Nonparametric estimation of Value-at-Risk

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal bandwidth selection methods that have a direct expression for the smoothing parameter. The bandwidth can accommodate to the given quantile level. The procedure is useful for large data sets and improves quantile estimation compared to other methods in heavy tailed distributions. Implementation is straightforward and R programs are available.

Estimation of zero-sequence impedance of undergrounds cables for single-phase fault location in distribution systems with electric arc

This paper focus on the problem of locating single-phase faults in mixed distribution electric systems, with overhead lines and underground cables, using voltage and current measurements at the sending-end and sequence model of the network. Since calculating series impedance for underground cables is not as simple as in the case of overhead lines, the paper proposes a methodology to obtain an estimation of zero-sequence impedance of underground cables starting from previous single-faults occurred in the system, in which an electric arc occurred at the fault location. For this reason, the signal is previously pretreated to eliminate its peaks voltage and the analysis can be done working with a signal as close as a sinus wave as possible

A comparison of the alr and ilr transformations for kernel density estimation of compositional data

In a seminal paper, Aitchison and Lauder (1985) introduced classical kernel densityestimation techniques in the context of compositional data analysis. Indeed, they gavetwo options for the choice of the kernel to be used in the kernel estimator. One ofthese kernels is based on the use the alr transformation on the simplex SD jointly withthe normal distribution on RD-1. However, these authors themselves recognized thatthis method has some deficiencies. A method for overcoming these dificulties based onrecent developments for compositional data analysis and multivariate kernel estimationtheory, combining the ilr transformation with the use of the normal density with a fullbandwidth matrix, was recently proposed in Martín-Fernández, Chacón and Mateu-Figueras (2006). Here we present an extensive simulation study that compares bothmethods in practice, thus exploring the finite-sample behaviour of both estimators

CODAMAT: a modern analogue techinque for compositional data

The quantitative estimation of Sea Surface Temperatures from fossils assemblages is afundamental issue in palaeoclimatic and paleooceanographic investigations. TheModern Analogue Technique, a widely adopted method based on direct comparison offossil assemblages with modern coretop samples, was revised with the aim ofconforming it to compositional data analysis. The new CODAMAT method wasdeveloped by adopting the Aitchison metric as distance measure. Modern coretopdatasets are characterised by a large amount of zeros. The zero replacement was carriedout by adopting a Bayesian approach to the zero replacement, based on a posteriorestimation of the parameter of the multinomial distribution. The number of modernanalogues from which reconstructing the SST was determined by means of a multipleapproach by considering the Proxies correlation matrix, Standardized Residual Sum ofSquares and Mean Squared Distance. This new CODAMAT method was applied to theplanktonic foraminiferal assemblages of a core recovered in the Tyrrhenian Sea.Kew words: Modern analogues, Aitchison distance, Proxies correlation matrix,Standardized Residual Sum of Squares

Rank estimation of trajectory matrix in motion segmentation

A novel technique for estimating the rank of the trajectory matrix in the local subspace affinity (LSA) motion segmentation framework is presented. This new rank estimation is based on the relationship between the estimated rank of the trajectory matrix and the affinity matrix built with LSA. The result is an enhanced model selection technique for trajectory matrix rank estimation by which it is possible to automate LSA, without requiring any a priori knowledge, and to improve the final segmentation

Chaos and order in the contemporary city. The impact of urban spatial structure on population density and commuting distance in Barcelona, 1986-2001.

One of the criticisms leveled at the model of dispersed city found all over the world is its unarticulated, random, and undifferentiated nature. To check this idea in the Barcelona Metropolitan Region, we estimated the impact of the urban spatial structure (CBD, subcenters and transportation infrastructures) over the population density and commuting distance. The results are unfavorable to the hypothesis of the increasing destructuring of cities given that the explanatory capacity of both functions improves over time, both when other control variables are not included and when they are included.

The Geographical Scope of Industrial Location Determinants: An Alternative Approach

This paper considers the estimation of the geographical scope of industrial location determinants. While previous studies impose strong assumptions on the weighting scheme of the spatial neighbour matrix, we propose a exible parametrisation that allows for di fferent (distance-based) de finitions of neighbourhood and di fferent weights to the neighbours. In particular, we estimate how far can reach indirect marginal e ffects and discuss how to report them. We also show that the use of smooth transition functions provides tools for policy analysis that are not available in the traditional threshold modelling. Keywords: count data models, industrial location, smooth transition functions, threshold models. JEL-Codes: C25, C52, R11, R30.

