The Libor Market Model: from theory to calibration

This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justified by a theoretical demonstration and the resulting formula to price the swaptions coincides with the Black’s one. However, the two models are not compatible from a theoretical point. Therefore, we derive various analytical approximating formulae to price the swaptions in the LIBOR market model and we explain how to perform a Monte Carlo simulation. Finally, we present the calibration of the LIBOR market model to the markets of both caps and swaptions, together with various examples of application to the historical correlation matrix and the cascade calibration of the forward volatilities to the matrix of implied swaption volatilities provided by the market.

Computer simulation studies of vector spin glasses

Die vorliegende Doktorarbeit befasst sich mit klassischen Vektor-Spingläsern eine Art von ungeordneten Magneten - auf verschiedenen Gittertypen. Da siernbedeutsam für eine experimentelle Realisierung sind, ist ein theoretisches Verständnis von Spinglas-Modellen mit wenigen Spinkomponenten und niedriger Gitterdimension von großer Bedeutung. Da sich dies jedoch als sehr schwierigrnerweist, sind neue, aussichtsreiche Ansätze nötig. Diese Arbeit betrachtet daher den Limesrnunendlich vieler Spindimensionen. Darin entstehen mehrere Vereinfachungen im Vergleichrnzu Modellen niedriger Spindimension, so dass für dieses bedeutsame Problem Eigenschaften sowohl bei Temperatur Null als auch bei endlichen Temperaturenrnüberwiegend mit numerischen Methoden ermittelt werden. Sowohl hyperkubische Gitter als auch ein vielseitiges 1d-Modell werden betrachtet. Letzteres erlaubt es, unterschiedliche Universalitätsklassen durch bloßes Abstimmen eines einzigen Parameters zu untersuchen. "Finite-size scaling''-Formen, kritische Exponenten, Quotienten kritischer Exponenten und andere kritische Größen werden nahegelegt und mit numerischen Ergebnissen verglichen. Eine detaillierte Beschreibung der Herleitungen aller numerisch ausgewerteter Gleichungen wird ebenso angegeben. Bei Temperatur Null wird eine gründliche Untersuchung der Grundzustände und Defektenergien gemacht. Eine Reihe interessanter Größen wird analysiert und insbesondere die untere kritische Dimension bestimmt. Bei endlicher Temperatur sind der Ordnungsparameter und die Spinglas-Suszeptibilität über die numerisch berechnete Korrelationsmatrix zugänglich. Das Spinglas-Modell im Limes unendlich vieler Spinkomponenten kann man als Ausgangspunkt zur Untersuchung der natürlicheren Modelle mit niedriger Spindimension betrachten. Wünschenswert wäre natürlich ein Modell, das die Vorteile des ersten mit den Eigenschaften des zweiten verbände. Daher wird in Modell mit Anisotropie vorgeschlagen und getestet, mit welchem versucht wird, dieses Ziel zu erreichen. Es wird auf reizvolle Wege hingewiesen, das Modell zu nutzen und eine tiefergehende Beschäftigung anzuregen. Zuletzt werden sogenannte "real-space" Renormierungsgruppenrechnungen sowohl analytisch als auch numerisch für endlich-dimensionale Vektor-Spingläser mit endlicher Anzahl von Spinkomponenten durchgeführt. Dies wird mit einer zuvor bestimmten neuen Migdal-Kadanoff Rekursionsrelation geschehen. Neben anderen Größen wird die untere kritische Dimension bestimmt.

Genuine cross-correlations: Which surrogate based measure reproduces analytical results best?

The analysis of short segments of noise-contaminated, multivariate real world data constitutes a challenge. In this paper we compare several techniques of analysis, which are supposed to correctly extract the amount of genuine cross-correlations from a multivariate data set. In order to test for the quality of their performance we derive time series from a linear test model, which allows the analytical derivation of genuine correlations. We compare the numerical estimates of the four measures with the analytical results for different correlation pattern. In the bivariate case all but one measure performs similarly well. However, in the multivariate case measures based on the eigenvalues of the equal-time cross-correlation matrix do not extract exclusively information about the amount of genuine correlations, but they rather reflect the spatial organization of the correlation pattern. This may lead to failures when interpreting the numerical results as illustrated by an application to three electroencephalographic recordings of three patients suffering from pharmacoresistent epilepsy.

