CHARACTERIZATION OF EXPONENTIAL DIVERGENCE OF THE KALMAN FILTER FOR TIME-VARYING SYSTEMS

This paper studies semistability of the recursive Kalman filter in the context of linear time-varying (LTV), possibly nondetectable systems with incorrect noise information. Semistability is a key property, as it ensures that the actual estimation error does not diverge exponentially. We explore structural properties of the filter to obtain a necessary and sufficient condition for the filter to be semistable. The condition does not involve limiting gains nor the solution of Riccati equations, as they can be difficult to obtain numerically and may not exist. We also compare semistability with the notions of stability and stability w.r.t. the initial error covariance, and we show that semistability in a sense makes no distinction between persistent and nonpersistent incorrect noise models, as opposed to stability. In the linear time invariant scenario we obtain algebraic, easy to test conditions for semistability and stability, which complement results available in the context of detectable systems. Illustrative examples are included.

PARTIAL STABILITY FOR A CLASS OF NONLINEAR SYSTEMS

This paper studies a nonlinear, discrete-time matrix system arising in the stability analysis of Kalman filters. These systems present an internal coupling between the state components that gives rise to complex dynamic behavior. The problem of partial stability, which requires that a specific component of the state of the system converge exponentially, is studied and solved. The convergent state component is strongly linked with the behavior of Kalman filters, since it can be used to provide bounds for the error covariance matrix under uncertainties in the noise measurements. We exploit the special features of the system-mainly the connections with linear systems-to obtain an algebraic test for partial stability. Finally, motivated by applications in which polynomial divergence of the estimates is acceptable, we study and solve a partial semistability problem.

Emission and dry deposition of accumulation mode particles in the Amazon Basin

Size-resolved vertical aerosol number fluxes of particles in the diameter range 0.25-2.5 mu m were measured with the eddy covariance method from a 53 m high tower over the Amazon rain forest, 60 km NNW of Manaus, Brazil. This study focuses on data measured during the relatively clean wet season, but a shorter measurement period from the more polluted dry season is used as a comparison. Size-resolved net particle fluxes of the five lowest size bins, representing 0.25-0.45 mu m in diameter, were in general dominated by deposition in more or less all wind sectors in the wet season. This is an indication that the source of primary biogenic aerosol particles may be small in this particle size range. Transfer velocities within this particle size range were observed to increase linearly with increasing friction velocity and increasing particle diameter. In the diameter range 0.5-2.5 mu m, vertical particle fluxes were highly dependent on wind direction. In wind sectors where anthropogenic influence was low, net upward fluxes were observed. However, in wind sectors associated with higher anthropogenic influence, deposition fluxes dominated. The net upward fluxes were interpreted as a result of primary biogenic aerosol emission, but deposition of anthropogenic particles seems to have masked this emission in wind sectors with higher anthropogenic influence. The net emission fluxes were at maximum in the afternoon when the mixed layer is well developed, and were best correlated with horizontal wind speed according to the equation log(10)F = 0.48.U + 2.21 where F is the net emission number flux of 0.5-2.5 mu m particles [m(-2) s(-1)] and U is the horizontal wind speed [ms(-1)] at the top of the tower.

A comparison of dry and wet season aerosol number fluxes over the Amazon rain forest

Vertical number fluxes of aerosol particles and vertical fluxes of CO(2) were measured with the eddy covariance method at the top of a 53 m high tower in the Amazon rain forest as part of the LBA (The Large Scale Biosphere Atmosphere Experiment in Amazonia) experiment. The observed aerosol number fluxes included particles with sizes down to 10 nm in diameter. The measurements were carried out during the wet and dry season in 2008. In this study focus is on the dry season aerosol fluxes, with significant influence from biomass burning, and these are compared with aerosol fluxes measured during the wet season. Net particle deposition fluxes dominated in daytime in both seasons and the deposition flux was considerably larger in the dry season due to the much higher dry season particle concentration. The particle transfer velocity increased linearly with increasing friction velocity in both seasons. The difference in transfer velocity between the two seasons was small, indicating that the seasonal change in aerosol number size distribution is not enough for causing any significant change in deposition velocity. In general, particle transfer velocities in this study are low compared to studies over boreal forests. The reasons are probably the high percentage of accumulation mode particles and the low percentage of nucleation mode particles in the Amazon boundary layer, both in the dry and wet season, and low wind speeds in the tropics compared to the midlatitudes. In the dry season, nocturnal particle fluxes behaved very similar to the nocturnal CO(2) fluxes. Throughout the night, the measured particle flux at the top of the tower was close to zero, but early in the morning there was an upward particle flux peak that is not likely a result of entrainment or local pollution. It is possible that these morning upward particle fluxes are associated with emission of primary biogenic particles from the rain forest. Emitted particles may be stored within the canopy during stable conditions at nighttime, similarly to CO(2), and being released from the canopy when conditions become more turbulent in the morning.