Estimation of protein coding density in a corpus of DNA sequence data

A number of experimental methods have been reported for estimating the number of genes in a genome, or the closely related coding density of a genome, defined as the fraction of base pairs in codons. Recently, DNA sequence data representative of the genome as a whole have become available for several organisms, making the problem of estimating coding density amenable to sequence analytic methods. Estimates of coding density for a single genome vary widely, so that methods with characterized error bounds have become increasingly desirable. We present a method to estimate the protein coding density in a corpus of DNA sequence data, in which a ‘coding statistic’ is calculated for a large number of windows of the sequence under study, and the distribution of the statistic is decomposed into two normal distributions, assumed to be the distributions of the coding statistic in the coding and noncoding fractions of the sequence windows. The accuracy of the method is evaluated using known data and application is made to the yeast chromosome III sequence and to C.elegans cosmid sequences. It can also be applied to fragmentary data, for example a collection of short sequences determined in the course of STS mapping.

Estimation of the viscoelastic properties of vessel walls using a computational model and Doppler ultrasound

Human arteries affected by atherosclerosis are characterized by altered wall viscoelastic properties. The possibility of noninvasively assessing arterial viscoelasticity in vivo would significantly contribute to the early diagnosis and prevention of this disease. This paper presents a noniterative technique to estimate the viscoelastic parameters of a vascular wall Zener model. The approach requires the simultaneous measurement of flow variations and wall displacements, which can be provided by suitable ultrasound Doppler instruments. Viscoelastic parameters are estimated by fitting the theoretical constitutive equations to the experimental measurements using an ARMA parameter approach. The accuracy and sensitivity of the proposed method are tested using reference data generated by numerical simulations of arterial pulsation in which the physiological conditions and the viscoelastic parameters of the model can be suitably varied. The estimated values quantitatively agree with the reference values, showing that the only parameter affected by changing the physiological conditions is viscosity, whose relative error was about 27% even when a poor signal-to-noise ratio is simulated. Finally, the feasibility of the method is illustrated through three measurements made at different flow regimes on a cylindrical vessel phantom, yielding a parameter mean estimation error of 25%.

Temporal diffeomorphic free-form deformation: application to motion and strain estimation from 3D echocardiography

This paper presents a new registration algorithm, called Temporal Di eomorphic Free Form Deformation (TDFFD), and its application to motion and strain quanti cation from a sequence of 3D ultrasound (US) images. The originality of our approach resides in enforcing time consistency by representing the 4D velocity eld as the sum of continuous spatiotemporal B-Spline kernels. The spatiotemporal displacement eld is then recovered through forward Eulerian integration of the non-stationary velocity eld. The strain tensor iscomputed locally using the spatial derivatives of the reconstructed displacement eld. The energy functional considered in this paper weighs two terms: the image similarity and a regularization term. The image similarity metric is the sum of squared di erences between the intensities of each frame and a reference one. Any frame in the sequence can be chosen as reference. The regularization term is based on theincompressibility of myocardial tissue. TDFFD was compared to pairwise 3D FFD and 3D+t FFD, bothon displacement and velocity elds, on a set of synthetic 3D US images with di erent noise levels. TDFFDshowed increased robustness to noise compared to these two state-of-the-art algorithms. TDFFD also proved to be more resistant to a reduced temporal resolution when decimating this synthetic sequence. Finally, this synthetic dataset was used to determine optimal settings of the TDFFD algorithm. Subsequently, TDFFDwas applied to a database of cardiac 3D US images of the left ventricle acquired from 9 healthy volunteers and 13 patients treated by Cardiac Resynchronization Therapy (CRT). On healthy cases, uniform strain patterns were observed over all myocardial segments, as physiologically expected. On all CRT patients, theimprovement in synchrony of regional longitudinal strain correlated with CRT clinical outcome as quanti ed by the reduction of end-systolic left ventricular volume at follow-up (6 and 12 months), showing the potential of the proposed algorithm for the assessment of CRT.

Dynamic estimation of three-dimensional cerebrovascular deformation from rotational angiography

