Parameterizing Unconditional Skewness in Models for Financial Time Series

In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate unconditional skewness. We consider modeling the unconditional mean and variance using models that respond nonlinearly or asymmetrically to shocks. We investigate the implications of these models on the third-moment structure of the marginal distribution as well as conditions under which the unconditional distribution exhibits skewness and nonzero third-order autocovariance structure. In this respect, an asymmetric or nonlinear specification of the conditional mean is found to be of greater importance than the properties of the conditional variance. Several examples are discussed and, whenever possible, explicit analytical expressions provided for all third-order moments and cross-moments. Finally, we introduce a new tool, the shock impact curve, for investigating the impact of shocks on the conditional mean squared error of return series.

NIR model development and robustness in prediction of melon fruit total soluble solids

Near infrared spectroscopy (NIRS) can be used for the on-line, non-invasive assessment of fruit for eating quality attributes such as total soluble solids (TSS). The robustness of multivariate calibration models, based on NIRS in a partial transmittance optical geometry, for the assessment of TSS of intact rockmelons (Cucumis melo) was assessed. The mesocarp TSS was highest around the fruit equator and increased towards the seed cavity. Inner mesocarp TSS levels decreased towards both the proximal and distal ends of the fruit, but more so towards the proximal end. The equatorial region of the fruit was chosen as representative of the fruit for near infrared assessment of TSS. The spectral window for model development was optimised at 695-1045 nm, and the data pre-treatment procedure was optimised to second-derivative absorbance without scatter correction. The 'global' modified partial least squares (MPLS) regression modelling procedure of WINISI (ver. 1.04) was found to be superior with respect to root mean squared error of prediction (RMSEP) and bias for model predictions of TSS across seasons, compared with the 'local' MPLS regression procedure. Updating of the model with samples selected randomly from the independent validation population demonstrated improvement in both RMSEP and bias with addition of approximately 15 samples.

The accuracy of varietal selection using factor analytic models for multi-environment plant breeding trials

Modeling of cultivar x trial effects for multienvironment trials (METs) within a mixed model framework is now common practice in many plant breeding programs. The factor analytic (FA) model is a parsimonious form used to approximate the fully unstructured form of the genetic variance-covariance matrix in the model for MET data. In this study, we demonstrate that the FA model is generally the model of best fit across a range of data sets taken from early generation trials in a breeding program. In addition, we demonstrate the superiority of the FA model in achieving the most common aim of METs, namely the selection of superior genotypes. Selection is achieved using best linear unbiased predictions (BLUPs) of cultivar effects at each environment, considered either individually or as a weighted average across environments. In practice, empirical BLUPs (E-BLUPs) of cultivar effects must be used instead of BLUPs since variance parameters in the model must be estimated rather than assumed known. While the optimal properties of minimum mean squared error of prediction (MSEP) and maximum correlation between true and predicted effects possessed by BLUPs do not hold for E-BLUPs, a simulation study shows that E-BLUPs perform well in terms of MSEP.

Characterization of anomalous relaxation using the time-fractional Bloch equation and multiple echo T2 *-weighted magnetic resonance imaging at 7T

PURPOSE To study the utility of fractional calculus in modeling gradient-recalled echo MRI signal decay in the normal human brain. METHODS We solved analytically the extended time-fractional Bloch equations resulting in five model parameters, namely, the amplitude, relaxation rate, order of the time-fractional derivative, frequency shift, and constant offset. Voxel-level temporal fitting of the MRI signal was performed using the classical monoexponential model, a previously developed anomalous relaxation model, and using our extended time-fractional relaxation model. Nine brain regions segmented from multiple echo gradient-recalled echo 7 Tesla MRI data acquired from five participants were then used to investigate the characteristics of the extended time-fractional model parameters. RESULTS We found that the extended time-fractional model is able to fit the experimental data with smaller mean squared error than the classical monoexponential relaxation model and the anomalous relaxation model, which do not account for frequency shift. CONCLUSIONS We were able to fit multiple echo time MRI data with high accuracy using the developed model. Parameters of the model likely capture information on microstructural and susceptibility-induced changes in the human brain.

Estimation of signals in colored non gaussian noise based on Gaussian Mixture models

Non-Gaussianity of signals/noise often results in significant performance degradation for systems, which are designed using the Gaussian assumption. So non-Gaussian signals/noise require a different modelling and processing approach. In this paper, we discuss a new Bayesian estimation technique for non-Gaussian signals corrupted by colored non Gaussian noise. The method is based on using zero mean finite Gaussian Mixture Models (GMMs) for signal and noise. The estimation is done using an adaptive non-causal nonlinear filtering technique. The method involves deriving an estimator in terms of the GMM parameters, which are in turn estimated using the EM algorithm. The proposed filter is of finite length and offers computational feasibility. The simulations show that the proposed method gives a significant improvement compared to the linear filter for a wide variety of noise conditions, including impulsive noise. We also claim that the estimation of signal using the correlation with past and future samples leads to reduced mean squared error as compared to signal estimation based on past samples only.

