An optimal estimator for the correlation of CMB anisotropies with Large Scale Structures and its application to WMAP-7year and NVSS

In the thesis we present the implementation of the quadratic maximum likelihood (QML) method, ideal to estimate the angular power spectrum of the cross-correlation between cosmic microwave background (CMB) and large scale structure (LSS) maps as well as their individual auto-spectra. Such a tool is an optimal method (unbiased and with minimum variance) in pixel space and goes beyond all the previous harmonic analysis present in the literature. We describe the implementation of the QML method in the {\it BolISW} code and demonstrate its accuracy on simulated maps throughout a Monte Carlo. We apply this optimal estimator to WMAP 7-year and NRAO VLA Sky Survey (NVSS) data and explore the robustness of the angular power spectrum estimates obtained by the QML method. Taking into account the shot noise and one of the systematics (declination correction) in NVSS, we can safely use most of the information contained in this survey. On the contrary we neglect the noise in temperature since WMAP is already cosmic variance dominated on the large scales. Because of a discrepancy in the galaxy auto spectrum between the estimates and the theoretical model, we use two different galaxy distributions: the first one with a constant bias $b$ and the second one with a redshift dependent bias $b(z)$. Finally, we make use of the angular power spectrum estimates obtained by the QML method to derive constraints on the dark energy critical density in a flat $\Lambda$CDM model by different likelihood prescriptions. When using just the cross-correlation between WMAP7 and NVSS maps with 1.8° resolution, we show that $\Omega_\Lambda$ is about the 70\% of the total energy density, disfavouring an Einstein-de Sitter Universe at more than 2 $\sigma$ CL (confidence level).

Control algorithms for large scale adaptive optics

In this dissertation, the problem of creating effective large scale Adaptive Optics (AO) systems control algorithms for the new generation of giant optical telescopes is addressed. The effectiveness of AO control algorithms is evaluated in several respects, such as computational complexity, compensation error rejection and robustness, i.e. reasonable insensitivity to the system imperfections. The results of this research are summarized as follows: 1. Robustness study of Sparse Minimum Variance Pseudo Open Loop Controller (POLC) for multi-conjugate adaptive optics (MCAO). The AO system model that accounts for various system errors has been developed and applied to check the stability and performance of the POLC algorithm, which is one of the most promising approaches for the future AO systems control. It has been shown through numerous simulations that, despite the initial assumption that the exact system knowledge is necessary for the POLC algorithm to work, it is highly robust against various system errors. 2. Predictive Kalman Filter (KF) and Minimum Variance (MV) control algorithms for MCAO. The limiting performance of the non-dynamic Minimum Variance and dynamic KF-based phase estimation algorithms for MCAO has been evaluated by doing Monte-Carlo simulations. The validity of simple near-Markov autoregressive phase dynamics model has been tested and its adequate ability to predict the turbulence phase has been demonstrated both for single- and multiconjugate AO. It has also been shown that there is no performance improvement gained from the use of the more complicated KF approach in comparison to the much simpler MV algorithm in the case of MCAO. 3. Sparse predictive Minimum Variance control algorithm for MCAO. The temporal prediction stage has been added to the non-dynamic MV control algorithm in such a way that no additional computational burden is introduced. It has been confirmed through simulations that the use of phase prediction makes it possible to significantly reduce the system sampling rate and thus overall computational complexity while both maintaining the system stable and effectively compensating for the measurement and control latencies.

Monetary Policy Effects in Developing Countries with Minimum Wages

Using a Dynamic General Equilibrium (DGE) model, this study examines the effects of monetary policy in economies where minimum wages are bound. The findings show that the monetary-policy effect on a binding-minimum-wage economy is relatively small and quite persistent. This result suggests that these two characteristics of monetary policy in the minimum-wage model are rather different from those in the union-negotiation model which is often assumed to account for industrial economies.

Maximum Likelihood Estimation of Modal Parameters in Structures Using the Expectation Maximization Algorithm

