Multidata inverse problems and Bayesian solution methods in astronomy

Statistical analyses of measurements that can be described by statistical models are of essence in astronomy and in scientific inquiry in general. The sensitivity of such analyses, modelling approaches, and the consequent predictions, is sometimes highly dependent on the exact techniques applied, and improvements therein can result in significantly better understanding of the observed system of interest. Particularly, optimising the sensitivity of statistical techniques in detecting the faint signatures of low-mass planets orbiting the nearby stars is, together with improvements in instrumentation, essential in estimating the properties of the population of such planets, and in the race to detect Earth-analogs, i.e. planets that could support liquid water and, perhaps, life on their surfaces. We review the developments in Bayesian statistical techniques applicable to detections planets orbiting nearby stars and astronomical data analysis problems in general. We also discuss these techniques and demonstrate their usefulness by using various examples and detailed descriptions of the respective mathematics involved. We demonstrate the practical aspects of Bayesian statistical techniques by describing several algorithms and numerical techniques, as well as theoretical constructions, in the estimation of model parameters and in hypothesis testing. We also apply these algorithms to Doppler measurements of nearby stars to show how they can be used in practice to obtain as much information from the noisy data as possible. Bayesian statistical techniques are powerful tools in analysing and interpreting noisy data and should be preferred in practice whenever computational limitations are not too restrictive.

On Bayesian predictive modeling : with applications on the analysis of chromatography data in forensic investigations

Med prediktion avses att man skattar det framtida värdet på en observerbar storhet. Kännetecknande för det bayesianska paradigmet är att osäkerhet gällande okända storheter uttrycks i form av sannolikheter. En bayesiansk prediktiv modell är således en sannolikhetsfördelning över de möjliga värden som en observerbar, men ännu inte observerad storhet kan anta. I de artiklar som ingår i avhandlingen utvecklas metoder, vilka bl.a. tillämpas i analys av kromatografiska data i brottsutredningar. Med undantag för den första artikeln, bygger samtliga metoder på bayesiansk prediktiv modellering. I artiklarna betraktas i huvudsak tre olika typer av problem relaterade till kromatografiska data: kvantifiering, parvis matchning och klustring. I den första artikeln utvecklas en icke-parametrisk modell för mätfel av kromatografiska analyser av alkoholhalt i blodet. I den andra artikeln utvecklas en prediktiv inferensmetod för jämförelse av två stickprov. Metoden tillämpas i den tredje artik eln för jämförelse av oljeprover i syfte att kunna identifiera den förorenande källan i samband med oljeutsläpp. I den fjärde artikeln härleds en prediktiv modell för klustring av data av blandad diskret och kontinuerlig typ, vilken bl.a. tillämpas i klassificering av amfetaminprover med avseende på produktionsomgångar.

Adaptive Markov chain Monte Carlo and Bayesian filtering for state space models

This thesis is concerned with the state and parameter estimation in state space models. The estimation of states and parameters is an important task when mathematical modeling is applied to many different application areas such as the global positioning systems, target tracking, navigation, brain imaging, spread of infectious diseases, biological processes, telecommunications, audio signal processing, stochastic optimal control, machine learning, and physical systems. In Bayesian settings, the estimation of states or parameters amounts to computation of the posterior probability density function. Except for a very restricted number of models, it is impossible to compute this density function in a closed form. Hence, we need approximation methods. A state estimation problem involves estimating the states (latent variables) that are not directly observed in the output of the system. In this thesis, we use the Kalman filter, extended Kalman filter, Gauss–Hermite filters, and particle filters to estimate the states based on available measurements. Among these filters, particle filters are numerical methods for approximating the filtering distributions of non-linear non-Gaussian state space models via Monte Carlo. The performance of a particle filter heavily depends on the chosen importance distribution. For instance, inappropriate choice of the importance distribution can lead to the failure of convergence of the particle filter algorithm. In this thesis, we analyze the theoretical Lᵖ particle filter convergence with general importance distributions, where p ≥2 is an integer. A parameter estimation problem is considered with inferring the model parameters from measurements. For high-dimensional complex models, estimation of parameters can be done by Markov chain Monte Carlo (MCMC) methods. In its operation, the MCMC method requires the unnormalized posterior distribution of the parameters and a proposal distribution. In this thesis, we show how the posterior density function of the parameters of a state space model can be computed by filtering based methods, where the states are integrated out. This type of computation is then applied to estimate parameters of stochastic differential equations. Furthermore, we compute the partial derivatives of the log-posterior density function and use the hybrid Monte Carlo and scaled conjugate gradient methods to infer the parameters of stochastic differential equations. The computational efficiency of MCMC methods is highly depend on the chosen proposal distribution. A commonly used proposal distribution is Gaussian. In this kind of proposal, the covariance matrix must be well tuned. To tune it, adaptive MCMC methods can be used. In this thesis, we propose a new way of updating the covariance matrix using the variational Bayesian adaptive Kalman filter algorithm.

