A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve

The appealing feature of the arbitrage-free Nelson-Siegel model of the yield curve is the ability to capture movements in the yield curve through readily interpretable shifts in its level, slope or curvature, all within a dynamic arbitrage-free framework. To ensure that the level, slope and curvature factors evolve so as not to admit arbitrage, the model introduces a yield-adjustment term. This paper shows how the yield-adjustment term can also be decomposed into the familiar level, slope and curvature elements plus some additional readily interpretable shape adjustments. This means that, even in an arbitrage-free setting, it continues to be possible to interpret movements in the yield curve in terms of level, slope and curvature influences. © 2014 © 2014 Taylor & Francis.

Conversion of a chirped Gaussian pulse to a soliton or a bound multisoliton state in quasi-lossless and lossy optical fiber spans

The formation of single-soliton or bound-multisoliton states from a single linearly chirped Gaussian pulse in quasi-lossless and lossy fiber spans is examined. The conversion of an input-chirped pulse into soliton states is carried out by virtue of the so-called direct Zakharov-Shabat spectral problem, the solution of which allows one to single out the radiative (dispersive) and soliton constituents of the beam and determine the parameters of the emerging bound state(s). We describe here how the emerging pulse characteristics (the number of bound solitons, the relative soliton power) depend on the input pulse chirp and amplitude. © 2007 Optical Society of America.

Non-Gaussian error probability in optical soliton transmission

We find the probability distribution of the fluctuating parameters of a soliton propagating through a medium with additive noise. Our method is a modification of the instanton formalism (method of optimal fluctuation) based on a saddle-point approximation in the path integral. We first solve consistently a fundamental problem of soliton propagation within the framework of noisy nonlinear Schrödinger equation. We then consider model modifications due to in-line (filtering, amplitude and phase modulation) control. It is examined how control elements change the error probability in optical soliton transmission. Even though a weak noise is considered, we are interested here in probabilities of error-causing large fluctuations which are beyond perturbation theory. We describe in detail a new phenomenon of soliton collapse that occurs under the combined action of noise, filtering and amplitude modulation. © 2004 Elsevier B.V. All rights reserved.

Non-Gaussian statistics of an optical soliton in the presence of amplified spontaneous emission

A study was performed on non-Gaussian statistics of an optical soliton in the presence of amplified spontaneous emission. An approach based on the Fokker-Planck equation was applied to study the optical soliton parameters in the presence of additive noise. The rigorous method not only allowed to reproduce and justify the classical Gordon-Haus formula but also led to new exact results.

Microwave photonic filtering using Gaussian-profiled superstructured fibre Bragg grating and dispersive fibre

Microwave photonic filtering is realised using a superstructured fibre Bragg grating. The time delay of the optical taps is precisely controlled by the grating characteristics and fibre dispersion. A bandpass response with a rejection level of >45 dB is achieved.

Calculation of non-Gaussian statistics and bit error rate degradation due to pulse-to-pulse interaction

We develop a theoretical method to calculate jitter statistics of interacting solitons. Applying this approach, we have derived the non-Gaussian probability density function and calculated the bit-error rate as a function of noise level, initial separation and phase difference between solitons.

The effect of Gaussian noise on the threshold, dynamic range, and loudness of analogue cochlear implant stimuli

The deliberate addition of Gaussian noise to cochlear implant signals has previously been proposed to enhance the time coding of signals by the cochlear nerve. Potentially, the addition of an inaudible level of noise could also have secondary benefits: it could lower the threshold to the information-bearing signal, and by desynchronization of nerve discharges, it could increase the level at which the information-bearing signal becomes uncomfortable. Both these effects would lead to an increased dynamic range, which might be expected to enhance speech comprehension and make the choice of cochlear implant compression parameters less critical (as with a wider dynamic range, small changes in the parameters would have less effect on loudness). The hypothesized secondary effects were investigated with eight users of the Clarion cochlear implant; the stimulation was analogue and monopolar. For presentations in noise, noise at 95% of the threshold level was applied simultaneously and independently to all the electrodes. The noise was found in two-alternative forced-choice (2AFC) experiments to decrease the threshold to sinusoidal stimuli (100 Hz, 1 kHz, 5 kHz) by about 2.0 dB and increase the dynamic range by 0.7 dB. Furthermore, in 2AFC loudness balance experiments, noise was found to decrease the loudness of moderate to intense stimuli. This suggests that loudness is partially coded by the degree of phase-locking of cochlear nerve fibers. The overall gain in dynamic range was modest, and more complex noise strategies, for example, using inhibition between the noise sources, may be required to get a clinically useful benefit. © 2006 Association for Research in Otolaryngology.

Rotation invariant iris feature extraction using Gaussian Markov random fields with non-separable wavelet

Rotation invariance is important for an iris recognition system since changes of head orientation and binocular vergence may cause eye rotation. The conventional methods of iris recognition cannot achieve true rotation invariance. They only achieve approximate rotation invariance by rotating the feature vector before matching or unwrapping the iris ring at different initial angles. In these methods, the complexity of the method is increased, and when the rotation scale is beyond the certain scope, the error rates of these methods may substantially increase. In order to solve this problem, a new rotation invariant approach for iris feature extraction based on the non-separable wavelet is proposed in this paper. Firstly, a bank of non-separable orthogonal wavelet filters is used to capture characteristics of the iris. Secondly, a method of Markov random fields is used to capture rotation invariant iris feature. Finally, two-class kernel Fisher classifiers are adopted for classification. Experimental results on public iris databases show that the proposed approach has a low error rate and achieves true rotation invariance. © 2010.