Theta burst transcranial magnetic stimulation is associated with increased EEG synchronization in the stimulated relative to unstimulated cerebral hemisphere

Theta burst transcranial magnetic stimulation (TBS) may induce behavioural changes that outlast the stimulation period. The neurophysiological basis of these behavioural changes are currently under investigation. Given the evidence that cortical information processing relies on transient synchronization and desynchronization of neuronal assemblies, we set out to test whether TBS is associated with changes of neuronal synchronization as assessed by surface EEG. In four healthy subjects one TBS train of 600 pulses (200 bursts, each burst consisting of 3 pulses at 30 Hz, repeated at intervals of 100 ms) was applied over the right frontal eye field and EEG synchronization was assessed in a time-resolved manner over 60 min by using a non-overlapping moving window. For each time step the linear cross-correlation matrix for six EEG channels of the right and for the six homotopic EEG channels of the left hemisphere were computed and their largest eigenvalues used to assess changes of synchronization. Synchronization was computed for broadband EEG and for the delta, theta, alpha, beta and gamma frequency bands. In all subjects EEG synchronization of the stimulated hemisphere was significantly and persistently increased relative to EEG synchronization of the unstimulated hemisphere. This effect occurred immediately after TBS for the theta, alpha, beta and gamma frequency bands and 10-20 min after TBS for broadband and delta frequency band EEG. Our results demonstrate that TBS is associated with increased neuronal synchronization of the cerebral hemisphere ipsilateral to the stimulation site relative to the unstimulated hemisphere. We speculate that enhanced synchronization interferes with cortical information processing and thus may be a neurophysiological correlate of the impaired behavioural performance detected previously.

Parameter-free extraction of the functional network topology from intracranial EEG recordings: a time-resolved study of graph properties in focal onset seizures

Rationale: Focal onset epileptic seizures are due to abnormal interactions between distributed brain areas. By estimating the cross-correlation matrix of multi-site intra-cerebral EEG recordings (iEEG), one can quantify these interactions. To assess the topology of the underlying functional network, the binary connectivity matrix has to be derived from the cross-correlation matrix by use of a threshold. Classically, a unique threshold is used that constrains the topology [1]. Our method aims to set the threshold in a data-driven way by separating genuine from random cross-correlation. We compare our approach to the fixed threshold method and study the dynamics of the functional topology. Methods: We investigate the iEEG of patients suffering from focal onset seizures who underwent evaluation for the possibility of surgery. The equal-time cross-correlation matrices are evaluated using a sliding time window. We then compare 3 approaches assessing the corresponding binary networks. For each time window: * Our parameter-free method derives from the cross-correlation strength matrix (CCS)[2]. It aims at disentangling genuine from random correlations (due to finite length and varying frequency content of the signals). In practice, a threshold is evaluated for each pair of channels independently, in a data-driven way. * The fixed mean degree (FMD) uses a unique threshold on the whole connectivity matrix so as to ensure a user defined mean degree. * The varying mean degree (VMD) uses the mean degree of the CCS network to set a unique threshold for the entire connectivity matrix. * Finally, the connectivity (c), connectedness (given by k, the number of disconnected sub-networks), mean global and local efficiencies (Eg, El, resp.) are computed from FMD, CCS, VMD, and their corresponding random and lattice networks. Results: Compared to FMD and VMD, CCS networks present: *topologies that are different in terms of c, k, Eg and El. *from the pre-ictal to the ictal and then post-ictal period, topological features time courses that are more stable within a period, and more contrasted from one period to the next. For CCS, pre-ictal connectivity is low, increases to a high level during the seizure, then decreases at offset. k shows a ‘‘U-curve’’ underlining the synchronization of all electrodes during the seizure. Eg and El time courses fluctuate between the corresponding random and lattice networks values in a reproducible manner. Conclusions: The definition of a data-driven threshold provides new insights into the topology of the epileptic functional networks.