A Bayesian Approach for Forecasting Heat Load in a District Heating System

The growing population in cities increases the energy demand and affects the environment by increasing carbon emissions. Information and communications technology solutions which enable energy optimization are needed to address this growing energy demand in cities and to reduce carbon emissions. District heating systems optimize the energy production by reusing waste energy with combined heat and power plants. Forecasting the heat load demand in residential buildings assists in optimizing energy production and consumption in a district heating system. However, the presence of a large number of factors such as weather forecast, district heating operational parameters and user behavioural parameters, make heat load forecasting a challenging task. This thesis proposes a probabilistic machine learning model using a Naive Bayes classifier, to forecast the hourly heat load demand for three residential buildings in the city of Skellefteå, Sweden over a period of winter and spring seasons. The district heating data collected from the sensors equipped at the residential buildings in Skellefteå, is utilized to build the Bayesian network to forecast the heat load demand for horizons of 1, 2, 3, 6 and 24 hours. The proposed model is validated by using four cases to study the influence of various parameters on the heat load forecast by carrying out trace driven analysis in Weka and GeNIe. Results show that current heat load consumption and outdoor temperature forecast are the two parameters with most influence on the heat load forecast. The proposed model achieves average accuracies of 81.23 % and 76.74 % for a forecast horizon of 1 hour in the three buildings for winter and spring seasons respectively. The model also achieves an average accuracy of 77.97 % for three buildings across both seasons for the forecast horizon of 1 hour by utilizing only 10 % of the training data. The results indicate that even a simple model like Naive Bayes classifier can forecast the heat load demand by utilizing less training data.

Bayesian analysis of SEIR epidemic models

This thesis concerns the analysis of epidemic models. We adopt the Bayesian paradigm and develop suitable Markov Chain Monte Carlo (MCMC) algorithms. This is done by considering an Ebola outbreak in the Democratic Republic of Congo, former Zaïre, 1995 as a case of SEIR epidemic models. We model the Ebola epidemic deterministically using ODEs and stochastically through SDEs to take into account a possible bias in each compartment. Since the model has unknown parameters, we use different methods to estimate them such as least squares, maximum likelihood and MCMC. The motivation behind choosing MCMC over other existing methods in this thesis is that it has the ability to tackle complicated nonlinear problems with large number of parameters. First, in a deterministic Ebola model, we compute the likelihood function by sum of square of residuals method and estimate parameters using the LSQ and MCMC methods. We sample parameters and then use them to calculate the basic reproduction number and to study the disease-free equilibrium. From the sampled chain from the posterior, we test the convergence diagnostic and confirm the viability of the model. The results show that the Ebola model fits the observed onset data with high precision, and all the unknown model parameters are well identified. Second, we convert the ODE model into a SDE Ebola model. We compute the likelihood function using extended Kalman filter (EKF) and estimate parameters again. The motivation of using the SDE formulation here is to consider the impact of modelling errors. Moreover, the EKF approach allows us to formulate a filtered likelihood for the parameters of such a stochastic model. We use the MCMC procedure to attain the posterior distributions of the parameters of the SDE Ebola model drift and diffusion parts. In this thesis, we analyse two cases: (1) the model error covariance matrix of the dynamic noise is close to zero , i.e. only small stochasticity added into the model. The results are then similar to the ones got from deterministic Ebola model, even if methods of computing the likelihood function are different (2) the model error covariance matrix is different from zero, i.e. a considerable stochasticity is introduced into the Ebola model. This accounts for the situation where we would know that the model is not exact. As a results, we obtain parameter posteriors with larger variances. Consequently, the model predictions then show larger uncertainties, in accordance with the assumption of an incomplete model.

