Estimating conditional volatility with neural networks

It is well known that one of the obstacles to effective forecasting of exchange rates is heteroscedasticity (non-stationary conditional variance). The autoregressive conditional heteroscedastic (ARCH) model and its variants have been used to estimate a time dependent variance for many financial time series. However, such models are essentially linear in form and we can ask whether a non-linear model for variance can improve results just as non-linear models (such as neural networks) for the mean have done. In this paper we consider two neural network models for variance estimation. Mixture Density Networks (Bishop 1994, Nix and Weigend 1994) combine a Multi-Layer Perceptron (MLP) and a mixture model to estimate the conditional data density. They are trained using a maximum likelihood approach. However, it is known that maximum likelihood estimates are biased and lead to a systematic under-estimate of variance. More recently, a Bayesian approach to parameter estimation has been developed (Bishop and Qazaz 1996) that shows promise in removing the maximum likelihood bias. However, up to now, this model has not been used for time series prediction. Here we compare these algorithms with two other models to provide benchmark results: a linear model (from the ARIMA family), and a conventional neural network trained with a sum-of-squares error function (which estimates the conditional mean of the time series with a constant variance noise model). This comparison is carried out on daily exchange rate data for five currencies.

Dynamical local models for segmentation and prediction of financial time series

In the analysis and prediction of many real-world time series, the assumption of stationarity is not valid. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We introduce a new model which combines a dynamic switching (controlled by a hidden Markov model) and a non-linear dynamical system. We show how to train this hybrid model in a maximum likelihood approach and evaluate its performance on both synthetic and financial data.

Spectroscopy of Electroproduced Light to Medium Mass Lambda Hypernuclei

The E01-011 experiment at Jefferson Laboratory (JLab) studied light-to-medium mass Λ hypernuclei via the AZ + e → [special characters omitted] + e' + K+ electroproduction reaction. Precise measurement of hypernuclear ground state masses and excitation energies provides information about the nature of hyperon-nucleon interactions. Until recently, hypernuclei were studied at accelerator facilities with intense π+ and K- meson beams. The poor quality of these beams limited the resolution of the hypernuclear excitation energy spectra to about 1.5 MeV (FWHM). This resolution is not sufficient for resolving the rich structure observed in the excitation spectra. By using a high quality electron beam and employing a new high resolution spectrometer system, this study aims to improve the resolution to a few hundred keV with an absolute precision of about 100 keV for excitation energies. In this work the high-resolution excitation spectra of [special characters omitted], and [special characters omitted] hypernuclei are presented. In an attempt to emphasize the presence of the core-excited states we introduced a novel likelihood approach to particle identification (PID) to serve as an alternative to the commonly used standard hard-cut PID. The new method resulted in almost identical missing mass spectra as obtained by the standard approach. An energy resolution of approximately 400–500 keV (FWHM) has been achieved, an unprecedented value in hypernuclear reaction spectroscopy. For [special characters omitted] the core-excited configuration has been clearly observed with significant statistics. The embedded Λ hyperon increases the excitation energies of the 11B nuclear core by 0.5–1 MeV. The [special characters omitted] spectrum has been observed with significant statistics for the first time. The ground state is bound deeper by roughly 400 keV than currently predicted by theory. Indication for the core-excited doublet, which is unbound in the core itself, is observed. The measurement of [special characters omitted] provides the first study of a d-shell hypernucleus with sub-MeV resolution. Discrepancies of up to 2 MeV between measured and theoretically predicted binding energies are found. Similar disagreement exists when comparing to the [special characters omitted] mirror hypernucleus. Also the core-excited structure observed between the major s-, p- and d-shell Λ orbits is not consistent with the available theoretical calculations. In conclusion, the discrepancies found in this study will provide valuable input for the further development of theoretical models.

