Combining probability forecasts

We consider different methods for combining probability forecasts. In empirical exercises, the data generating process of the forecasts and the event being forecast is not known, and therefore the optimal form of combination will also be unknown. We consider the properties of various combination schemes for a number of plausible data generating processes, and indicate which types of combinations are likely to be useful. We also show that whether forecast encompassing is found to hold between two rival sets of forecasts or not may depend on the type of combination adopted. The relative performances of the different combination methods are illustrated, with an application to predicting recession probabilities using leading indicators.

Improving transmission reliability of low-power medium access control protocols using average diversity combining

Embedded computer systems equipped with wireless communication transceivers are nowadays used in a vast number of application scenarios. Energy consumption is important in many of these scenarios, as systems are battery operated and long maintenance-free operation is required. To achieve this goal, embedded systems employ low-power communication transceivers and protocols. However, currently used protocols cannot operate efficiently when communication channels are highly erroneous. In this study, we show how average diversity combining (ADC) can be used in state-of-the-art low-power communication protocols. This novel approach improves transmission reliability and in consequence energy consumption and transmission latency in the presence of erroneous channels. Using a testbed, we show that highly erroneous channels are indeed a common occurrence in situations, where low-power systems are used and we demonstrate that ADC improves low-power communication dramatically.

Enhancing the crystallization and orientation of electrospinning poly (lactic acid) (PLLA) by combining with additives

PLLA is a thermoplastic biopolymer and can be used in industrial applications for medical and filtration applications. The brittleness of PLLA is attributed to slow crystallization rates and its glass transition temperature (Tg) is high (60 °C); for this reason, its applications are limited. The orientation, morphology, and crystal structure of the electrospun fibers was investigated by SEM, POM, DSC, FTIR, XRD, and SAXS. Combining with additives leads to a large decrease of fiber diameter, viscosity, and changes of fiber morphology and crystal structure compared to pure PLLA. DSC showed that the Tg of PLLA decreased about 15 °C and there was no change in relaxation enthalpy by the addition of plasticizer. FT-IR indicate a strong interaction between PLLA and additives; a new band appears in the PLLA blend at 1,756 cm−1 at room temperature as a crystalline band without any annealing. In addition, WAXD indicated that the intensities of the two peaks at (200/110) and (203) increased for the blend at room temperature without any annealing in comparison with PLLA; this means that PHB crystallizes in the amorphous region of PLLA. The POM experiments agree with the results from DSC, FTIR, and WAXS measurements, confirming that adding PHB results in an increase in the number of nuclei with much smaller spherulites and enhances the crystallization behavior of this material, thereby improving its potential for applications.

A variational approach to retrieve rain rate by combining information from rain gauges, radars, and microwave links

Accurate and reliable rain rate estimates are important for various hydrometeorological applications. Consequently, rain sensors of different types have been deployed in many regions. In this work, measurements from different instruments, namely, rain gauge, weather radar, and microwave link, are combined for the first time to estimate with greater accuracy the spatial distribution and intensity of rainfall. The objective is to retrieve the rain rate that is consistent with all these measurements while incorporating the uncertainty associated with the different sources of information. Assuming the problem is not strongly nonlinear, a variational approach is implemented and the Gauss–Newton method is used to minimize the cost function containing proper error estimates from all sensors. Furthermore, the method can be flexibly adapted to additional data sources. The proposed approach is tested using data from 14 rain gauges and 14 operational microwave links located in the Zürich area (Switzerland) to correct the prior rain rate provided by the operational radar rain product from the Swiss meteorological service (MeteoSwiss). A cross-validation approach demonstrates the improvement of rain rate estimates when assimilating rain gauge and microwave link information.

