Ensemble transform Kalman-Bucy filters

Two recent works have adapted the Kalman–Bucy filter into an ensemble setting. In the first formulation, the ensemble of perturbations is updated by the solution of an ordinary differential equation (ODE) in pseudo-time, while the mean is updated as in the standard Kalman filter. In the second formulation, the full ensemble is updated in the analysis step as the solution of single set of ODEs in pseudo-time. Neither requires matrix inversions except for the frequently diagonal observation error covariance. We analyse the behaviour of the ODEs involved in these formulations. We demonstrate that they stiffen for large magnitudes of the ratio of background error to observational error variance, and that using the integration scheme proposed in both formulations can lead to failure. A numerical integration scheme that is both stable and is not computationally expensive is proposed. We develop transform-based alternatives for these Bucy-type approaches so that the integrations are computed in ensemble space where the variables are weights (of dimension equal to the ensemble size) rather than model variables. Finally, the performance of our ensemble transform Kalman–Bucy implementations is evaluated using three models: the 3-variable Lorenz 1963 model, the 40-variable Lorenz 1996 model, and a medium complexity atmospheric general circulation model known as SPEEDY. The results from all three models are encouraging and warrant further exploration of these assimilation techniques.

Evaluating interval forecasts of high-frequency financial data

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based test, and a modified version of Christoffersen's Markov chain test for independence, and analyse their properties when the financial time series exhibit periodic volatility. These approaches lead to different conclusions when interval forecasts of FTSE100 index futures returns generated by various GARCH(1,1) and periodic GARCH(1,1) models are evaluated.

Effect of building gap to improve pedestrian comfort levels and ventilation

Rapid rates of urbanization have resulted into increased concerns of urban environment. Amongst them, wind and thermal comfort levels for pedestrians have attracted research interest. In this regards, urban wind environment is seen as a crucial components that can lead to improved thermal comfort levels for pedestrian population. High rise building in modern urban setting causes high levels of turbulence that renders discomfort to pedestrians. Additionally, a higher frequency of high ris e buildings at a particular region acts as a shield against the wind flow to the lower buildings beyond them resulting into higher levels of discomfort to users or residents. Studies conducted on developing wind flow models using Computational Fluid Dynami cs (CFD) simulations have revealed improvement in interval to height ratios can results into improved wind flow within the simulation grid. However, high value and demand for land in urban areas renders expansion to be an impractical solution. Nonetheless, innovative utilization of architectural concepts can be imagined to improve the pedestrian comfort levels through improved wind permeability. This paper assesses the possibility of through-building gaps being a solution to improve pedestrian comfort levels.

Creep and recovery of magnetorheological fluids: experiments and simulations

A direct comparative study on the creep-recovery behavior of conventional MR fluids is carried out using magnetorheometry and particle-level simulations. Two particle concentrations are investigated (ϕ=0.05 and 0.30) at two different magnetic field strengths (53 kA•m-1 and 173 kA•m-1) in order to match the yield stresses developed in both systems for easier comparison. Simulations are mostly started with random initial structures with some additional tests of using preassembled single chains in the low concentration case. Experimental and simulation data are in good qualitative agreement. The results demonstrate three regions in the creep curves: i) In the initial viscoelastic region, the chain-like (at ϕ=0.05) or percolated three-dimensional network (at ϕ=0.30) structures fill up the gap and the average cluster size remains constant; ii) Above a critical strain of 10 %, in the retardation region, these structures begin to break and rearrange under shear. At large enough imposed stress values, they transform into thin sheet-like or thick lamellar structures, depending on the particle concentration; iii) Finally in the case of larger strain values either the viscosity diverges (at low stress values) or reaches a constant low value (at high stress values), showing a clear bifurcation behavior. For stresses below the bifurcation point the MR fluid is capable to recover the strain by a certain fraction. However, no recovery is observed for large stress values.

