Empirical likelihood based longitudinal studies

In longitudinal data analysis, our primary interest is in the regression parameters for the marginal expectations of the longitudinal responses; the longitudinal correlation parameters are of secondary interest. The joint likelihood function for longitudinal data is challenging, particularly for correlated discrete outcome data. Marginal modeling approaches such as generalized estimating equations (GEEs) have received much attention in the context of longitudinal regression. These methods are based on the estimates of the first two moments of the data and the working correlation structure. The confidence regions and hypothesis tests are based on the asymptotic normality. The methods are sensitive to misspecification of the variance function and the working correlation structure. Because of such misspecifications, the estimates can be inefficient and inconsistent, and inference may give incorrect results. To overcome this problem, we propose an empirical likelihood (EL) procedure based on a set of estimating equations for the parameter of interest and discuss its characteristics and asymptotic properties. We also provide an algorithm based on EL principles for the estimation of the regression parameters and the construction of a confidence region for the parameter of interest. We extend our approach to variable selection for highdimensional longitudinal data with many covariates. In this situation it is necessary to identify a submodel that adequately represents the data. Including redundant variables may impact the model’s accuracy and efficiency for inference. We propose a penalized empirical likelihood (PEL) variable selection based on GEEs; the variable selection and the estimation of the coefficients are carried out simultaneously. We discuss its characteristics and asymptotic properties, and present an algorithm for optimizing PEL. Simulation studies show that when the model assumptions are correct, our method performs as well as existing methods, and when the model is misspecified, it has clear advantages. We have applied the method to two case examples.

Lattice approach to the dynamics of the DPSK-encoded soliton trains

We study the dynamical properties of the RZ-DPSK encoded sequences, focusing on the instabilities in the soliton train leading to the distortions of the information transmitted. The problem is reformulated within the framework of complex Toda chain model which allows one to carry out the simplified description of the optical soliton dynamics. We elucidate how the bit composition of the pattern affects the initial (linear) stage of the train dynamics and explain the general mechanisms of the appearance of unstable collective soliton modes. Then we discuss the nonlinear regime using asymptotic properties of the pulse stream at large propagation distances and analyze the dynamical behavior of the train classifying different scenarios for the pattern instabilities. Both approaches are based on the machinery of Hermitian and non-Hermitian lattice analysis. © 2010 IEEE.

Geometry of Dirac Operators

Let $M$ be a compact, oriented, even dimensional Riemannian manifold and let $S$ be a Clifford bundle over $M$ with Dirac operator $D$. Then \[ \textsc{Atiyah Singer: } \quad \text{Ind } \mathsf{D}= \int_M \hat{\mathcal{A}}(TM)\wedge \text{ch}(\mathcal{V}) \] where $\mathcal{V} =\text{Hom}_{\mathbb{C}l(TM)}(\slashed{\mathsf{S}},S)$. We prove the above statement with the means of the heat kernel of the heat semigroup $e^{-tD^2}$. The first outstanding result is the McKean-Singer theorem that describes the index in terms of the supertrace of the heat kernel. The trace of heat kernel is obtained from local geometric information. Moreover, if we use the asymptotic expansion of the kernel we will see that in the computation of the index only one term matters. The Berezin formula tells us that the supertrace is nothing but the coefficient of the Clifford top part, and at the end, Getzler calculus enables us to find the integral of these top parts in terms of characteristic classes.

Analysis of Self-Organization

The dissertation is devoted to the study of problems in calculus of variation, free boundary problems and gradient flows with respect to the Wasserstein metric. More concretely, we consider the problem of characterizing the regularity of minimizers to a certain interaction energy. Minimizers of the interaction energy have a somewhat surprising relationship with solutions to obstacle problems. Here we prove and exploit this relationship to obtain novel regularity results. Another problem we tackle is describing the asymptotic behavior of the Cahn-Hilliard equation with degenerate mobility. By framing the Cahn-Hilliard equation with degenerate mobility as a gradient flow in Wasserstein metric, in one space dimension, we prove its convergence to a degenerate parabolic equation under the framework recently developed by Sandier-Serfaty.

