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.

A fast multi-output RBF neural network construction method

This paper investigates the center selection of multi-output radial basis function (RBF) networks, and a multi-output fast recursive algorithm (MFRA) is proposed. This method can not only reveal the significance of each candidate center based on the reduction in the trace of the error covariance matrix, but also can estimate the network weights simultaneously using a back substitution approach. The main contribution is that the center selection procedure and the weight estimation are performed within a well-defined regression context, leading to a significantly reduced computational complexity. The efficiency of the algorithm is confirmed by a computational complexity analysis, and simulation results demonstrate its effectiveness. (C) 2010 Elsevier B.V. All rights reserved.

On MIMO Radar Subarrayed Transmit Beamforming

Multiple-input-multiple-output (MIMO) radar schemes whereby the transmit array is partitioned into subarrays have recently been proposed in the literature to combine advantages of phased array and MIMO radar technology. In this work, we utilize this architecture to significantly simplify a transmit procedure in which the covariance matrix across the MIMO radar array is optimized to improve the Cramer-Rao bound (CRB) on target parameter estimation. The MIMO effective array for regular subarrayed transmit apertures is studied, and necessary conditions to obtain a filled effective aperture are presented, which is important for maintaining nonambiguous, low sidelobe beampatterns. The performance of the subarrayed transmit approach is evaluated in terms of the CRB on target parameter estimation, and the optimisation of the beamformer applied to the subarrays to minimize the CRB is considered. The subarrayed transmit scheme is found to have a CRB which is suboptimal to the full diversity transmission, as expected, but is solvable in a small fraction of the time using an iterative beamspace algorithm developed here.

Exploring the joint compositional variability of major components and trace elements in the Tellus soil geochemistry survey (Northern Ireland)

The complexity of modern geochemical data sets is increasing in several aspects (number of available samples, number of elements measured, number of matrices analysed, geological-environmental variability covered, etc), hence it is becoming increasingly necessary to apply statistical methods to elucidate their structure. This paper presents an exploratory analysis of one such complex data set, the Tellus geochemical soil survey of Northern Ireland (NI). This exploratory analysis is based on one of the most fundamental exploratory tools, principal component analysis (PCA) and its graphical representation as a biplot, albeit in several variations: the set of elements included (only major oxides vs. all observed elements), the prior transformation applied to the data (none, a standardization or a logratio transformation) and the way the covariance matrix between components is estimated (classical estimation vs. robust estimation). Results show that a log-ratio PCA (robust or classical) of all available elements is the most powerful exploratory setting, providing the following insights: the first two processes controlling the whole geochemical variation in NI soils are peat coverage and a contrast between “mafic” and “felsic” background lithologies; peat covered areas are detected as outliers by a robust analysis, and can be then filtered out if required for further modelling; and peat coverage intensity can be quantified with the %Br in the subcomposition (Br, Rb, Ni).

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.

Passing quantum correlations to qubits using any two-mode state

We draw an explicit connection between the statistical properties of an entangled two-mode continuous variable (CV) resource and the amount of entanglement that can be dynamically transferred to a pair of noninteracting two-level systems. More specifically, we rigorously reformulate entanglement-transfer process by making use of covariance matrix formalism. When the resource state is Gaussian, our method makes the approach to the transfer of quantum correlations much more flexible than in previously considered schemes and allows the straightforward inclusion of the effects of noise affecting the CV system. Moreover, the proposed method reveals that the use of de-Gaussified two-mode states is almost never advantageous for transferring entanglement with respect to the full Gaussian picture, despite the entanglement in the non-Gaussian resource can be much larger than in its Gaussian counterpart. We can thus conclude that the entanglement-transfer map overthrows the

Moving window kernel PCA for adaptive monitoring of nonlinear processes

This paper discusses the monitoring of complex nonlinear and time-varying processes. Kernel principal component analysis (KPCA) has gained significant attention as a monitoring tool for nonlinear systems in recent years but relies on a fixed model that cannot be employed for time-varying systems. The contribution of this article is the development of a numerically efficient and memory saving moving window KPCA (MWKPCA) monitoring approach. The proposed technique incorporates an up- and downdating procedure to adapt (i) the data mean and covariance matrix in the feature space and (ii) approximates the eigenvalues and eigenvectors of the Gram matrix. The article shows that the proposed MWKPCA algorithm has a computation complexity of O(N2), whilst batch techniques, e.g. the Lanczos method, are of O(N3). Including the adaptation of the number of retained components and an l-step ahead application of the MWKPCA monitoring model, the paper finally demonstrates the utility of the proposed technique using a simulated nonlinear time-varying system and recorded data from an industrial distillation column.

