A new approach to spatial data interpolation using higher-order statistics

Interpolation techniques for spatial data have been applied frequently in various fields of geosciences. Although most conventional interpolation methods assume that it is sufficient to use first- and second-order statistics to characterize random fields, researchers have now realized that these methods cannot always provide reliable interpolation results, since geological and environmental phenomena tend to be very complex, presenting non-Gaussian distribution and/or non-linear inter-variable relationship. This paper proposes a new approach to the interpolation of spatial data, which can be applied with great flexibility. Suitable cross-variable higher-order spatial statistics are developed to measure the spatial relationship between the random variable at an unsampled location and those in its neighbourhood. Given the computed cross-variable higher-order spatial statistics, the conditional probability density function (CPDF) is approximated via polynomial expansions, which is then utilized to determine the interpolated value at the unsampled location as an expectation. In addition, the uncertainty associated with the interpolation is quantified by constructing prediction intervals of interpolated values. The proposed method is applied to a mineral deposit dataset, and the results demonstrate that it outperforms kriging methods in uncertainty quantification. The introduction of the cross-variable higher-order spatial statistics noticeably improves the quality of the interpolation since it enriches the information that can be extracted from the observed data, and this benefit is substantial when working with data that are sparse or have non-trivial dependence structures.

The subordinated processes controlled by a family of subordinators and corresponding Fokker-Planck type equations

In this work, we consider subordinated processes controlled by a family of subordinators which consist of a power function of a time variable and a negative power function of an α-stable random variable. The effect of parameters in the subordinators on the subordinated process is discussed. By suitable variable substitutions and the Laplace transform technique, the corresponding fractional Fokker–Planck-type equations are derived. We also compute their mean square displacements in a free force field. By choosing suitable ranges of parameters, the resulting subordinated processes may be subdiffusive, normal diffusive or superdiffusive

Influence of spatial variability of permeability property on steady state seepage flow and slope stability analysis

In recent years, spatial variability modeling of soil parameters using random field theory has gained distinct importance in geotechnical analysis. In the present Study, commercially available finite difference numerical code FLAC 5.0 is used for modeling the permeability parameter as spatially correlated log-normally distributed random variable and its influence on the steady state seepage flow and on the slope stability analysis are studied. Considering the case of a 5.0 m high cohesive-frictional soil slope of 30 degrees, a range of coefficients of variation (CoV%) from 60 to 90% in the permeability Values, and taking different values of correlation distance in the range of 0.5-15 m, parametric studies, using Monte Carlo simulations, are performed to study the following three aspects, i.e., (i) effect ostochastic soil permeability on the statistics of seepage flow in comparison to the analytic (Dupuit's) solution available for the uniformly constant permeability property; (ii) strain and deformation pattern, and (iii) stability of the given slope assessed in terms of factor of safety (FS). The results obtained in this study are useful to understand the role of permeability variations in slope stability analysis under different slope conditions and material properties. (C) 2009 Elsevier B.V. All rights reserved.

A statistical analysis of audience sound absorption (A)

The absorption produced by the audience in concert halls is considered a random variable. Beranek's proposal [L. L. Beranek, Music, Acoustics and Architecture (Wiley, New York, 1962), p. 543] that audience absorption is proportional to the area they occupy and not to their number is subjected to a statistical hypothesis test. A two variable linear regression model of the absorption with audience area and residual area as regressor variables is postulated for concert halls without added absorptive materials. Since Beranek's contention amounts to the statement that audience absorption is independent of the seating density, the test of the hypothesis lies in categorizing halls by seating density and examining for significant differences among slopes of regression planes of the different categories. Such a test shows that Beranek's hypothesis can be accepted. It is also shown that the audience area is a better predictor of the absorption than the audience number. The absorption coefficients and their 95% confidence limits are given for the audience and residual areas. A critique of the regression model is presented.

