Accounting for microsaccadic artifacts in the EEG using independent component analysis and beamforming

© 2015 Society for Psychophysiological Research. The authors would like to thank Renate Zahn and Karolin Meiß for their assistance conducting the recordings. This work was funded by the Deutsche Forschungsgemeinschaft (German Research Foundation; DFG), grant number MU 972/16-1.

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.

Double Fourier analysis for Emotion Identification in Voiced Speech

We propose a novel analysis alternative, based on two Fourier Transforms for emotion recognition from speech -- Fourier analysis allows for display and synthesizes different signals, in terms of power spectral density distributions -- A spectrogram of the voice signal is obtained performing a short time Fourier Transform with Gaussian windows, this spectrogram portraits frequency related features, such as vocal tract resonances and quasi-periodic excitations during voiced sounds -- Emotions induce such characteristics in speech, which become apparent in spectrogram time-frequency distributions -- Later, the signal time-frequency representation from spectrogram is considered an image, and processed through a 2-dimensional Fourier Transform in order to perform the spatial Fourier analysis from it -- Finally features related with emotions in voiced speech are extracted and presented

Expedition in Data and Harmonic Analysis on Graphs

The graph Laplacian operator is widely studied in spectral graph theory largely due to its importance in modern data analysis. Recently, the Fourier transform and other time-frequency operators have been defined on graphs using Laplacian eigenvalues and eigenvectors. We extend these results and prove that the translation operator to the i’th node is invertible if and only if all eigenvectors are nonzero on the i’th node. Because of this dependency on the support of eigenvectors we study the characteristic set of Laplacian eigenvectors. We prove that the Fiedler vector of a planar graph cannot vanish on large neighborhoods and then explicitly construct a family of non-planar graphs that do exhibit this property. We then prove original results in modern analysis on graphs. We extend results on spectral graph wavelets to create vertex-dyanamic spectral graph wavelets whose support depends on both scale and translation parameters. We prove that Spielman’s Twice-Ramanujan graph sparsifying algorithm cannot outperform his conjectured optimal sparsification constant. Finally, we present numerical results on graph conditioning, in which edges of a graph are rescaled to best approximate the complete graph and reduce average commute time.

A Quantitative analysis of pulsed signals emitted by wild bottlenose dolphins

Common bottlenose dolphins (Tursiops truncatus), produce a wide variety of vocal emissions for communication and echolocation, of which the pulsed repertoire has been the most difficult to categorize. Packets of high repetition, broadband pulses are still largely reported under a general designation of burst-pulses, and traditional attempts to classify these emissions rely mainly in their aural characteristics and in graphical aspects of spectrograms. Here, we present a quantitative analysis of pulsed signals emitted by wild bottlenose dolphins, in the Sado estuary, Portugal (2011-2014), and test the reliability of a traditional classification approach. Acoustic parameters (minimum frequency, maximum frequency, peak frequency, duration, repetition rate and inter-click-interval) were extracted from 930 pulsed signals, previously categorized using a traditional approach. Discriminant function analysis revealed a high reliability of the traditional classification approach (93.5% of pulsed signals were consistently assigned to their aurally based categories). According to the discriminant function analysis (Wilk's Λ = 0.11, F3, 2.41 = 282.75, P < 0.001), repetition rate is the feature that best enables the discrimination of different pulsed signals (structure coefficient = 0.98). Classification using hierarchical cluster analysis led to a similar categorization pattern: two main signal types with distinct magnitudes of repetition rate were clustered into five groups. The pulsed signals, here described, present significant differences in their time-frequency features, especially repetition rate (P < 0.001), inter-click-interval (P < 0.001) and duration (P < 0.001). We document the occurrence of a distinct signal type-short burst-pulses, and highlight the existence of a diverse repertoire of pulsed vocalizations emitted in graded sequences. The use of quantitative analysis of pulsed signals is essential to improve classifications and to better assess the contexts of emission, geographic variation and the functional significance of pulsed signals.

Floating wave energy converters: wave measurement & analysis techniques

The wave energy industry is entering a new phase of pre-commercial and commercial deployments of full-scale devices, so better understanding of seaway variability is critical to the successful operation of devices. The response of Wave Energy Converters to incident waves govern their operational performance and for many devices, this is highly dependent on spectral shape due to their resonant properties. Various methods of wave measurement are presented, along with analysis techniques and empirical models. Resource assessments, device performance predictions and monitoring of operational devices will often be based on summary statistics and assume a standard spectral shape such as Pierson-Moskowitz or JONSWAP. Furthermore, these are typically derived from the closest available wave data, frequently separated from the site on scales in the order of 1km. Therefore, variability of seaways from standard spectral shapes and spatial inconsistency between the measurement point and the device site will cause inaccuracies in the performance assessment. This thesis categorises time and frequency domain analysis techniques that can be used to identify changes in a sea state from record to record. Device specific issues such as dimensional scaling of sea states and power output are discussed along with potential differences that arise in estimated and actual output power of a WEC due to spectral shape variation. This is investigated using measured data from various phases of device development.