Estimating correlated observation error statistics using an ensemble transform Kalman filter

For certain observing types, such as those that are remotely sensed, the observation errors are correlated and these correlations are state- and time-dependent. In this work, we develop a method for diagnosing and incorporating spatially correlated and time-dependent observation error in an ensemble data assimilation system. The method combines an ensemble transform Kalman filter with a method that uses statistical averages of background and analysis innovations to provide an estimate of the observation error covariance matrix. To evaluate the performance of the method, we perform identical twin experiments using the Lorenz ’96 and Kuramoto-Sivashinsky models. Using our approach, a good approximation to the true observation error covariance can be recovered in cases where the initial estimate of the error covariance is incorrect. Spatial observation error covariances where the length scale of the true covariance changes slowly in time can also be captured. We find that using the estimated correlated observation error in the assimilation improves the analysis.

Sea ice–ocean coupling using a rescaled vertical coordinate z*

Realistic representation of sea ice in ocean models involves the use of a non-linear free-surface, a real freshwater flux and observance of requisite conservation laws. We show here that these properties can be achieved in practice through use of a rescaled vertical coordinate ‘‘z*” in z-coordinate models that allows one to follow undulations in the free-surface under sea ice loading. In particular, the adoption of "z*" avoids the difficult issue of vanishing levels under thick ice. Details of the implementation within MITgcm are provided. A high resolution global ocean sea ice simulation illustrates the robustness of the z* formulation and reveals a source of oceanic variability associated with sea ice dynamics and ice-loading effects. The use of the z* coordinate allows one to achieve perfect conservation of fresh water, heat and salt, as shown in extended integration of coupled ocean sea ice atmospheric model.

ESR and EISCAT observations of the response of the cusp and cleft to IMF orientation changes

We report observations of the cusp/cleft ionosphere made on December 16th 1998 by the EISCAT (European incoherent scatter) VHF radar at Tromso and the EISCAT Svalbard radar (ESR). We compare them with observations of the dayside auroral luminosity, as seen by meridian scanning photometers at Ny Alesund and of HF radar backscatter, as observed by the CUTLASS radar. We study the response to an interval of about one hour when the interplanetary magnetic field (IMF), monitored by the WIND and ACE spacecraft, was southward. The cusp/cleft aurora is shown to correspond to a spatially extended region of elevated electron temperatures in the VHF radar data. Initial conditions were characterised by a northward-directed IMF and cusp/cleft aurora poleward of the ESR. A strong southward turning then occurred, causing an equatorward motion of the cusp/cleft aurora. Within the equatorward expanding, southward-IMF cusp/cleft, the ESR observed structured and elevated plasma densities and ion and electron temperatures. Cleft ion fountain upflows were seen in association with elevated ion temperatures and rapid eastward convection, consistent with the magnetic curvature force on newly opened held lines for the observed negative IMF B-y. Subsequently, the ESR beam remained immediately poleward of the main cusp/cleft and a sequence of poleward-moving auroral transients passed over it. After the last of these, the ESR was in the polar cap and the radar observations were characterised by extremely low ionospheric densities and downward field-aligned flows. The IMF then turned northward again and the auroral oval contracted such that the ESR moved back into the cusp/cleft region. For the poleward-retreating northward-IMF cusp/cleft, the convection flows were slower, upflows were weaker and the electron density and temperature enhancements were less structured. Following the northward turning, the bands of high electron temperature and cusp/cleft aurora bifurcated, consistent with both subsolar and lobe reconnection taking place simultaneously. The present paper describes the large-scale behaviour of the ionosphere during this interval, as observed by a powerful combination of instruments. Two companion papers, by Lockwood et al. (2000) and Thorolfsson et al. (2000), both in this issue, describe the detailed behaviour of the poleward-moving transients observed during the interval of southward B-z, and explain their morphology in the context of previous theoretical work.

