Random field models and priors on wind

This report seeks to make concrete some of the ideas we have been discussing about sensible priors for winds over the ocean. In particular, random field models are reviewed, as are permissible covariance functions. The criteria which these covariance functions must satisfy in order that vorticity and divergence exist and are continuous are defined. The use of Helmholtz theorem is discussed, and possible choices for the covariances are suggested.

Molecular phase space transport in water:non-stationary random walk model

Molecular transport in phase space is crucial for chemical reactions because it defines how pre-reactive molecular configurations are found during the time evolution of the system. Using Molecular Dynamics (MD) simulated atomistic trajectories we test the assumption of the normal diffusion in the phase space for bulk water at ambient conditions by checking the equivalence of the transport to the random walk model. Contrary to common expectations we have found that some statistical features of the transport in the phase space differ from those of the normal diffusion models. This implies a non-random character of the path search process by the reacting complexes in water solutions. Our further numerical experiments show that a significant long period of non-stationarity in the transition probabilities of the segments of molecular trajectories can account for the observed non-uniform filling of the phase space. Surprisingly, the characteristic periods in the model non-stationarity constitute hundreds of nanoseconds, that is much longer time scales compared to typical lifetime of known liquid water molecular structures (several picoseconds).

Statnote 9: The one-way analysis of variance (random effects model)

There is an alternative model of the 1-way ANOVA called the 'random effects' model or ‘nested’ design in which the objective is not to test specific effects but to estimate the degree of variation of a particular measurement and to compare different sources of variation that influence the measurement in space and/or time. The most important statistics from a random effects model are the components of variance which estimate the variance associated with each of the sources of variation influencing a measurement. The nested design is particularly useful in preliminary experiments designed to estimate different sources of variation and in the planning of appropriate sampling strategies.

Sequential, Bayesian geostatistics:a principled method for large data sets

The principled statistical application of Gaussian random field models used in geostatistics has historically been limited to data sets of a small size. This limitation is imposed by the requirement to store and invert the covariance matrix of all the samples to obtain a predictive distribution at unsampled locations, or to use likelihood-based covariance estimation. Various ad hoc approaches to solve this problem have been adopted, such as selecting a neighborhood region and/or a small number of observations to use in the kriging process, but these have no sound theoretical basis and it is unclear what information is being lost. In this article, we present a Bayesian method for estimating the posterior mean and covariance structures of a Gaussian random field using a sequential estimation algorithm. By imposing sparsity in a well-defined framework, the algorithm retains a subset of “basis vectors” that best represent the “true” posterior Gaussian random field model in the relative entropy sense. This allows a principled treatment of Gaussian random field models on very large data sets. The method is particularly appropriate when the Gaussian random field model is regarded as a latent variable model, which may be nonlinearly related to the observations. We show the application of the sequential, sparse Bayesian estimation in Gaussian random field models and discuss its merits and drawbacks.

A generative model for separating illumination and reflectance from images

It is well known that even slight changes in nonuniform illumination lead to a large image variability and are crucial for many visual tasks. This paper presents a new ICA related probabilistic model where the number of sources exceeds the number of sensors to perform an image segmentation and illumination removal, simultaneously. We model illumination and reflectance in log space by a generalized autoregressive process and Hidden Gaussian Markov random field, respectively. The model ability to deal with segmentation of illuminated images is compared with a Canny edge detector and homomorphic filtering. We apply the model to two problems: synthetic image segmentation and sea surface pollution detection from intensity images.

Non-zero mean Gaussian process prior wind field models

This report outlines the derivation and application of a non-zero mean, polynomial-exponential covariance function based Gaussian process which forms the prior wind field model used in 'autonomous' disambiguation. It is principally used since the non-zero mean permits the computation of realistic local wind vector prior probabilities which are required when applying the scaled-likelihood trick, as the marginals of the full wind field prior. As the full prior is multi-variate normal, these marginals are very simple to compute.