Wavelet analysis and hierarchical clustering of ofm phenotypic population's variations originated from southern america and europe and attempts of a first relation to molecular divergence.

In this work we compare Grapholita molesta Busck (Lepidoptera: Tortricidae) populations originated from Brazil, Chile, Spain, Italy and Greece using power spectral density and phylogenetic analysis to detect any similarities between the population macro- and the molecular micro-level. Log-transformed population data were normalized and AR(p) models were developed to generate for each case population time series of equal lengths. The time-frequency/scale properties of the population data were further analyzed using wavelet analysis to detect any population dynamics frequency changes and cluster the populations. Based on the power spectral of each population time series and the hierarchical clustering schemes, populations originated from Southern America (Brazil and Chile) exhibit similar rhythmic properties and are both closer related with populations originated from Greece. Populations from Spain and especially Italy, have higher distance by terms of periodic changes on their population dynamics. Moreover, the members within the same cluster share similar spectral information, therefore they are supposed to participate in the same temporally regulated population process. On the contrary, the phylogenetic approach revealed a less structured pattern that bears indications of panmixia, as the two clusters contain individuals from both Europe and South America. This preliminary outcome will be further assessed by incorporating more individuals and likely employed a second molecular marker.

Long-period oscillations in GPS Up time series. Study over the European/Mediterranean area

The surface of the Earth is subjected to vertical deformations caused by geophysical and geological processes which can be monitored by Global Positioning System (GPS) observations. The purpose of this work is to investigate GPS height time series to identify interannual signals affecting the Earth’s surface over the European and Mediterranean area, during the period 2001-2019. Thirty-six homogeneously distributed GPS stations were selected from the online dataset made available by the Nevada Geodetic Laboratory (NGL) on the basis of the length and quality of the data series. The Principal Component Analysis (PCA) is the technique applied to extract the main patterns of the space and time variability of the GPS Up coordinate. The time series were studied by means of a frequency analysis using a periodogram and the real-valued Morlet wavelet. The periodogram is used to identify the dominant frequencies and the spectral density of the investigated signals; the second one is applied to identify the signals in the time domain and the relevant periodicities. This study has identified, over European and Mediterranean area, the presence of interannual non-linear signals with a period of 2-to-4 years, possibly related to atmospheric and hydrological loading displacements and to climate phenomena, such as El Niño Southern Oscillation (ENSO). A clear signal with a period of about six years is present in the vertical component of the GPS time series, likely explainable by the gravitational coupling between the Earth’s mantle and the inner core. Moreover, signals with a period in the order of 8-9 years, might be explained by mantle-inner core gravity coupling and the cycle of the lunar perigee, and a signal of 18.6 years, likely associated to lunar nodal cycle, were identified through the wavelet spectrum. However, these last two signals need further confirmation because the present length of the GPS time series is still too short when compared to the periods involved.

Análise quantitativa da distribuição de jogadores de futebol em campo durante jogos oficiais

Universidade Estadual de Campinas. Faculdade de Educação Física

Controle autonomico da frequencia cardiaca de adolescentes em treinamento

Universidade Estadual de Campinas . Faculdade de Educação Física

Comparação das respostas autonomicas e cardiorrespiratorias de homens e mulheres de meia-idade antes e apos treinamento fisico aerobio