Aerosol number fluxes over the Amazon rain forest during the wet season

Number fluxes of particles with diameter larger than 10 nm were measured with the eddy covariance method over the Amazon rain forest during the wet season as part of the LBA (The Large Scale Biosphere Atmosphere Experiment in Amazonia) campaign 2008. The primary goal was to investigate whether sources or sinks dominate the aerosol number flux in the tropical rain forest-atmosphere system. During the measurement campaign, from 12 March to 18 May, 60% of the particle fluxes pointed downward, which is a similar fraction to what has been observed over boreal forests. The net deposition flux prevailed even in the absolute cleanest atmospheric conditions during the campaign and therefore cannot be explained only by deposition of anthropogenic particles. The particle transfer velocity v(t) increased with increasing friction velocity and the relation is described by the equation v(t) = 2.4x10(-3)xu(*) where u(*) is the friction velocity. Upward particle fluxes often appeared in the morning hours and seem to a large extent to be an effect of entrainment fluxes into a growing mixed layer rather than primary aerosol emission. In general, the number source of primary aerosol particles within the footprint area of the measurements was small, possibly because the measured particle number fluxes reflect mostly particles less than approximately 200 nm. This is an indication that the contribution of primary biogenic aerosol particles to the aerosol population in the Amazon boundary layer may be low in terms of number concentrations. However, the possibility of horizontal variations in primary aerosol emission over the Amazon rain forest cannot be ruled out.

INFERENCE FOR EIGENVALUES AND EIGENVECTORS OF GAUSSIAN SYMMETRIC MATRICES

This article presents maximum likelihood estimators (MLEs) and log-likelihood ratio (LLR) tests for the eigenvalues and eigenvectors of Gaussian random symmetric matrices of arbitrary dimension, where the observations are independent repeated samples from one or two populations. These inference problems are relevant in the analysis of diffusion tensor imaging data and polarized cosmic background radiation data, where the observations are, respectively, 3 x 3 and 2 x 2 symmetric positive definite matrices. The parameter sets involved in the inference problems for eigenvalues and eigenvectors are subsets of Euclidean space that are either affine subspaces, embedded submanifolds that are invariant under orthogonal transformations or polyhedral convex cones. We show that for a class of sets that includes the ones considered in this paper, the MLEs of the mean parameter do not depend on the covariance parameters if and only if the covariance structure is orthogonally invariant. Closed-form expressions for the MLEs and the associated LLRs are derived for this covariance structure.

Multifractality in the random parameter model for multivariate time series

The Random Parameter model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we explore the scaling properties of the model, as observed in the multifractal structure of the simulated time series. We use the Wavelet Transform Modulus Maxima technique to obtain the multifractal spectrum dependence with the parameters of the model. The model shows a scaling structure compatible with the stylized facts for a reasonable choice of the parameter values. (C) 2009 Elsevier B.V. All rights reserved.

Fast Transforms for Acoustic Imaging-Part I: Theory

The classical approach for acoustic imaging consists of beamforming, and produces the source distribution of interest convolved with the array point spread function. This convolution smears the image of interest, significantly reducing its effective resolution. Deconvolution methods have been proposed to enhance acoustic images and have produced significant improvements. Other proposals involve covariance fitting techniques, which avoid deconvolution altogether. However, in their traditional presentation, these enhanced reconstruction methods have very high computational costs, mostly because they have no means of efficiently transforming back and forth between a hypothetical image and the measured data. In this paper, we propose the Kronecker Array Transform ( KAT), a fast separable transform for array imaging applications. Under the assumption of a separable array, it enables the acceleration of imaging techniques by several orders of magnitude with respect to the fastest previously available methods, and enables the use of state-of-the-art regularized least-squares solvers. Using the KAT, one can reconstruct images with higher resolutions than was previously possible and use more accurate reconstruction techniques, opening new and exciting possibilities for acoustic imaging.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

The Poisson-exponential lifetime distribution

In this paper we proposed a new two-parameters lifetime distribution with increasing failure rate. The new distribution arises on a latent complementary risk problem base. The properties of the proposed distribution are discussed, including a formal proof of its probability density function and explicit algebraic formulae for its reliability and failure rate functions, quantiles and moments, including the mean and variance. A simple EM-type algorithm for iteratively computing maximum likelihood estimates is presented. The Fisher information matrix is derived analytically in order to obtaining the asymptotic covariance matrix. The methodology is illustrated on a real data set. (C) 2010 Elsevier B.V. All rights reserved.