Wind power forecasts using Gaussian processes and numerical weather prediction

Since wind at the earth's surface has an intrinsically complex and stochastic nature, accurate wind power forecasts are necessary for the safe and economic use of wind energy. In this paper, we investigated a combination of numeric and probabilistic models: a Gaussian process (GP) combined with a numerical weather prediction (NWP) model was applied to wind-power forecasting up to one day ahead. First, the wind-speed data from NWP was corrected by a GP, then, as there is always a defined limit on power generated in a wind turbine due to the turbine controlling strategy, wind power forecasts were realized by modeling the relationship between the corrected wind speed and power output using a censored GP. To validate the proposed approach, three real-world datasets were used for model training and testing. The empirical results were compared with several classical wind forecast models, and based on the mean absolute error (MAE), the proposed model provides around 9% to 14% improvement in forecasting accuracy compared to an artificial neural network (ANN) model, and nearly 17% improvement on a third dataset which is from a newly-built wind farm for which there is a limited amount of training data. © 2013 IEEE.

Super-Gaussian conical refraction beam

We demonstrate the transformation of Gaussian input beams into super-Gaussian beams with a quasi flat-top transverse profile by means of the conical refraction phenomenon by adjusting the ratio between the ring radius and the waist radius of the input beam to 0.445. We discuss the beam propagation of the super-Gaussian beam and show that it has a confocal parameter three times larger than the one that would be obtained from a Gaussian beam. The experiments performed with a KGd(WO4)2 biaxial crystal are in good agreement with the theoretical predictions. © 2014 Optical Society of America.

Short-term wind power forecasting using Gaussian processes

Since wind has an intrinsically complex and stochastic nature, accurate wind power forecasts are necessary for the safety and economics of wind energy utilization. In this paper, we investigate a combination of numeric and probabilistic models: one-day-ahead wind power forecasts were made with Gaussian Processes (GPs) applied to the outputs of a Numerical Weather Prediction (NWP) model. Firstly the wind speed data from NWP was corrected by a GP. Then, as there is always a defined limit on power generated in a wind turbine due the turbine controlling strategy, a Censored GP was used to model the relationship between the corrected wind speed and power output. To validate the proposed approach, two real world datasets were used for model construction and testing. The simulation results were compared with the persistence method and Artificial Neural Networks (ANNs); the proposed model achieves about 11% improvement in forecasting accuracy (Mean Absolute Error) compared to the ANN model on one dataset, and nearly 5% improvement on another.

Projected sequential Gaussian processes:a C++ tool for interpolation of large datasets with heterogeneous noise

Heterogeneous datasets arise naturally in most applications due to the use of a variety of sensors and measuring platforms. Such datasets can be heterogeneous in terms of the error characteristics and sensor models. Treating such data is most naturally accomplished using a Bayesian or model-based geostatistical approach; however, such methods generally scale rather badly with the size of dataset, and require computationally expensive Monte Carlo based inference. Recently within the machine learning and spatial statistics communities many papers have explored the potential of reduced rank representations of the covariance matrix, often referred to as projected or fixed rank approaches. In such methods the covariance function of the posterior process is represented by a reduced rank approximation which is chosen such that there is minimal information loss. In this paper a sequential Bayesian framework for inference in such projected processes is presented. The observations are considered one at a time which avoids the need for high dimensional integrals typically required in a Bayesian approach. A C++ library, gptk, which is part of the INTAMAP web service, is introduced which implements projected, sequential estimation and adds several novel features. In particular the library includes the ability to use a generic observation operator, or sensor model, to permit data fusion. It is also possible to cope with a range of observation error characteristics, including non-Gaussian observation errors. Inference for the covariance parameters is explored, including the impact of the projected process approximation on likelihood profiles. We illustrate the projected sequential method in application to synthetic and real datasets. Limitations and extensions are discussed. © 2010 Elsevier Ltd.

Semi-supervised Gaussian process latent variable model with pairwise constraints

In machine learning, Gaussian process latent variable model (GP-LVM) has been extensively applied in the field of unsupervised dimensionality reduction. When some supervised information, e.g., pairwise constraints or labels of the data, is available, the traditional GP-LVM cannot directly utilize such supervised information to improve the performance of dimensionality reduction. In this case, it is necessary to modify the traditional GP-LVM to make it capable of handing the supervised or semi-supervised learning tasks. For this purpose, we propose a new semi-supervised GP-LVM framework under the pairwise constraints. Through transferring the pairwise constraints in the observed space to the latent space, the constrained priori information on the latent variables can be obtained. Under this constrained priori, the latent variables are optimized by the maximum a posteriori (MAP) algorithm. The effectiveness of the proposed algorithm is demonstrated with experiments on a variety of data sets. © 2010 Elsevier B.V.