Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Clustering algorithms and shape factor methods to discriminate among small GTPase phenotypes using DIC image analysis.

Naïvement perçu, le processus d’évolution est une succession d’événements de duplication et de mutations graduelles dans le génome qui mènent à des changements dans les fonctions et les interactions du protéome. La famille des hydrolases de guanosine triphosphate (GTPases) similaire à Ras constitue un bon modèle de travail afin de comprendre ce phénomène fondamental, car cette famille de protéines contient un nombre limité d’éléments qui diffèrent en fonctionnalité et en interactions. Globalement, nous désirons comprendre comment les mutations singulières au niveau des GTPases affectent la morphologie des cellules ainsi que leur degré d’impact sur les populations asynchrones. Mon travail de maîtrise vise à classifier de manière significative différents phénotypes de la levure Saccaromyces cerevisiae via l’analyse de plusieurs critères morphologiques de souches exprimant des GTPases mutées et natives. Notre approche à base de microscopie et d’analyses bioinformatique des images DIC (microscopie d’interférence différentielle de contraste) permet de distinguer les phénotypes propres aux cellules natives et aux mutants. L’emploi de cette méthode a permis une détection automatisée et une caractérisation des phénotypes mutants associés à la sur-expression de GTPases constitutivement actives. Les mutants de GTPases constitutivement actifs Cdc42 Q61L, Rho5 Q91H, Ras1 Q68L et Rsr1 G12V ont été analysés avec succès. En effet, l’implémentation de différents algorithmes de partitionnement, permet d’analyser des données qui combinent les mesures morphologiques de population native et mutantes. Nos résultats démontrent que l’algorithme Fuzzy C-Means performe un partitionnement efficace des cellules natives ou mutantes, où les différents types de cellules sont classifiés en fonction de plusieurs facteurs de formes cellulaires obtenus à partir des images DIC. Cette analyse démontre que les mutations Cdc42 Q61L, Rho5 Q91H, Ras1 Q68L et Rsr1 G12V induisent respectivement des phénotypes amorphe, allongé, rond et large qui sont représentés par des vecteurs de facteurs de forme distincts. Ces distinctions sont observées avec différentes proportions (morphologie mutante / morphologie native) dans les populations de mutants. Le développement de nouvelles méthodes automatisées d’analyse morphologique des cellules natives et mutantes s’avère extrêmement utile pour l’étude de la famille des GTPases ainsi que des résidus spécifiques qui dictent leurs fonctions et réseau d’interaction. Nous pouvons maintenant envisager de produire des mutants de GTPases qui inversent leur fonction en ciblant des résidus divergents. La substitution fonctionnelle est ensuite détectée au niveau morphologique grâce à notre nouvelle stratégie quantitative. Ce type d’analyse peut également être transposé à d’autres familles de protéines et contribuer de manière significative au domaine de la biologie évolutive.

Urban Detection From Hyperspectral Images Using Dimension-Reduction Model and Fusion of Multiple Segmentations Based on Stuctural and Textural Features

Ce mémoire de maîtrise présente une nouvelle approche non supervisée pour détecter et segmenter les régions urbaines dans les images hyperspectrales. La méthode proposée n ́ecessite trois étapes. Tout d’abord, afin de réduire le coût calculatoire de notre algorithme, une image couleur du contenu spectral est estimée. A cette fin, une étape de réduction de dimensionalité non-linéaire, basée sur deux critères complémentaires mais contradictoires de bonne visualisation; à savoir la précision et le contraste, est réalisée pour l’affichage couleur de chaque image hyperspectrale. Ensuite, pour discriminer les régions urbaines des régions non urbaines, la seconde étape consiste à extraire quelques caractéristiques discriminantes (et complémentaires) sur cette image hyperspectrale couleur. A cette fin, nous avons extrait une série de paramètres discriminants pour décrire les caractéristiques d’une zone urbaine, principalement composée d’objets manufacturés de formes simples g ́eométriques et régulières. Nous avons utilisé des caractéristiques texturales basées sur les niveaux de gris, la magnitude du gradient ou des paramètres issus de la matrice de co-occurrence combinés avec des caractéristiques structurelles basées sur l’orientation locale du gradient de l’image et la détection locale de segments de droites. Afin de réduire encore la complexité de calcul de notre approche et éviter le problème de la ”malédiction de la dimensionnalité” quand on décide de regrouper des données de dimensions élevées, nous avons décidé de classifier individuellement, dans la dernière étape, chaque caractéristique texturale ou structurelle avec une simple procédure de K-moyennes et ensuite de combiner ces segmentations grossières, obtenues à faible coût, avec un modèle efficace de fusion de cartes de segmentations. Les expérimentations données dans ce rapport montrent que cette stratégie est efficace visuellement et se compare favorablement aux autres méthodes de détection et segmentation de zones urbaines à partir d’images hyperspectrales.