Harnessing the complexity of gene expression data from cancer: from single gene to structural pathway methods

High-dimensional gene expression data provide a rich source of information because they capture the expression level of genes in dynamic states that reflect the biological functioning of a cell. For this reason, such data are suitable to reveal systems related properties inside a cell, e.g., in order to elucidate molecular mechanisms of complex diseases like breast or prostate cancer. However, this is not only strongly dependent on the sample size and the correlation structure of a data set, but also on the statistical hypotheses tested. Many different approaches have been developed over the years to analyze gene expression data to (I) identify changes in single genes, (II) identify changes in gene sets or pathways, and (III) identify changes in the correlation structure in pathways. In this paper, we review statistical methods for all three types of approaches, including subtypes, in the context of cancer data and provide links to software implementations and tools and address also the general problem of multiple hypotheses testing. Further, we provide recommendations for the selection of such analysis methods.

Semi batch learning with store management using enhanced conjugate gradient

This paper explores the performance of sliding-window based training, termed as semi batch, using multilayer perceptron (MLP) neural network in the presence of correlated data. The sliding window training is a form of higher order instantaneous learning strategy without the need of covariance matrix, usually employed for modeling and tracking purposes. Sliding-window framework is implemented to combine the robustness of offline learning algorithms with the ability to track online the underlying process of a function. This paper adopted sliding window training with recent advances in conjugate gradient direction with application of data store management e.g. simple distance measure, angle evaluation and the novel prediction error test. The simulation results show the best convergence performance is gained by using store management techniques. © 2012 Springer-Verlag.

Geostatistical Fisher discriminant analysis

A geostatistical version of the classical Fisher rule (linear discriminant analysis) is presented.This method is applicable when a large dataset of multivariate observations is available within a domain split in several known subdomains, and it assumes that the variograms (or covariance functions) are comparable between subdomains, which only differ in the mean values of the available variables. The method consists on finding the eigen-decomposition of the matrix W-1B, where W is the matrix of sills of all direct- and cross-variograms, and B is the covariance matrix of the vectors of weighted means within each subdomain, obtained by generalized least squares. The method is used to map peat blanket occurrence in Northern Ireland, with data from the Tellus
survey, which requires a minimal change to the general recipe: to use compositionally-compliant variogram tools and models, and work with log-ratio transformed data.

Epipolar geometry estimation based on evolutionary agents

This paper presents a novel approach based on the use of evolutionary agents for epipolar geometry estimation. In contrast to conventional nonlinear optimization methods, the proposed technique employs each agent to denote a minimal subset to compute the fundamental matrix, and considers the data set of correspondences as a 1D cellular environment, in which the agents inhabit and evolve. The agents execute some evolutionary behavior, and evolve autonomously in a vast solution space to reach the optimal (or near optima) result. Then three different techniques are proposed in order to improve the searching ability and computational efficiency of the original agents. Subset template enables agents to collaborate more efficiently with each other, and inherit accurate information from the whole agent set. Competitive evolutionary agent (CEA) and finite multiple evolutionary agent (FMEA) apply a better evolutionary strategy or decision rule, and focus on different aspects of the evolutionary process. Experimental results with both synthetic data and real images show that the proposed agent-based approaches perform better than other typical methods in terms of accuracy and speed, and are more robust to noise and outliers.

Maximum likelihood estimation of higher-order integer-valued autoregressive processes

In this article, we extend the earlier work of Freeland and McCabe [Journal of time Series Analysis (2004) Vol. 25, pp. 701–722] and develop a general framework for maximum likelihood (ML) analysis of higher-order integer-valued autoregressive processes. Our exposition includes the case where the innovation sequence has a Poisson distribution and the thinning is binomial. A recursive representation of the transition probability of the model is proposed. Based on this transition probability, we derive expressions for the score function and the Fisher information matrix, which form the basis for ML estimation and inference. Similar to the results in Freeland and McCabe (2004), we show that the score function and the Fisher information matrix can be neatly represented as conditional expectations. Using the INAR(2) speci?cation with binomial thinning and Poisson innovations, we examine both the asymptotic e?ciency and ?nite sample properties of the ML estimator in relation to the widely used conditional least
squares (CLS) and Yule–Walker (YW) estimators. We conclude that, if the Poisson assumption can be justi?ed, there are substantial gains to be had from using ML especially when the thinning parameters are large.

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.