Modeling and Analysis of Some Heavy Tailed Time Series

The thesis has covered various aspects of modeling and analysis of finite mean time series with symmetric stable distributed innovations. Time series analysis based on Box and Jenkins methods are the most popular approaches where the models are linear and errors are Gaussian. We highlighted the limitations of classical time series analysis tools and explored some generalized tools and organized the approach parallel to the classical set up. In the present thesis we mainly studied the estimation and prediction of signal plus noise model. Here we assumed the signal and noise follow some models with symmetric stable innovations.We start the thesis with some motivating examples and application areas of alpha stable time series models. Classical time series analysis and corresponding theories based on finite variance models are extensively discussed in second chapter. We also surveyed the existing theories and methods correspond to infinite variance models in the same chapter. We present a linear filtering method for computing the filter weights assigned to the observation for estimating unobserved signal under general noisy environment in third chapter. Here we consider both the signal and the noise as stationary processes with infinite variance innovations. We derived semi infinite, double infinite and asymmetric signal extraction filters based on minimum dispersion criteria. Finite length filters based on Kalman-Levy filters are developed and identified the pattern of the filter weights. Simulation studies show that the proposed methods are competent enough in signal extraction for processes with infinite variance.Parameter estimation of autoregressive signals observed in a symmetric stable noise environment is discussed in fourth chapter. Here we used higher order Yule-Walker type estimation using auto-covariation function and exemplify the methods by simulation and application to Sea surface temperature data. We increased the number of Yule-Walker equations and proposed a ordinary least square estimate to the autoregressive parameters. Singularity problem of the auto-covariation matrix is addressed and derived a modified version of the Generalized Yule-Walker method using singular value decomposition.In fifth chapter of the thesis we introduced partial covariation function as a tool for stable time series analysis where covariance or partial covariance is ill defined. Asymptotic results of the partial auto-covariation is studied and its application in model identification of stable auto-regressive models are discussed. We generalize the Durbin-Levinson algorithm to include infinite variance models in terms of partial auto-covariation function and introduce a new information criteria for consistent order estimation of stable autoregressive model.In chapter six we explore the application of the techniques discussed in the previous chapter in signal processing. Frequency estimation of sinusoidal signal observed in symmetric stable noisy environment is discussed in this context. Here we introduced a parametric spectrum analysis and frequency estimate using power transfer function. Estimate of the power transfer function is obtained using the modified generalized Yule-Walker approach. Another important problem in statistical signal processing is to identify the number of sinusoidal components in an observed signal. We used a modified version of the proposed information criteria for this purpose.

An Alternative Approach To Computer System Security Monitoring And Enhancement Through System Call Sequence Analysis

Modern computer systems are plagued with stability and security problems: applications lose data, web servers are hacked, and systems crash under heavy load. Many of these problems or anomalies arise from rare program behavior caused by attacks or errors. A substantial percentage of the web-based attacks are due to buffer overflows. Many methods have been devised to detect and prevent anomalous situations that arise from buffer overflows. The current state-of-art of anomaly detection systems is relatively primitive and mainly depend on static code checking to take care of buffer overflow attacks. For protection, Stack Guards and I-leap Guards are also used in wide varieties.This dissertation proposes an anomaly detection system, based on frequencies of system calls in the system call trace. System call traces represented as frequency sequences are profiled using sequence sets. A sequence set is identified by the starting sequence and frequencies of specific system calls. The deviations of the current input sequence from the corresponding normal profile in the frequency pattern of system calls is computed and expressed as an anomaly score. A simple Bayesian model is used for an accurate detection.Experimental results are reported which show that frequency of system calls represented using sequence sets, captures the normal behavior of programs under normal conditions of usage. This captured behavior allows the system to detect anomalies with a low rate of false positives. Data are presented which show that Bayesian Network on frequency variations responds effectively to induced buffer overflows. It can also help administrators to detect deviations in program flow introduced due to errors.

Acoustic radiation and scattering from cylindrical bodies and analysis of transducer arrays

New mathematical methods to analytically investigate linear acoustic radiation and scattering from cylindrical bodies and transducer arrays are presented. Three problems of interest involving cylinders in an infinite fluid are studied. In all the three problems, the Helmholtz equation is used to model propagation through the fluid and the beam patterns of arrays of transducers are studied. In the first problem, a method is presented to determine the omni-directional and directional far-field pressures radiated by a cylindrical transducer array in an infinite rigid cylindrical baffle. The solution to the Helmholtz equation and the displacement continuity condition at the interface between the array and the surrounding water are used to determine the pressure. The displacement of the surface of each transducer is in the direction of the normal to the array and is assumed to be uniform. Expressions are derived for the pressure radiated by a sector of the array vibrating in-phase, the entire array vibrating in-phase, and a sector of the array phase-shaded to simulate radiation from a rectangular piston. It is shown that the uniform displacement required for generating a source level of 220 dB ref. μPa @ 1m that is omni directional in the azimuthal plane is in the order of 1 micron for typical arrays. Numerical results are presented to show that there is only a small difference between the on-axis pressures radiated by phased cylindrical arrays and planar arrays. The problem is of interest because cylindrical arrays of projectors are often used to search for underwater objects. In the second problem, the errors, when using data-independent, classical, energy and split beam correlation methods, in finding the direction of arrival (DOA) of a plane acoustic wave, caused by the presence of a solid circular elastic cylindrical stiffener near a linear array of hydrophones, are investigated. Scattering from the effectively infinite cylinder is modeled using the exact axisymmetric equations of motion and the total pressures at the hydrophone locations are computed. The effect of the radius of the cylinder, a, the distance between the cylinder and the array, b, the number of hydrophones in the array, 2H, and the angle of incidence of the wave, α, on the error in finding the DOA are illustrated using numerical results. For an array that is about 30 times the wavelength and for small angles of incidence (α<10), the error in finding the DOA using the energy method is less than that using the split beam correlation method with beam steered to α; and in some cases, the error increases when b increases; and the errors in finding the DOA using the energy method and the split beam correlation method with beam steered to α vary approximately as a7 / 4 . The problem is of interest because elastic stiffeners – in nearly acoustically transparent sonar domes that are used to protect arrays of transducers – scatter waves that are incident on it and cause an error in the estimated direction of arrival of the wave. In the third problem, a high-frequency ray-acoustics method is presented and used to determine the interior pressure field when a plane wave is normally incident on a fluid cylinder embedded in another infinite fluid. The pressure field is determined by using geometrical and physical acoustics. The interior pressure is expressed as the sum of the pressures due to all rays that pass through a point. Numerical results are presented for ka = 20 to 100 where k is the acoustic wavenumber of the exterior fluid and a is the radius of the cylinder. The results are in good agreement with those obtained using field theory. The directional responses, to the plane wave, of sectors of a circular array of uniformly distributed hydrophones in the embedded cylinder are then computed. The sectors are used to simulate linear arrays with uniformly distributed normals by using delays. The directional responses are compared with the output from an array in an infinite homogenous fluid. These outputs are of interest as they are used to determine the direction of arrival of the plane wave. Numerical results are presented for a circular array with 32 hydrophones and 12 hydrophones in each sector. The problem is of interest because arrays of hydrophones are housed inside sonar domes and acoustic plane waves from distant sources are scattered by the dome filled with fresh water and cause deterioration in the performance of the array.