An Accurate Model for EESM and its Application to Analysis of CQI Feedback Schemes and Scheduling in LTE

The Effective Exponential SNR Mapping (EESM) is an indispensable tool for analyzing and simulating next generation orthogonal frequency division multiplexing (OFDM) based wireless systems. It converts the different gains of multiple subchannels, over which a codeword is transmitted, into a single effective flat-fading gain with the same codeword error rate. It facilitates link adaptation by helping each user to compute an accurate channel quality indicator (CQI), which is fed back to the base station to enable downlink rate adaptation and scheduling. However, the highly non-linear nature of EESM makes a performance analysis of adaptation and scheduling difficult; even the probability distribution of EESM is not known in closed-form. This paper shows that EESM can be accurately modeled as a lognormal random variable when the subchannel gains are Rayleigh distributed. The model is also valid when the subchannel gains are correlated in frequency or space. With some simplifying assumptions, the paper then develops a novel analysis of the performance of LTE's two CQI feedback schemes that use EESM to generate CQI. The comprehensive model and analysis quantify the joint effect of several critical components such as scheduler, multiple antenna mode, CQI feedback scheme, and EESM-based feedback averaging on the overall system throughput.

Intensity profile of light scattered from a rough surface

We present in this paper, approximate analytical expressions for the intensity of light scattered by a rough surface, whose elevation. xi(x,y) in the z-direction is a zero mean stationary Gaussian random variable. With (x,y) and (x',y') being two points on the surface, we have h. = 0 with a correlation, = sigma(2)g(r), where r = (x - x')(2) + ( y - y')(2)](1/2) is the distance between these two points. We consider g(r) = exp-r/l)(beta)] with 1 <= beta <= 2, showing that g(0) = 1 and g(r) -> 0 for r >> l. The intensity expression is sought to be expressed as f(v(xy)) = {1 + (c/2y)v(x)(2) + v(y)(2)]}(-y), where v(x) and v(y) are the wave vectors of scattering, as defined by the Beckmann notation. In the paper, we present expressions for c and y, in terms of sigma, l, and beta. The closed form expressions are verified to be true, for the cases beta = 1 and beta = 2, for which exact expressions are known. For other cases, i.e., beta not equal 1, 2 we present approximate expressions for the scattered intensity, in the range, v(xy) = (v(x)(2) + v(y)(2))(1/2) <= 6.0 and show that the relation for f(v(xy)), given above, expresses the scattered intensity quite accurately, thus providing a simple computational methods in situations of practical importance.

Formulation of a mathematical approach to regional frequency analysis

Estimation of design quantiles of hydrometeorological variables at critical locations in river basins is necessary for hydrological applications. To arrive at reliable estimates for locations (sites) where no or limited records are available, various regional frequency analysis (RFA) procedures have been developed over the past five decades. The most widely used procedure is based on index-flood approach and L-moments. It assumes that values of scale and shape parameters of frequency distribution are identical across all the sites in a homogeneous region. In real-world scenario, this assumption may not be valid even if a region is statistically homogeneous. To address this issue, a novel mathematical approach is proposed. It involves (i) identification of an appropriate frequency distribution to fit the random variable being analyzed for homogeneous region, (ii) use of a proposed transformation mechanism to map observations of the variable from original space to a dimensionless space where the form of distribution does not change, and variation in values of its parameters is minimal across sites, (iii) construction of a growth curve in the dimensionless space, and (iv) mapping the curve to the original space for the target site by applying inverse transformation to arrive at required quantile(s) for the site. Effectiveness of the proposed approach (PA) in predicting quantiles for ungauged sites is demonstrated through Monte Carlo simulation experiments considering five frequency distributions that are widely used in RFA, and by case study on watersheds in conterminous United States. Results indicate that the PA outperforms methods based on index-flood approach.

Response of vertically loaded pile in clay: a probabilistic study

This study presents the response of a vertically loaded pile in undrained clay considering spatially distributed undrained shear strength. The probabilistic study is performed considering undrained shear strength as random variable and the analysis is conducted using random field theory. The inherent soil variability is considered as source of variability and the field is modeled as two dimensional non-Gaussian homogeneous random field. Random field is simulated using Cholesky decomposition technique within the finite difference program and Monte Carlo simulation approach is considered for the probabilistic analysis. The influence of variance and spatial correlation of undrained shear strength on the ultimate capacity as summation of ultimate skin friction and end bearing resistance of pile are examined. It is observed that the coefficient of variation and spatial correlation distance are the most important parameters that affect the pile ultimate capacity.