From inference to affordance : the problem of visual depth-perception in the optical writings of Descartes, Berkeley, and Gibson

This thesis explores the debate and issues regarding the status of visual ;,iferellces in the optical writings of Rene Descartes, George Berkeley and James 1. Gibson. It gathers arguments from across their works and synthesizes an account of visual depthperception that accurately reflects the larger, metaphysical implications of their philosophical theories. Chapters 1 and 2 address the Cartesian and Berkelean theories of depth-perception, respectively. For Descartes and Berkeley the debate can be put in the following way: How is it possible that we experience objects as appearing outside of us, at various distances, if objects appear inside of us, in the representations of the individual's mind? Thus, the Descartes-Berkeley component of the debate takes place exclusively within a representationalist setting. Representational theories of depthperception are rooted in the scientific discovery that objects project a merely twodimensional patchwork of forms on the retina. I call this the "flat image" problem. This poses the problem of depth in terms of a difference between two- and three-dimensional orders (i.e., a gap to be bridged by one inferential procedure or another). Chapter 3 addresses Gibson's ecological response to the debate. Gibson argues that the perceiver cannot be flattened out into a passive, two-dimensional sensory surface. Perception is possible precisely because the body and the environment already have depth. Accordingly, the problem cannot be reduced to a gap between two- and threedimensional givens, a gap crossed with a projective geometry. The crucial difference is not one of a dimensional degree. Chapter 3 explores this theme and attempts to excavate the empirical and philosophical suppositions that lead Descartes and Berkeley to their respective theories of indirect perception. Gibson argues that the notion of visual inference, which is necessary to substantiate representational theories of indirect perception, is highly problematic. To elucidate this point, the thesis steps into the representationalist tradition, in order to show that problems that arise within it demand a tum toward Gibson's information-based doctrine of ecological specificity (which is to say, the theory of direct perception). Chapter 3 concludes with a careful examination of Gibsonian affordallces as the sole objects of direct perceptual experience. The final section provides an account of affordances that locates the moving, perceiving body at the heart of the experience of depth; an experience which emerges in the dynamical structures that cross the body and the world.

Using a Bayesian model for bankruptcy prediction : a comparative approach

The purpose of this study is to examine the impact of the choice of cut-off points, sampling procedures, and the business cycle on the accuracy of bankruptcy prediction models. Misclassification can result in erroneous predictions leading to prohibitive costs to firms, investors and the economy. To test the impact of the choice of cut-off points and sampling procedures, three bankruptcy prediction models are assessed- Bayesian, Hazard and Mixed Logit. A salient feature of the study is that the analysis includes both parametric and nonparametric bankruptcy prediction models. A sample of firms from Lynn M. LoPucki Bankruptcy Research Database in the U. S. was used to evaluate the relative performance of the three models. The choice of a cut-off point and sampling procedures were found to affect the rankings of the various models. In general, the results indicate that the empirical cut-off point estimated from the training sample resulted in the lowest misclassification costs for all three models. Although the Hazard and Mixed Logit models resulted in lower costs of misclassification in the randomly selected samples, the Mixed Logit model did not perform as well across varying business-cycles. In general, the Hazard model has the highest predictive power. However, the higher predictive power of the Bayesian model, when the ratio of the cost of Type I errors to the cost of Type II errors is high, is relatively consistent across all sampling methods. Such an advantage of the Bayesian model may make it more attractive in the current economic environment. This study extends recent research comparing the performance of bankruptcy prediction models by identifying under what conditions a model performs better. It also allays a range of user groups, including auditors, shareholders, employees, suppliers, rating agencies, and creditors' concerns with respect to assessing failure risk.

Automatic Inference of Graph Models for Complex Networks with Genetic Programming

Complex networks can arise naturally and spontaneously from all things that act as a part of a larger system. From the patterns of socialization between people to the way biological systems organize themselves, complex networks are ubiquitous, but are currently poorly understood. A number of algorithms, designed by humans, have been proposed to describe the organizational behaviour of real-world networks. Consequently, breakthroughs in genetics, medicine, epidemiology, neuroscience, telecommunications and the social sciences have recently resulted. The algorithms, called graph models, represent significant human effort. Deriving accurate graph models is non-trivial, time-intensive, challenging and may only yield useful results for very specific phenomena. An automated approach can greatly reduce the human effort required and if effective, provide a valuable tool for understanding the large decentralized systems of interrelated things around us. To the best of the author's knowledge this thesis proposes the first method for the automatic inference of graph models for complex networks with varied properties, with and without community structure. Furthermore, to the best of the author's knowledge it is the first application of genetic programming for the automatic inference of graph models. The system and methodology was tested against benchmark data, and was shown to be capable of reproducing close approximations to well-known algorithms designed by humans. Furthermore, when used to infer a model for real biological data the resulting model was more representative than models currently used in the literature.

