PARTIAL STABILITY FOR A CLASS OF NONLINEAR SYSTEMS

This paper studies a nonlinear, discrete-time matrix system arising in the stability analysis of Kalman filters. These systems present an internal coupling between the state components that gives rise to complex dynamic behavior. The problem of partial stability, which requires that a specific component of the state of the system converge exponentially, is studied and solved. The convergent state component is strongly linked with the behavior of Kalman filters, since it can be used to provide bounds for the error covariance matrix under uncertainties in the noise measurements. We exploit the special features of the system-mainly the connections with linear systems-to obtain an algebraic test for partial stability. Finally, motivated by applications in which polynomial divergence of the estimates is acceptable, we study and solve a partial semistability problem.

On quantum integrability of the Landau-Lifshitz model

We investigate the quantum integrability of the Landau-Lifshitz (LL) model and solve the long-standing problem of finding the local quantum Hamiltonian for the arbitrary n-particle sector. The particular difficulty of the LL model quantization, which arises due to the ill-defined operator product, is dealt with by simultaneously regularizing the operator product and constructing the self-adjoint extensions of a very particular structure. The diagonalizibility difficulties of the Hamiltonian of the LL model, due to the highly singular nature of the quantum-mechanical Hamiltonian, are also resolved in our method for the arbitrary n-particle sector. We explicitly demonstrate the consistency of our construction with the quantum inverse scattering method due to Sklyanin [Lett. Math. Phys. 15, 357 (1988)] and give a prescription to systematically construct the general solution, which explains and generalizes the puzzling results of Sklyanin for the particular two-particle sector case. Moreover, we demonstrate the S-matrix factorization and show that it is a consequence of the discontinuity conditions on the functions involved in the construction of the self-adjoint extensions.

Multifractality in the random parameter model for multivariate time series

The Random Parameter model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we explore the scaling properties of the model, as observed in the multifractal structure of the simulated time series. We use the Wavelet Transform Modulus Maxima technique to obtain the multifractal spectrum dependence with the parameters of the model. The model shows a scaling structure compatible with the stylized facts for a reasonable choice of the parameter values. (C) 2009 Elsevier B.V. All rights reserved.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

The Poisson-exponential lifetime distribution

In this paper we proposed a new two-parameters lifetime distribution with increasing failure rate. The new distribution arises on a latent complementary risk problem base. The properties of the proposed distribution are discussed, including a formal proof of its probability density function and explicit algebraic formulae for its reliability and failure rate functions, quantiles and moments, including the mean and variance. A simple EM-type algorithm for iteratively computing maximum likelihood estimates is presented. The Fisher information matrix is derived analytically in order to obtaining the asymptotic covariance matrix. The methodology is illustrated on a real data set. (C) 2010 Elsevier B.V. All rights reserved.

High-breakdown linear discriminant analysis

The classification rules of linear discriminant analysis are defined by the true mean vectors and the common covariance matrix of the populations from which the data come. Because these true parameters are generally unknown, they are commonly estimated by the sample mean vector and covariance matrix of the data in a training sample randomly drawn from each population. However, these sample statistics are notoriously susceptible to contamination by outliers, a problem compounded by the fact that the outliers may be invisible to conventional diagnostics. High-breakdown estimation is a procedure designed to remove this cause for concern by producing estimates that are immune to serious distortion by a minority of outliers, regardless of their severity. In this article we motivate and develop a high-breakdown criterion for linear discriminant analysis and give an algorithm for its implementation. The procedure is intended to supplement rather than replace the usual sample-moment methodology of discriminant analysis either by providing indications that the dataset is not seriously affected by outliers (supporting the usual analysis) or by identifying apparently aberrant points and giving resistant estimators that are not affected by them.

Modelling High-Dimensional Data by Mixtures of Factor Analyzers

We focus on mixtures of factor analyzers from the perspective of a method for model-based density estimation from high-dimensional data, and hence for the clustering of such data. This approach enables a normal mixture model to be fitted to a sample of n data points of dimension p, where p is large relative to n. The number of free parameters is controlled through the dimension of the latent factor space. By working in this reduced space, it allows a model for each component-covariance matrix with complexity lying between that of the isotropic and full covariance structure models. We shall illustrate the use of mixtures of factor analyzers in a practical example that considers the clustering of cell lines on the basis of gene expressions from microarray experiments. (C) 2002 Elsevier Science B.V. All rights reserved.

The risk-return trade-off in Europe: A temporal and cross-sectional analysis

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to obtain the covariance matrix between excess market returns and the industrial portfolios and the existence of a risk-return trade-off is analyzed through a cross-sectional approach using the information in all portfolios. It is obtained evidence for a positive and significant risk-return trade-off in the European market. This conclusion is robust for different GARCH specifications and is even more evident after controlling for the main financial crisis during the sample period.

Análise do sinal cardíaco ECG através da técnica SVD

Este trabalho surge no âmbito da área Electromedicina, uma componente da Engenharia Electrotécnica cada vez mais influente e em permanente desenvolvimento, existindo nela uma constante inovação e tentativa de desenvolvimento e aplicação de novas tecnologias. Este projecto possui como principal objectivo o estudo aprofundado das aplicações da técnica SVD (Singular Value Decomposition), uma poderosa ferramenta matemática que permite a manipulação de sinais através da decomposição de matrizes, ao caso específico do sinal eléctrico obtido através de um electrocardiograma (ECG). Serão discriminados os princípios da operação do sistema eléctrico cardíaco, as principais componentes do sinal ECG (a onda P, o complexo QRS e a onda T) e os fundamentos da técnica SVD. A última fase deste trabalho consistirá na aplicação, em ambiente Matlab, da técnica SVD a sinais ECG concretos, com enfase na sua filtragem, para efeitos de remoção de ruído. De modo verificar as suas vantagens e desvantagens face a outras técnicas, os resultados da filtragem por SVD serão comparados com aqueles obtidos, em condições similares, através da aplicação de um filtro FIR de coeficientes estáticos e de um filtro adaptativo iterativo.

