Simulation of default events in a CDX and estimation of the spread

The portfolio generating the iTraxx EUR index is modeled by coupled Markov chains. Each of the industries of the portfolio evolves according to its own Markov transition matrix. Using a variant of the method of moments, the model parameters are estimated from a data set of Standard and Poor's. Swap spreads are evaluated by Monte-Carlo simulations. Along with an actuarially fair spread, at least squares spread is considered.

Estimation of the Crustal Bulk Properties Beneath Mainland Portugal from P-Wave Teleseismic Receiver Functions

In this work, we present results from teleseismic P-wave receiver functions (PRFs) obtained in Portugal, Western Iberia. A dense seismic station deployment conducted between 2010 and 2012, in the scope of the WILAS project and covering the entire country, allowed the most spatially extensive probing on the bulk crustal seismic properties of Portugal up to date. The application of the H-κ stacking algorithm to the PRFs enabled us to estimate the crustal thickness (H) and the average crustal ratio of the P- and S-waves velocities V p/V s (κ) for the region. Observations of Moho conversions indicate that this interface is relatively smooth with the crustal thickness ranging between 24 and 34 km, with an average of 30 km. The highest V p/V s values are found on the Mesozoic-Cenozoic crust beneath the western and southern coastal domain of Portugal, whereas the lowest values correspond to Palaeozoic crust underlying the remaining part of the subject area. An average V p/V s is found to be 1.72, ranging 1.63-1.86 across the study area, indicating a predominantly felsic composition. Overall, we systematically observe a decrease of V p/V s with increasing crustal thickness. Taken as a whole, our results indicate a clear distinction between the geological zones of the Variscan Iberian Massif in Portugal, the overall shape of the anomalies conditioned by the shape of the Ibero-Armorican Arc, and associated Late Paleozoic suture zones, and the Meso-Cenozoic basin associated with Atlantic rifting stages. Thickened crust (30-34 km) across the studied region may be inherited from continental collision during the Paleozoic Variscan orogeny. An anomalous crustal thinning to around 28 km is observed beneath the central part of the Central Iberian Zone and the eastern part of South Portuguese Zone.

Velocity estimation of moving ships using C-band SLC SAR data

A new algorithm for the velocity vector estimation of moving ships using Single Look Complex (SLC) SAR data in strip map acquisition mode is proposed. The algorithm exploits both amplitude and phase information of the Doppler decompressed data spectrum, with the aim to estimate both the azimuth antenna pattern and the backscattering coefficient as function of the look angle. The antenna pattern estimation provides information about the target velocity; the backscattering coefficient can be used for vessel classification. The range velocity is retrieved in the slow time frequency domain by estimating the antenna pattern effects induced by the target motion, while the azimuth velocity is calculated by the estimated range velocity and the ship orientation. Finally, the algorithm is tested on simulated SAR SLC data.

Estimation of 3D shapes using active surface models

This paper addresses the estimation of surfaces from a set of 3D points using the unified framework described in [1]. This framework proposes the use of competitive learning for curve estimation, i.e., a set of points is defined on a deformable curve and they all compete to represent the available data. This paper extends the use of the unified framework to surface estimation. It o shown that competitive learning performes better than snakes, improving the model performance in the presence of concavities and allowing to desciminate close surfaces. The proposed model is evaluated in this paper using syntheticdata and medical images (MRI and ultrasound images).

Estimation of signal subspace on hyperspectral data

Dimensionality reduction plays a crucial role in many hyperspectral data processing and analysis algorithms. This paper proposes a new mean squared error based approach to determine the signal subspace in hyperspectral imagery. The method first estimates the signal and noise correlations matrices, then it selects the subset of eigenvalues that best represents the signal subspace in the least square sense. The effectiveness of the proposed method is illustrated using simulated and real hyperspectral images.

Estimation of rotational frequency response functions

As it is widely known, in structural dynamic applications, ranging from structural coupling to model updating, the incompatibility between measured and simulated data is inevitable, due to the problem of coordinate incompleteness. Usually, the experimental data from conventional vibration testing is collected at a few translational degrees of freedom (DOF) due to applied forces, using hammer or shaker exciters, over a limited frequency range. Hence, one can only measure a portion of the receptance matrix, few columns, related to the forced DOFs, and rows, related to the measured DOFs. In contrast, by finite element modeling, one can obtain a full data set, both in terms of DOFs and identified modes. Over the years, several model reduction techniques have been proposed, as well as data expansion ones. However, the latter are significantly fewer and the demand for efficient techniques is still an issue. In this work, one proposes a technique for expanding measured frequency response functions (FRF) over the entire set of DOFs. This technique is based upon a modified Kidder's method and the principle of reciprocity, and it avoids the need for modal identification, as it uses the measured FRFs directly. In order to illustrate the performance of the proposed technique, a set of simulated experimental translational FRFs is taken as reference to estimate rotational FRFs, including those that are due to applied moments.

An algoritmh for the estimation of 3D surfaces using competitive learning

This paper addresses the estimation of object boundaries from a set of 3D points. An extension of the constrained clustering algorithm developed by Abrantes and Marques in the context of edge linking is presented. The object surface is approximated using rectangular meshes and simplex nets. Centroid-based forces are used for attracting the model nodes towards the data, using competitive learning methods. It is shown that competitive learning improves the model performance in the presence of concavities and allows to discriminate close surfaces. The proposed model is evaluated using synthetic data and medical images (MRI and ultrasound images).

