Principal component and second generation wavelet analysis of Treasury yield curve evolution

Prices of U.S. Treasury securities vary over time and across maturities. When the market in Treasurys is sufficiently complete and frictionless, these prices may be modeled by a function time and maturity. A cross-section of this function for time held fixed is called the yield curve; the aggregate of these sections is the evolution of the yield curve. This dissertation studies aspects of this evolution. ^ There are two complementary approaches to the study of yield curve evolution here. The first is principal components analysis; the second is wavelet analysis. In both approaches both the time and maturity variables are discretized. In principal components analysis the vectors of yield curve shifts are viewed as observations of a multivariate normal distribution. The resulting covariance matrix is diagonalized; the resulting eigenvalues and eigenvectors (the principal components) are used to draw inferences about the yield curve evolution. ^ In wavelet analysis, the vectors of shifts are resolved into hierarchies of localized fundamental shifts (wavelets) that leave specified global properties invariant (average change and duration change). The hierarchies relate to the degree of localization with movements restricted to a single maturity at the base and general movements at the apex. Second generation wavelet techniques allow better adaptation of the model to economic observables. Statistically, the wavelet approach is inherently nonparametric while the wavelets themselves are better adapted to describing a complete market. ^ Principal components analysis provides information on the dimension of the yield curve process. While there is no clear demarkation between operative factors and noise, the top six principal components pick up 99% of total interest rate variation 95% of the time. An economically justified basis of this process is hard to find; for example a simple linear model will not suffice for the first principal component and the shape of this component is nonstationary. ^ Wavelet analysis works more directly with yield curve observations than principal components analysis. In fact the complete process from bond data to multiresolution is presented, including the dedicated Perl programs and the details of the portfolio metrics and specially adapted wavelet construction. The result is more robust statistics which provide balance to the more fragile principal components analysis. ^

Civilizing the tropics: The highlanders' failed attempt to transform the Colombian Amazon, 1850--1930

The subject of this dissertation is the nature of the environmental transformations, both symbolic and physical, that took place in Colombia between 1850 and 1930. This period begins with the attempt by the Colombian elite to leave behind colonial ties, overcome economic disorganization, and link Colombia to the international market. These efforts were part of a general project to “civilize” this tropical country. The period closes with the transition toward an industrialization and urbanization process led by the Colombian state during the 1930s. ^ Frequently, environmental studies as an academic field are dominated by biological concerns. However, most environmental thinking accepts their interdisciplinary nature. Under this framework not only spatial but also symbolic concerns are key elements in understanding environmental transformations. ^ This study finds that despite several attempts to transform the Colombian landscape physically, most of the substantive changes were localized and circumscribed to the Andean region. Other changes were mainly symbolic. This dissertation thus uses the Amazon as one of several regions that did not experience significant changes in the forest canopy. While highlanders originally dreamed of the Amazon as an untapped El Dorado, their failed attempts to exploit the region caused them to imagine it as a nightmarish “green hell”. ^ This dissertation concentrates on three pairs of concepts: tropicality/civilization, landscape/territory, and symbolic/material changes. It presents both a general vision of Colombia and case studies of three regions: Cundinamarca, and Cauca Valley are used to compare with the Amazon region that is developed at length. Whereas mainstream Colombian histories have either fixated on the Andean highlands or, in a relegated second place, on the Caribbean region, this dissertation attempts to significantly contribute to the historiography of Colombia by focusing on the largely neglected Amazonian region. ^ To understand imageries about Colombia's landscape, the dissertation relies on travel writings, chorographic descriptions and maps. It also makes uses legal documents and other published primary sources, including literary pieces and memoirs. ^

