosephosphate isomerase as compared to other monomeric and dimeric proteins. A disulfide crosslinked mutant protein (Y74C) engineered to form two disulfide cross-links across the interface (13-74') and (13'-74) is dramatically destablized in urea. The unfolding transition is complete by 6 M urea and involves a novel mechanism of dimer dissociation through intramolecular thiol-disulfide exchange.

Processing of Ultrasonic Signal for Transducer Characterization and for Improving Signal-To-Noise Ratio

This paper describes the work related to characterisation of an ultrasonic transducer fabricated in the laboratory. The response of the medium to the ultrasonic wave was obtained by converting the time domain signal to frequency domain, using the FFT algorithm. Cross-correlation technique was adopted to increase the S/N ratio in the raw time domain signal and subsequently, to determine the ultrasonic velocity in the medium.

Cross-polarisation applied to the study of liquid crsytalline ordering

Cross polarisation is extensively used in solid state NMR for enhancing signals of nuclei with low gyromagnetic ratio. However, the use of the method for providing quantitative structural and dynamics information is limited. This arises due to the fact that the mechanism which is responsible for cross polarisation namely, the dipolar interaction, has a long range and is also anisotropic. In nematic liquid crystals these limitations are easily overcome since molecules orient in a magnetic field. The uniaxial ordering of the molecules essentially removes problems associated with the angular dependence of the interactions encountered in powdered solids. The molecular motion averages out intermolecular dipolar interaction, while retaining partially averaged intramolecular interaction. In this article the use of cross polarisation for obtaining heteronuclear dipolar couplings and hence the order parameters of liquid crystals is presented. Several modifications to the basic experiment were considered and their utility illustrated. A method for obtaining proton-proton dipolar couplings, by utilizing cross polarisation from the dipolar reservoir, is also presented.

A simple numerical method for three-dimensional analysis of simple expansion chamber mufflers of rectangular as well as circular cross-section with a stationary medium

Three-dimensional effects are a primary source of discrepancy between the measured values of automotive muffler performance and those predicted by the plane wave theory at higher frequencies. The basically exact method of (truncated) eigenfunction expansions for simple expansion chambers involves very complicated algebra, and the numerical finite element method requires large computation time and core storage. A simple numerical method is presented in this paper. It makes use of compatibility conditions for acoustic pressure and particle velocity at a number of equally spaced points in the planes of the junctions (or area discontinuities) to generate the required number of algebraic equations for evaluation of the relative amplitudes of the various modes (eigenfunctions), the total number of which is proportional to the area ratio. The method is demonstrated for evaluation of the four-pole parameters of rigid-walled, simple expansion chambers of rectangular as well as circular cross-section for the case of a stationary medium. Computed values of transmission loss are compared with those computed by means of the plane wave theory, in order to highlight the onset (cutting-on) of various higher order modes and the effect thereof on transmission loss of the muffler. These are also compared with predictions of the finite element methods (FEM) and the exact methods involving eigenfunction expansions, in order to demonstrate the accuracy of the simple method presented here.

Breakup processes of pressure swirl spray in gaseous cross-flow

Injection of liquid fuel in cross flowing air has been a strategy for future aircraft engines in order to control the emissions. In this context, breakup of a pressure swirl spray in gaseous cross-flow is investigated experimentally. The atomizer discharges a conical swirling sheet of liquid that interacts with cross-flowing air. This complex interaction and the resulting spray structures at various flow conditions are studied through flow visualization using still as well as high speed photography. Experiments are performed over a wide range of aerodynamic Weber number (2-300) and liquid-to-air momentum flux ratio (5-150). Various breakup regimes exhibiting different breakup processes are mapped on a parameter space based on flow conditions. This map shows significant variations from breakup regime map for a plain liquid jet in cross-flow. It is observed that the breakup of leeward side of the sheet is dominated by bag breakup and the windward side of the sheet undergoes breakup through surface waves. Similarities and differences between bag breakup present in plain liquid jet in cross-flow and swirl spray in cross-flow are explained. Multimodal drop size distribution from bag breakup, frequency of bag breakup, wavelength of surface waves and trajectory of spray in cross-flow are measured by analyzing the spray images and parametric study of their variations is also presented. (C) 2014 Elsevier Ltd. All rights reserved.

Penetration Characteristics of Air, Carbon Dioxide and Helium Transverse Sonic Jets in Mach 5 Cross Flow

An experimental investigation of sonic air, CO2 and Helium transverse jets in Mach 5 cross flow was carried out over a flat plate. The jet to freestream momentum flux ratio, J, was kept the same for all gases. The unsteady flow topology was examined using high speed schlieren visualisation and PIV. Schlieren visualisation provided information regarding oscillating jet shear layer structures and bow shock, Mach disc and barrel shocks. Two-component PIV measurements at the centreline, provided information regarding jet penetration trajectories. Barrel shocks and Mach disc forming the jet boundary were visualised/quantified also jet penetration boundaries were determined. Even though J is kept the same for all gases, the penetration patterns were found to be remarkably different both at the nearfield and the farfield. Air and CO2 jet resulted similar nearfield and farfield penetration pattern whereas Helium jet spread minimal in the nearfield.

Static analysis of infinite laminated cylindrical shell panel

This paper presents an approximate three-dimensional elasticity solution for an infinitely long, cross-ply laminated circular cylindrical shell panel with simply supported boundary conditions, subjected to an arbitrary discontinuous transverse loading. The solution is based on the principal assumption that the ratio of the thickness of the lamina to its middle surface radius is negligible compared to unity. The validity of this assumption and the range of application of this approximate solution have been established through a comparison with an exact solution. Results of classical and first-order shear deformation shell theories have been compared with the results of the present solution to bring out the accuracy of these theories. It is also shown that for very shallow shell panels the definition of a thin shell should be based on the ratio of thickness to chord width rather than the ratio of thickness to mean radius.