Estimation of the Crustal Bulk Properties Beneath Mainland Portugal from P-Wave Teleseismic Receiver Functions

In this work, we present results from teleseismic P-wave receiver functions (PRFs) obtained in Portugal, Western Iberia. A dense seismic station deployment conducted between 2010 and 2012, in the scope of the WILAS project and covering the entire country, allowed the most spatially extensive probing on the bulk crustal seismic properties of Portugal up to date. The application of the H-kappa stacking algorithm to the PRFs enabled us to estimate the crustal thickness (H) and the average crustal ratio of the P- and S-waves velocities V (p)/V (s) (kappa) for the region. Observations of Moho conversions indicate that this interface is relatively smooth with the crustal thickness ranging between 24 and 34 km, with an average of 30 km. The highest V (p)/V (s) values are found on the Mesozoic-Cenozoic crust beneath the western and southern coastal domain of Portugal, whereas the lowest values correspond to Palaeozoic crust underlying the remaining part of the subject area. An average V (p)/V (s) is found to be 1.72, ranging 1.63-1.86 across the study area, indicating a predominantly felsic composition. Overall, we systematically observe a decrease of V (p)/V (s) with increasing crustal thickness. Taken as a whole, our results indicate a clear distinction between the geological zones of the Variscan Iberian Massif in Portugal, the overall shape of the anomalies conditioned by the shape of the Ibero-Armorican Arc, and associated Late Paleozoic suture zones, and the Meso-Cenozoic basin associated with Atlantic rifting stages. Thickened crust (30-34 km) across the studied region may be inherited from continental collision during the Paleozoic Variscan orogeny. An anomalous crustal thinning to around 28 km is observed beneath the central part of the Central Iberian Zone and the eastern part of South Portuguese Zone.

Influence of reconstruction parameters during filtered backprojection and ordered-subset expectation maximization in the measurement of the left-ventricular volumes and function during gated SPECT

A crucial method for investigating patients with coronary artery disease (CAD) is the calculation of the left ventricular ejection fraction (LVEF). It is, consequently, imperative to precisely estimate the value of LVEF--a process that can be done with myocardial perfusion scintigraphy. Therefore, the present study aimed to establish and compare the estimation performance of the quantitative parameters of the reconstruction methods filtered backprojection (FBP) and ordered-subset expectation maximization (OSEM). Methods: A beating-heart phantom with known values of end-diastolic volume, end-systolic volume, and LVEF was used. Quantitative gated SPECT/quantitative perfusion SPECT software was used to obtain these quantitative parameters in a semiautomatic mode. The Butterworth filter was used in FBP, with the cutoff frequencies between 0.2 and 0.8 cycles per pixel combined with the orders of 5, 10, 15, and 20. Sixty-three reconstructions were performed using 2, 4, 6, 8, 10, 12, and 16 OSEM subsets, combined with several iterations: 2, 4, 6, 8, 10, 12, 16, 32, and 64. Results: With FBP, the values of end-diastolic, end-systolic, and the stroke volumes rise as the cutoff frequency increases, whereas the value of LVEF diminishes. This same pattern is verified with the OSEM reconstruction. However, with OSEM there is a more precise estimation of the quantitative parameters, especially with the combinations 2 iterations × 10 subsets and 2 iterations × 12 subsets. Conclusion: The OSEM reconstruction presents better estimations of the quantitative parameters than does FBP. This study recommends the use of 2 iterations with 10 or 12 subsets for OSEM and a cutoff frequency of 0.5 cycles per pixel with the orders 5, 10, or 15 for FBP as the best estimations for the left ventricular volumes and ejection fraction quantification in myocardial perfusion scintigraphy.

Optimisation of paediatrics computed radiography for full spine curvature measurements using a phantom: a pilot study

Aim: Optimise a set of exposure factors, with the lowest effective dose, to delineate spinal curvature with the modified Cobb method in a full spine using computed radiography (CR) for a 5-year-old paediatric anthropomorphic phantom. Methods: Images were acquired by varying a set of parameters: positions (antero-posterior (AP), posteroanterior (PA) and lateral), kilo-voltage peak (kVp) (66-90), source-to-image distance (SID) (150 to 200cm), broad focus and the use of a grid (grid in/out) to analyse the impact on E and image quality (IQ). IQ was analysed applying two approaches: objective [contrast-to-noise-ratio/(CNR] and perceptual, using 5 observers. Monte-Carlo modelling was used for dose estimation. Cohen’s Kappa coefficient was used to calculate inter-observer-variability. The angle was measured using Cobb’s method on lateral projections under different imaging conditions. Results: PA promoted the lowest effective dose (0.013 mSv) compared to AP (0.048 mSv) and lateral (0.025 mSv). The exposure parameters that allowed lower dose were 200cm SID, 90 kVp, broad focus and grid out for paediatrics using an Agfa CR system. Thirty-seven images were assessed for IQ and thirty-two were classified adequate. Cobb angle measurements varied between 16°±2.9 and 19.9°±0.9. Conclusion: Cobb angle measurements can be performed using the lowest dose with a low contrast-tonoise ratio. The variation on measurements for this was ±2.9° and this is within the range of acceptable clinical error without impact on clinical diagnosis. Further work is recommended on improvement to the sample size and a more robust perceptual IQ assessment protocol for observers.