Variance of familial dietary intake

Although many family-based genetic studies have collected dietary data, very few have used the dietary information in published findings. No single solution has been presented or discussed in the literature to deal with the problem of using factor analyses for the analyses of dietary data from several related individuals from a given household. The standard statistical approach of factor analysis cannot be applied to the VIVA LA FAMILIA Study diet data to ascertain dietary patterns since this population consists of three children from each family, thus the dietary patterns of the related children may be correlated and non-independent. Addressing this problem in this project will enable us to describe the dietary patterns in Hispanic families and to explore the relationships between dietary patterns and childhood obesity. ^ In the VIVA LA FAMILIA Study, an overweight child was first identified and then his/her siblings and parents were brought in for data collection which included 24 hour recalls and food frequency questionnaire (FFQ). Dietary intake data were collected using FFQ and 24 hour recalls on 1030 Hispanic children from 319 families. ^ The design of the VIVA LA FAMILIA Study has important and unique statistical considerations since its participants are related to each other, the majority form distinct nuclear families. Thus, the standard approach of factor analysis cannot be applied to these diet data to ascertain dietary patterns. In this project we propose to investigate whether the determinants of the correlation matrix of each family unit will allow us to adjust the original correlation matrix of the dietary intake data prior to ascertaining dietary intake patterns. If these methods are appropriate, then in the future the dietary patterns among related individuals could be assessed by standard orthogonal principal component factor analysis.^

A linearization-based system reliability method with application to geotechnical analysis

Los análisis de fiabilidad representan una herramienta adecuada para contemplar las incertidumbres inherentes que existen en los parámetros geotécnicos. En esta Tesis Doctoral se desarrolla una metodología basada en una linealización sencilla, que emplea aproximaciones de primer o segundo orden, para evaluar eficientemente la fiabilidad del sistema en los problemas geotécnicos. En primer lugar, se emplean diferentes métodos para analizar la fiabilidad de dos aspectos propios del diseño de los túneles: la estabilidad del frente y el comportamiento del sostenimiento. Se aplican varias metodologías de fiabilidad — el Método de Fiabilidad de Primer Orden (FORM), el Método de Fiabilidad de Segundo Orden (SORM) y el Muestreo por Importancia (IS). Los resultados muestran que los tipos de distribución y las estructuras de correlación consideradas para todas las variables aleatorias tienen una influencia significativa en los resultados de fiabilidad, lo cual remarca la importancia de una adecuada caracterización de las incertidumbres geotécnicas en las aplicaciones prácticas. Los resultados también muestran que tanto el FORM como el SORM pueden emplearse para estimar la fiabilidad del sostenimiento de un túnel y que el SORM puede mejorar el FORM con un esfuerzo computacional adicional aceptable. Posteriormente, se desarrolla una metodología de linealización para evaluar la fiabilidad del sistema en los problemas geotécnicos. Esta metodología solamente necesita la información proporcionada por el FORM: el vector de índices de fiabilidad de las funciones de estado límite (LSFs) que componen el sistema y su matriz de correlación. Se analizan dos problemas geotécnicos comunes —la estabilidad de un talud en un suelo estratificado y un túnel circular excavado en roca— para demostrar la sencillez, precisión y eficiencia del procedimiento propuesto. Asimismo, se reflejan las ventajas de la metodología de linealización con respecto a las herramientas computacionales alternativas. Igualmente se muestra que, en el caso de que resulte necesario, se puede emplear el SORM —que aproxima la verdadera LSF mejor que el FORM— para calcular estimaciones más precisas de la fiabilidad del sistema. Finalmente, se presenta una nueva metodología que emplea Algoritmos Genéticos para identificar, de manera precisa, las superficies de deslizamiento representativas (RSSs) de taludes en suelos estratificados, las cuales se emplean posteriormente para estimar la fiabilidad del sistema, empleando la metodología de linealización propuesta. Se adoptan tres taludes en suelos estratificados característicos para demostrar la eficiencia, precisión y robustez del procedimiento propuesto y se discuten las ventajas del mismo con respecto a otros métodos alternativos. Los resultados muestran que la metodología propuesta da estimaciones de fiabilidad que mejoran los resultados previamente publicados, enfatizando la importancia de hallar buenas RSSs —y, especialmente, adecuadas (desde un punto de vista probabilístico) superficies de deslizamiento críticas que podrían ser no-circulares— para obtener estimaciones acertadas de la fiabilidad de taludes en suelos. Reliability analyses provide an adequate tool to consider the inherent uncertainties that exist in geotechnical parameters. This dissertation develops a simple linearization-based approach, that uses first or second order approximations, to efficiently evaluate the system reliability of geotechnical problems. First, reliability methods are employed to analyze the reliability of two tunnel design aspects: face stability and performance of support systems. Several reliability approaches —the first order reliability method (FORM), the second order reliability method (SORM), the response surface method (RSM) and importance sampling (IS)— are employed, with results showing that the assumed distribution types and correlation structures for all random variables have a significant effect on the reliability results. This emphasizes the importance of an adequate characterization of geotechnical uncertainties for practical applications. Results also show that both FORM and SORM can be used to estimate the reliability of tunnel-support systems; and that SORM can outperform FORM with an acceptable additional computational effort. A linearization approach is then developed to evaluate the system reliability of series geotechnical problems. The approach only needs information provided by FORM: the vector of reliability indices of the limit state functions (LSFs) composing the system, and their correlation matrix. Two common geotechnical problems —the stability of a slope in layered soil and a circular tunnel in rock— are employed to demonstrate the simplicity, accuracy and efficiency of the suggested procedure. Advantages of the linearization approach with respect to alternative computational tools are discussed. It is also found that, if necessary, SORM —that approximates the true LSF better than FORM— can be employed to compute better estimations of the system’s reliability. Finally, a new approach using Genetic Algorithms (GAs) is presented to identify the fully specified representative slip surfaces (RSSs) of layered soil slopes, and such RSSs are then employed to estimate the system reliability of slopes, using our proposed linearization approach. Three typical benchmark-slopes with layered soils are adopted to demonstrate the efficiency, accuracy and robustness of the suggested procedure, and advantages of the proposed method with respect to alternative methods are discussed. Results show that the proposed approach provides reliability estimates that improve previously published results, emphasizing the importance of finding good RSSs —and, especially, good (probabilistic) critical slip surfaces that might be non-circular— to obtain good estimations of the reliability of soil slope systems.