This paper presents a time-domain stochastic system identification method based on maximum likelihood estimation (MLE) with the expectation maximization (EM) algorithm. The effectiveness of this structural identification method is evaluated through numerical simulation in the context of the ASCE benchmark problem on structural health monitoring. The benchmark structure is a four-story, two-bay by two-bay steel-frame scale model structure built in the Earthquake Engineering Research Laboratory at the University of British Columbia, Canada. This paper focuses on Phase I of the analytical benchmark studies. A MATLAB-based finite element analysis code obtained from the IASC-ASCE SHM Task Group web site is used to calculate the dynamic response of the prototype structure. A number of 100 simulations have been made using this MATLAB-based finite element analysis code in order to evaluate the proposed identification method. There are several techniques to realize system identification. In this work, stochastic subspace identification (SSI)method has been used for comparison. SSI identification method is a well known method and computes accurate estimates of the modal parameters. The principles of the SSI identification method has been introduced in the paper and next the proposed MLE with EM algorithm has been explained in detail. The advantages of the proposed structural identification method can be summarized as follows: (i) the method is based on maximum likelihood, that implies minimum variance estimates; (ii) EM is a computational simpler estimation procedure than other optimization algorithms; (iii) estimate more parameters than SSI, and these estimates are accurate. On the contrary, the main disadvantages of the method are: (i) EM algorithm is an iterative procedure and it consumes time until convergence is reached; and (ii) this method needs starting values for the parameters. Modal parameters (eigenfrequencies, damping ratios and mode shapes) of the benchmark structure have been estimated using both the SSI method and the proposed MLE + EM method. The numerical results show that the proposed method identifies eigenfrequencies, damping ratios and mode shapes reasonably well even in the presence of 10% measurement noises. These modal parameters are more accurate than the SSI estimated modal parameters.

Real-time determination of airspace wind speed field based on FDR = Determinación en tiempo real del campo de velocidad del viento basado en registradores de datos de vuelo

El estudio del comportamiento de la atmósfera ha resultado de especial importancia tanto en el programa SESAR como en NextGen, en los que la gestión actual del tránsito aéreo (ATM) está experimentando una profunda transformación hacia nuevos paradigmas tanto en Europa como en los EE.UU., respectivamente, para el guiado y seguimiento de las aeronaves en la realización de rutas más eficientes y con mayor precisión. La incertidumbre es una característica fundamental de los fenómenos meteorológicos que se transfiere a la separación de las aeronaves, las trayectorias de vuelo libres de conflictos y a la planificación de vuelos. En este sentido, el viento es un factor clave en cuanto a la predicción de la futura posición de la aeronave, por lo que tener un conocimiento más profundo y preciso de campo de viento reducirá las incertidumbres del ATC. El objetivo de esta tesis es el desarrollo de una nueva técnica operativa y útil destinada a proporcionar de forma adecuada y directa el campo de viento atmosférico en tiempo real, basada en datos de a bordo de la aeronave, con el fin de mejorar la predicción de las trayectorias de las aeronaves. Para lograr este objetivo se ha realizado el siguiente trabajo. Se han descrito y analizado los diferentes sistemas de la aeronave que proporcionan las variables necesarias para obtener la velocidad del viento, así como de las capacidades que permiten la presentación de esta información para sus aplicaciones en la gestión del tráfico aéreo. Se ha explorado el uso de aeronaves como los sensores de viento en un área terminal para la estimación del viento en tiempo real con el fin de mejorar la predicción de las trayectorias de aeronaves. Se han desarrollado métodos computacionalmente eficientes para estimar las componentes horizontales de la velocidad del viento a partir de las velocidades de las aeronaves (VGS, VCAS/VTAS), la presión y datos de temperatura. Estos datos de viento se han utilizado para estimar el campo de viento en tiempo real utilizando un sistema de procesamiento de datos a través de un método de mínima varianza. Por último, se ha evaluado la exactitud de este procedimiento para que esta información sea útil para el control del tráfico aéreo. La información inicial proviene de una muestra de datos de Registradores de Datos de Vuelo (FDR) de aviones que aterrizaron en el aeropuerto Madrid-Barajas. Se dispuso de datos de ciertas aeronaves durante un periodo de más de tres meses que se emplearon para calcular el vector viento en cada punto del espacio aéreo. Se utilizó un modelo matemático basado en diferentes métodos de interpolación para obtener los vectores de viento en áreas sin datos disponibles. Se han utilizado tres escenarios concretos para validar dos métodos de interpolación: uno de dos dimensiones que trabaja con ambas componentes horizontales de forma independiente, y otro basado en el uso de una variable compleja que relaciona ambas componentes. Esos métodos se han probado en diferentes escenarios con resultados dispares. Esta metodología se ha aplicado en un prototipo de herramienta en MATLAB © para analizar automáticamente los datos de FDR y determinar el campo vectorial del viento que encuentra la aeronave al volar en el espacio aéreo en estudio. Finalmente se han obtenido las condiciones requeridas y la precisión de los resultados para este modelo. El método desarrollado podría utilizar los datos de los aviones comerciales como inputs utilizando los datos actualmente disponibles y la capacidad computacional, para proporcionárselos a los sistemas ATM donde se podría ejecutar el método propuesto. Estas velocidades del viento calculadas, o bien la velocidad respecto al suelo y la velocidad verdadera, se podrían difundir, por ejemplo, a través del sistema de direccionamiento e informe para comunicaciones de aeronaves (ACARS), mensajes de ADS-B o Modo S. Esta nueva fuente ayudaría a actualizar la información del viento suministrada en los productos aeronáuticos meteorológicos (PAM), informes meteorológicos de aeródromos (AIRMET), e información meteorológica significativa (SIGMET). ABSTRACT The study of the atmosphere behaviour is been of particular importance both in SESAR and NextGen programs, where the current air traffic management (ATM) system is undergoing a profound transformation to the new paradigms both in Europe and the USA, respectively, to guide and track aircraft more precisely on more efficient routes. Uncertainty is a fundamental characteristic of weather phenomena which is transferred to separation assurance, flight path de-confliction and flight planning applications. In this respect, the wind is a key factor regarding the prediction of the future position of the aircraft, so that having a deeper and accurate knowledge of wind field will reduce ATC uncertainties. The purpose of this thesis is to develop a new and operationally useful technique intended to provide adequate and direct real-time atmospheric winds fields based on on-board aircraft data, in order to improve aircraft trajectory prediction. In order to achieve this objective the following work has been accomplished. The different sources in the aircraft systems that provide the variables needed to derivate the wind velocity have been described and analysed, as well as the capabilities which allow presenting this information for air traffic management applications. The use of aircraft as wind sensors in a terminal area for real-time wind estimation in order to improve aircraft trajectory prediction has been explored. Computationally efficient methods have been developed to estimate horizontal wind components from aircraft velocities (VGS, VCAS/VTAS), pressure, and temperature data. These wind data were utilized to estimate a real-time wind field using a data processing approach through a minimum variance method. Finally, the accuracy of this procedure has been evaluated for this information to be useful to air traffic control. The initial information comes from a Flight Data Recorder (FDR) sample of aircraft landing in Madrid-Barajas Airport. Data available for more than three months were exploited in order to derive the wind vector field in each point of the airspace. Mathematical model based on different interpolation methods were used in order to obtain wind vectors in void areas. Three particular scenarios were employed to test two interpolation methods: a two-dimensional one that works with both horizontal components in an independent way, and also a complex variable formulation that links both components. Those methods were tested using various scenarios with dissimilar results. This methodology has been implemented in a prototype tool in MATLAB © in order to automatically analyse FDR and determine the wind vector field that aircraft encounter when flying in the studied airspace. Required conditions and accuracy of the results were derived for this model. The method developed could be fed by commercial aircraft utilizing their currently available data sources and computational capabilities, and providing them to ATM system where the proposed method could be run. Computed wind velocities, or ground and true airspeeds, would then be broadcasted, for example, via the Aircraft Communication Addressing and Reporting System (ACARS), ADS-B out messages, or Mode S. This new source would help updating the wind information furnished in meteorological aeronautical products (PAM), meteorological aerodrome reports (AIRMET), and significant meteorological information (SIGMET).