Statistical analysis and meta-analysis of microarray data

The microarray technology provides a high-throughput technique to study gene expression. Microarrays can help us diagnose different types of cancers, understand biological processes, assess host responses to drugs and pathogens, find markers for specific diseases, and much more. Microarray experiments generate large amounts of data. Thus, effective data processing and analysis are critical for making reliable inferences from the data. ^ The first part of dissertation addresses the problem of finding an optimal set of genes (biomarkers) to classify a set of samples as diseased or normal. Three statistical gene selection methods (GS, GS-NR, and GS-PCA) were developed to identify a set of genes that best differentiate between samples. A comparative study on different classification tools was performed and the best combinations of gene selection and classifiers for multi-class cancer classification were identified. For most of the benchmarking cancer data sets, the gene selection method proposed in this dissertation, GS, outperformed other gene selection methods. The classifiers based on Random Forests, neural network ensembles, and K-nearest neighbor (KNN) showed consistently god performance. A striking commonality among these classifiers is that they all use a committee-based approach, suggesting that ensemble classification methods are superior. ^ The same biological problem may be studied at different research labs and/or performed using different lab protocols or samples. In such situations, it is important to combine results from these efforts. The second part of the dissertation addresses the problem of pooling the results from different independent experiments to obtain improved results. Four statistical pooling techniques (Fisher inverse chi-square method, Logit method. Stouffer's Z transform method, and Liptak-Stouffer weighted Z-method) were investigated in this dissertation. These pooling techniques were applied to the problem of identifying cell cycle-regulated genes in two different yeast species. As a result, improved sets of cell cycle-regulated genes were identified. The last part of dissertation explores the effectiveness of wavelet data transforms for the task of clustering. Discrete wavelet transforms, with an appropriate choice of wavelet bases, were shown to be effective in producing clusters that were biologically more meaningful. ^

Electrocardiogram breathing: A study of electrocardiogram derived respiration plus multiresolution wavelet analysis of heartbeat interval variability in sleep study patients

This dissertation presents a unique research opportunity by using recordings which provide electrocardiogram (ECG) plus a reference breathing signal (RBS). ECG derived breathing (EDR) is measured and correlated against RBS. Standard deviations of multiresolution wavelet analysis coefficients (SDMW) are obtained from heart rate and classified using RBS. Prior works by others used select patients for sleep apnea scoring with EDR but no RBS. Another prior work classified select heart disease patients with SDMW but no RBS. This study used randomly chosen sleep disorder patient recordings; central and obstructive apneas, with and without heart disease.^ Implementation required creating an application because existing systems were limited in power and scope. A review survey was created to choose a development environment. The survey is presented as a learning tool and teaching resource. Development objectives were rapid development using limited resources (manpower and money). Open Source resources were used exclusively for implementation. ^ Results show: (1) Three groups of patients exist in the study. Grouping RBS correlations shows a response with either ECG interval or amplitude variation. A third group exists where neither ECG intervals nor amplitude variation correlate with breathing. (2) Previous work done by other groups analyzed SDMW. Similar results were found in this study but some subjects had higher SDMW, attributed to a large number of apneas, arousals and/or disconnects. SDMW does not need RBS to show apneic conditions exist within ECG recordings. (3) Results in this study support the assertion that autonomic nervous system variation was measured with SDMW. Measurements using RBS are not corrupted due to breathing even though respiration overlaps the same frequency band.^ Overall, this work becomes an Open Source resource which can be reused, modified and/or expanded. It might fast track additional research. In the future the system could also be used for public domain data. Prerecorded data exist in similar formats in public databases which could provide additional research opportunities. ^

Design strategies for an artificial neural network based algorithm for automatic incident detection on major arterial streets

Traffic incidents are non-recurring events that can cause a temporary reduction in roadway capacity. They have been recognized as a major contributor to traffic congestion on our nation’s highway systems. To alleviate their impacts on capacity, automatic incident detection (AID) has been applied as an incident management strategy to reduce the total incident duration. AID relies on an algorithm to identify the occurrence of incidents by analyzing real-time traffic data collected from surveillance detectors. Significant research has been performed to develop AID algorithms for incident detection on freeways; however, similar research on major arterial streets remains largely at the initial stage of development and testing. This dissertation research aims to identify design strategies for the deployment of an Artificial Neural Network (ANN) based AID algorithm for major arterial streets. A section of the US-1 corridor in Miami-Dade County, Florida was coded in the CORSIM microscopic simulation model to generate data for both model calibration and validation. To better capture the relationship between the traffic data and the corresponding incident status, Discrete Wavelet Transform (DWT) and data normalization were applied to the simulated data. Multiple ANN models were then developed for different detector configurations, historical data usage, and the selection of traffic flow parameters. To assess the performance of different design alternatives, the model outputs were compared based on both detection rate (DR) and false alarm rate (FAR). The results show that the best models were able to achieve a high DR of between 90% and 95%, a mean time to detect (MTTD) of 55-85 seconds, and a FAR below 4%. The results also show that a detector configuration including only the mid-block and upstream detectors performs almost as well as one that also includes a downstream detector. In addition, DWT was found to be able to improve model performance, and the use of historical data from previous time cycles improved the detection rate. Speed was found to have the most significant impact on the detection rate, while volume was found to contribute the least. The results from this research provide useful insights on the design of AID for arterial street applications.