Statnote 30 : The one-way analysis of variance (ANOVA):fixed effects model

In Statnote 9, we described a one-way analysis of variance (ANOVA) ‘random effects’ model in which the objective was to estimate the degree of variation of a particular measurement and to compare different sources of variation in space and time. The illustrative scenario involved the role of computer keyboards in a University communal computer laboratory as a possible source of microbial contamination of the hands. The study estimated the aerobic colony count of ten selected keyboards with samples taken from two keys per keyboard determined at 9am and 5pm. This type of design is often referred to as a ‘nested’ or ‘hierarchical’ design and the ANOVA estimated the degree of variation: (1) between keyboards, (2) between keys within a keyboard, and (3) between sample times within a key. An alternative to this design is a 'fixed effects' model in which the objective is not to measure sources of variation per se but to estimate differences between specific groups or treatments, which are regarded as 'fixed' or discrete effects. This statnote describes two scenarios utilizing this type of analysis: (1) measuring the degree of bacterial contamination on 2p coins collected from three types of business property, viz., a butcher’s shop, a sandwich shop, and a newsagent and (2) the effectiveness of drugs in the treatment of a fungal eye infection.

Evolution, recurrency and kernels in learning to model inflation

This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different collections of included monetary assets. We use non-linear, artificial intelligence techniques, namely, recurrent neural networks, evolution strategies and kernel methods in our forecasting experiment. In the experiment, these three methodologies compete to find the best fitting US inflation forecasting models and are then compared to forecasts from a naive random walk model. The best models were non-linear autoregressive models based on kernel methods. Our findings do not provide much support for the usefulness of monetary aggregates in forecasting inflation. There is evidence in the literature that evolutionary methods can be used to evolve kernels hence our future work should combine the evolutionary and kernel methods to get the benefits of both.

Monetary models of exchange rates and sweep programs

Numerous studies find that monetary models of exchange rates cannot beat a random walk model. Such a finding, however, is not surprising given that such models are built upon money demand functions and traditional money demand functions appear to have broken down in many developed countries. In this article, we investigate whether using a more stable underlying money demand function results in improvements in forecasts of monetary models of exchange rates. More specifically, we use a sweep-adjusted measure of US monetary aggregate M1 which has been shown to have a more stable money demand function than the official M1 measure. The results suggest that the monetary models of exchange rates contain information about future movements of exchange rates, but the success of such models depends on the stability of money demand functions and the specifications of the models.

Data assimilation for precipitation nowcasting using Bayesian inference

This work introduces a new variational Bayes data assimilation method for the stochastic estimation of precipitation dynamics using radar observations for short term probabilistic forecasting (nowcasting). A previously developed spatial rainfall model based on the decomposition of the observed precipitation field using a basis function expansion captures the precipitation intensity from radar images as a set of ‘rain cells’. The prior distributions for the basis function parameters are carefully chosen to have a conjugate structure for the precipitation field model to allow a novel variational Bayes method to be applied to estimate the posterior distributions in closed form, based on solving an optimisation problem, in a spirit similar to 3D VAR analysis, but seeking approximations to the posterior distribution rather than simply the most probable state. A hierarchical Kalman filter is used to estimate the advection field based on the assimilated precipitation fields at two times. The model is applied to tracking precipitation dynamics in a realistic setting, using UK Met Office radar data from both a summer convective event and a winter frontal event. The performance of the model is assessed both traditionally and using probabilistic measures of fit based on ROC curves. The model is shown to provide very good assimilation characteristics, and promising forecast skill. Improvements to the forecasting scheme are discussed

Evolution of non-uniformly seeded warm clouds in idealized turbulent conditions

We present a mean-field model of cloud evolution that describes droplet growth due to condensation and collisions and droplet loss due to fallout. The model accounts for the effects of cloud turbulence both in a large-scale turbulent mixing and in a microphysical enhancement of condensation and collisions. The model allows for an effective numerical simulation by a scheme that is conservative in water mass and keeps accurate count of the number of droplets. We first study the homogeneous situation and determine how the rain-initiation time depends on the concentration of cloud condensation nuclei (CCN) and turbulence level. We then consider clouds with an inhomogeneous concentration of CCN and evaluate how the rain initiation time and the effective optical depth vary in space and time. We argue that over-seeding even a part of a cloud by small hygroscopic nuclei, one can substantially delay the onset and increase the amount of precipitation.