Updating finite element models using measured vibration data

The modelling of mechanical structures using finite element analysis has become an indispensable stage in the design of new components and products. Once the theoretical design has been optimised a prototype may be constructed and tested. What can the engineer do if the measured and theoretically predicted vibration characteristics of the structure are significantly different? This thesis considers the problems of changing the parameters of the finite element model to improve the correlation between a physical structure and its mathematical model. Two new methods are introduced to perform the systematic parameter updating. The first uses the measured modal model to derive the parameter values with the minimum variance. The user must provide estimates for the variance of the theoretical parameter values and the measured data. Previous authors using similar methods have assumed that the estimated parameters and measured modal properties are statistically independent. This will generally be the case during the first iteration but will not be the case subsequently. The second method updates the parameters directly from the frequency response functions. The order of the finite element model of the structure is reduced as a function of the unknown parameters. A method related to a weighted equation error algorithm is used to update the parameters. After each iteration the weighting changes so that on convergence the output error is minimised. The suggested methods are extensively tested using simulated data. An H frame is then used to demonstrate the algorithms on a physical structure.

Neural network enhanced self tuning adaptive control application for non-linear control of dynamic systems

The main theme of research of this project concerns the study of neutral networks to control uncertain and non-linear control systems. This involves the control of continuous time, discrete time, hybrid and stochastic systems with input, state or output constraints by ensuring good performances. A great part of this project is devoted to the opening of frontiers between several mathematical and engineering approaches in order to tackle complex but very common non-linear control problems. The objectives are: 1. Design and develop procedures for neutral network enhanced self-tuning adaptive non-linear control systems; 2. To design, as a general procedure, neural network generalised minimum variance self-tuning controller for non-linear dynamic plants (Integration of neural network mapping with generalised minimum variance self-tuning controller strategies); 3. To develop a software package to evaluate control system performances using Matlab, Simulink and Neural Network toolbox. An adaptive control algorithm utilising a recurrent network as a model of a partial unknown non-linear plant with unmeasurable state is proposed. Appropriately, it appears that structured recurrent neural networks can provide conveniently parameterised dynamic models for many non-linear systems for use in adaptive control. Properties of static neural networks, which enabled successful design of stable adaptive control in the state feedback case, are also identified. A survey of the existing results is presented which puts them in a systematic framework showing their relation to classical self-tuning adaptive control application of neural control to a SISO/MIMO control. Simulation results demonstrate that the self-tuning design methods may be practically applicable to a reasonably large class of unknown linear and non-linear dynamic control systems.

