Three-factor models versus time series models:quantifying time-dependencies of interactions between stimuli in cell biology and psychobiology for short longitudinal data

Signal integration determines cell fate on the cellular level, affects cognitive processes and affective responses on the behavioural level, and is likely to be involved in psychoneurobiological processes underlying mood disorders. Interactions between stimuli may subjected to time effects. Time-dependencies of interactions between stimuli typically lead to complex cell responses and complex responses on the behavioural level. We show that both three-factor models and time series models can be used to uncover such time-dependencies. However, we argue that for short longitudinal data the three factor modelling approach is more suitable. In order to illustrate both approaches, we re-analysed previously published short longitudinal data sets. We found that in human embryonic kidney 293 cells cells the interaction effect in the regulation of extracellular signal-regulated kinase (ERK) 1 signalling activation by insulin and epidermal growth factor is subjected to a time effect and dramatically decays at peak values of ERK activation. In contrast, we found that the interaction effect induced by hypoxia and tumour necrosis factor-alpha for the transcriptional activity of the human cyclo-oxygenase-2 promoter in HEK293 cells is time invariant at least in the first 12-h time window after stimulation. Furthermore, we applied the three-factor model to previously reported animal studies. In these studies, memory storage was found to be subjected to an interaction effect of the beta-adrenoceptor agonist clenbuterol and certain antagonists acting on the alpha-1-adrenoceptor / glucocorticoid-receptor system. Our model-based analysis suggests that only if the antagonist drug is administer in a critical time window, then the interaction effect is relevant.

Dynamical local models for segmentation and prediction of financial time series

In the analysis and prediction of many real-world time series, the assumption of stationarity is not valid. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We introduce a new model which combines a dynamic switching (controlled by a hidden Markov model) and a non-linear dynamical system. We show how to train this hybrid model in a maximum likelihood approach and evaluate its performance on both synthetic and financial data.

Time series analysis in the assessment of ICT impact at the aggregate level – lessons and implications for the new economy

The major role of information and communication technology (ICT) in the new economy is well documented: countries worldwide are pouring resources into their ICT infrastructure despite the widely acknowledged “productivity paradox”. Evaluating the contribution of ICT investments has become an elusive but important goal of IS researchers and economists. But this area of research is fraught with complexity and we have used Solow's Residual together with time-series analysis tools to overcome some methodological inadequacies of previous studies. Using this approach, we conduct a study of 20 countries to determine if there was empirical evidence to support claims that ICT investments are worthwhile. The results show that ICT contributes to economic growth in many developed countries and newly industrialized economies (NIEs), but not in developing countries. We finally suggest ICT-complementary factors, in an attempt to rectify possible flaws in ICT policies as a contribution towards improvement in global productivity.

A near real-time water surface detection method based on HSV transformation of MODIS multi-Spectral time series data

In the face of global population growth and the uneven distribution of water supply, a better knowledge of the spatial and temporal distribution of surface water resources is critical. Remote sensing provides a synoptic view of ongoing processes, which addresses the intricate nature of water surfaces and allows an assessment of the pressures placed on aquatic ecosystems. However, the main challenge in identifying water surfaces from remotely sensed data is the high variability of spectral signatures, both in space and time. In the last 10 years only a few operational methods have been proposed to map or monitor surface water at continental or global scale, and each of them show limitations. The objective of this study is to develop and demonstrate the adequacy of a generic multi-temporal and multi-spectral image analysis method to detect water surfaces automatically, and to monitor them in near-real-time. The proposed approach, based on a transformation of the RGB color space into HSV, provides dynamic information at the continental scale. The validation of the algorithm showed very few omission errors and no commission errors. It demonstrates the ability of the proposed algorithm to perform as effectively as human interpretation of the images. The validation of the permanent water surface product with an independent dataset derived from high resolution imagery, showed an accuracy of 91.5% and few commission errors. Potential applications of the proposed method have been identified and discussed. The methodology that has been developed 27 is generic: it can be applied to sensors with similar bands with good reliability, and minimal effort. Moreover, this experiment at continental scale showed that the methodology is efficient for a large range of environmental conditions. Additional preliminary tests over other continents indicate that the proposed methodology could also be applied at the global scale without too many difficulties

