Covariance Averaging for Improved Estimation and Portfolio Allocation

We propose a new method for estimating the covariance matrix of a multivariate time series of nancial returns. The method is based on estimating sample covariances from overlapping windows of observations which are then appropriately weighted to obtain the nal covariance estimate. We extend the idea of (model) covariance averaging o ered in the covariance shrinkage approach by means of greater ease of use, exibility and robustness in averaging information over different data segments. The suggested approach does not su er from the curse of dimensionality and can be used without problems of either approximation or any demand for numerical optimization.

Significance Driven Computation: A Voltage-Scalable, Variation-Aware, Quality-Tuning Motion Estimator

In this paper we present a design methodology for algorithm/architecture co-design of a voltage-scalable, process variation aware motion estimator based on significance driven computation. The fundamental premise of our approach lies in the fact that all computations are not equally significant in shaping the output response of video systems. We use a statistical technique to intelligently identify these significant/not-so-significant computations at the algorithmic level and subsequently change the underlying architecture such that the significant computations are computed in an error free manner under voltage over-scaling. Furthermore, our design includes an adaptive quality compensation (AQC) block which "tunes" the algorithm and architecture depending on the magnitude of voltage over-scaling and severity of process variations. Simulation results show average power savings of similar to 33% for the proposed architecture when compared to conventional implementation in the 90 nm CMOS technology. The maximum output quality loss in terms of Peak Signal to Noise Ratio (PSNR) was similar to 1 dB without incurring any throughput penalty.

Dynamic State Estimation of Power Systems with Quantization Eects: A Recursive Filter Approach

In this paper, a recursive filter algorithm is developed to deal with the state estimation problem for power systems with quantized nonlinear measurements. The measurements from both the remote terminal units and the phasor measurement unit are subject to quantizations described by a logarithmic quantizer. Attention is focused on the design of a recursive filter such that, in the simultaneous presence of nonlinear measurements and quantization effects, an upper bound for the estimation error covariance is guaranteed and subsequently minimized. Instead of using the traditional approximation methods in nonlinear estimation that simply ignore the linearization errors, we treat both the linearization and quantization errors as norm-bounded uncertainties in the algorithm development so as to improve the performance of the estimator. For the power system with such kind of introduced uncertainties, a filter is designed in the framework of robust recursive estimation, and the developed filter algorithm is tested on the IEEE benchmark power system to demonstrate its effectiveness.

Analysis of Extended Partial Least Squares for Monitoring Large-Scale Processes

This paper theoretically analysis the recently proposed "Extended Partial Least Squares" (EPLS) algorithm. After pointing out some conceptual deficiencies, a revised algorithm is introduced that covers the middle ground between Partial Least Squares and Principal Component Analysis. It maximises a covariance criterion between a cause and an effect variable set (partial least squares) and allows a complete reconstruction of the recorded data (principal component analysis). The new and conceptually simpler EPLS algorithm has successfully been applied in detecting and diagnosing various fault conditions, where the original EPLS algorithm did only offer fault detection.

Less of a Puzzle: a new look at the forward forex market

The two-country monetary model is extended to include a consumption externality with habit persistence. The model is simulated using the artificial economy methodology. The 'puzzles' in the forward market are re-examined. The model is able to account for: (a) the low volatility of the forward discount; (b) the higher volatility of expected forward speculative profit; (c) the even higher volatility of the spot return; (d) the persistence in the forward discount; (e) the martingale behavior of spot exchange rates; and (f) the negative covariance between the expected spot return and expected forward speculative profit. It is unable to account for the forward market bias because the volatility of the expected spot return is too large relative to the volatility of the expected forward speculative profit.

Improved reliability in diagnosing faults using multivariate statistics

This paper analyses multivariate statistical techniques for identifying and isolating abnormal process behaviour. These techniques include contribution charts and variable reconstructions that relate to the application of principal component analysis (PCA). The analysis reveals firstly that contribution charts produce variable contributions which are linearly dependent and may lead to an incorrect diagnosis, if the number of principal components retained is close to the number of recorded process variables. The analysis secondly yields that variable reconstruction affects the geometry of the PCA decomposition. The paper further introduces an improved variable reconstruction method for identifying multiple sensor and process faults and for isolating their influence upon the recorded process variables. It is shown that this can accommodate the effect of reconstruction, i.e. changes in the covariance matrix of the sensor readings and correctly re-defining the PCA-based monitoring statistics and their confidence limits. (c) 2006 Elsevier Ltd. All rights reserved.

A novel shrinkage technique based on the normal inverse Gaussian density model

This paper proposes a novel image denoising technique based on the normal inverse Gaussian (NIG) density model using an extended non-negative sparse coding (NNSC) algorithm proposed by us. This algorithm can converge to feature basis vectors, which behave in the locality and orientation in spatial and frequency domain. Here, we demonstrate that the NIG density provides a very good fitness to the non-negative sparse data. In the denoising process, by exploiting a NIG-based maximum a posteriori estimator (MAP) of an image corrupted by additive Gaussian noise, the noise can be reduced successfully. This shrinkage technique, also referred to as the NNSC shrinkage technique, is self-adaptive to the statistical properties of image data. This denoising method is evaluated by values of the normalized signal to noise rate (SNR). Experimental results show that the NNSC shrinkage approach is indeed efficient and effective in denoising. Otherwise, we also compare the effectiveness of the NNSC shrinkage method with methods of standard sparse coding shrinkage, wavelet-based shrinkage and the Wiener filter. The simulation results show that our method outperforms the three kinds of denoising approaches mentioned above.