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.

Performances of socially responsible investment and environmentally friendly funds

The socially responsible investment (SRI) funds performances remain inconclusive. Hence, more studies need to be conducted to determine if SRI funds systematically underperform or outperform conventional funds. This paper has employed dynamic mean-variance model using shortage function approach to evaluate the performance of SRI and Environmentally friendly funds (EF). Unlike the traditional methods, this approach estimates fund performance considering both the return and risk at the same time. The empirical results show that SRI funds outperformed conventional funds in EU and US. In addition, the results of EU are among the top-performing categories. EF do not perform as well as SRI, but perform in manners equal or superior to conventional funds. These results show statistically significant in some cases.

Bauer Method of MVDR Spectral Factorization for Pitch Modification in the Source Domain

In our earlier work [1], we employed MVDR (minimum variance distortionless response) based spectral estimation instead of modified-linear prediction method [2] in pitch modification. Here, we use the Bauer method of MVDR spectral factorization, leading to a causal inverse filter rather than a noncausal filter setup with MVDR spectral estimation [1]. Further, this is employed to obtain source (or residual) signal from pitch synchronous speech frames. The residual signal is resampled using DCT/IDCT depending on the target pitch scale factor. Finally, forward filters realized from the above factorization are used to get pitch modified speech. The modified speech is evaluated subjectively by 10 listeners and mean opinion scores (MOS) are tabulated. Further, modified bark spectral distortion measure is also computed for objective evaluation of performance. We find that the proposed algorithm performs better compared to time domain pitch synchronous overlap [3] and modified-LP method [2]. A good MOS score is achieved with the proposed algorithm compared to [1] with a causal inverse and forward filter setup.

An analog MVUE for a wireless sensor network

An analog minimum-variance unbiased estimator(MVUE) over an asymmetric wireless sensor network is studied.Minimisation of variance is cast into a constrained non-convex optimisation problem. An explicit algorithm that solves the problem is provided. The solution is obtained by decomposing the original problem into a finite number of convex optimisation problems with explicit solutions. These solutions are then juxtaposed together by exploiting further structure in the objective function.

The morphology of decorated amyloid fibers is controlled by the conformation and position of the displayed protein.

Self-assembled structures capable of mediating electron transfer are an attractive scientific and technological goal. Therefore, systematic variants of SH3-Cytochrome b(562) fusion proteins were designed to make amyloid fibers displaying heme-b(562) electron transfer complexes. TEM and AFM data show that fiber morphology responds systematically to placement of b(562) within the fusion proteins. UV-vis spectroscopy shows that, for the fusion proteins under test, only half the fiber-borne b(562) binds heme with high affinity. Cofactor binding also improves the AFM imaging properties and changes the fiber morphology through changes in cytochrome conformation. Systematic observations and measurements of fiber geometry suggest that longitudinal registry of subfilaments within the fiber, mediated by the interaction and conformation of the displayed proteins and their interaction with surfaces, gives rise to the observed morphologies, including defects and kinks. Of most interest is the role of small molecule modulation of fiber structure and mechanical stability. A minimum complexity model is proposed to capture and explain the fiber morphology in the light of these results. Understanding the complex interplay between these factors will enable a fiber design that supports longitudinal electron transfer.

Temporal Surface Reconstruction

This thesis investigates the problem of estimating the three-dimensional structure of a scene from a sequence of images. Structure information is recovered from images continuously using shading, motion or other visual mechanisms. A Kalman filter represents structure in a dense depth map. With each new image, the filter first updates the current depth map by a minimum variance estimate that best fits the new image data and the previous estimate. Then the structure estimate is predicted for the next time step by a transformation that accounts for relative camera motion. Experimental evaluation shows the significant improvement in quality and computation time that can be achieved using this technique.

Active Hidden Models for Tracking with Kernel Projections

We introduce Active Hidden Models (AHM) that utilize kernel methods traditionally associated with classification. We use AHMs to track deformable objects in video sequences by leveraging kernel projections. We introduce the "subset projection" method which improves the efficiency of our tracking approach by a factor of ten. We successfully tested our method on facial tracking with extreme head movements (including full 180-degree head rotation), facial expressions, and deformable objects. Given a kernel and a set of training observations, we derive unbiased estimates of the accuracy of the AHM tracker. Kernels are generally used in classification methods to make training data linearly separable. We prove that the optimal (minimum variance) tracking kernels are those that make the training observations linearly dependent.