The nature of microvariability in blazar 0716+714

We organized an international campaign to observe the blazar 0716+714 in the optical band. The observations took place from February 24, 2009 to February 26, 2009. The global campaign was carried out by observers from more that sixteen countries and resulted in an extended light curve nearly seventy-eight hours long. The analysis and the modeling of this light curve form the main work of this dissertation project. In the first part of this work, we present the time series and noise analyses of the data. The time series analysis utilizes discrete Fourier transform and wavelet analysis routines to search for periods in the light curve. We then present results of the noise analysis which is based on the idea that each microvariability curve is the realization of the same underlying stochastic noise processes in the blazar jet. ^ Neither reoccuring periods nor random noise can successfully explain the observed optical fluctuations. Hence in the second part, we propose and develop a new model to account for the microvariability we see in blazar 0716+714. We propose that the microvariability is due to the emission from turbulent regions in the jet that are energized by the passage of relativistic shocks. Emission from each turbulent cell forms a pulse of emission, and when convolved with other pulses, yields the observed light curve. We use the model to obtain estimates of the physical parameters of the emission regions in the jet.^

Evidence of the heterogeneous market hypothesis using wavelet multi -resolution analysis

In finance literature many economic theories and models have been proposed to explain and estimate the relationship between risk and return. Assuming risk averseness and rational behavior on part of the investor, the models are developed which are supposed to help in forming efficient portfolios that either maximize (minimize) the expected rate of return (risk) for a given level of risk (rates of return). One of the most used models to form these efficient portfolios is the Sharpe's Capital Asset Pricing Model (CAPM). In the development of this model it is assumed that the investors have homogeneous expectations about the future probability distribution of the rates of return. That is, every investor assumes the same values of the parameters of the probability distribution. Likewise financial volatility homogeneity is commonly assumed, where volatility is taken as investment risk which is usually measured by the variance of the rates of return. Typically the square root of the variance is used to define financial volatility, furthermore it is also often assumed that the data generating process is made of independent and identically distributed random variables. This again implies that financial volatility is measured from homogeneous time series with stationary parameters. In this dissertation, we investigate the assumptions of homogeneity of market agents and provide evidence for the case of heterogeneity in market participants' information, objectives, and expectations about the parameters of the probability distribution of prices as given by the differences in the empirical distributions corresponding to different time scales, which in this study are associated with different classes of investors, as well as demonstrate that statistical properties of the underlying data generating processes including the volatility in the rates of return are quite heterogeneous. In other words, we provide empirical evidence against the traditional views about homogeneity using non-parametric wavelet analysis on trading data, The results show heterogeneity of financial volatility at different time scales, and time-scale is one of the most important aspects in which trading behavior differs. In fact we conclude that heterogeneity as posited by the Heterogeneous Markets Hypothesis is the norm and not the exception.

Digital signal processing implementation for near real-time wavelet transformation system for binary images

Communication has become an essential function in our civilization. With the increasing demand for communication channels, it is now necessary to find ways to optimize the use of their bandwidth. One way to achieve this is by transforming the information before it is transmitted. This transformation can be performed by several techniques. One of the newest of these techniques is the use of wavelets. Wavelet transformation refers to the act of breaking down a signal into components called details and trends by using small waveforms that have a zero average in the time domain. After this transformation the data can be compressed by discarding the details, transmitting the trends. In the receiving end, the trends are used to reconstruct the image. In this work, the wavelet used for the transformation of an image will be selected from a library of available bases. The accuracy of the reconstruction, after the details are discarded, is dependent on the wavelets chosen from the wavelet basis library. The system developed in this thesis takes a 2-D image and decomposes it using a wavelet bank. A digital signal processor is used to achieve near real-time performance in this transformation task. A contribution of this thesis project is the development of DSP-based test bed for the future development of new real-time wavelet transformation algorithms.