Nonlinear evolution of harmonically forced perturbations on a wingtip vortex

Wingtip vortices are created by flying airplanes due to lift generation. The vortex interaction with the trailing aircraft has sparked researchers’ interest to develop an efficient technique to destroy these vortices. Different models have been used to describe the vortex dynamics and they all show that, under real flight conditions, the most unstable modes produce a very weak amplification. Another linear instability mechanism that can produce high energy gains in short times is due to the non-normality of the system. Recently, it has been shown that these non-normal perturbations also produce this energy growth when they are excited with harmonic forcing functions. In this study, we analyze numerically the nonlinear evolution of a spatially, pointwise and temporally forced perturbation, generated by a synthetic jet at a given radial distance from the vortex core. This type of perturbation is able to produce high energy gains in the perturbed base flow (10^3), and is also a suitable candidate for use in engineering applications. The flow field is solved for using fully nonlinear three-dimensional direct numerical simulation with a spectral multidomain penalty method model. Our novel results show that the nonlinear effects are able to produce locally small bursts of instability that reduce the intensity of the primary vortex.

Improved inference in the evaluation of mutual fund performance using bootstrap methods

Two new methodologies are introduced to improve inference in the evaluation of mutual fund performance against benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non-normality of individual mutual fund returns is accounted for by using panel bootstrap methods. We also augment the standard benchmark factors with fund-specific characteristics, such as fund size. Using a dataset of UK equity mutual fund returns, we find that fund size has a negative effect on the average fund manager’s benchmark-adjusted performance. Further, when we allow for time effects and the non-normality of fund returns, we find that there is no evidence that even the best performing fund managers can significantly out-perform the augmented benchmarks after fund management charges are taken into account.

Hilbert Space Valued Signal Plus Noise Models: Analysis of Structural Breaks under High Dimensionality and Temporal Dependence

This thesis is concerned with change point analysis for time series, i.e. with detection of structural breaks in time-ordered, random data. This long-standing research field regained popularity over the last few years and is still undergoing, as statistical analysis in general, a transformation to high-dimensional problems. We focus on the fundamental »change in the mean« problem and provide extensions of the classical non-parametric Darling-Erdős-type cumulative sum (CUSUM) testing and estimation theory within highdimensional Hilbert space settings. In the first part we contribute to (long run) principal component based testing methods for Hilbert space valued time series under a rather broad (abrupt, epidemic, gradual, multiple) change setting and under dependence. For the dependence structure we consider either traditional m-dependence assumptions or more recently developed m-approximability conditions which cover, e.g., MA, AR and ARCH models. We derive Gumbel and Brownian bridge type approximations of the distribution of the test statistic under the null hypothesis of no change and consistency conditions under the alternative. A new formulation of the test statistic using projections on subspaces allows us to simplify the standard proof techniques and to weaken common assumptions on the covariance structure. Furthermore, we propose to adjust the principal components by an implicit estimation of a (possible) change direction. This approach adds flexibility to projection based methods, weakens typical technical conditions and provides better consistency properties under the alternative. In the second part we contribute to estimation methods for common changes in the means of panels of Hilbert space valued time series. We analyze weighted CUSUM estimates within a recently proposed »high-dimensional low sample size (HDLSS)« framework, where the sample size is fixed but the number of panels increases. We derive sharp conditions on »pointwise asymptotic accuracy« or »uniform asymptotic accuracy« of those estimates in terms of the weighting function. Particularly, we prove that a covariance-based correction of Darling-Erdős-type CUSUM estimates is required to guarantee uniform asymptotic accuracy under moderate dependence conditions within panels and that these conditions are fulfilled, e.g., by any MA(1) time series. As a counterexample we show that for AR(1) time series, close to the non-stationary case, the dependence is too strong and uniform asymptotic accuracy cannot be ensured. Finally, we conduct simulations to demonstrate that our results are practically applicable and that our methodological suggestions are advantageous.

Knockin' on Digital Doors. Dealing with online [dis]credit in an era of digital scientific inquiry

This chapter aims at presenting and discussing credible online recruitment eliciting techniques targeting scientific purposes adjusted to the digital age. Based on several illustrations conducted by the author within the framework of both quantitative and qualitative inquiries, this chapter critically explores the digital ethos in three main challenges faced when dealing with online recruitment for scientific purposes: entering the normality of the everyday life, entering the idiosyncrasy of multicultural lives, and entering the chaos of busy lives. By the end, a toolbox for establishing and evaluating (dis)credibility within online recruitment strategies is presented. Moreover, it is argued that success of data collection at the present time in online environments seems to rely as ever on internal factors of the communication process vis-à-vis e-mail content, design and related strategies.