Combination of altimetry data from different satellite missions

Substantial altimetry datasets collected by different satellites have only become available during the past five years, but the future will bring a variety of new altimetry missions, both parallel and consecutive in time. The characteristics of each produced dataset vary with the different orbital heights and inclinations of the spacecraft, as well as with the technical properties of the radar instrument. An integral analysis of datasets with different properties offers advantages both in terms of data quantity and data quality. This thesis is concerned with the development of the means for such integral analysis, in particular for dynamic solutions in which precise orbits for the satellites are computed simultaneously. The first half of the thesis discusses the theory and numerical implementation of dynamic multi-satellite altimetry analysis. The most important aspect of this analysis is the application of dual satellite altimetry crossover points as a bi-directional tracking data type in simultaneous orbit solutions. The central problem is that the spatial and temporal distributions of the crossovers are in conflict with the time-organised nature of traditional solution methods. Their application to the adjustment of the orbits of both satellites involved in a dual crossover therefore requires several fundamental changes of the classical least-squares prediction/correction methods. The second part of the thesis applies the developed numerical techniques to the problems of precise orbit computation and gravity field adjustment, using the altimetry datasets of ERS-1 and TOPEX/Poseidon. Although the two datasets can be considered less compatible that those of planned future satellite missions, the obtained results adequately illustrate the merits of a simultaneous solution technique. In particular, the geographically correlated orbit error is partially observable from a dataset consisting of crossover differences between two sufficiently different altimetry datasets, while being unobservable from the analysis of altimetry data of both satellites individually. This error signal, which has a substantial gravity-induced component, can be employed advantageously in simultaneous solutions for the two satellites in which also the harmonic coefficients of the gravity field model are estimated.

Does money matter in inflation forecasting

This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different collections of included monetary assets. In our forecasting experiment we use two non-linear techniques, namely, recurrent neural networks and kernel recursive least squares regression - techniques that are new to macroeconomics. Recurrent neural networks operate with potentially unbounded input memory, while the kernel regression technique is a finite memory predictor. The two methodologies compete to find the best fitting US inflation forecasting models and are then compared to forecasts from a naive random walk model. The best models were non-linear autoregressive models based on kernel methods. Our findings do not provide much support for the usefulness of monetary aggregates in forecasting inflation.

Efficacy of memantine on behavioral and psychological symptoms related to dementia:a systematic meta-analysis

BACKGROUND: The behavioral and psychological symptoms related to dementia (BPSD) are difficult to manage and are associated with adverse patient outcomes. OBJECTIVE: To systematically analyze the data on memantine in the treatment of BPSD. METHODS: We searched MEDLINE, EMBASE, Pharm-line, the Cochrane Centre Collaboration, www.clinicaltrials.gov, www.controlled-trials.com, and PsycINFO (1966-July 2007). We contacted manufacturers and scrutinized the reference sections of articles identified in our search for further references, including conference proceedings. Two researchers (IM and CF) independently reviewed all studies identified by the search strategy. We included 6 randomized, parallel-group, double-blind studies that rated BPSD with the Neuropsychiatric Inventory (NPI) in our meta-analysis. Patients had probable Alzheimer's disease and received treatment with memantine for at least one month. Overall efficacy of memantine on the NPI was established with a t-test for the average difference between means across studies, using a random effects model. RESULTS: Five of the 6 studies identified had NPI outcome data. In these 5 studies, 868 patients were treated with memantine and 882 patients were treated with placebo. Patients on memantine improved by 1.99 on the NPI scale (95% Cl -0.08 to -3.91; p = 0.041) compared with the placebo group. CONCLUSIONS: Initial data appear to indicate that memantine decreases NPI scores and may have a role in managing BPSD. However, there are a number of limitations with the current data; the effect size was relatively small, and whether memantine produces significant clinical benefit is not clear.

A comparison of sales response predictions from demand models applied to store-level versus panel data

In order to generate sales promotion response predictions, marketing analysts estimate demand models using either disaggregated (consumer-level) or aggregated (store-level) scanner data. Comparison of predictions from these demand models is complicated by the fact that models may accommodate different forms of consumer heterogeneity depending on the level of data aggregation. This study shows via simulation that demand models with various heterogeneity specifications do not produce more accurate sales response predictions than a homogeneous demand model applied to store-level data, with one major exception: a random coefficients model designed to capture within-store heterogeneity using store-level data produced significantly more accurate sales response predictions (as well as better fit) compared to other model specifications. An empirical application to the paper towel product category adds additional insights. This article has supplementary material online.