Variable Speed Limit Strategies to Reduce the Impacts of Traffic Flow Breakdown at Recurrent Freeway Bottlenecks

Variable Speed Limit (VSL) strategies identify and disseminate dynamic speed limits that are determined to be appropriate based on prevailing traffic conditions, road surface conditions, and weather conditions. This dissertation develops and evaluates a shockwave-based VSL system that uses a heuristic switching logic-based controller with specified thresholds of prevailing traffic flow conditions. The system aims to improve operations and mobility at critical bottlenecks. Before traffic breakdown occurrence, the proposed VSL’s goal is to prevent or postpone breakdown by decreasing the inflow and achieving uniform distribution in speed and flow. After breakdown occurrence, the VSL system aims to dampen traffic congestion by reducing the inflow traffic to the congested area and increasing the bottleneck capacity by deactivating the VSL at the head of the congested area. The shockwave-based VSL system pushes the VSL location upstream as the congested area propagates upstream. In addition to testing the system using infrastructure detector-based data, this dissertation investigates the use of Connected Vehicle trajectory data as input to the shockwave-based VSL system performance. Since the field Connected Vehicle data are not available, as part of this research, Vehicle-to-Infrastructure communication is modeled in the microscopic simulation to obtain individual vehicle trajectories. In this system, wavelet transform is used to analyze aggregated individual vehicles’ speed data to determine the locations of congestion. The currently recommended calibration procedures of simulation models are generally based on the capacity, volume and system-performance values and do not specifically examine traffic breakdown characteristics. However, since the proposed VSL strategies are countermeasures to the impacts of breakdown conditions, considering breakdown characteristics in the calibration procedure is important to have a reliable assessment. Several enhancements were proposed in this study to account for the breakdown characteristics at bottleneck locations in the calibration process. In this dissertation, performance of shockwave-based VSL is compared to VSL systems with different fixed VSL message sign locations utilizing the calibrated microscopic model. The results show that shockwave-based VSL outperforms fixed-location VSL systems, and it can considerably decrease the maximum back of queue and duration of breakdown while increasing the average speed during breakdown.

Design Strategies for an Artificial Neural Network Based Algorithm for Automatic Incident Detection on Major Arterial Streets

Traffic incidents are non-recurring events that can cause a temporary reduction in roadway capacity. They have been recognized as a major contributor to traffic congestion on our national highway systems. To alleviate their impacts on capacity, automatic incident detection (AID) has been applied as an incident management strategy to reduce the total incident duration. AID relies on an algorithm to identify the occurrence of incidents by analyzing real-time traffic data collected from surveillance detectors. Significant research has been performed to develop AID algorithms for incident detection on freeways; however, similar research on major arterial streets remains largely at the initial stage of development and testing. This dissertation research aims to identify design strategies for the deployment of an Artificial Neural Network (ANN) based AID algorithm for major arterial streets. A section of the US-1 corridor in Miami-Dade County, Florida was coded in the CORSIM microscopic simulation model to generate data for both model calibration and validation. To better capture the relationship between the traffic data and the corresponding incident status, Discrete Wavelet Transform (DWT) and data normalization were applied to the simulated data. Multiple ANN models were then developed for different detector configurations, historical data usage, and the selection of traffic flow parameters. To assess the performance of different design alternatives, the model outputs were compared based on both detection rate (DR) and false alarm rate (FAR). The results show that the best models were able to achieve a high DR of between 90% and 95%, a mean time to detect (MTTD) of 55-85 seconds, and a FAR below 4%. The results also show that a detector configuration including only the mid-block and upstream detectors performs almost as well as one that also includes a downstream detector. In addition, DWT was found to be able to improve model performance, and the use of historical data from previous time cycles improved the detection rate. Speed was found to have the most significant impact on the detection rate, while volume was found to contribute the least. The results from this research provide useful insights on the design of AID for arterial street applications.

Critério de correntropia no treinamento de redes fuzzy wavelet neural networks para identificação de sistemas dinâmicos não lineares

The great interest in nonlinear system identification is mainly due to the fact that a large amount of real systems are complex and need to have their nonlinearities considered so that their models can be successfully used in applications of control, prediction, inference, among others. This work evaluates the application of Fuzzy Wavelet Neural Networks (FWNN) to identify nonlinear dynamical systems subjected to noise and outliers. Generally, these elements cause negative effects on the identification procedure, resulting in erroneous interpretations regarding the dynamical behavior of the system. The FWNN combines in a single structure the ability to deal with uncertainties of fuzzy logic, the multiresolution characteristics of wavelet theory and learning and generalization abilities of the artificial neural networks. Usually, the learning procedure of these neural networks is realized by a gradient based method, which uses the mean squared error as its cost function. This work proposes the replacement of this traditional function by an Information Theoretic Learning similarity measure, called correntropy. With the use of this similarity measure, higher order statistics can be considered during the FWNN training process. For this reason, this measure is more suitable for non-Gaussian error distributions and makes the training less sensitive to the presence of outliers. In order to evaluate this replacement, FWNN models are obtained in two identification case studies: a real nonlinear system, consisting of a multisection tank, and a simulated system based on a model of the human knee joint. The results demonstrate that the application of correntropy as the error backpropagation algorithm cost function makes the identification procedure using FWNN models more robust to outliers. However, this is only achieved if the gaussian kernel width of correntropy is properly adjusted.