Acoustic scattering : high frequency boundary element methods and unified transform methods

We describe some recent advances in the numerical solution of acoustic scattering problems. A major focus of the paper is the efficient solution of high frequency scattering problems via hybrid numerical-asymptotic boundary element methods. We also make connections to the unified transform method due to A. S. Fokas and co-authors, analysing particular instances of this method, proposed by J. A. De-Santo and co-authors, for problems of acoustic scattering by diffraction gratings.

Comparing hybrid data assimilation methods on the Lorenz 1963 model with increasing nonlinearity

We systematically compare the performance of ETKF-4DVAR, 4DVAR-BEN and 4DENVAR with respect to two traditional methods (4DVAR and ETKF) and an ensemble transform Kalman smoother (ETKS) on the Lorenz 1963 model. We specifically investigated this performance with increasing nonlinearity and using a quasi-static variational assimilation algorithm as a comparison. Using the analysis root mean square error (RMSE) as a metric, these methods have been compared considering (1) assimilation window length and observation interval size and (2) ensemble size to investigate the influence of hybrid background error covariance matrices and nonlinearity on the performance of the methods. For short assimilation windows with close to linear dynamics, it has been shown that all hybrid methods show an improvement in RMSE compared to the traditional methods. For long assimilation window lengths in which nonlinear dynamics are substantial, the variational framework can have diffculties fnding the global minimum of the cost function, so we explore a quasi-static variational assimilation (QSVA) framework. Of the hybrid methods, it is seen that under certain parameters, hybrid methods which do not use a climatological background error covariance do not need QSVA to perform accurately. Generally, results show that the ETKS and hybrid methods that do not use a climatological background error covariance matrix with QSVA outperform all other methods due to the full flow dependency of the background error covariance matrix which also allows for the most nonlinearity.

Application of two-dimensional wavelet transform in near-shore X-band radar images

Among existing remote sensing applications, land-based X-band radar is an effective technique to monitor the wave fields, and spatial wave information could be obtained from the radar images. Two-dimensional Fourier Transform (2-D FT) is the common algorithm to derive the spectra of radar images. However, the wave field in the nearshore area is highly non-homogeneous due to wave refraction, shoaling, and other coastal mechanisms. When applied in nearshore radar images, 2-D FT would lead to ambiguity of wave characteristics in wave number domain. In this article, we introduce two-dimensional Wavelet Transform (2-D WT) to capture the non-homogeneity of wave fields from nearshore radar images. The results show that wave number spectra by 2-D WT at six parallel space locations in the given image clearly present the shoaling of nearshore waves. Wave number of the peak wave energy is increasing along the inshore direction, and dominant direction of the spectra changes from South South West (SSW) to West South West (WSW). To verify the results of 2-D WT, wave shoaling in radar images is calculated based on dispersion relation. The theoretical calculation results agree with the results of 2-D WT on the whole. The encouraging performance of 2-D WT indicates its strong capability of revealing the non-homogeneity of wave fields in nearshore X-band radar images.

Biomineralisation by earthworms: an investigation into the stability and distribution of amorphous calcium carbonate