Object-Oriented Genetic Programming for the Automatic Inference of Graph Models for Complex Networks

Complex networks are systems of entities that are interconnected through meaningful relationships. The result of the relations between entities forms a structure that has a statistical complexity that is not formed by random chance. In the study of complex networks, many graph models have been proposed to model the behaviours observed. However, constructing graph models manually is tedious and problematic. Many of the models proposed in the literature have been cited as having inaccuracies with respect to the complex networks they represent. However, recently, an approach that automates the inference of graph models was proposed by Bailey [10] The proposed methodology employs genetic programming (GP) to produce graph models that approximate various properties of an exemplary graph of a targeted complex network. However, there is a great deal already known about complex networks, in general, and often specific knowledge is held about the network being modelled. The knowledge, albeit incomplete, is important in constructing a graph model. However it is difficult to incorporate such knowledge using existing GP techniques. Thus, this thesis proposes a novel GP system which can incorporate incomplete expert knowledge that assists in the evolution of a graph model. Inspired by existing graph models, an abstract graph model was developed to serve as an embryo for inferring graph models of some complex networks. The GP system and abstract model were used to reproduce well-known graph models. The results indicated that the system was able to evolve models that produced networks that had structural similarities to the networks generated by the respective target models.

Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes.

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only require the existence of conditional densities. They are proved for possibly nonstationary and/or non-Gaussian multivariate Markov processes. In the context of a linear regression model with AR(1) errors, we show how these results can be used to simplify the distributional properties of the model by conditioning a subset of the data on the remaining observations. This transformation leads to a new model which has the form of a two-sided autoregression to which standard classical linear regression inference techniques can be applied. We show how to derive tests and confidence sets for the mean and/or autoregressive parameters of the model. We also develop a test on the order of an autoregression. We show that a combination of subsample-based inferences can improve the performance of the procedure. An application to U.S. domestic investment data illustrates the method.

Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors

We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by the presence of identification problems or \"weak instruments\", so no detection of such problems is required. We study two distinct approaches for various models considered by Pagan (1984). The first one is an instrument substitution method which generalizes an approach proposed by Anderson and Rubin (1949) and Fuller (1987) for different (although related) problems, while the second one is based on splitting the sample. The instrument substitution method uses the instruments directly, instead of generated regressors, in order to test hypotheses about the \"structural parameters\" of interest and build confidence sets. The second approach relies on \"generated regressors\", which allows a gain in degrees of freedom, and a sample split technique. For inference about general possibly nonlinear transformations of model parameters, projection techniques are proposed. A distributional theory is obtained under the assumptions of Gaussian errors and strictly exogenous regressors. We show that the various tests and confidence sets proposed are (locally) \"asymptotically valid\" under much weaker assumptions. The properties of the tests proposed are examined in simulation experiments. In general, they outperform the usual asymptotic inference methods in terms of both reliability and power. Finally, the techniques suggested are applied to a model of Tobin’s q and to a model of academic performance.

Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions

In the context of multivariate regression (MLR) and seemingly unrelated regressions (SURE) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. in this paper, we propose finite-and large-sample likelihood-based test procedures for possibly non-linear hypotheses on the coefficients of MLR and SURE systems.

Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

It is well known that standard asymptotic theory is not valid or is extremely unreliable in models with identification problems or weak instruments [Dufour (1997, Econometrica), Staiger and Stock (1997, Econometrica), Wang and Zivot (1998, Econometrica), Stock and Wright (2000, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. One possible way out consists here in using a variant of the Anderson-Rubin (1949, Ann. Math. Stat.) procedure. The latter, however, allows one to build exact tests and confidence sets only for the full vector of the coefficients of the endogenous explanatory variables in a structural equation, which in general does not allow for individual coefficients. This problem may in principle be overcome by using projection techniques [Dufour (1997, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. AR-types are emphasized because they are robust to both weak instruments and instrument exclusion. However, these techniques can be implemented only by using costly numerical techniques. In this paper, we provide a complete analytic solution to the problem of building projection-based confidence sets from Anderson-Rubin-type confidence sets. The latter involves the geometric properties of “quadrics” and can be viewed as an extension of usual confidence intervals and ellipsoids. Only least squares techniques are required for building the confidence intervals. We also study by simulation how “conservative” projection-based confidence sets are. Finally, we illustrate the methods proposed by applying them to three different examples: the relationship between trade and growth in a cross-section of countries, returns to education, and a study of production functions in the U.S. economy.