Watershed scale temporal stability of soil water content

The recognition of temporally stable locations with respect to soil water content is of importance for soil water management decisions, especially in sloping land of watersheds. Neutron probe soil water content (0 to 0.8 m), evaluated at 20 dates during a year in the Loess Plateau of China, in a 20 ha watershed dominated by Ust-Sandiic Entisols and Aeolian sandy soils, were used to define their temporal stability through two indices: the standard deviation of relative difference (SDRD) and the mean absolute bias error (MABE). Specific concerns were (a) the relationship of temporal stability with soil depth, (b) the effects of soil texture and land use on temporal stability, and (c) the spatial pattern of the temporal stability. Results showed that temporal stability of soil water content at 0.2 m was significantly weaker than those at the soil depths of 0.6 and 0.8 m. Soil texture can significantly (P<0.05) affect the stability of soil water content except for the existence of an insignificant difference between sandy loam and silt loam textures, while temporal stability of areas covered by bunge needlegrass land was not significantly different from those covered by korshinsk peashrub. Geostatistical analysis showed that the temporal stability was spatially variable in an organized way as inferred by the degree of spatial dependence index. With increasing soil depth, the range of both temporal stability indices showed an increasing trend, being 65.8-120.5 m for SDRD and 148.8-214.1 m for MABE, respectively. This study provides a valuable support for soil water content measurements for soil water management and hydrological applications on sloping land areas. (C) 2010 Elsevier B.V. All rights reserved.

SELF-SIMILARITY AND LAMPERTI CONVERGENCE FOR FAMILIES OF STOCHASTIC PROCESSES

We define a new type of self-similarity for one-parameter families of stochastic processes, which applies to certain important families of processes that are not self-similar in the conventional sense. This includes Hougaard Levy processes such as the Poisson processes, Brownian motions with drift and the inverse Gaussian processes, and some new fractional Hougaard motions defined as moving averages of Hougaard Levy process. Such families have many properties in common with ordinary self-similar processes, including the form of their covariance functions, and the fact that they appear as limits in a Lamperti-type limit theorem for families of stochastic processes.

Formulating Mixed Models for Experiments, Including Longitudinal Experiments

Mixed models have become important in analyzing the results of experiments, particularly those that require more complicated models (e.g., those that involve longitudinal data). This article describes a method for deriving the terms in a mixed model. Our approach extends an earlier method by Brien and Bailey to explicitly identify terms for which autocorrelation and smooth trend arising from longitudinal observations need to be incorporated in the model. At the same time we retain the principle that the model used should include, at least, all the terms that are justified by the randomization. This is done by dividing the factors into sets, called tiers, based on the randomization and determining the crossing and nesting relationships between factors. The method is applied to formulate mixed models for a wide range of examples. We also describe the mixed model analysis of data from a three-phase experiment to investigate the effect of time of refinement on Eucalyptus pulp from four different sources. Cubic smoothing splines are used to describe differences in the trend over time and unstructured covariance matrices between times are found to be necessary.

Parametric correlation functions to model the structure of permanent environmental (co)variances in milk yield random regression models

The objective of the present study was to estimate milk yield genetic parameters applying random regression models and parametric correlation functions combined with a variance function to model animal permanent environmental effects. A total of 152,145 test-day milk yields from 7,317 first lactations of Holstein cows belonging to herds located in the southeastern region of Brazil were analyzed. Test-day milk yields were divided into 44 weekly classes of days in milk. Contemporary groups were defined by herd-test-day comprising a total of 2,539 classes. The model included direct additive genetic, permanent environmental, and residual random effects. The following fixed effects were considered: contemporary group, age of cow at calving (linear and quadratic regressions), and the population average lactation curve modeled by fourth-order orthogonal Legendre polynomial. Additive genetic effects were modeled by random regression on orthogonal Legendre polynomials of days in milk, whereas permanent environmental effects were estimated using a stationary or nonstationary parametric correlation function combined with a variance function of different orders. The structure of residual variances was modeled using a step function containing 6 variance classes. The genetic parameter estimates obtained with the model using a stationary correlation function associated with a variance function to model permanent environmental effects were similar to those obtained with models employing orthogonal Legendre polynomials for the same effect. A model using a sixth-order polynomial for additive effects and a stationary parametric correlation function associated with a seventh-order variance function to model permanent environmental effects would be sufficient for data fitting.

Random regression models to estimate test-day milk yield genetic parameters Holstein cows in Southeastern Brazil

A total of 152,145 weekly test-day milk yield records from 7317 first lactations of Holstein cows distributed in 93 herds in southeastern Brazil were analyzed. Test-day milk yields were classified into 44 weekly classes of DIM. The contemporary groups were defined as herd-year-week of test-day. The model included direct additive genetic, permanent environmental and residual effects as random and fixed effects of contemporary group and age of cow at calving as covariable, linear and quadratic effects. Mean trends were modeled by a cubic regression on orthogonal polynomials of DIM. Additive genetic and permanent environmental random effects were estimated by random regression on orthogonal Legendre polynomials. Residual variances were modeled using third to seventh-order variance functions or a step function with 1, 6,13,17 and 44 variance classes. Results from Akaike`s and Schwarz`s Bayesian information criterion suggested that a model considering a 7th-order Legendre polynomial for additive effect, a 12th-order polynomial for permanent environment effect and a step function with 6 classes for residual variances, fitted best. However, a parsimonious model, with a 6th-order Legendre polynomial for additive effects and a 7th-order polynomial for permanent environmental effects, yielded very similar genetic parameter estimates. (C) 2008 Elsevier B.V. All rights reserved.