Background Many biominerals form from amorphous calcium carbonate (ACC), but this phase is highly unstable when synthesised in its pure form inorganically. Several species of earthworm secrete calcium carbonate granules which contain highly stable ACC. We analysed the milky fluid from which granules form and solid granules for amino acid (by liquid chromatography) and functional group (by Fourier transform infrared (FTIR) spectroscopy) compositions. Granule elemental composition was determined using inductively coupled plasma-optical emission spectroscopy (ICP-OES) and electron microprobe analysis (EMPA). Mass of ACC present in solid granules was quantified using FTIR and compared to granule elemental and amino acid compositions. Bulk analysis of granules was of powdered bulk material. Spatially resolved analysis was of thin sections of granules using synchrotron-based μ-FTIR and EMPA electron microprobe analysis. Results The milky fluid from which granules form is amino acid-rich (≤ 136 ± 3 nmol mg−1 (n = 3; ± std dev) per individual amino acid); the CaCO3 phase present is ACC. Even four years after production, granules contain ACC. No correlation exists between mass of ACC present and granule elemental composition. Granule amino acid concentrations correlate well with ACC content (r ≥ 0.7, p ≤ 0.05) consistent with a role for amino acids (or the proteins they make up) in ACC stabilisation. Intra-granule variation in ACC (RSD = 16%) and amino acid concentration (RSD = 22–35%) was high for granules produced by the same earthworm. Maps of ACC distribution produced using synchrotron-based μ-FTIR mapping of granule thin sections and the relative intensity of the ν2: ν4 peak ratio, cluster analysis and component regression using ACC and calcite standards showed similar spatial distributions of likely ACC-rich and calcite-rich areas. We could not identify organic peaks in the μ-FTIR spectra and thus could not determine whether ACC-rich domains also had relatively high amino acid concentrations. No correlation exists between ACC distribution and elemental concentrations determined by EMPA. Conclusions ACC present in earthworm CaCO3 granules is highly stable. Our results suggest a role for amino acids (or proteins) in this stability. We see no evidence for stabilisation of ACC by incorporation of inorganic components.

Uniqueness of signature for simple curves

We propose a topological approach to the problem of determining a curve from its iterated integrals. In particular, we prove that a family of terms in the signature series of a two dimensional closed curve with finite p-variation, 1≤p<2, are in fact moments of its winding number. This relation allows us to prove that the signature series of a class of simple non-smooth curves uniquely determine the curves. This implies that outside a Chordal SLEκ null set, where 0<κ≤4, the signature series of curves uniquely determine the curves. Our calculations also enable us to express the Fourier transform of the n-point functions of SLE curves in terms of the expected signature of SLE curves. Although the techniques used in this article are deterministic, the results provide a platform for studying SLE curves through the signatures of their sample paths.

Using E-Z Reader to examine the concurrent development of eye-movement control and reading skill

Compared to skilled adult readers, children typically make more fixations that are longer in duration, shorter saccades, and more regressions, thus reading more slowly (Blythe & Joseph, 2011). Recent attempts to understand the reasons for these differences have discovered some similarities (e.g., children and adults target their saccades similarly; Joseph, Liversedge, Blythe, White, & Rayner, 2009) and some differences (e.g., children’s fixation durations are more affected by lexical variables; Blythe, Liversedge, Joseph, White, & Rayner, 2009) that have yet to be explained. In this article, the E-Z Reader model of eye-movement control in reading (Reichle, 2011; Reichle, Pollatsek, Fisher, & Rayner, 1998) is used to simulate various eye-movement phenomena in adults versus children in order to evaluate hypotheses about the concurrent development of reading skill and eye-movement behavior. These simulations suggest that the primary difference between children and adults is their rate of lexical processing, and that different rates of (post-lexical) language processing may also contribute to some phenomena (e.g., children’s slower detection of semantic anomalies; Joseph et al., 2008). The theoretical implications of this hypothesis are discussed, including possible alternative accounts of these developmental changes, how reading skill and eye movements change across the entire lifespan (e.g., college-aged vs. elderly readers), and individual differences in reading ability.

Methane cross-validation between three Fourier Transform Spectrometers: SCISAT ACE-FTS, GOSAT TANSO-FTS, and ground-based FTS measurements in the Canadian high Arctic