An effective approach to verbose queries using a limited dependencies language model

Intuitively, any `bag of words' approach in IR should benefit from taking term dependencies into account. Unfortunately, for years the results of exploiting such dependencies have been mixed or inconclusive. To improve the situation, this paper shows how the natural language properties of the target documents can be used to transform and enrich the term dependencies to more useful statistics. This is done in three steps. The term co-occurrence statistics of queries and documents are each represented by a Markov chain. The paper proves that such a chain is ergodic, and therefore its asymptotic behavior is unique, stationary, and independent of the initial state. Next, the stationary distribution is taken to model queries and documents, rather than their initial distri- butions. Finally, ranking is achieved following the customary language modeling paradigm. The main contribution of this paper is to argue why the asymptotic behavior of the document model is a better representation then just the document's initial distribution. A secondary contribution is to investigate the practical application of this representation in case the queries become increasingly verbose. In the experiments (based on Lemur's search engine substrate) the default query model was replaced by the stable distribution of the query. Just modeling the query this way already resulted in significant improvements over a standard language model baseline. The results were on a par or better than more sophisticated algorithms that use fine-tuned parameters or extensive training. Moreover, the more verbose the query, the more effective the approach seems to become.

Population Monte Carlo Algorithm in High Dimensions

The population Monte Carlo algorithm is an iterative importance sampling scheme for solving static problems. We examine the population Monte Carlo algorithm in a simplified setting, a single step of the general algorithm, and study a fundamental problem that occurs in applying importance sampling to high-dimensional problem. The precision of the computed estimate from the simplified setting is measured by the asymptotic variance of estimate under conditions on the importance function. We demonstrate the exponential growth of the asymptotic variance with the dimension and show that the optimal covariance matrix for the importance function can be estimated in special cases.

Modelling Spikes in Electricity Prices

uring periods of market stress, electricity prices can rise dramatically. Electricity retailers cannot pass these extreme prices on to customers because of retail price regulation. Improved prediction of these price spikes therefore is important for risk management. This paper builds a time-varying-probability Markov-switching model of Queensland electricity prices, aimed particularly at forecasting price spikes. Variables capturing demand and weather patterns are used to drive the transition probabilities. Unlike traditional Markov-switching models that assume normality of the prices in each state, the model presented here uses a generalised beta distribution to allow for the skewness in the distribution of electricity prices during high-price episodes.

Bayesian hybrid algorithms and models : implementation and associated issues

This thesis addresses computational challenges arising from Bayesian analysis of complex real-world problems. Many of the models and algorithms designed for such analysis are ‘hybrid’ in nature, in that they are a composition of components for which their individual properties may be easily described but the performance of the model or algorithm as a whole is less well understood. The aim of this research project is to after a better understanding of the performance of hybrid models and algorithms. The goal of this thesis is to analyse the computational aspects of hybrid models and hybrid algorithms in the Bayesian context. The first objective of the research focuses on computational aspects of hybrid models, notably a continuous finite mixture of t-distributions. In the mixture model, an inference of interest is the number of components, as this may relate to both the quality of model fit to data and the computational workload. The analysis of t-mixtures using Markov chain Monte Carlo (MCMC) is described and the model is compared to the Normal case based on the goodness of fit. Through simulation studies, it is demonstrated that the t-mixture model can be more flexible and more parsimonious in terms of number of components, particularly for skewed and heavytailed data. The study also reveals important computational issues associated with the use of t-mixtures, which have not been adequately considered in the literature. The second objective of the research focuses on computational aspects of hybrid algorithms for Bayesian analysis. Two approaches will be considered: a formal comparison of the performance of a range of hybrid algorithms and a theoretical investigation of the performance of one of these algorithms in high dimensions. For the first approach, the delayed rejection algorithm, the pinball sampler, the Metropolis adjusted Langevin algorithm, and the hybrid version of the population Monte Carlo (PMC) algorithm are selected as a set of examples of hybrid algorithms. Statistical literature shows how statistical efficiency is often the only criteria for an efficient algorithm. In this thesis the algorithms are also considered and compared from a more practical perspective. This extends to the study of how individual algorithms contribute to the overall efficiency of hybrid algorithms, and highlights weaknesses that may be introduced by the combination process of these components in a single algorithm. The second approach to considering computational aspects of hybrid algorithms involves an investigation of the performance of the PMC in high dimensions. It is well known that as a model becomes more complex, computation may become increasingly difficult in real time. In particular the importance sampling based algorithms, including the PMC, are known to be unstable in high dimensions. This thesis examines the PMC algorithm in a simplified setting, a single step of the general sampling, and explores a fundamental problem that occurs in applying importance sampling to a high-dimensional problem. The precision of the computed estimate from the simplified setting is measured by the asymptotic variance of the estimate under conditions on the importance function. Additionally, the exponential growth of the asymptotic variance with the dimension is demonstrated and we illustrates that the optimal covariance matrix for the importance function can be estimated in a special case.