Energy-Efficient Cluster based Routing Schemes for Static and Mobile Sensor Networks

The theme of the thesis is centred around one important aspect of wireless sensor networks; the energy-efficiency.The limited energy source of the sensor nodes calls for design of energy-efficient routing protocols. The schemes for protocol design should try to minimize the number of communications among the nodes to save energy. Cluster based techniques were found energy-efficient. In this method clusters are formed and data from different nodes are collected under a cluster head belonging to each clusters and then forwarded it to the base station.Appropriate cluster head selection process and generation of desirable distribution of the clusters can reduce energy consumption of the network and prolong the network lifetime. In this work two such schemes were developed for static wireless sensor networks.In the first scheme, the energy wastage due to cluster rebuilding incorporating all the nodes were addressed. A tree based scheme is presented to alleviate this problem by rebuilding only sub clusters of the network. An analytical model of energy consumption of proposed scheme is developed and the scheme is compared with existing cluster based scheme. The simulation study proved the energy savings observed.The second scheme concentrated to build load-balanced energy efficient clusters to prolong the lifetime of the network. A voting based approach to utilise the neighbor node information in the cluster head selection process is proposed. The number of nodes joining a cluster is restricted to have equal sized optimum clusters. Multi-hop communication among the cluster heads is also introduced to reduce the energy consumption. The simulation study has shown that the scheme results in balanced clusters and the network achieves reduction in energy consumption.The main conclusion from the study was the routing scheme should pay attention on successful data delivery from node to base station in addition to the energy-efficiency. The cluster based protocols are extended from static scenario to mobile scenario by various authors. None of the proposals addresses cluster head election appropriately in view of mobility. An elegant scheme for electing cluster heads is presented to meet the challenge of handling cluster durability when all the nodes in the network are moving. The scheme has been simulated and compared with a similar approach.The proliferation of sensor networks enables users with large set of sensor information to utilise them in various applications. The sensor network programming is inherently difficult due to various reasons. There must be an elegant way to collect the data gathered by sensor networks with out worrying about the underlying structure of the network. The final work presented addresses a way to collect data from a sensor network and present it to the users in a flexible way.A service oriented architecture based application is built and data collection task is presented as a web service. This will enable composition of sensor data from different sensor networks to build interesting applications. The main objective of the thesis was to design energy-efficient routing schemes for both static as well as mobile sensor networks. A progressive approach was followed to achieve this goal.

Techniques for Enhancing Wind Energy Generation - A CFD Based Multibody Dynamics Approach in Horizontal Axis Wind Turbines