Untersuchungen zur Diskriminanzanalyse mit hochdimensionalen Daten

Discriminant analysis, classification error, ridge technique, singular covariance matrix

Multivariate contemporaneous-threshold autoregressive models

This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific innovation covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.

Robust Factor Analysis for Compositional Data

Factor analysis as frequent technique for multivariate data inspection is widely used also for compositional data analysis. The usual way is to use a centered logratio (clr)transformation to obtain the random vector y of dimension D. The factor model istheny = Λf + e (1)with the factors f of dimension k & D, the error term e, and the loadings matrix Λ.Using the usual model assumptions (see, e.g., Basilevsky, 1994), the factor analysismodel (1) can be written asCov(y) = ΛΛT + ψ (2)where ψ = Cov(e) has a diagonal form. The diagonal elements of ψ as well as theloadings matrix Λ are estimated from an estimation of Cov(y).Given observed clr transformed data Y as realizations of the random vectory. Outliers or deviations from the idealized model assumptions of factor analysiscan severely effect the parameter estimation. As a way out, robust estimation ofthe covariance matrix of Y will lead to robust estimates of Λ and ψ in (2), seePison et al. (2003). Well known robust covariance estimators with good statisticalproperties, like the MCD or the S-estimators (see, e.g. Maronna et al., 2006), relyon a full-rank data matrix Y which is not the case for clr transformed data (see,e.g., Aitchison, 1986).The isometric logratio (ilr) transformation (Egozcue et al., 2003) solves thissingularity problem. The data matrix Y is transformed to a matrix Z by usingan orthonormal basis of lower dimension. Using the ilr transformed data, a robustcovariance matrix C(Z) can be estimated. The result can be back-transformed tothe clr space byC(Y ) = V C(Z)V Twhere the matrix V with orthonormal columns comes from the relation betweenthe clr and the ilr transformation. Now the parameters in the model (2) can beestimated (Basilevsky, 1994) and the results have a direct interpretation since thelinks to the original variables are still preserved.The above procedure will be applied to data from geochemistry. Our specialinterest is on comparing the results with those of Reimann et al. (2002) for the Kolaproject data

Analyzing shapes as compositions of distances

We propose to analyze shapes as “compositions” of distances in Aitchison geometry asan alternate and complementary tool to classical shape analysis, especially when sizeis non-informative.Shapes are typically described by the location of user-chosen landmarks. Howeverthe shape – considered as invariant under scaling, translation, mirroring and rotation– does not uniquely define the location of landmarks. A simple approach is to usedistances of landmarks instead of the locations of landmarks them self. Distances arepositive numbers defined up to joint scaling, a mathematical structure quite similar tocompositions. The shape fixes only ratios of distances. Perturbations correspond torelative changes of the size of subshapes and of aspect ratios. The power transformincreases the expression of the shape by increasing distance ratios. In analogy to thesubcompositional consistency, results should not depend too much on the choice ofdistances, because different subsets of the pairwise distances of landmarks uniquelydefine the shape.Various compositional analysis tools can be applied to sets of distances directly or afterminor modifications concerning the singularity of the covariance matrix and yield resultswith direct interpretations in terms of shape changes. The remaining problem isthat not all sets of distances correspond to a valid shape. Nevertheless interpolated orpredicted shapes can be backtransformated by multidimensional scaling (when all pairwisedistances are used) or free geodetic adjustment (when sufficiently many distancesare used)

New insights on river water chemistry by using non-centred simplicial principal component analysis: a case study

The use of perturbation and power transformation operations permits the investigation of linear processes in the simplex as in a vectorial space. When the investigated geochemical processes can be constrained by the use of well-known starting point, the eigenvectors of the covariance matrix of a non-centred principalcomponent analysis allow to model compositional changes compared with a reference point.The results obtained for the chemistry of water collected in River Arno (central-northern Italy) have open new perspectives for considering relative changes of the analysed variables and to hypothesise the relative effect of different acting physical-chemical processes, thus posing the basis for a quantitative modelling

PACIC Instrument: disentangling dimensions using published validation models.

OBJECTIVE: To better understand the structure of the Patient Assessment of Chronic Illness Care (PACIC) instrument. More specifically to test all published validation models, using one single data set and appropriate statistical tools. DESIGN: Validation study using data from cross-sectional survey. PARTICIPANTS: A population-based sample of non-institutionalized adults with diabetes residing in Switzerland (canton of Vaud). MAIN OUTCOME MEASURE: French version of the 20-items PACIC instrument (5-point response scale). We conducted validation analyses using confirmatory factor analysis (CFA). The original five-dimension model and other published models were tested with three types of CFA: based on (i) a Pearson estimator of variance-covariance matrix, (ii) a polychoric correlation matrix and (iii) a likelihood estimation with a multinomial distribution for the manifest variables. All models were assessed using loadings and goodness-of-fit measures. RESULTS: The analytical sample included 406 patients. Mean age was 64.4 years and 59% were men. Median of item responses varied between 1 and 4 (range 1-5), and range of missing values was between 5.7 and 12.3%. Strong floor and ceiling effects were present. Even though loadings of the tested models were relatively high, the only model showing acceptable fit was the 11-item single-dimension model. PACIC was associated with the expected variables of the field. CONCLUSIONS: Our results showed that the model considering 11 items in a single dimension exhibited the best fit for our data. A single score, in complement to the consideration of single-item results, might be used instead of the five dimensions usually described.