Estudo de famílias wavelets para aplicação na análise em DOAS

Trace gases are important to our environment even though their presence comes only by ‘traces’, but their concentrations must be monitored, so any necessary interventions can be done at the right time. There are some lower and upper boundaries which produce nice conditions for our lives and then monitoring trace gases comes as an essential task nowadays to be accomplished by many techniques. One of them is the differential optical absorption spectroscopy (DOAS), which consists mathematically on a regression - the classical method uses least-squares - to retrieve the trace gases concentrations. In order to achieve better results, many works have tried out different techniques instead of the classical approach. Some have tried to preprocess the signals to be analyzed by a denoising procedure - e.g. discrete wavelet transform (DWT). This work presents a semi-empirical study to find out the most suitable DWT family to be used in this denoising. The search seeks among many well-known families the one to better remove the noise, keeping the original signal’s main features, then by decreasing the noise, the residual left after the regression is done decreases too. The analysis take account the wavelet decomposition level, the threshold to be applied on the detail coefficients and how to apply them - hard or soft thresholding. The signals used come from an open and online data base which contains characteristic signals from some trace gases usually studied.

Estudo de famílias wavelets para aplicação na análise em DOAS

Trace gases are important to our environment even though their presence comes only by ‘traces’, but their concentrations must be monitored, so any necessary interventions can be done at the right time. There are some lower and upper boundaries which produce nice conditions for our lives and then monitoring trace gases comes as an essential task nowadays to be accomplished by many techniques. One of them is the differential optical absorption spectroscopy (DOAS), which consists mathematically on a regression - the classical method uses least-squares - to retrieve the trace gases concentrations. In order to achieve better results, many works have tried out different techniques instead of the classical approach. Some have tried to preprocess the signals to be analyzed by a denoising procedure - e.g. discrete wavelet transform (DWT). This work presents a semi-empirical study to find out the most suitable DWT family to be used in this denoising. The search seeks among many well-known families the one to better remove the noise, keeping the original signal’s main features, then by decreasing the noise, the residual left after the regression is done decreases too. The analysis take account the wavelet decomposition level, the threshold to be applied on the detail coefficients and how to apply them - hard or soft thresholding. The signals used come from an open and online data base which contains characteristic signals from some trace gases usually studied.

Annotated record of the detailed examination of Mn deposits from COCOTOW Expedition stations in the intersection of the Siqueiros Transform Fault and the East Pacific Rise

A near-bottom geological and geophysical survey was conducted at the western intersection of the Siqueiros Transform Fault and the East Pacific Rise. Transform-fault shear appears to distort the east flank of the rise crest in an area north of the fracture zone. In ward-facing scarps trend 335° and do not parallel the regional axis of spreading. Small-scale scarps reveal a hummocky bathymetry. The center of spreading is not a central peak but rather a 20-40 m deep, 1 km wide valley superimposed upon an 8 km wide ridge-crest horst. Small-scale topography indicates widespread volcanic flows within the valley. Two 0.75 km wide blocks flank the central valley. Fault scarps are more dominant on the western flank. Their alignment shifts from directions intermediate to parallel to the regional axis of spreading (355°). A median ridge within the fracture zone has a fault-block topography similar to that of the East Pacific Rise to the north. Dominant eastward-facing scarps trending 335° are on the west flank. A central depression, 1 km wide and 30 m deep, separates the dominantly fault-block regime of the west from the smoother topography of the east flank. This ridge originated by uplift due to faulting as well as by volcanism. Detailed mapping was concentrated in a perched basin (Dante's Hole) at the intersection of the rise crest and the fracture zone. Structural features suggest that Dante's Hole is an area subject to extreme shear and tensional drag resulting from transition between non-rigid and rigid crustal behavior. Normal E-W crustal spreading is probably taking place well within the northern confines of the basin. Possible residual spreading of this isolated rise crest coupled with shear drag within the transform fault could explain the structural isolation of Dante's Hole from the remainder of the Siqueiros Transform Fault.

Rôles de Gab 1/2 et de Shp2 dans l'établissement du phénotype transformé et invasif de cellules MDCK infectées par le virus du sarcome de Moloney

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.