Wind energy has emerged as a major sustainable source of energy.The efficiency of wind power generation by wind mills has improved a lot during the last three decades.There is still further scope for maximising the conversion of wind energy into mechanical energy.In this context,the wind turbine rotor dynamics has great significance.The present work aims at a comprehensive study of the Horizontal Axis Wind Turbine (HAWT) aerodynamics by numerically solving the fluid dynamic equations with the help of a finite-volume Navier-Stokes CFD solver.As a more general goal,the study aims at providing the capabilities of modern numerical techniques for the complex fluid dynamic problems of HAWT.The main purpose is hence to maximize the physics of power extraction by wind turbines.This research demonstrates the potential of an incompressible Navier-Stokes CFD method for the aerodynamic power performance analysis of horizontal axis wind turbine.The National Renewable Energy Laboratory USA-NREL (Technical Report NREL/Cp-500-28589) had carried out an experimental work aimed at the real time performance prediction of horizontal axis wind turbine.In addition to a comparison between the results reported by NREL made and CFD simulations,comparisons are made for the local flow angle at several stations ahead of the wind turbine blades.The comparison has shown that fairly good predictions can be made for pressure distribution and torque.Subsequently, the wind-field effects on the blade aerodynamics,as well as the blade/tower interaction,were investigated.The selected case corresponded to a 12.5 m/s up-wind HAWT at zero degree of yaw angle and a rotational speed of 25 rpm.The results obtained suggest that the present can cope well with the flows encountered around wind turbines.The areodynamic performance of the turbine and the flow details near and off the turbine blades and tower can be analysed using theses results.The aerodynamic performance of airfoils differs from one another.The performance mainly depends on co-efficient of performnace,co-efficient of lift,co-efficient of drag, velocity of fluid and angle of attack.This study shows that the velocity is not constant for all angles of attack of different airfoils.The performance parameters are calculated analytically and are compared with the standardized performance tests.For different angles of ,the velocity stall is determined for the better performance of a system with respect to velocity.The research addresses the effect of surface roughness factor on the blade surface at various sections.The numerical results were found to be in agreement with the experimental data.A relative advantage of the theoretical aerofoil design method is that it allows many different concepts to be explored economically.Such efforts are generally impractical in wind tunnels because of time and money constraints.Thus, the need for a theoretical aerofoil design method is threefold:first for the design of aerofoil that fall outside the range of applicability of existing calalogs:second,for the design of aerofoil that more exactly match the requirements of the intended application:and third,for the economic exploration of many aerofoil concepts.From the results obtained for the different aerofoils,the velocity is not constant for all angles of attack.The results obtained for the aerofoil mainly depend on angle of attack and velocity.The vortex generator technique was meticulously studies with the formulation of the specification for the right angle shaped vortex generators-VG.The results were validated in accordance with the primary analysis phase.The results were found to be in good agreement with the power curve.The introduction of correct size VGs at appropriate locations over the blades of the selected HAWT was found to increase the power generation by about 4%

Mean Squared Residue Based Biclustering Algorithms for the Analysis of Gene Expression Data

Computational Biology is the research are that contributes to the analysis of biological data through the development of algorithms which will address significant research problems.The data from molecular biology includes DNA,RNA ,Protein and Gene expression data.Gene Expression Data provides the expression level of genes under different conditions.Gene expression is the process of transcribing the DNA sequence of a gene into mRNA sequences which in turn are later translated into proteins.The number of copies of mRNA produced is called the expression level of a gene.Gene expression data is organized in the form of a matrix. Rows in the matrix represent genes and columns in the matrix represent experimental conditions.Experimental conditions can be different tissue types or time points.Entries in the gene expression matrix are real values.Through the analysis of gene expression data it is possible to determine the behavioral patterns of genes such as similarity of their behavior,nature of their interaction,their respective contribution to the same pathways and so on. Similar expression patterns are exhibited by the genes participating in the same biological process.These patterns have immense relevance and application in bioinformatics and clinical research.Theses patterns are used in the medical domain for aid in more accurate diagnosis,prognosis,treatment planning.drug discovery and protein network analysis.To identify various patterns from gene expression data,data mining techniques are essential.Clustering is an important data mining technique for the analysis of gene expression data.To overcome the problems associated with clustering,biclustering is introduced.Biclustering refers to simultaneous clustering of both rows and columns of a data matrix. Clustering is a global whereas biclustering is a local model.Discovering local expression patterns is essential for identfying many genetic pathways that are not apparent otherwise.It is therefore necessary to move beyond the clustering paradigm towards developing approaches which are capable of discovering local patterns in gene expression data.A biclusters is a submatrix of the gene expression data matrix.The rows and columns in the submatrix need not be contiguous as in the gene expression data matrix.Biclusters are not disjoint.Computation of biclusters is costly because one will have to consider all the combinations of columans and rows in order to find out all the biclusters.The search space for the biclustering problem is 2 m+n where m and n are the number of genes and conditions respectively.Usually m+n is more than 3000.The biclustering problem is NP-hard.Biclustering is a powerful analytical tool for the biologist.The research reported in this thesis addresses the problem of biclustering.Ten algorithms are developed for the identification of coherent biclusters from gene expression data.All these algorithms are making use of a measure called mean squared residue to search for biclusters.The objective here is to identify the biclusters of maximum size with the mean squared residue lower than a given threshold. All these algorithms begin the search from tightly coregulated submatrices called the seeds.These seeds are generated by K-Means clustering algorithm.The algorithms developed can be classified as constraint based,greedy and metaheuristic.Constarint based algorithms uses one or more of the various constaints namely the MSR threshold and the MSR difference threshold.The greedy approach makes a locally optimal choice at each stage with the objective of finding the global optimum.In metaheuristic approaches particle Swarm Optimization(PSO) and variants of Greedy Randomized Adaptive Search Procedure(GRASP) are used for the identification of biclusters.These algorithms are implemented on the Yeast and Lymphoma datasets.Biologically relevant and statistically significant biclusters are identified by all these algorithms which are validated by Gene Ontology database.All these algorithms are compared with some other biclustering algorithms.Algorithms developed in this work overcome some of the problems associated with the already existing algorithms.With the help of some of the algorithms which are developed in this work biclusters with very high row variance,which is higher than the row variance of any other algorithm using mean squared residue, are identified from both Yeast and Lymphoma data sets.Such biclusters which make significant change in the expression level are highly relevant biologically.