Universidade Estadual de Campinas . Faculdade de Educação Física

Photometric variability of the Be star CoRoT-ID 102761769

Context. Classical Be stars are rapid rotators of spectral type late O to early A and luminosity class V-III, which exhibit Balmer emission lines and often a near infrared excess originating in an equatorially concentrated circumstellar envelope, both produced by sporadic mass ejection episodes. The causes of the abnormal mass loss (the so-called Be phenomenon) are as yet unknown. Aims. For the first time, we can now study in detail Be stars outside the Earth's atmosphere with sufficient temporal resolution. We investigate the variability of the Be Star CoRoT-ID 102761769 observed with the CoRoT satellite in the exoplanet field during the initial run. Methods. One low-resolution spectrum of the star was obtained with the INT telescope at the Observatorio del Roque de los Muchachos. A time series analysis was performed using both cleanest and singular spectrum analysis algorithms to the CoRoT light curve. To identify the pulsation modes of the observed frequencies, we computed a set of models representative of CoRoT-ID 102761769 by varying its main physical parameters inside the uncertainties discussed. Results. We found two close frequencies related to the star. They are 2.465 c d(-1) (28.5 mu Hz) and 2.441 c d(-1) (28.2 mu Hz). The precision to which those frequencies were found is 0.018 c d(-1) (0.2 mu Hz). The projected stellar rotation was estimated to be 120 km s(-1) from the Fourier transform of spectral lines. If CoRoT-ID 102761769 is a typical Galactic Be star it rotates near the critical velocity. The critical rotation frequency of a typical B5-6 star is about 3.5 c d(-1) (40.5 mu Hz), which implies that the above frequencies are really caused by stellar pulsations rather than star's rotation.

The B0.5 IVe CoRoT target HD 49330 II. Spectroscopic ground-based observations

Context. We present spectroscopic ground-based observations of the early Be star HD 49330 obtained simultaneously with the CoRoT-LRA1 run just before the burst observed in the CoRoT data. Aims. Ground-based spectroscopic observations of the early Be star HD 49330 obtained during the precursor phase and just before the start of an outburst allow us to disantangle stellar and circumstellar contributions and identify modes of stellar pulsations in this rapidly rotating star. Methods. Time series analysis (TSA) is performed on photospheric line profiles of He I and Si III by means of the least squares method. Results. We find two main frequencies f1 = 11.86 c d(-1) and f2 = 16.89 c d(-1) which can be associated with high order p-mode pulsations. We also detect a frequency f3 = 1.51 c d(-1) which can be associated with a low order g-mode. Moreover we show that the stellar line profile variability changed over the spectroscopic run. These results are in agreement with the results of the CoRoT data analysis, as shown in Huat et al. (2009). Conclusions. Our study of mid-and short-term spectroscopic variability allows the identification of p-and g-modes in HD 49330. It also allows us to display changes in the line profile variability before the start of an outburst. This brings new constraints for the seimic modelling of this star.

The pulsations of the B5IVe star HD 181231 observed with CoRoT and ground-based spectroscopy

Context. HD 181231 is a B5IVe star, which has been observed with the CoRoT satellite during similar to 5 consecutive months and simultaneously from the ground in spectroscopy and spectropolarimetry. Aims. By analysing these data, we aim to detect and characterize as many pulsation frequencies as possible, to search for the presence of beating effects possibly at the origin of the Be phenomenon. Our results will also provide a basis for seismic modelling. Methods. The fundamental parameters of the star are determined from spectral fitting and from the study of the circumstellar emission. The CoRoT photometric data and ground-based spectroscopy are analysed using several Fourier techniques: CLEAN-NG, PASPER, and TISAFT, as well as a time-frequency technique. A search for a magnetic field is performed by applying the LSD technique to the spectropolarimetric data. Results. We find that HD 181231 is a B5IVe star seen with an inclination of similar to 45 degrees. No magnetic field is detected in its photosphere. We detect at least 10 independent significant frequencies of variations among the 54 detected frequencies, interpreted in terms of non-radial pulsation modes and rotation. Two longer-term variations are also detected: one at similar to 14 days resulting from a beating effect between the two main frequencies of short-term variations, the other at similar to 116 days due either to a beating of frequencies or to a zonal pulsation mode. Conclusions. Our analysis of the CoRoT light curve and ground-based spectroscopic data of HD 181231 has led to the determination of the fundamental and pulsational parameters of the star, including beating effects. This will allow a precise seismic modelling of this star.

An In-Depth Study of the Barkhausen Emission Signal Properties of the Plastically Deformed Fe-2%Si Alloy

This paper presents the results of the in-depth study of the Barkhausen effect signal properties for the plastically deformed Fe-2%Si samples. The investigated samples have been deformed by cold rolling up to plastic strain epsilon(p) = 8%. The first approach consisted of time-domain-resolved pulse and frequency analysis of the Barkhausen noise signals whereas the complementary study consisted of the time-resolved pulse count analysis as well as a total pulse count. The latter included determination of time distribution of pulses for different threshold voltage levels as well as the total pulse count as a function of both the amplitude and the duration time of the pulses. The obtained results suggest that the observed increase in the Barkhausen noise signal intensity as a function of deformation level is mainly due to the increase in the number of bigger pulses.