Automotive Radars:towards smarter vehicles

Radars are expected to become the main sensors in various civilian applications, especially for autonomous driving. Their success is mainly due to the availability of low cost integrated devices, equipped with compact antenna arrays, and computationally efficient signal processing techniques. This thesis focuses on the study and the development of different deterministic and learning based techniques for colocated multiple-input multiple-output (MIMO) radars. In particular, after providing an overview on the architecture of these devices, the problem of detecting and estimating multiple targets in stepped frequency continuous wave (SFCW) MIMO radar systems is investigated and different deterministic techniques solving it are illustrated. Moreover, novel solutions, based on an approximate maximum likelihood approach, are developed. The accuracy achieved by all the considered algorithms is assessed on the basis of the raw data acquired from low power wideband radar devices. The results demonstrate that the developed algorithms achieve reasonable accuracies, but at the price of different computational efforts. Another important technical problem investigated in this thesis concerns the exploitation of machine learning and deep learning techniques in the field of colocated MIMO radars. In this thesis, after providing a comprehensive overview of the machine learning and deep learning techniques currently being considered for use in MIMO radar systems, their performance in two different applications is assessed on the basis of synthetically generated and experimental datasets acquired through a commercial frequency modulated continuous wave (FMCW) MIMO radar. Finally, the application of colocated MIMO radars to autonomous driving in smart agriculture is illustrated.

Didanosine-loaded Chitosan Microspheres Optimized By Surface-response Methodology: A Modified Maximum Likelihood Classification" Approach Formulation For Reverse Transcriptase Inhibitors."

Didanosine-loaded chitosan microspheres were developed applying a surface-response methodology and using a modified Maximum Likelihood Classification. The operational conditions were optimized with the aim of maintaining the active form of didanosine (ddI), which is sensitive to acid pH, and to develop a modified and mucoadhesive formulation. The loading of the drug within the chitosan microspheres was carried out by ionotropic gelation technique with sodium tripolyphosphate (TPP) as cross-linking agent and magnesium hydroxide (Mg(OH)2) to assure the stability of ddI. The optimization conditions were set using a surface-response methodology and applying the Maximum Likelihood Classification, where the initial chitosan concentration, TPP and ddI concentration were set as the independent variables. The maximum ddI-loaded in microspheres (i.e. 1433mg of ddI/g chitosan), was obtained with 2% (w/v) chitosan and 10% TPP. The microspheres depicted an average diameter of 11.42μm and ddI was gradually released during 2h in simulated enteric fluid.

Aitchison Geometry for Probability and Likelihood as a new approach to mathematical statistics

The Aitchison vector space structure for the simplex is generalized to a Hilbert space structure A2(P) for distributions and likelihoods on arbitrary spaces. Centralnotations of statistics, such as Information or Likelihood, can be identified in the algebraical structure of A2(P) and their corresponding notions in compositional data analysis, such as Aitchison distance or centered log ratio transform.In this way very elaborated aspects of mathematical statistics can be understoodeasily in the light of a simple vector space structure and of compositional data analysis. E.g. combination of statistical information such as Bayesian updating,combination of likelihood and robust M-estimation functions are simple additions/perturbations in A2(Pprior). Weighting observations corresponds to a weightedaddition of the corresponding evidence.Likelihood based statistics for general exponential families turns out to have aparticularly easy interpretation in terms of A2(P). Regular exponential families formfinite dimensional linear subspaces of A2(P) and they correspond to finite dimensionalsubspaces formed by their posterior in the dual information space A2(Pprior).The Aitchison norm can identified with mean Fisher information. The closing constant itself is identified with a generalization of the cummulant function and shown to be Kullback Leiblers directed information. Fisher information is the local geometry of the manifold induced by the A2(P) derivative of the Kullback Leibler information and the space A2(P) can therefore be seen as the tangential geometry of statistical inference at the distribution P.The discussion of A2(P) valued random variables, such as estimation functionsor likelihoods, give a further interpretation of Fisher information as the expected squared norm of evidence and a scale free understanding of unbiased reasoning

Aitchison Geometry for Probability and Likelihood as a new approach to mathematical statistics