Purpose: The objective of this study is to investigate the feasibility of detecting and quantifying 3D cerebrovascular wall motion from a single 3D rotational x-ray angiography (3DRA) acquisition within a clinically acceptable time and computing from the estimated motion field for the further biomechanical modeling of the cerebrovascular wall. Methods: The whole motion cycle of the cerebral vasculature is modeled using a 4D B-spline transformation, which is estimated from a 4D to 2D + t image registration framework. The registration is performed by optimizing a single similarity metric between the entire 2D + t measured projection sequence and the corresponding forward projections of the deformed volume at their exact time instants. The joint use of two acceleration strategies, together with their implementation on graphics processing units, is also proposed so as to reach computation times close to clinical requirements. For further characterizing vessel wall properties, an approximation of the wall thickness changes is obtained through a strain calculation. Results: Evaluation on in silico and in vitro pulsating phantom aneurysms demonstrated an accurate estimation of wall motion curves. In general, the error was below 10% of the maximum pulsation, even in the situation when substantial inhomogeneous intensity pattern was present. Experiments on in vivo data provided realistic aneurysm and vessel wall motion estimates, whereas in regions where motion was neither visible nor anatomically possible, no motion was detected. The use of the acceleration strategies enabled completing the estimation process for one entire cycle in 5-10 min without degrading the overall performance. The strain map extracted from our motion estimation provided a realistic deformation measure of the vessel wall. Conclusions: The authors' technique has demonstrated that it can provide accurate and robust 4D estimates of cerebrovascular wall motion within a clinically acceptable time, although it has to be applied to a larger patient population prior to possible wide application to routine endovascular procedures. In particular, for the first time, this feasibility study has shown that in vivo cerebrovascular motion can be obtained intraprocedurally from a 3DRA acquisition. Results have also shown the potential of performing strain analysis using this imaging modality, thus making possible for the future modeling of biomechanical properties of the vascular wall.

Wall motion estimation in intracranial aneurysms

The quantification of wall motion in cerebral aneurysms is becoming important owing to its potential connection to rupture, and as a way to incorporate the effects of vascular compliance in computational fluid dynamics (CFD) simulations.Most of papers report values obtained with experimental phantoms, simulated images, or animal models, but the information for real patients is limited. In this paper, we have combined non-rigid registration (IR) with signal processing techniques to measure pulsation in real patients from high frame rate digital subtraction angiography (DSA). We have obtained physiological meaningful waveforms with amplitudes in therange 0mm-0.3mm for a population of 18 patients including ruptured and unruptured aneurysms. Statistically significant differences in pulsation were found according to the rupture status, in agreement with differences in biomechanical properties reported in the literature.

Multiuser detection in a dynamic environment — Part II: Joint user identification and parameter estimation

The problem of jointly estimating the number, the identities, and the data of active users in a time-varying multiuser environment was examined in a companion paper (IEEE Trans. Information Theory, vol. 53, no. 9, September 2007), at whose core was the use of the theory of finite random sets on countable spaces. Here we extend that theory to encompass the more general problem of estimating unknown continuous parameters of the active-user signals. This problem is solved here by applying the theory of random finite sets constructed on hybrid spaces. We doso deriving Bayesian recursions that describe the evolution withtime of a posteriori densities of the unknown parameters and data.Unlike in the above cited paper, wherein one could evaluate theexact multiuser set posterior density, here the continuous-parameter Bayesian recursions do not admit closed-form expressions. To circumvent this difficulty, we develop numerical approximationsfor the receivers that are based on Sequential Monte Carlo (SMC)methods (“particle filtering”). Simulation results, referring to acode-divisin multiple-access (CDMA) system, are presented toillustrate the theory.

Sequential estimation of multipath MIMO-OFDM channels

Wireless “MIMO” systems, employing multiple transmit and receive antennas, promise a significant increase of channel capacity, while orthogonal frequency-division multiplexing (OFDM) is attracting a good deal of attention due to its robustness to multipath fading. Thus, the combination of both techniques is an attractive proposition for radio transmission. The goal of this paper is the description and analysis of a new and novel pilot-aided estimator of multipath block-fading channels. Typical models leading to estimation algorithms assume the number of multipath components and delays to be constant (and often known), while their amplitudes are allowed to vary with time. Our estimator is focused instead on the more realistic assumption that the number of channel taps is also unknown and varies with time following a known probabilistic model. The estimation problem arising from these assumptions is solved using Random-Set Theory (RST), whereby one regards the multipath-channel response as a single set-valued random entity.Within this framework, Bayesian recursive equations determine the evolution with time of the channel estimator. Due to the lack of a closed form for the solution of Bayesian equations, a (Rao–Blackwellized) particle filter (RBPF) implementation ofthe channel estimator is advocated. Since the resulting estimator exhibits a complexity which grows exponentially with the number of multipath components, a simplified version is also introduced. Simulation results describing the performance of our channel estimator demonstrate its effectiveness.

Sequential estimation of time-varying multipath channel for MIMO-OFDM systems

In this paper, we introduce a pilot-aided multipath channel estimator for Multiple-Input Multiple-Output (MIMO) Orthogonal Frequency Division Multiplexing (OFDM) systems. Typical estimation algorithms assume the number of multipath components and delays to be known and constant, while theiramplitudes may vary in time. In this work, we focus on the more realistic assumption that also the number of channel taps is unknown and time-varying. The estimation problem arising from this assumption is solved using Random Set Theory (RST), which is a probability theory of finite sets. Due to the lack of a closed form of the optimal filter, a Rao-Blackwellized Particle Filter (RBPF) implementation of the channel estimator is derived. Simulation results demonstrate the estimator effectiveness.