Understorey vegetation as an indicator of forest site potential in Southern Finland.

The relationship between site characteristics and understorey vegetation composition was analysed with quantitative methods, especially from the viewpoint of site quality estimation. Theoretical models were applied to an empirical data set collected from the upland forests of southern Finland comprising 104 sites dominated by Scots pine (Pinus sylvestris L.), and 165 sites dominated by Norway spruce (Picea abies (L.) Karsten). Site index H100 was used as an independent measure of site quality. A new model for the estimation of site quality at sites with a known understorey vegetation composition was introduced. It is based on the application of Bayes' theorem to the density function of site quality within the study area combined with the species-specific presence-absence response curves. The resulting posterior probability density function may be used for calculating an estimate for the site variable. Using this method, a jackknife estimate of site index H100 was calculated separately for pine- and spruce-dominated sites. The results indicated that the cross-validation root mean squared error (RMSEcv) of the estimates improved from 2.98 m down to 2.34 m relative to the "null" model (standard deviation of the sample distribution) in pine-dominated forests. In spruce-dominated forests RMSEcv decreased from 3.94 m down to 3.16 m. In order to assess these results, four other estimation methods based on understorey vegetation composition were applied to the same data set. The results showed that none of the methods was clearly superior to the others. In pine-dominated forests, RMSEcv varied between 2.34 and 2.47 m, and the corresponding range for spruce-dominated forests was from 3.13 to 3.57 m.

Accelerated gradient based diffuse optical tomographic image reconstruction

Purpose: Fast reconstruction of interior optical parameter distribution using a new approach called Broyden-based model iterative image reconstruction (BMOBIIR) and adjoint Broyden-based MOBIIR (ABMOBIIR) of a tissue and a tissue mimicking phantom from boundary measurement data in diffuse optical tomography (DOT). Methods: DOT is a nonlinear and ill-posed inverse problem. Newton-based MOBIIR algorithm, which is generally used, requires repeated evaluation of the Jacobian which consumes bulk of the computation time for reconstruction. In this study, we propose a Broyden approach-based accelerated scheme for Jacobian computation and it is combined with conjugate gradient scheme (CGS) for fast reconstruction. The method makes explicit use of secant and adjoint information that can be obtained from forward solution of the diffusion equation. This approach reduces the computational time many fold by approximating the system Jacobian successively through low-rank updates. Results: Simulation studies have been carried out with single as well as multiple inhomogeneities. Algorithms are validated using an experimental study carried out on a pork tissue with fat acting as an inhomogeneity. The results obtained through the proposed BMOBIIR and ABMOBIIR approaches are compared with those of Newton-based MOBIIR algorithm. The mean squared error and execution time are used as metrics for comparing the results of reconstruction. Conclusions: We have shown through experimental and simulation studies that Broyden-based MOBIIR and adjoint Broyden-based methods are capable of reconstructing single as well as multiple inhomogeneities in tissue and a tissue-mimicking phantom. Broyden MOBIIR and adjoint Broyden MOBIIR methods are computationally simple and they result in much faster implementations because they avoid direct evaluation of Jacobian. The image reconstructions have been carried out with different initial values using Newton, Broyden, and adjoint Broyden approaches. These algorithms work well when the initial guess is close to the true solution. However, when initial guess is far away from true solution, Newton-based MOBIIR gives better reconstructed images. The proposed methods are found to be stable with noisy measurement data. (C) 2011 American Association of Physicists in Medicine. DOI: 10.1118/1.3531572]

Weighted subspace methods and spatial smoothing: analysis and comparison

The effect of using a spatially smoothed forward-backward covariance matrix on the performance of weighted eigen-based state space methods/ESPRIT, and weighted MUSIC for direction-of-arrival (DOA) estimation is analyzed. Expressions for the mean-squared error in the estimates of the signal zeros and the DOA estimates, along with some general properties of the estimates and optimal weighting matrices, are derived. A key result is that optimally weighted MUSIC and weighted state-space methods/ESPRIT have identical asymptotic performance. Moreover, by properly choosing the number of subarrays, the performance of unweighted state space methods can be significantly improved. It is also shown that the mean-squared error in the DOA estimates is independent of the exact distribution of the source amplitudes. This results in a unified framework for dealing with DOA estimation using a uniformly spaced linear sensor array and the time series frequency estimation problems.

Receiver-Only Optimized Vector Quantization for Noisy Channels

This paper considers the design and analysis of a filter at the receiver of a source coding system to mitigate the excess Mean-Squared Error (MSE) distortion caused due to channel errors. It is assumed that the source encoder is channel-agnostic, i.e., that a Vector Quantization (VQ) based compression designed for a noiseless channel is employed. The index output by the source encoder is sent over a noisy memoryless discrete symmetric channel, and the possibly incorrect received index is decoded by the corresponding VQ decoder. The output of the VQ decoder is processed by a receive filter to obtain an estimate of the source instantiation. In the sequel, the optimum linear receive filter structure to minimize the overall MSE is derived, and shown to have a minimum-mean squared error receiver type structure. Further, expressions are derived for the resulting high-rate MSE performance. The performance is compared with the MSE obtained using conventional VQ as well as the channel optimized VQ. The accuracy of the expressions is demonstrated through Monte Carlo simulations.