Non-stationary variogram models for geostatistical sampling optimisation: An empirical investigation using elevation data

A problem with use of the geostatistical Kriging error for optimal sampling design is that the design does not adapt locally to the character of spatial variation. This is because a stationary variogram or covariance function is a parameter of the geostatistical model. The objective of this paper was to investigate the utility of non-stationary geostatistics for optimal sampling design. First, a contour data set of Wiltshire was split into 25 equal sub-regions and a local variogram was predicted for each. These variograms were fitted with models and the coefficients used in Kriging to select optimal sample spacings for each sub-region. Large differences existed between the designs for the whole region (based on the global variogram) and for the sub-regions (based on the local variograms). Second, a segmentation approach was used to divide a digital terrain model into separate segments. Segment-based variograms were predicted and fitted with models. Optimal sample spacings were then determined for the whole region and for the sub-regions. It was demonstrated that the global design was inadequate, grossly over-sampling some segments while under-sampling others.

PLS modelling and fault detection on the Tennessee Eastman benchmark

This paper describes the application of multivariate regression techniques to the Tennessee Eastman benchmark process for modelling and fault detection. Two methods are applied : linear partial least squares, and a nonlinear variant of this procedure using a radial basis function inner relation. The performance of the RBF networks is enhanced through the use of a recently developed training algorithm which uses quasi-Newton optimization to ensure an efficient and parsimonious network; details of this algorithm can be found in this paper. The PLS and PLS/RBF methods are then used to create on-line inferential models of delayed process measurements. As these measurements relate to the final product composition, these models suggest that on-line statistical quality control analysis should be possible for this plant. The generation of `soft sensors' for these measurements has the further effect of introducing a redundant element into the system, redundancy which can then be used to generate a fault detection and isolation scheme for these sensors. This is achieved by arranging the sensors and models in a manner comparable to the dedicated estimator scheme of Clarke et al. 1975, IEEE Trans. Pero. Elect. Sys., AES-14R, 465-473. The effectiveness of this scheme is demonstrated on a series of simulated sensor and process faults, with full detection and isolation shown to be possible for sensor malfunctions, and detection feasible in the case of process faults. Suggestions for enhancing the diagnostic capacity in the latter case are covered towards the end of the paper.

Patterns of neurocognitive impairment in first-episode bipolar disorder and schizophrenia.

BACKGROUND:
Researching psychotic disorders in unison rather than as separate diagnostic groups is widely advocated, but the viability of such an approach requires careful consideration from a neurocognitive perspective.
AIMS:
To describe cognition in people with bipolar disorder and schizophrenia and to examine how known causes of variability in individual's performance contribute to any observed diagnostic differences.
METHOD:
Neurocognitive functioning in people with bipolar disorder (n = 32), schizophrenia (n = 46) and healthy controls (n = 67) was compared using analysis of covariance on data from the Northern Ireland First Episode Psychosis Study.
RESULTS:
The bipolar disorder and schizophrenia groups were most impaired on tests of memory, executive functioning and language. The bipolar group performed significantly better on tests of response inhibition, verbal fluency and callosal functioning. Between-group differences could be explained by the greater proclivity of individuals with schizophrenia to experience global cognitive impairment and negative symptoms.
CONCLUSIONS:
Particular impairments are common to people with psychosis and may prove useful as endophenotypic markers. Considering the degree of individuals' global cognitive impairment is critical when attempting to understand patterns of selective impairment both within and between these diagnostic groups.

The Association Between Childhood Trauma and Memory Functioning in Schizophrenia

Objective: Both neurocognitive impairments and a history of childhood abuse are highly prevalent in patients with schizophrenia. Childhood trauma has been associated with memory impairment as well as hippocampal volume reduction in adult survivors. The aim of the following study was to examine the contribution of childhood adversity to verbal memory functioning in people with schizophrenia. Methods: Eighty-five outpatients with a Diagnostic and Statistical Manual of Mental Disorders (Fourth Edition) diagnosis of chronic schizophrenia were separated into 2 groups on the basis of self-reports of childhood trauma. Performance on measures of episodic narrative memory, list learning, and working memory was then compared using multivariate analysis of covariance. Results: Thirty-eight (45%) participants reported moderate to severe levels of childhood adversity, while 47 (55%) reported no or low levels of childhood adversity. After controlling for premorbid IQ and current depressive symptoms, the childhood trauma group had significantly poorer working memory and episodic narrative memory. However, list learning was similar between groups. Conclusion: Childhood trauma is an important variable that can contribute to specific ongoing memory impairments in schizophrenia.