The Aitchison vector space structure for the simplex is generalized to a Hilbert space structure A2(P) for distributions and likelihoods on arbitrary spaces. Central notations of statistics, such as Information or Likelihood, can be identified in the algebraical structure of A2(P) and their corresponding notions in compositional data analysis, such as Aitchison distance or centered log ratio transform. In this way very elaborated aspects of mathematical statistics can be understood easily in the light of a simple vector space structure and of compositional data analysis. E.g. combination of statistical information such as Bayesian updating, combination of likelihood and robust M-estimation functions are simple additions/ perturbations in A2(Pprior). Weighting observations corresponds to a weighted addition of the corresponding evidence. Likelihood based statistics for general exponential families turns out to have a particularly easy interpretation in terms of A2(P). Regular exponential families form finite dimensional linear subspaces of A2(P) and they correspond to finite dimensional subspaces formed by their posterior in the dual information space A2(Pprior). The Aitchison norm can identified with mean Fisher information. The closing constant itself is identified with a generalization of the cummulant function and shown to be Kullback Leiblers directed information. Fisher information is the local geometry of the manifold induced by the A2(P) derivative of the Kullback Leibler information and the space A2(P) can therefore be seen as the tangential geometry of statistical inference at the distribution P. The discussion of A2(P) valued random variables, such as estimation functions or likelihoods, give a further interpretation of Fisher information as the expected squared norm of evidence and a scale free understanding of unbiased reasoning

A novel parallel approach to the likelihood-based estimation of admixture in population genetics

Inferring population admixture from genetic data and quantifying it is a difficult but crucial task in evolutionary and conservation biology. Unfortunately state-of-the-art probabilistic approaches are computationally demanding. Effectively exploiting the computational power of modern multiprocessor systems can thus have a positive impact to Monte Carlo-based simulation of admixture modeling. A novel parallel approach is briefly described and promising results on its message passing interface (MPI)-based C implementation are reported.

Maximum likelihood estimation of a migration matrix and effective population sizes in n subpopulations by using a coalescent approach

A maximum likelihood estimator based on the coalescent for unequal migration rates and different subpopulation sizes is developed. The method uses a Markov chain Monte Carlo approach to investigate possible genealogies with branch lengths and with migration events. Properties of the new method are shown by using simulated data from a four-population n-island model and a source–sink population model. Our estimation method as coded in migrate is tested against genetree; both programs deliver a very similar likelihood surface. The algorithm converges to the estimates fairly quickly, even when the Markov chain is started from unfavorable parameters. The method was used to estimate gene flow in the Nile valley by using mtDNA data from three human populations.

A note on the likelihood and moments of the skew-normal distribution

In this paper an alternative approach to the one in Henze (1986) is proposed for deriving the odd moments of the skew-normal distribution considered in Azzalini (1985). The approach is based on a Pascal type triangle, which seems to greatly simplify moments computation. Moreover, it is shown that the likelihood equation for estimating the asymmetry parameter in such model is generated as orthogonal functions to the sample vector. As a consequence, conditions for a unique solution of the likelihood equation are established, which seem to hold in more general setting.

A frailty modeling approach for parental effects in animal breeding

Survival models involving frailties are commonly applied in studies where correlated event time data arise due to natural or artificial clustering. In this paper we present an application of such models in the animal breeding field. Specifically, a mixed survival model with a multivariate correlated frailty term is proposed for the analysis of data from over 3611 Brazilian Nellore cattle. The primary aim is to evaluate parental genetic effects on the trait length in days that their progeny need to gain a commercially specified standard weight gain. This trait is not measured directly but can be estimated from growth data. Results point to the importance of genetic effects and suggest that these models constitute a valuable data analysis tool for beef cattle breeding.

