Subsequence frequency measurement and its impact on knowledge discovery in single sequences

Subsequence frequency measurement is a basic and essential problem in knowledge discovery in single sequences. Frequency based knowledge discovery in single sequences tends to be unreliable since different resulting sets may be obtained from a same sequence when different frequency metrics are adopted. In this chapter, we investigate subsequence frequency measurement and its impact on the reliability of knowledge discovery in single sequences. We analyse seven previous frequency metrics, identify their inherent inaccuracies, and explore their impacts on two kinds of knowledge discovered from single sequences, frequent episodes and episode rules. We further give three suggestions for frequency metrics and introduce a new frequency metric in order to improve the reliability. Empirical evaluation reveals the inaccuracies and verifies our findings.

Irish Power System Primary Frequency Response Metrics during Different System Non Synchronous Penetrations.

This paper discusses the use of primary frequency response metrics to assess the dynamics of frequency disturbance data with the presence of high system non synchronous penetration (SNSP) and system inertia variation. The Irish power system has been chosen as a study case as it experiences a significant level of SNSP from wind turbine generation and imported active power from HVDC interconnectors. Several recorded actual frequency disturbances were used in the analysis. These data were measured and collected from the Irish power system from October 2010 to June 2013. The paper has shown the impact of system inertia and SNSP variation on the performance of primary frequency response metrics, namely: nadir frequency, rate of change of frequency, inertial and primary frequency response.

Accurately defining the reference condition for summary biotic metrics: A comparison of four approaches

Protocols for bioassessment often relate changes in summary metrics that describe aspects of biotic assemblage structure and function to environmental stress. Biotic assessment using multimetric indices now forms the basis for setting regulatory standards for stream quality and a range of other goals related to water resource management in the USA and elsewhere. Biotic metrics are typically interpreted with reference to the expected natural state to evaluate whether a site is degraded. It is critical that natural variation in biotic metrics along environmental gradients is adequately accounted for, in order to quantify human disturbance-induced change. A common approach used in the IBI is to examine scatter plots of variation in a given metric along a single stream size surrogate and a fit a line (drawn by eye) to form the upper bound, and hence define the maximum likely value of a given metric in a site of a given environmental characteristic (termed the 'maximum species richness line' - MSRL). In this paper we examine whether the use of a single environmental descriptor and the MSRL is appropriate for defining the reference condition for a biotic metric (fish species richness) and for detecting human disturbance gradients in rivers of south-eastern Queensland, Australia. We compare the accuracy and precision of the MSRL approach based on single environmental predictors, with three regression-based prediction methods (Simple Linear Regression, Generalised Linear Modelling and Regression Tree modelling) that use (either singly or in combination) a set of landscape and local scale environmental variables as predictors of species richness. We compared the frequency of classification errors from each method against set biocriteria and contrast the ability of each method to accurately reflect human disturbance gradients at a large set of test sites. The results of this study suggest that the MSRL based upon variation in a single environmental descriptor could not accurately predict species richness at minimally disturbed sites when compared with SLR's based on equivalent environmental variables. Regression-based modelling incorporating multiple environmental variables as predictors more accurately explained natural variation in species richness than did simple models using single environmental predictors. Prediction error arising from the MSRL was substantially higher than for the regression methods and led to an increased frequency of Type I errors (incorrectly classing a site as disturbed). We suggest that problems with the MSRL arise from the inherent scoring procedure used and that it is limited to predicting variation in the dependent variable along a single environmental gradient.

Evaluating Asymmetric Multicore Systems-on-Chip using Iso-Metrics

The end of Dennard scaling has pushed power consumption into a first order concern for current systems, on par with performance. As a result, near-threshold voltage computing (NTVC) has been proposed as a potential means to tackle the limited cooling capacity of CMOS technology. Hardware operating in NTV consumes significantly less power, at the cost of lower frequency, and thus reduced performance, as well as increased error rates. In this paper, we investigate if a low-power systems-on-chip, consisting of ARM's asymmetric big.LITTLE technology, can be an alternative to conventional high performance multicore processors in terms of power/energy in an unreliable scenario. For our study, we use the Conjugate Gradient solver, an algorithm representative of the computations performed by a large range of scientific and engineering codes.