Studies on a syntax based approach for translation between structurally different languages and the development of a prototype for Malayalam to English translation

This thesis summarizes the results on the studies on a syntax based approach for translation between Malayalam, one of Dravidian languages and English and also on the development of the major modules in building a prototype machine translation system from Malayalam to English. The development of the system is a pioneering effort in Malayalam language unattempted by previous researchers. The computational models chosen for the system is first of its kind for Malayalam language. An in depth study has been carried out in the design of the computational models and data structures needed for different modules: morphological analyzer , a parser, a syntactic structure transfer module and target language sentence generator required for the prototype system. The generation of list of part of speech tags, chunk tags and the hierarchical dependencies among the chunks required for the translation process also has been done. In the development process, the major goals are: (a) accuracy of translation (b) speed and (c) space. Accuracy-wise, smart tools for handling transfer grammar and translation standards including equivalent words, expressions, phrases and styles in the target language are to be developed. The grammar should be optimized with a view to obtaining a single correct parse and hence a single translated output. Speed-wise, innovative use of corpus analysis, efficient parsing algorithm, design of efficient Data Structure and run-time frequency-based rearrangement of the grammar which substantially reduces the parsing and generation time are required. The space requirement also has to be minimised

A virtual backbone based approach for cooperative caching in mobile ad hoc networks

Cache look up is an integral part of cooperative caching in ad hoc networks. In this paper, we discuss a cooperative caching architecture with a distributed cache look up protocol which relies on a virtual backbone for locating and accessing data within a cooperate cache. Our proposal consists of two phases: (i) formation of a virtual backbone and (ii) the cache look up phase. The nodes in a Connected Dominating Set (CDS) form the virtual backbone. The cache look up protocol makes use of the nodes in the virtual backbone for effective data dissemination and discovery. The idea in this scheme is to reduce the number of nodes involved in cache look up process, by constructing a CDS that contains a small number of nodes, still having full coverage of the network. We evaluated the effect of various parameter settings on the performance metrics such as message overhead, cache hit ratio and average query delay. Compared to the previous schemes the proposed scheme not only reduces message overhead, but also improves the cache hit ratio and reduces the average delay

Efficacy of Cluster- Based Approach for the revival of Handloom Co-operative Societies in Kerala- with special reference to Thiruvananthapuram and Kannur Districts

one of the key sectors, identified by the Department of Industries Government of Kerala, for the cluster development initiative is Handloom, which gives employment to over over 50,000 people directly. Despite its age old tradition and fame, the performance of the sector vis-à-vis power looms is not very rosy owing to (i) competition from cheap power loom cloth from other states (ii) scarcity of quality yarn (iii) price escalation of yarn, dyes, chemicals and other raw materials (iv) the shrinking market for handlooms in Kerala (v) non-demand based production and inadequacy of new designs and (vi) inefficiencies in the system, particularly in the co-operative sector. Cluster based approach is adopted in the handloom sector with the objective of providing necessary support mechanism to come out of the crisis that the sector faces now. While four cluster schemes are being implemented in Kerala, it is under IHDS-CDP that the State got a sizeable number of clusters benefiting a large number of societies and weavers- 24 handloom clusters, bringing 152 handloom co-operative societies and over 19,800 handloom workers under the Programme. This research attempts to revisit the underlying rationale and context of the new direction and would attempt to broadly analyze the growth trends under the influence of cluster model adopted by the State IHDS-CDP for the revival of handloom sector through a detailed study of the handloom co-operative societies in Kerala. If handloom sector in Kerala can be revived using cluster based approach, it can be easily concluded that cluster is capable of taking the MSME in Kerala to a ‘high growth path.’ The study is aimed at understanding how best clusters emerge as appropriate industrial organization suitable for the current global structure of manufacture