Dynamic Image-based visual servo control using centroid and optic flow features

This paper considers the question of designing a fully image-based visual servo control for a class of dynamic systems. The work is motivated by the ongoing development of image-based visual servo control of small aerial robotic vehicles. The kinematics and dynamics of a rigid-body dynamical system (such as a vehicle airframe) maneuvering over a flat target plane with observable features are expressed in terms of an unnormalized spherical centroid and an optic flow measurement. The image-plane dynamics with respect to force input are dependent on the height of the camera above the target plane. This dependence is compensated by introducing virtual height dynamics and adaptive estimation in the proposed control. A fully nonlinear adaptive control design is provided that ensures asymptotic stability of the closed-loop system for all feasible initial conditions. The choice of control gains is based on an analysis of the asymptotic dynamics of the system. Results from a realistic simulation are presented that demonstrate the performance of the closed-loop system. To the author's knowledge, this paper documents the first time that an image-based visual servo control has been proposed for a dynamic system using vision measurement for both position and velocity.

Numerical solution to the Saffman-Taylor finger problem with kinetic undercooling regularisation

The Saffman-Taylor finger problem is to predict the shape and,in particular, width of a finger of fluid travelling in a Hele-Shaw cell filled with a different, more viscous fluid. In experiments the width is dependent on the speed of propagation of the finger, tending to half the total cell width as the speed increases. To predict this result mathematically, nonlinear effects on the fluid interface must be considered; usually surface tension is included for this purpose. This makes the mathematical problem suffciently diffcult that asymptotic or numerical methods must be used. In this paper we adapt numerical methods used to solve the Saffman-Taylor finger problem with surface tension to instead include the effect of kinetic undercooling, a regularisation effect important in Stefan melting-freezing problems, for which Hele-Shaw flow serves as a leading order approximation when the specific heat of a substance is much smaller than its latent heat. We find the existence of a solution branch where the finger width tends to zero as the propagation speed increases, disagreeing with some aspects of the asymptotic analysis of the same problem. We also find a second solution branch, supporting the idea of a countably infinite number of branches as with the surface tension problem.

An effective approach to verbose queries using a limited dependencies language model

Intuitively, any ‘bag of words’ approach in IR should benefit from taking term dependencies into account. Unfortunately, for years the results of exploiting such dependencies have been mixed or inconclusive. To improve the situation, this paper shows how the natural language properties of the target documents can be used to transform and enrich the term dependencies to more useful statistics. This is done in three steps. The term co-occurrence statistics of queries and documents are each represented by a Markov chain. The paper proves that such a chain is ergodic, and therefore its asymptotic behavior is unique, stationary, and independent of the initial state. Next, the stationary distribution is taken to model queries and documents, rather than their initial distributions. Finally, ranking is achieved following the customary language modeling paradigm. The main contribution of this paper is to argue why the asymptotic behavior of the document model is a better representation then just the document’s initial distribution. A secondary contribution is to investigate the practical application of this representation in case the queries become increasingly verbose. In the experiments (based on Lemur’s search engine substrate) the default query model was replaced by the stable distribution of the query. Just modeling the query this way already resulted in significant improvements over a standard language model baseline. The results were on a par or better than more sophisticated algorithms that use fine-tuned parameters or extensive training. Moreover, the more verbose the query, the more effective the approach seems to become.