Relationship between thirty post-thaw spermatozoal characteristics and the field fertility of 11 high-use Australian dairy AI sires

This study determined the relationship between two measures of field fertility of I I high-use Australian artificial insemination (AI) dairy bulls and thirty standard laboratory assessments of spermatozoal post-thaw viability. The two measures of field fertility used, conception rates (cCR) and non-return rates (cNRR), were both corrected for all major non-bull variables. Sperm viability assessments were conducted on semen collected within the same season as that used to derive the field fertility estimates. These assessments measured sperm concentration, motility, morphology and membrane integrity at thawing, after 2 h incubation and after the swim-up sperm selection procedure. Derivations of these measures and in vitro embryo fertilizing and developmental capacity were also determined. The Genstat Statistical Package [Genstat 5 Release 4.2 Reference Manual, VSN International, Oxford, 20001 was used to conduct an analysis of variance on the viability parameters across semen straws and bulls, and to calculate the strength of correlation between each semen parameter, cNRR and cCR in a correlation matrix. Step forward multiple regression identified the combination of semen parameters that were most highly correlated with cCR and with cNRR. The sperm parameters identified as being most predictive of cCR were the percentage of morphologically normal sperm immediately post-thaw (zeroNorm), the number of morphologically normal sperm after the swim-up procedure (nSuNorm), and the rate of zygote cleavage in vitro (Clv); the predictive equation formed by these parameters accounted for 70% of variance. The predictive equation produced for cNRR contained the variables zeroNorm, the proportion of membrane intact sperm after 2 h incubation at 37 degreesC (twoMem) and Clv and accounted for 76.5% of the variation. ZeroNorm was found to be consistent across straws and semen batches within-bull and the sperm parameter with the strongest individual predictive capacity for both cCR (P = 0.1) and cNRR (P = 0.001). Post-thaw sperm parameters can be used to predict field fertility of Australian dairy sires; the calculated predictive equations are particularly useful for identifying and monitoring bulls of very high and very low potential fertility within a group. (C) 2003 Elsevier B.V. All rights reserved.