Global response sensitivity analysis using probability distance measures and generalization of Sobol's analysis

The study introduces two new alternatives for global response sensitivity analysis based on the application of the L-2-norm and Hellinger's metric for measuring distance between two probabilistic models. Both the procedures are shown to be capable of treating dependent non-Gaussian random variable models for the input variables. The sensitivity indices obtained based on the L2-norm involve second order moments of the response, and, when applied for the case of independent and identically distributed sequence of input random variables, it is shown to be related to the classical Sobol's response sensitivity indices. The analysis based on Hellinger's metric addresses variability across entire range or segments of the response probability density function. The measure is shown to be conceptually a more satisfying alternative to the Kullback-Leibler divergence based analysis which has been reported in the existing literature. Other issues addressed in the study cover Monte Carlo simulation based methods for computing the sensitivity indices and sensitivity analysis with respect to grouped variables. Illustrative examples consist of studies on global sensitivity analysis of natural frequencies of a random multi-degree of freedom system, response of a nonlinear frame, and safety margin associated with a nonlinear performance function. (C) 2015 Elsevier Ltd. All rights reserved.

Quantifying synergistic information

Within the microcosm of information theory, I explore what it means for a system to be functionally irreducible. This is operationalized as quantifying the extent to which cooperative or “synergistic” effects enable random variables X₁, ... , X_n to predict (have mutual information about) a single target random variable Y . In Chapter 1, we introduce the problem with some emblematic examples. In Chapter 2, we show how six different measures from the existing literature fail to quantify this notion of synergistic mutual information. In Chapter 3 we take a step towards a measure of synergy which yields the first nontrivial lowerbound on synergistic mutual information. In Chapter 4, we find that synergy is but the weakest notion of a broader concept of irreducibility. In Chapter 5, we apply our results from Chapters 3 and 4 towards grounding Giulio Tononi’s ambitious φ measure which attempts to quantify the magnitude of consciousness experience.

Call admission control algorithms in OFDM-based wireless multiservice networks

Orthogonal frequency division multiplexing(OFDM) is becoming a fundamental technology in future generation wireless communications. Call admission control is an effective mechanism to guarantee resilient, efficient, and quality-of-service (QoS) services in wireless mobile networks. In this paper, we present several call admission control algorithms for OFDM-based wireless multiservice networks. Call connection requests are differentiated into narrow-band calls and wide-band calls. For either class of calls, the traffic process is characterized as batch arrival since each call may request multiple subcarriers to satisfy its QoS requirement. The batch size is a random variable following a probability mass function (PMF) with realistically maximum value. In addition, the service times for wide-band and narrow-band calls are different. Following this, we perform a tele-traffic queueing analysis for OFDM-based wireless multiservice networks. The formulae for the significant performance metrics call blocking probability and bandwidth utilization are developed. Numerical investigations are presented to demonstrate the interaction between key parameters and performance metrics. The performance tradeoff among different call admission control algorithms is discussed. Moreover, the analytical model has been validated by simulation. The methodology as well as the result provides an efficient tool for planning next-generation OFDM-based broadband wireless access systems.

Stochastic Analysis of Saltwater Intrusion in Heterogeneous Aquifers using Local Average Subdivision

This study investigates the effects of ground heterogeneity, considering permeability as a random variable, on an intruding SW wedge using Monte Carlo simulations. Random permeability fields were generated, using the method of Local Average Subdivision (LAS), based on a lognormal probability density function. The LAS method allows the creation of spatially correlated random fields, generated using coefficients of variation (COV) and horizontal and vertical scales of fluctuation (SOF). The numerical modelling code SUTRA was employed to solve the coupled flow and transport problem. The well-defined 2D dispersive Henry problem was used as the test case for the method. The intruding SW wedge is defined by two key parameters, the toe penetration length (TL) and the width of mixing zone (WMZ). These parameters were compared to the results of a homogeneous case simulated using effective permeability values. The simulation results revealed: (1) an increase in COV resulted in a seaward movement of TL; (2) the WMZ extended with increasing COV; (3) a general increase in horizontal and vertical SOF produced a seaward movement of TL, with the WMZ increasing slightly; (4) as the anisotropic ratio increased the TL intruded further inland and the WMZ reduced in size. The results show that for large values of COV, effective permeability parameters are inadequate at reproducing the effects of heterogeneity on SW intrusion.