An integrated molecular map of yellow passion fruit based on simultaneous maximum-likelihood estimation of linkage and linkage phases

The development of genetic maps for auto-incompatible species, such as the yellow passion fruit (Passiflora edulis Sims f.flavicarpa Deg.) is restricted due to the unfeasibility of obtaining traditional mapping populations based on inbred lines. For this reason, yellow passion fruit linkage maps were generally constructed using a strategy known as two-way pseudo-testeross, based on monoparental dominant markers segregating in a 1:1 fashion. Due to the lack of information from these markers in one of the parents, two individual (parental) maps were obtained. However, integration of these maps is essential, and biparental markers can be used for such an operation. The objective of our study was to construct an integrated molecular map for a full-sib population of yellow passion fruit combining different loci configuration generated from amplified fragment length polymorphisms (AFLPs) and microsatellite markers and using a novel approach based on simultaneous maximum-likelihood estimation of linkage and linkage phases, specially designed for outcrossing species. Of the total number of loci, approximate to 76%, 21%, 0.7%, and 2.3% did segregate in 1:1, 3:1, 1:2:1, and 1:1:1:1 ratios, respectively. Ten linkage groups (LGs) were established with a logarithm of the odds (LOD) score >= 5.0 assuming a recombination fraction : <= 0.35. On average, 24 markers were assigned per LG, representing a total map length of 1687 cM, with a marker density of 6.9 cM. No markers were placed as accessories on the map as was done with previously constructed individual maps.

Modelling the Distribution of Ischaemic Stroke-Specific Survival Time Using an EM-based Mixture Approach with Random Effects Adjustment

A two-component survival mixture model is proposed to analyse a set of ischaemic stroke-specific mortality data. The survival experience of stroke patients after index stroke may be described by a subpopulation of patients in the acute condition and another subpopulation of patients in the chronic phase. To adjust for the inherent correlation of observations due to random hospital effects, a mixture model of two survival functions with random effects is formulated. Assuming a Weibull hazard in both components, an EM algorithm is developed for the estimation of fixed effect parameters and variance components. A simulation study is conducted to assess the performance of the two-component survival mixture model estimators. Simulation results confirm the applicability of the proposed model in a small sample setting. Copyright (C) 2004 John Wiley Sons, Ltd.

A multiple-outgroup approach to resolving division-level phylogenetic relationships using 16S rDNA data

The 16S rRNA gene (16S rDNA) is currently the most widely used gene for estimating the evolutionary history of prokaryotes, To date, there are more than 30 000 16S rDNA sequences available from the core databases, GenBank, EMBL and DDBJ, This great number may cause a dilemma when composing datasets for phylogenetic analysis, since the choice and number of reference organisms are known to affect the resulting tree topology. A group of sequences appearing monophyletic in one dataset may not be so in another. This can be especially problematic when establishing the relationships of distantly related sequences at the division (phylum) level. In this study, a multiple-outgroup approach to resolving division-level phylogenetic relationships is suggested using 16S rDNA data. The approach is illustrated by two case studies concerning the monophyly of two recently proposed bacterial divisions, OP9 and OP10.

Maximum Likelihood Estimation of Mixture Densities for Binned and Truncated Multivariate Data

Binning and truncation of data are common in data analysis and machine learning. This paper addresses the problem of fitting mixture densities to multivariate binned and truncated data. The EM approach proposed by McLachlan and Jones (Biometrics, 44: 2, 571-578, 1988) for the univariate case is generalized to multivariate measurements. The multivariate solution requires the evaluation of multidimensional integrals over each bin at each iteration of the EM procedure. Naive implementation of the procedure can lead to computationally inefficient results. To reduce the computational cost a number of straightforward numerical techniques are proposed. Results on simulated data indicate that the proposed methods can achieve significant computational gains with no loss in the accuracy of the final parameter estimates. Furthermore, experimental results suggest that with a sufficient number of bins and data points it is possible to estimate the true underlying density almost as well as if the data were not binned. The paper concludes with a brief description of an application of this approach to diagnosis of iron deficiency anemia, in the context of binned and truncated bivariate measurements of volume and hemoglobin concentration from an individual's red blood cells.