Experimental characterization of continuous-variable entanglement

We present an experimental analysis of quadrature entanglement produced from a pair of amplitude squeezed beams. The correlation matrix of the state is characterized within a set of reasonable assumptions, and the strength of the entanglement is gauged using measures of the degree of inseparability and the degree of Einstein-Podolsky-Rosen (EPR) paradox. We introduce controlled decoherence in the form of optical loss to the entangled state, and demonstrate qualitative differences in the response of the degrees of inseparability and EPR paradox to this loss. The entanglement is represented on a photon number diagram that provides an intuitive and physically relevant description of the state. We calculate efficacy contours for several quantum information protocols on this diagram, and use them to predict the effectiveness of our entanglement in those protocols.

Stochastic modelling and simulations for solute transport in porous media

A stochastic model for solute transport in aquifers is studied based on the concepts of stochastic velocity and stochastic diffusivity. By applying finite difference techniques to the spatial variables of the stochastic governing equation, a system of stiff stochastic ordinary differential equations is obtained. Both the semi-implicit Euler method and the balanced implicit method are used for solving this stochastic system. Based on the Karhunen-Loeve expansion, stochastic processes in time and space are calculated by means of a spatial correlation matrix. Four types of spatial correlation matrices are presented based on the hydraulic properties of physical parameters. Simulations with two types of correlation matrices are presented.

The influence of climate on the dispersal of lichen soredia

The relationship between the daily deposition of soredia of Hypogymnia physodes (L.) Nyl. and local climatic records was studied in the field during three periods at a site in Seattle, WA, U.S.A: (1) 11 August – 16 September 1986 (Study A); (2) 16 December – 11 January 1987 (Study B) and (3) 8 July 1988 – 30 January 1989 (Study C). The soredia were trapped on adhesive strips placed at various locations on a Prunus blireiana L. tree for 24 hr periods. A correlation matrix of the data from all three studies revealed a negative correlation between soredial deposition and relative humidity; and a positive correlation with rainfall and temperature. A multiple regression and forward stepwise regression analysis selected relative humidity as the most significant climatic variable, i.e. more soredia tended to be deposited when relative humidity was low. Analysis of individual studies by multiple regression revealed: (1) no significant relationships between soredial deposition and climate in Study A; (2) positive relationships with temperature and wind speed in Study B and (3) positive relationships with wind speed and rainfall in the summer/autumn months of Study C; in the winter months no relationships with climate were found because few soredia were deposited. The data suggest that in the field seasonal photoperiod differences combined with moderately high temperatures and high relative humidity may promote soredial formation and accumulation on thalli prior to soredia dispersal. In addition, low relative humidity may promote soredial release while wind and raindrops may be possible agents of dispersal.

Data visualisation and exploration with prior knowledge

Visualising data for exploratory analysis is a major challenge in many applications. Visualisation allows scientists to gain insight into the structure and distribution of the data, for example finding common patterns and relationships between samples as well as variables. Typically, visualisation methods like principal component analysis and multi-dimensional scaling are employed. These methods are favoured because of their simplicity, but they cannot cope with missing data and it is difficult to incorporate prior knowledge about properties of the variable space into the analysis; this is particularly important in the high-dimensional, sparse datasets typical in geochemistry. In this paper we show how to utilise a block-structured correlation matrix using a modification of a well known non-linear probabilistic visualisation model, the Generative Topographic Mapping (GTM), which can cope with missing data. The block structure supports direct modelling of strongly correlated variables. We show that including prior structural information it is possible to improve both the data visualisation and the model fit. These benefits are demonstrated on artificial data as well as a real geochemical dataset used for oil exploration, where the proposed modifications improved the missing data imputation results by 3 to 13%.

A Statistical Convergence Aplication for the Hopfield Networks

When Recurrent Neural Networks (RNN) are going to be used as Pattern Recognition systems, the problem to be considered is how to impose prescribed prototype vectors ξ^1,ξ^2,...,ξ^p as fixed points. The synaptic matrix W should be interpreted as a sort of sign correlation matrix of the prototypes, In the classical approach. The weak point in this approach, comes from the fact that it does not have the appropriate tools to deal efficiently with the correlation between the state vectors and the prototype vectors The capacity of the net is very poor because one can only know if one given vector is adequately correlated with the prototypes or not and we are not able to know what its exact correlation degree. The interest of our approach lies precisely in the fact that it provides these tools. In this paper, a geometrical vision of the dynamic of states is explained. A fixed point is viewed as a point in the Euclidean plane R2. The retrieving procedure is analyzed trough statistical frequency distribution of the prototypes. The capacity of the net is improved and the spurious states are reduced. In order to clarify and corroborate the theoretical results, together with the formal theory, an application is presented