Combining satellite observations and reanalysis energy transports to estimate global net surface energy fluxes 1985-2012

Two methods are developed to estimate net surface energy fluxes based upon satellite-based reconstructions of radiative fluxes at the top of atmosphere and the atmospheric energy tendencies and transports from the ERA-Interim reanalysis. Method 1 applies the mass adjusted energy divergence from ERA-Interim while method 2 estimates energy divergence based upon the net energy difference at the top of atmosphere and the surface from ERA-Interim. To optimise the surface flux and its variability over ocean, the divergences over land are constrained to match the monthly area mean surface net energy flux variability derived from a simple relationship between the surface net energy flux and the surface temperature change. The energy divergences over the oceans are then adjusted to remove an unphysical residual global mean atmospheric energy divergence. The estimated net surface energy fluxes are compared with other data sets from reanalysis and atmospheric model simulations. The spatial correlation coefficients of multi-annual means between the estimations made here and other data sets are all around 0.9. There are good agreements in area mean anomaly variability over the global ocean, but discrepancies in the trend over the eastern Pacific are apparent.

The blended approach to real estate allocations: performance implications of combining an exposure to German Spezialfonds with Global Listed Real Estate Securities

This paper seeks to increase the understanding of the performance implications for investors who choose to combine an unlisted real estate portfolio (in this case German Spezialfonds) with a (global) listed real estate element. We call this a “blended” approach to real estate allocations. For the avoidance of doubt, in this paper we are dealing purely with real estate equity (listed and unlisted) allocations, and do not incorporate real estate debt (listed or unlisted) or direct property into the process. A previous paper (Moss and Farrelly 2014) showed the benefits of the blended approach as it applied to UK Defined Contribution Pension Schemes. The catalyst for this paper has been the recent attention focused on German pension fund allocations, which have a relatively low (real estate) equity content, and a high bond content. We have used the MSCI Spezialfonds Index as a proxy for domestic German institutional real estate allocations, and the EPRA Global Developed Index as a proxy for a global listed real estate allocation. We also examine whether a rules based trading strategy, in this case Trend Following, can improve the risk adjusted returns above those of a simple buy and hold strategy for our sample period 2004-2015. Our findings are that by blending a 30% global listed portfolio with a 70% allocation (as opposed to a typical 100% weighting) to Spezialfonds, the real estate allocation returns increase from 2.88% p.a. to 5.42% pa. Volatility increases, but only to 6.53%., but there is a noticeable impact on maximum drawdown which increases to 19.4%. By using a Trend Following strategy raw returns are improved from 2.88% to 6.94% p.a. , The Sharpe Ratio increases from 1.05 to 1.49 and the Maximum Drawdown ratio is now only 1.83% compared to 19.4% using a buy and hold strategy . Finally, adding this (9%) real estate allocation to a mixed asset portfolio allocation typical for German pension funds there is an improvement in both the raw return (from 7.66% to 8.28%) and the Sharpe Ratio (from 0.91 to 0.98).

Combining 3D and 2D for less constrained periocular recognition

Periocular recognition has recently become an active topic in biometrics. Typically it uses 2D image data of the periocular region. This paper is the first description of combining 3D shape structure with 2D texture. A simple and effective technique using iterative closest point (ICP) was applied for 3D periocular region matching. It proved its strength for relatively unconstrained eye region capture, and does not require any training. Local binary patterns (LBP) were applied for 2D image based periocular matching. The two modalities were combined at the score-level. This approach was evaluated using the Bosphorus 3D face database, which contains large variations in facial expressions, head poses and occlusions. The rank-1 accuracy achieved from the 3D data (80%) was better than that for 2D (58%), and the best accuracy (83%) was achieved by fusing the two types of data. This suggests that significant improvements to periocular recognition systems could be achieved using the 3D structure information that is now available from small and inexpensive sensors.

Sparse density estimation on multinomial manifold combining local component analysis

A new sparse kernel density estimator is introduced based on the minimum integrated square error criterion combining local component analysis for the finite mixture model. We start with a Parzen window estimator which has the Gaussian kernels with a common covariance matrix, the local component analysis is initially applied to find the covariance matrix using expectation maximization algorithm. Since the constraint on the mixing coefficients of a finite mixture model is on the multinomial manifold, we then use the well-known Riemannian trust-region algorithm to find the set of sparse mixing coefficients. The first and second order Riemannian geometry of the multinomial manifold are utilized in the Riemannian trust-region algorithm. Numerical examples are employed to demonstrate that the proposed approach is effective in constructing sparse kernel density estimators with competitive accuracy to existing kernel density estimators.