Independent component analysis and feature extraction of financial time series

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Towards a framework for combining stochastic and deterministic descriptions of nonstationary financial time series

We present in this paper ideas to tackle the problem of analysing and forecasting nonstationary time series within the financial domain. Accepting the stochastic nature of the underlying data generator we assume that the evolution of the generator's parameters is restricted on a deterministic manifold. Therefore we propose methods for determining the characteristics of the time-localised distribution. Starting with the assumption of a static normal distribution we refine this hypothesis according to the empirical results obtained with the methods anc conclude with the indication of a dynamic non-Gaussian behaviour with varying dependency for the time series under consideration.

Hidden state models for time series

Amongst all the objectives in the study of time series, uncovering the dynamic law of its generation is probably the most important. When the underlying dynamics are not available, time series modelling consists of developing a model which best explains a sequence of observations. In this thesis, we consider hidden space models for analysing and describing time series. We first provide an introduction to the principal concepts of hidden state models and draw an analogy between hidden Markov models and state space models. Central ideas such as hidden state inference or parameter estimation are reviewed in detail. A key part of multivariate time series analysis is identifying the delay between different variables. We present a novel approach for time delay estimating in a non-stationary environment. The technique makes use of hidden Markov models and we demonstrate its application for estimating a crucial parameter in the oil industry. We then focus on hybrid models that we call dynamical local models. These models combine and generalise hidden Markov models and state space models. Probabilistic inference is unfortunately computationally intractable and we show how to make use of variational techniques for approximating the posterior distribution over the hidden state variables. Experimental simulations on synthetic and real-world data demonstrate the application of dynamical local models for segmenting a time series into regimes and providing predictive distributions.

Watermarking biomedical time series data

This thesis addresses the problem of information hiding in low dimensional digital data focussing on issues of privacy and security in Electronic Patient Health Records (EPHRs). The thesis proposes a new security protocol based on data hiding techniques for EPHRs. This thesis contends that embedding of sensitive patient information inside the EPHR is the most appropriate solution currently available to resolve the issues of security in EPHRs. Watermarking techniques are applied to one-dimensional time series data such as the electroencephalogram (EEG) to show that they add a level of confidence (in terms of privacy and security) in an individual’s diverse bio-profile (the digital fingerprint of an individual’s medical history), ensure belief that the data being analysed does indeed belong to the correct person, and also that it is not being accessed by unauthorised personnel. Embedding information inside single channel biomedical time series data is more difficult than the standard application for images due to the reduced redundancy. A data hiding approach which has an in built capability to protect against illegal data snooping is developed. The capability of this secure method is enhanced by embedding not just a single message but multiple messages into an example one-dimensional EEG signal. Embedding multiple messages of similar characteristics, for example identities of clinicians accessing the medical record helps in creating a log of access while embedding multiple messages of dissimilar characteristics into an EPHR enhances confidence in the use of the EPHR. The novel method of embedding multiple messages of both similar and dissimilar characteristics into a single channel EEG demonstrated in this thesis shows how this embedding of data boosts the implementation and use of the EPHR securely.

Practical methods of tracking of nonstationary time series applied to real-world data

In this paper, we discuss some practical implications for implementing adaptable network algorithms applied to non-stationary time series problems. Two real world data sets, containing electricity load demands and foreign exchange market prices, are used to test several different methods, ranging from linear models with fixed parameters, to non-linear models which adapt both parameters and model order on-line. Training with the extended Kalman filter, we demonstrate that the dynamic model-order increment procedure of the resource allocating RBF network (RAN) is highly sensitive to the parameters of the novelty criterion. We investigate the use of system noise for increasing the plasticity of the Kalman filter training algorithm, and discuss the consequences for on-line model order selection. The results of our experiments show that there are advantages to be gained in tracking real world non-stationary data through the use of more complex adaptive models.