We present cross-validation of remote sensing measurements of methane profiles in the Canadian high Arctic. Accurate and precise measurements of methane are essential to understand quantitatively its role in the climate system and in global change. Here, we show a cross-validation between three datasets: two from spaceborne instruments and one from a ground-based instrument. All are Fourier Transform Spectrometers (FTSs). We consider the Canadian SCISAT Atmospheric Chemistry Experiment (ACE)-FTS, a solar occultation infrared spectrometer operating since 2004, and the thermal infrared band of the Japanese Greenhouse Gases Observing Satellite (GOSAT) Thermal And Near infrared Sensor for carbon Observation (TANSO)-FTS, a nadir/off-nadir scanning FTS instrument operating at solar and terrestrial infrared wavelengths, since 2009. The ground-based instrument is a Bruker 125HR Fourier Transform Infrared (FTIR) spectrometer, measuring mid-infrared solar absorption spectra at the Polar Environment Atmospheric Research Laboratory (PEARL) Ridge Lab at Eureka, Nunavut (80° N, 86° W) since 2006. For each pair of instruments, measurements are collocated within 500 km and 24 h. An additional criterion based on potential vorticity values was found not to significantly affect differences between measurements. Profiles are regridded to a common vertical grid for each comparison set. To account for differing vertical resolutions, ACE-FTS measurements are smoothed to the resolution of either PEARL-FTS or TANSO-FTS, and PEARL-FTS measurements are smoothed to the TANSO-FTS resolution. Differences for each pair are examined in terms of profile and partial columns. During the period considered, the number of collocations for each pair is large enough to obtain a good sample size (from several hundred to tens of thousands depending on pair and configuration). Considering full profiles, the degrees of freedom for signal (DOFS) are between 0.2 and 0.7 for TANSO-FTS and between 1.5 and 3 for PEARL-FTS, while ACE-FTS has considerably more information (roughly 1° of freedom per altitude level). We take partial columns between roughly 5 and 30 km for the ACE-FTS–PEARL-FTS comparison, and between 5 and 10 km for the other pairs. The DOFS for the partial columns are between 1.2 and 2 for PEARL-FTS collocated with ACE-FTS, between 0.1 and 0.5 for PEARL-FTS collocated with TANSO-FTS or for TANSO-FTS collocated with either other instrument, while ACE-FTS has much higher information content. For all pairs, the partial column differences are within ± 3 × 1022 molecules cm−2. Expressed as median ± median absolute deviation (expressed in absolute or relative terms), these differences are 0.11 ± 9.60 × 10^20 molecules cm−2 (0.012 ± 1.018 %) for TANSO-FTS–PEARL-FTS, −2.6 ± 2.6 × 10^21 molecules cm−2 (−1.6 ± 1.6 %) for ACE-FTS–PEARL-FTS, and 7.4 ± 6.0 × 10^20 molecules cm−2 (0.78 ± 0.64 %) for TANSO-FTS–ACE-FTS. The differences for ACE-FTS–PEARL-FTS and TANSO-FTS–PEARL-FTS partial columns decrease significantly as a function of PEARL partial columns, whereas the range of partial column values for TANSO-FTS–ACE-FTS collocations is too small to draw any conclusion on its dependence on ACE-FTS partial columns.

Multiprobabilistic prediction in early medical diagnoses

This paper describes the methodology of providing multiprobability predictions for proteomic mass spectrometry data. The methodology is based on a newly developed machine learning framework called Venn machines. Is allows to output a valid probability interval. The methodology is designed for mass spectrometry data. For demonstrative purposes, we applied this methodology to MALDI-TOF data sets in order to predict the diagnosis of heart disease and early diagnoses of ovarian cancer and breast cancer. The experiments showed that probability intervals are narrow, that is, the output of the multiprobability predictor is similar to a single probability distribution. In addition, probability intervals produced for heart disease and ovarian cancer data were more accurate than the output of corresponding probability predictor. When Venn machines were forced to make point predictions, the accuracy of such predictions is for the most data better than the accuracy of the underlying algorithm that outputs single probability distribution of a label. Application of this methodology to MALDI-TOF data sets empirically demonstrates the validity. The accuracy of the proposed method on ovarian cancer data rises from 66.7 % 11 months in advance of the moment of diagnosis to up to 90.2 % at the moment of diagnosis. The same approach has been applied to heart disease data without time dependency, although the achieved accuracy was not as high (up to 69.9 %). The methodology allowed us to confirm mass spectrometry peaks previously identified as carrying statistically significant information for discrimination between controls and cases.