Jumps in the Volatility of Financial Markets.

Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and Hidalgo (1996) to higher conditional moments, in particular the conditional variance. Simulation results show that the procedure provides reasonable estimates of the number and location of jumps. This procedure detects several jumps in the conditional variance of daily returns on the S&P 500 index.

Testing Normality : A GMM Approach

In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the Stein (1972) equations. They coincide with the first class of moment conditions derived by Hansen and Scheinkman (1995) when the random variable of interest is a scalar diffusion. Among other examples, Stein equation implies that the mean of Hermite polynomials is zero. The GMM approach we adopted is well suited for two reasons. It allows us to study in detail the parameter uncertainty problem, i.e., when the tests depend on unknown parameters that have to be estimated. In particular, we characterize the moment conditions that are robust against parameter uncertainty and show that Hermite polynomials are special examples. This is the main contribution of the paper. The second reason for using GMM is that our tests are also valid for time series. In this case, we adopt a Heteroskedastic-Autocorrelation-Consistent approach to estimate the weighting matrix when the dependence of the data is unspecified. We also make a theoretical comparison of our tests with Jarque and Bera (1980) and OPG regression tests of Davidson and MacKinnon (1993). Finite sample properties of our tests are derived through a comprehensive Monte Carlo study. Finally, three applications to GARCH and realized volatility models are presented.

New simulation schemes for the Heston model

Les titres financiers sont souvent modélisés par des équations différentielles stochastiques (ÉDS). Ces équations peuvent décrire le comportement de l'actif, et aussi parfois certains paramètres du modèle. Par exemple, le modèle de Heston (1993), qui s'inscrit dans la catégorie des modèles à volatilité stochastique, décrit le comportement de l'actif et de la variance de ce dernier. Le modèle de Heston est très intéressant puisqu'il admet des formules semi-analytiques pour certains produits dérivés, ainsi qu'un certain réalisme. Cependant, la plupart des algorithmes de simulation pour ce modèle font face à quelques problèmes lorsque la condition de Feller (1951) n'est pas respectée. Dans ce mémoire, nous introduisons trois nouveaux algorithmes de simulation pour le modèle de Heston. Ces nouveaux algorithmes visent à accélérer le célèbre algorithme de Broadie et Kaya (2006); pour ce faire, nous utiliserons, entre autres, des méthodes de Monte Carlo par chaînes de Markov (MCMC) et des approximations. Dans le premier algorithme, nous modifions la seconde étape de la méthode de Broadie et Kaya afin de l'accélérer. Alors, au lieu d'utiliser la méthode de Newton du second ordre et l'approche d'inversion, nous utilisons l'algorithme de Metropolis-Hastings (voir Hastings (1970)). Le second algorithme est une amélioration du premier. Au lieu d'utiliser la vraie densité de la variance intégrée, nous utilisons l'approximation de Smith (2007). Cette amélioration diminue la dimension de l'équation caractéristique et accélère l'algorithme. Notre dernier algorithme n'est pas basé sur une méthode MCMC. Cependant, nous essayons toujours d'accélérer la seconde étape de la méthode de Broadie et Kaya (2006). Afin de réussir ceci, nous utilisons une variable aléatoire gamma dont les moments sont appariés à la vraie variable aléatoire de la variance intégrée par rapport au temps. Selon Stewart et al. (2007), il est possible d'approximer une convolution de variables aléatoires gamma (qui ressemble beaucoup à la représentation donnée par Glasserman et Kim (2008) si le pas de temps est petit) par une simple variable aléatoire gamma.