Evaluating fault tolerance on asymmetric multicore systems-on-chip using iso-metrics

The end of Dennard scaling has promoted low power consumption into a firstorder concern for computing systems. However, conventional power conservation schemes such as voltage and frequency scaling are reaching their limits when used in performance-constrained environments. New technologies are required to break the power wall while sustaining performance on future processors. Low-power embedded processors and near-threshold voltage computing (NTVC) have been proposed as viable solutions to tackle the power wall in future computing systems. Unfortunately, these technologies may also compromise per-core performance and, in the case of NTVC, xreliability. These limitations would make them unsuitable for HPC systems and datacenters. In order to demonstrate that emerging low-power processing technologies can effectively replace conventional technologies, this study relies on ARM’s big.LITTLE processors as both an actual and emulation platform, and state-of-the-art implementations of the CG solver. For NTVC in particular, the paper describes how efficient algorithm-based fault tolerance schemes preserve the power and energy benefits of very low voltage operation.

Properties of functional brain networks correlate with frequency of psychogenic non-epileptic seizures.

Abnormalities in the topology of brain networks may be an important feature and etiological factor for psychogenic non-epileptic seizures (PNES). To explore this possibility, we applied a graph theoretical approach to functional networks based on resting state EEGs from 13 PNES patients and 13 age- and gender-matched controls. The networks were extracted from Laplacian-transformed time-series by a cross-correlation method. PNES patients showed close to normal local and global connectivity and small-world structure, estimated with clustering coefficient, modularity, global efficiency, and small-worldness (SW) metrics, respectively. Yet the number of PNES attacks per month correlated with a weakness of local connectedness and a skewed balance between local and global connectedness quantified with SW, all in EEG alpha band. In beta band, patients demonstrated above-normal resiliency, measured with assortativity coefficient, which also correlated with the frequency of PNES attacks. This interictal EEG phenotype may help improve differentiation between PNES and epilepsy. The results also suggest that local connectivity could be a target for therapeutic interventions in PNES. Selective modulation (strengthening) of local connectivity might improve the skewed balance between local and global connectivity and so prevent PNES events.

Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

An analysis of real time implementation of Fourier transform-based frequency recognition algorithms

Frequency recognition is an important task in many engineering fields such as audio signal processing and telecommunications engineering, for example in applications like Dual-Tone Multi-Frequency (DTMF) detection or the recognition of the carrier frequency of a Global Positioning, System (GPS) signal. This paper will present results of investigations on several common Fourier Transform-based frequency recognition algorithms implemented in real time on a Texas Instruments (TI) TMS320C6713 Digital Signal Processor (DSP) core. In addition, suitable metrics are going to be evaluated in order to ascertain which of these selected algorithms is appropriate for audio signal processing(1).

Forecasting daily volatility using high frequency financial data

Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in order to achieve its objectives. Four variations of it were then implemented and their fit compared to GARCH equivalents, using metrics present in the literature. Results suggest that, in such a market, HEAVY does seem to specify daily volatility better, but not necessarily produces better predictions for it, what is, normally, the ultimate goal. The dataset used in this work consists of intraday trades of U.S. Dollar and Ibovespa future contracts from BM&FBovespa.

Lost in translation: the impact of publication language on citation frequency in the scientific dental literature

Citation metrics are commonly used as a proxy for scientific merit and relevance. Papers published in English, however, may exhibit a higher citation frequency than research articles published in other languages, though this issue has not yet been investigated from a Swiss perspective where English is not the native language.

Developing multidimensional metrics for evaluating paediatric neurodevelopmental disorders

Healthy brain functioning depends on efficient communication of information between brain regions, forming complex networks. By quantifying synchronisation between brain regions, a functionally connected brain network can be articulated. In neurodevelopmental disorders, where diagnosis is based on measures of behaviour and tasks, a measure of the underlying biological mechanisms holds promise as a potential clinical tool. Graph theory provides a tool for investigating the neural correlates of neuropsychiatric disorders, where there is disruption of efficient communication within and between brain networks. This research aimed to use recent conceptualisation of graph theory, along with measures of behaviour and cognitive functioning, to increase understanding of the neurobiological risk factors of atypical development. Using magnetoencephalography to investigate frequency-specific temporal dynamics at rest, the research aimed to identify potential biological markers derived from sensor-level whole-brain functional connectivity. Whilst graph theory has proved valuable for insight into network efficiency, its application is hampered by two limitations. First, its measures have hardly been validated in MEG studies, and second, graph measures have been shown to depend on methodological assumptions that restrict direct network comparisons. The first experimental study (Chapter 3) addressed the first limitation by examining the reproducibility of graph-based functional connectivity and network parameters in healthy adult volunteers. Subsequent chapters addressed the second limitation through adapted minimum spanning tree (a network analysis approach that allows for unbiased group comparisons) along with graph network tools that had been shown in Chapter 3 to be highly reproducible. Network topologies were modelled in healthy development (Chapter 4), and atypical neurodevelopment (Chapters 5 and 6). The results provided support to the proposition that measures of network organisation, derived from sensor-space MEG data, offer insights helping to unravel the biological basis of typical brain maturation and neurodevelopmental conditions, with the possibility of future clinical utility.

Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models. In chapter 2, using 12 years of high-frequency transactions for 55 U.S. stocks, we argue that combining low-frequency exogenous economic indicators with high-frequency financial data improves the ability of conditionally heteroskedastic models to forecast the volatility of returns, their full multi-step ahead conditional distribution and the multi-period Value-at-Risk. Using a refined version of the Realized LGARCH model allowing for time-varying intercept and implemented with realized kernels, we document that nominal corporate profits and term spreads have strong long-run predictive ability and generate accurate risk measures forecasts over long-horizon. The results are based on several loss functions and tests, including the Model Confidence Set. Chapter 3 is a joint work with David Veredas. We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under four data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances on the basis of noisy and asynchronous prices. Along these lines, a minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics. Chapter 4 is co-authored with Niels S. Hansen, Asger Lunde and Kasper V. Olesen, all affiliated with CREATES at Aarhus University. We propose to use the Realized Beta GARCH model to exploit the potential of high-frequency data in commodity markets. The model produces high quality forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We evaluate the quality of this matrix in a portfolio context and compare it to models used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs.

MODELING OF TRANSFER PATH FOR DETERMINATION OF COMBUSTION AND NOISE METRICS ON DIESEL ENGINES

Determination of combustion metrics for a diesel engine has the potential of providing feedback for closed-loop combustion phasing control to meet current and upcoming emission and fuel consumption regulations. This thesis focused on the estimation of combustion metrics including start of combustion (SOC), crank angle location of 50% cumulative heat release (CA50), peak pressure crank angle location (PPCL), and peak pressure amplitude (PPA), peak apparent heat release rate crank angle location (PACL), mean absolute pressure error (MAPE), and peak apparent heat release rate amplitude (PAA). In-cylinder pressure has been used in the laboratory as the primary mechanism for characterization of combustion rates and more recently in-cylinder pressure has been used in series production vehicles for feedback control. However, the intrusive measurement with the in-cylinder pressure sensor is expensive and requires special mounting process and engine structure modification. As an alternative method, this work investigated block mounted accelerometers to estimate combustion metrics in a 9L I6 diesel engine. So the transfer path between the accelerometer signal and the in-cylinder pressure signal needs to be modeled. Depending on the transfer path, the in-cylinder pressure signal and the combustion metrics can be accurately estimated - recovered from accelerometer signals. The method and applicability for determining the transfer path is critical in utilizing an accelerometer(s) for feedback. Single-input single-output (SISO) frequency response function (FRF) is the most common transfer path model; however, it is shown here to have low robustness for varying engine operating conditions. This thesis examines mechanisms to improve the robustness of FRF for combustion metrics estimation. First, an adaptation process based on the particle swarm optimization algorithm was developed and added to the single-input single-output model. Second, a multiple-input single-output (MISO) FRF model coupled with principal component analysis and an offset compensation process was investigated and applied. Improvement of the FRF robustness was achieved based on these two approaches. Furthermore a neural network as a nonlinear model of the transfer path between the accelerometer signal and the apparent heat release rate was also investigated. Transfer path between the acoustical emissions and the in-cylinder pressure signal was also investigated in this dissertation on a high pressure common rail (HPCR) 1.9L TDI diesel engine. The acoustical emissions are an important factor in the powertrain development process. In this part of the research a transfer path was developed between the two and then used to predict the engine noise level with the measured in-cylinder pressure as the input. Three methods for transfer path modeling were applied and the method based on the cepstral smoothing technique led to the most accurate results with averaged estimation errors of 2 dBA and a root mean square error of 1.5dBA. Finally, a linear model for engine noise level estimation was proposed with the in-cylinder pressure signal and the engine speed as components.