Brain Tissue Classification from Multispectral MRI by Wavelet based Principal Component Analysis

In this paper, we propose a multispectral analysis system using wavelet based Principal Component Analysis (PCA), to improve the brain tissue classification from MRI images. Global transforms like PCA often neglects significant small abnormality details, while dealing with a massive amount of multispectral data. In order to resolve this issue, input dataset is expanded by detail coefficients from multisignal wavelet analysis. Then, PCA is applied on the new dataset to perform feature analysis. Finally, an unsupervised classification with Fuzzy C-Means clustering algorithm is used to measure the improvement in reproducibility and accuracy of the results. A detailed comparative analysis of classified tissues with those from conventional PCA is also carried out. Proposed method yielded good improvement in classification of small abnormalities with high sensitivity/accuracy values, 98.9/98.3, for clinical analysis. Experimental results from synthetic and clinical data recommend the new method as a promising approach in brain tissue analysis.

Wavelet based Independent Component Analysis for Multispectral Brain Tissue Classification

Multispectral analysis is a promising approach in tissue classification and abnormality detection from Magnetic Resonance (MR) images. But instability in accuracy and reproducibility of the classification results from conventional techniques keeps it far from clinical applications. Recent studies proposed Independent Component Analysis (ICA) as an effective method for source signals separation from multispectral MR data. However, it often fails to extract the local features like small abnormalities, especially from dependent real data. A multisignal wavelet analysis prior to ICA is proposed in this work to resolve these issues. Best de-correlated detail coefficients are combined with input images to give better classification results. Performance improvement of the proposed method over conventional ICA is effectively demonstrated by segmentation and classification using k-means clustering. Experimental results from synthetic and real data strongly confirm the positive effect of the new method with an improved Tanimoto index/Sensitivity values, 0.884/93.605, for reproduced small white matter lesions

Development of Hierarchical Clustering Techniques for Gridded Data from Mixed Data Sequences

Knowledge discovery in databases is the non-trivial process of identifying valid, novel potentially useful and ultimately understandable patterns from data. The term Data mining refers to the process which does the exploratory analysis on the data and builds some model on the data. To infer patterns from data, data mining involves different approaches like association rule mining, classification techniques or clustering techniques. Among the many data mining techniques, clustering plays a major role, since it helps to group the related data for assessing properties and drawing conclusions. Most of the clustering algorithms act on a dataset with uniform format, since the similarity or dissimilarity between the data points is a significant factor in finding out the clusters. If a dataset consists of mixed attributes, i.e. a combination of numerical and categorical variables, a preferred approach is to convert different formats into a uniform format. The research study explores the various techniques to convert the mixed data sets to a numerical equivalent, so as to make it equipped for applying the statistical and similar algorithms. The results of clustering mixed category data after conversion to numeric data type have been demonstrated using a crime data set. The thesis also proposes an extension to the well known algorithm for handling mixed data types, to deal with data sets having only categorical data. The proposed conversion has been validated on a data set corresponding to breast cancer. Moreover, another issue with the clustering process is the visualization of output. Different geometric techniques like scatter plot, or projection plots are available, but none of the techniques display the result projecting the whole database but rather demonstrate attribute-pair wise analysis

Quality Governance based on Enterprise Engineering Method and Six Sigma Approach

Enterprise Modeling (EM) is currently in operation either as a technique to represent and understand the structure and behavior of the enterprise, or as a technique to analyze business processes, and in many cases as support technique for business process reengineering. However, EM architectures and methods for Enterprise Engineering can also used to support new management techniques like SIX SIGMA, because these new techniques need a clear, transparent and integrated definition and description of the business activities of the enterprise to be able to build up, optimize and operate an successful enterprise. The main goal of SIX SIGMA is to optimize the performance of processes. A still open question is: "What are the adequate Quality criteria and methods to ensure such performance? What must we do to get Quality governance?" This paper describes a method including an Enterprise Engineering method and SIX SIGMA strategy to reach Quality Governance