Channel model and lower capacity bound for the transmission based on nonlinear Fourier transform

The integrability of the nonlinear Schräodinger equation (NLSE) by the inverse scattering transform shown in a seminal work [1] gave an interesting opportunity to treat the corresponding nonlinear channel similar to a linear one by using the nonlinear Fourier transform. Integrability of the NLSE is in the background of the old idea of eigenvalue communications [2] that was resurrected in recent works [3{7]. In [6, 7] the new method for the coherent optical transmission employing the continuous nonlinear spectral data | nonlinear inverse synthesis was introduced. It assumes the modulation and detection of data using directly the continuous part of nonlinear spectrum associated with an integrable transmission channel (the NLSE in the case considered). Although such a transmission method is inherently free from nonlinear impairments, the noisy signal corruptions, arising due to the ampli¯er spontaneous emission, inevitably degrade the optical system performance. We study properties of the noise-corrupted channel model in the nonlinear spectral domain attributed to NLSE. We derive the general stochastic equations governing the signal evolution inside the nonlinear spectral domain and elucidate the properties of the emerging nonlinear spectral noise using well-established methods of perturbation theory based on inverse scattering transform [8]. It is shown that in the presence of small noise the communication channel in the nonlinear domain is the additive Gaussian channel with memory and signal-dependent correlation matrix. We demonstrate that the effective spectral noise acquires colouring", its autocorrelation function becomes slow decaying and non-diagonal as a function of \frequencies", and the noise loses its circular symmetry, becoming elliptically polarized. Then we derive a low bound for the spectral effiency for such a channel. Our main result is that by using the nonlinear spectral techniques one can significantly increase the achievable spectral effiency compared to the currently available methods [9]. REFERENCES 1. Zakharov, V. E. and A. B. Shabat, Sov. Phys. JETP, Vol. 34, 62{69, 1972. 2. Hasegawa, A. and T. Nyu, J. Lightwave Technol., Vol. 11, 395{399, 1993. 3. Yousefi, M. I. and F. R. Kschischang, IEEE Trans. Inf. Theory, Vol. 60, 4312{4328, 2014. 4. Yousefi, M. I. and F. R. Kschischang, IEEE Trans. Inf. Theory, Vol. 60, 4329{4345 2014. 5. Yousefi, M. I. and F. R. Kschischang, IEEE Trans. Inf. Theory, Vol. 60, 4346{4369, 2014. 6. Prilepsky, J. E., S. A. Derevyanko, K. J. Blow, I. Gabitov, and S. K. Turitsyn, Phys. Rev. Lett., Vol. 113, 013901, 2014. 7. Le, S. T., J. E. Prilepsky, and S. K. Turitsyn, Opt. Express, Vol. 22, 26720{26741, 2014. 8. Kaup, D. J. and A. C. Newell, Proc. R. Soc. Lond. A, Vol. 361, 413{446, 1978. 9. Essiambre, R.-J., G. Kramer, P. J. Winzer, G. J. Foschini, and B. Goebel, J. Lightwave Technol., Vol. 28, 662{701, 2010.

Extended principal component analysis and its applications to image analysis

The objectives of this research are to analyze and develop a modified Principal Component Analysis (PCA) and to develop a two-dimensional PCA with applications in image processing. PCA is a classical multivariate technique where its mathematical treatment is purely based on the eigensystem of positive-definite symmetric matrices. Its main function is to statistically transform a set of correlated variables to a new set of uncorrelated variables over $\IR\sp{n}$ by retaining most of the variations present in the original variables.^ The variances of the Principal Components (PCs) obtained from the modified PCA form a correlation matrix of the original variables. The decomposition of this correlation matrix into a diagonal matrix produces a set of orthonormal basis that can be used to linearly transform the given PCs. It is this linear transformation that reproduces the original variables. The two-dimensional PCA can be devised as a two successive of one-dimensional PCA. It can be shown that, for an $m\times n$ matrix, the PCs obtained from the two-dimensional PCA are the singular values of that matrix.^ In this research, several applications for image analysis based on PCA are developed, i.e., edge detection, feature extraction, and multi-resolution PCA decomposition and reconstruction. ^