Using monthly returns to model conditional heteroscedasticity

This empirical study examines the extent of non-linearity in a multivariate model of monthly financial series. To capture the conditional heteroscedasticity in the series, both the GARCH(1,1) and GARCH(1,1)-in-mean models are employed. The conditional errors are assumed to follow the normal and Student-t distributions. The non-linearity in the residuals of a standard OLS regression are also assessed. It is found that the OLS residuals as well as conditional errors of the GARCH models exhibit strong non-linearity. Under the Student density, the extent of non-linearity in the GARCH conditional errors was generally similar to those of the standard OLS. The GARCH-in-mean regression generated the worse out-of-sample forecasts.

Non-rigid object tracking in complex scenes

A recently proposed colour based tracking algorithm has been established to track objects in real circumstances [Zivkovic, Z., Krose, B. 2004. An EM-like algorithm for color-histogram-based object tracking. In: Proc, IEEE Conf. on Computer Vision and Pattern Recognition, pp. 798-803]. To improve the performance of this technique in complex scenes, in this paper we propose a new algorithm for optimally adapting the ellipse outlining the objects of interest. This paper presents a Lagrangian based method to integrate a regularising component into the covariance matrix to be computed. Technically, we intend to reduce the residuals between the estimated probability distribution and the expected one. We argue that, by doing this, the shape of the ellipse can be properly adapted in the tracking stage. Experimental results show that the proposed method has favourable performance in shape adaption and object localisation.

A web processing service for validating interpolation

An interoperable web processing service (WPS) for the automatic interpolation of environmental data has been developed in the frame of the INTAMAP project. In order to assess the performance of the interpolation method implemented, a validation WPS has also been developed. This validation WPS can be used to perform leave one out and K-fold cross validation: a full dataset is submitted and a range of validation statistics and diagnostic plots (e.g. histograms, variogram of residuals, mean errors) is received in return. This paper presents the architecture of the validation WPS and a case study is used to briefly illustrate its use in practice. We conclude with a discussion on the current limitations of the system and make proposals for further developments.

Global non-dynamic refinement of radial orbit error for altimetric earth satellites

The accuracy of altimetrically derived oceanographic and geophysical information is limited by the precision of the radial component of the satellite ephemeris. A non-dynamic technique is proposed as a method of reducing the global radial orbit error of altimetric satellites. This involves the recovery of each coefficient of an analytically derived radial error correction through a refinement of crossover difference residuals. The crossover data is supplemented by absolute height measurements to permit the retrieval of otherwise unobservable geographically correlated and linearly combined parameters. The feasibility of the radial reduction procedure is established upon application to the three day repeat orbit of SEASAT. The concept of arc aggregates is devised as a means of extending the method to incorporate longer durations, such as the 35 day repeat period of ERS-1. A continuous orbit is effectively created by including the radial misclosure between consecutive long arcs as an infallible observation. The arc aggregate procedure is validated using a combination of three successive SEASAT ephemerides. A complete simulation of the 501 revolution per 35 day repeat orbit of ERS-1 is derived and the recovery of the global radial orbit error over the full repeat period is successfully accomplished. The radial reduction is dependent upon the geographical locations of the supplementary direct height data. Investigations into the respective influences of various sites proposed for the tracking of ERS-1 by ground-based transponders are carried out. The potential effectiveness on the radial orbital accuracy of locating future tracking sites in regions of high latitudinal magnitude is demonstrated.

Satellite laser ranging and the ETALON Geodetic satellites

The technique of Satellite Laser Ranging is today a mature, important tool with applications in many area of geodynamics, geodesy and satellite dynamics. A global network of some 40 stations regularly obtains range observations with sub-cm precision to more than twelve orbiting spacecraft. At such levels of precision it is important to minimise potential sources of range bias in the observations, and part of the thesis is a study of subtle effects caused by the extended nature of the arrays of retro-reflectors on the satellites. We develop models that give a precise correction of the range measurements to the centres of mass of the geodetic satellites Lageos and Etalon, appropriate to a variety of different ranging systems, and use the Etalon values, which were not determined during pre-launch tests, in an extended orbital analysis. We have fitted continuous 2.5 year orbits to range observations of the Etalons from the global network of stations, and analysed the results by mapping the range residuals from these orbits into equivalent corrections to orbital elements over short time intervals. From these residuals we have detected and studied large un-modelled along-track accelerations associated with periods during which the satellites are undergoing eclipse by the Earth's shadow. We also find that the eccentricity residuals are significantly different for the two satellites, with Etalon-2 undergoing a year-long eccentricity anomaly similar in character to that experienced at intervals by Lageos-1. The nodal residuals show that the satellites define a very stable reference frame for Earth rotation determination, with very little drift-off during the 2.5 year period. We show that an analysis of more than about eight years of tracking data would be required to derive a significant value for 2. The reference frame defined by the station coordinates derived from the analyses shows very good agreement with that of ITRF93.

The use of ERS-1 crossovers and TOPEX/Poseidon repeat pass data for global sea surface variability studies

In previous sea-surface variability studies, researchers have failed to utilise the full ERS-1 mission due to the varying orbital characteristics in each mission phase, and most have simply ignored the Ice and Geodetic phases. This project aims to introduce a technique which will allow the straightforward use of all orbital phases, regardless of orbit type. This technique is based upon single satellite crossovers. Unfortunately the ERS-1 orbital height is still poorly resolved (due to higher air drag and stronger gravitational effects) when compared with that of TOPEX/Poseidon (T/P), so to make best use of the ERS-1 crossover data corrections to the ERS-1 orbital heights are calculated by fitting a cubic-spline to dual-crossover residuals with T/P. This correction is validated by comparison of dual satellite crossovers with tide gauge data. The crossover processing technique is validated by comparing the extracted sea-surface variability information with that from T/P repeat pass data. The two data sets are then combined into a single consistent data set for analysis of sea-surface variability patterns. These patterns are simplified by the use of an empirical orthogonal function decomposition which breaks the signals into spatial modes which are then discussed separately. Further studies carried out on these data include an analysis of the characteristics of the annual signal, discussion of evidence for Rossby wave propagation on a global basis, and finally analysis of the evidence for global mean sea level rise.