Performance analysis of a modified spatial smoothing technique for direction estimation

The statistical performance analysis of ESPRIT, root-MUSIC, minimum-norm methods for direction estimation, due to finite data perturbations, using the modified spatially smoothed covariance matrix, is developed. Expressions for the mean-squared error in the direction estimates are derived based on a common framework. Based on the analysis, the use of the modified smoothed covariance matrix improves the performance of the methods when the sources are fully correlated. Also, the performance is better even when the number of subarrays is large unlike in the case of the conventionally smoothed covariance matrix. However, the performance for uncorrelated sources deteriorates due to an artificial correlation introduced by the modified smoothing. The theoretical expressions are validated using extensive simulations. (C) 1999 Elsevier Science B.V. All rights reserved.

Jointly Optimal MMSE design for non-redundant FIR precoding and equalization

We provide a filterbank precoding framework (FBP) for frequency selective channels using the minimum mean squared error (MMSE) criterion. The design obviates the need for introducing a guard interval between successive blocks, and hence can achieve the maximum possible bandwidth efficiency. This is especially useful in cases where the channel is of a high order. We treat both the presence and the absence of channel knowledge at the transmitter. In the former case, we obtain the jointly optimal precoder-equalizer pair of the specified order. In the latter case, we use a zero padding precoder, and obtain the MMSE equalizer. No restriction on the dimension or nature of the channel matrix is imposed. Simulation results indicate that the filterbank approach outperforms block based methods like OFDM and eigenmode precoding.

High-rate analysis of channel-optimized vector quantization

High-rate analysis of channel-optimized vector quantizationThis paper considers the high-rate performance of channel optimized source coding for noisy discrete symmetric channels with random index assignment. Specifically, with mean squared error (MSE) as the performance metric, an upper bound on the asymptotic (i.e., high-rate) distortion is derived by assuming a general structure on the codebook. This structure enables extension of the analysis of the channel optimized source quantizer to one with a singular point density: for channels with small errors, the point density that minimizes the upper bound is continuous, while as the error rate increases, the point density becomes singular. The extent of the singularity is also characterized. The accuracy of the expressions obtained are verified through Monte Carlo simulations.

Design of MMSE filterbank precoder and equalizer for MIMO frequency selective channels

In this paper, we consider the problem of designing minimum mean squared error (MMSE) filterbank precoder and equalizer for multiple input multiple output (MIMO) frequency selective channels. We derive the conditions to be satisfied by the optimal precoder-equalizer pair, and provide an iterative algorithm for solving them. The optimal design is very general, in that it is not constrained by channel dimensions, channel order, channel rank, or the input constellation. We also discuss some pertinent difierences between the filterbank approach and the space-time approach to the design of optimal precoder and equalizer. Simulation results demonstrate that the proposed design performs better than the space-time systems while supporting a higher data rate.

High-Rate Vector Quantization for Noisy Channels With Applications to Wideband Speech Spectrum Compression

This paper considers the high-rate performance of source coding for noisy discrete symmetric channels with random index assignment (IA). Accurate analytical models are developed to characterize the expected distortion performance of vector quantization (VQ) for a large class of distortion measures. It is shown that when the point density is continuous, the distortion can be approximated as the sum of the source quantization distortion and the channel-error induced distortion. Expressions are also derived for the continuous point density that minimizes the expected distortion. Next, for the case of mean squared error distortion, a more accurate analytical model for the distortion is derived by allowing the point density to have a singular component. The extent of the singularity is also characterized. These results provide analytical models for the expected distortion performance of both conventional VQ as well as for channel-optimized VQ. As a practical example, compression of the linear predictive coding parameters in the wideband speech spectrum is considered, with the log spectral distortion as performance metric. The theory is able to correctly predict the channel error rate that is permissible for operation at a particular level of distortion.

SURE-FAST BILATERAL FILTERS

Edge-preserving smoothing is widely used in image processing and bilateral filtering is one way to achieve it. Bilateral filter is a nonlinear combination of domain and range filters. Implementing the classical bilateral filter is computationally intensive, owing to the nonlinearity of the range filter. In the standard form, the domain and range filters are Gaussian functions and the performance depends on the choice of the filter parameters. Recently, a constant time implementation of the bilateral filter has been proposed based on raisedcosine approximation to the Gaussian to facilitate fast implementation of the bilateral filter. We address the problem of determining the optimal parameters for raised-cosine-based constant time implementation of the bilateral filter. To determine the optimal parameters, we propose the use of Stein's unbiased risk estimator (SURE). The fast bilateral filter accelerates the search for optimal parameters by faster optimization of the SURE cost. Experimental results show that the SURE-optimal raised-cosine-based bilateral filter has nearly the same performance as the SURE-optimal standard Gaussian bilateral filter and the Oracle mean squared error (MSE)-based optimal bilateral filter.