Orbit and altimetric corrections for the ERS satellites through analysis of single and dual satellite crossovers

Due to the failure of PRARE the orbital accuracy of ERS-1 is typically 10-15 cm radially as compared to 3-4cm for TOPEX/Poseidon. To gain the most from these simultaneous datasets it is necessary to improve the orbital accuracy of ERS-1 so that it is commensurate with that of TOPEX/Poseidon. For the integration of these two datasets it is also necessary to determine the altimeter and sea state biases for each of the satellites. Several models for the sea state bias of ERS-1 are considered by analysis of the ERS-1 single satellite crossovers. The model adopted consists of the sea state bias as a percentage of the significant wave height, namely 5.95%. The removal of ERS-1 orbit error and recovery of an ERS-1 - TOPEX/Poseidon relative bias are both achieved by analysis of dual crossover residuals. The gravitational field based radial orbit error is modelled by a finite Fourier expansion series with the dominant frequencies determined by analysis of the JGM-2 co-variance matrix. Periodic and secular terms to model the errors due to atmospheric density, solar radiation pressure and initial state vector mis-modelling are also solved for. Validation of the dataset unification consists of comparing the mean sea surface topographies and annual variabilities derived from both the corrected and uncorrected ERS-1 orbits with those derived from TOPEX/Poseidon. The global and regional geographically fixed/variable orbit errors are also analysed pre and post correction, and a significant reduction is noted. Finally the use of dual/single satellite crossovers and repeat pass data, for the calibration of ERS-2 with respect to ERS-1 and TOPEX/Poseidon is shown by calculating the ERS-1/2 sea state and relative biases.

Gravity field recovery using two low satellites in different orbital planes

This study is concerned with gravity field recovery from low-low satellite to satellite range rate data. An improvement over a coplanar mission is predicted in the errors associated with certain parts of the geopotential by the separation of the orbital planes of the two satellites. Using Hill's equations an analytical scheme to model the range rate residuals is developed. It is flexible enough to model equally well the residuals between pairs of satellites in the same orbital plane or whose planes are separated in right ascension. The possible benefits of such an orientation to gravity field recovery from range rate data can therefore be analysed, and this is done by means of an extensive error analysis. The results of this analysis show that for an optimal planar mission improvements can be made by separating the satellites in right ascension. Gravity field recoveries are performed in order to verify and gauge the limitations of the analytical model, and to support the results of the error analysis. Finally the possible problem of the differential decay rates of two satellites due to the diurnal bulge are evaluated.

Influence of birth cohort on age of onset cluster analysis in bipolar I disorder

PURPOSE: Two common approaches to identify subgroups of patients with bipolar disorder are clustering methodology (mixture analysis) based on the age of onset, and a birth cohort analysis. This study investigates if a birth cohort effect will influence the results of clustering on the age of onset, using a large, international database. METHODS: The database includes 4037 patients with a diagnosis of bipolar I disorder, previously collected at 36 collection sites in 23 countries. Generalized estimating equations (GEE) were used to adjust the data for country median age, and in some models, birth cohort. Model-based clustering (mixture analysis) was then performed on the age of onset data using the residuals. Clinical variables in subgroups were compared. RESULTS: There was a strong birth cohort effect. Without adjusting for the birth cohort, three subgroups were found by clustering. After adjusting for the birth cohort or when considering only those born after 1959, two subgroups were found. With results of either two or three subgroups, the youngest subgroup was more likely to have a family history of mood disorders and a first episode with depressed polarity. However, without adjusting for birth cohort (three subgroups), family history and polarity of the first episode could not be distinguished between the middle and oldest subgroups. CONCLUSION: These results using international data confirm prior findings using single country data, that there are subgroups of bipolar I disorder based on the age of onset, and that there is a birth cohort effect. Including the birth cohort adjustment altered the number and characteristics of subgroups detected when clustering by age of onset. Further investigation is needed to determine if combining both approaches will identify subgroups that are more useful for research.

Viscosity of aged bio-oils from fast pyrolysis of beech wood and miscanthus:shear rate and temperature dependence

The viscosity of four aged bio-oil samples was measured experimentally at various shear rates and temperatures using a rotational viscometer. The experimental bio-oils were derived from fast pyrolysis of beech wood at 450, 500, and 550 °C and Miscanthus at 500 °C (in this work, they were named as BW1, BW2, BW3, and MXG) in a bubbling fluidized bed reactor. The viscosity of all bio-oils was kept constant at various shear rates at the same temperature, which indicated that they were Newtonian fluids. The viscosity of bio-oils was strongly dependent upon the temperature, and with the increase of the temperature from 30 to 80 °C, the viscosity of BW1, BW2, BW3, and MXG decreased by 90.7, 93.3, 92.6, and 90.2%, respectively. The Arrhenius viscosity model, which has been commonly used to represent the temperature dependence of the viscosity of many fluids, did not fit the viscosity-temperature experimental data of all bio-oils very well, especially in the low- and high-temperature regions. For comparison, the Williams-Landel-Ferry (WLF) model was also used. The results showed that the WLF model gave a very good description of the viscosity-temperature relationship of each bio-oil with very small residuals and the BW3 bio-oil had the strongest viscosity-temperature dependence.