Adaptively weighted maximum likelihood estimation of discrete distributions

SummaryDiscrete data arise in various research fields, typically when the observations are count data.I propose a robust and efficient parametric procedure for estimation of discrete distributions. The estimation is done in two phases. First, a very robust, but possibly inefficient, estimate of the model parameters is computed and used to indentify outliers. Then the outliers are either removed from the sample or given low weights, and a weighted maximum likelihood estimate (WML) is computed.The weights are determined via an adaptive process such that if the data follow the model, then asymptotically no observation is downweighted.I prove that the final estimator inherits the breakdown point of the initial one, and that its influence function at the model is the same as the influence function of the maximum likelihood estimator, which strongly suggests that it is asymptotically fully efficient.The initial estimator is a minimum disparity estimator (MDE). MDEs can be shown to have full asymptotic efficiency, and some MDEs have very high breakdown points and very low bias under contamination. Several initial estimators are considered, and the performances of the WMLs based on each of them are studied.It results that in a great variety of situations the WML substantially improves the initial estimator, both in terms of finite sample mean square error and in terms of bias under contamination. Besides, the performances of the WML are rather stable under a change of the MDE even if the MDEs have very different behaviors.Two examples of application of the WML to real data are considered. In both of them, the necessity for a robust estimator is clear: the maximum likelihood estimator is badly corrupted by the presence of a few outliers.This procedure is particularly natural in the discrete distribution setting, but could be extended to the continuous case, for which a possible procedure is sketched.RésuméLes données discrètes sont présentes dans différents domaines de recherche, en particulier lorsque les observations sont des comptages.Je propose une méthode paramétrique robuste et efficace pour l'estimation de distributions discrètes. L'estimation est faite en deux phases. Tout d'abord, un estimateur très robuste des paramètres du modèle est calculé, et utilisé pour la détection des données aberrantes (outliers). Cet estimateur n'est pas nécessairement efficace. Ensuite, soit les outliers sont retirés de l'échantillon, soit des faibles poids leur sont attribués, et un estimateur du maximum de vraisemblance pondéré (WML) est calculé.Les poids sont déterminés via un processus adaptif, tel qu'asymptotiquement, si les données suivent le modèle, aucune observation n'est dépondérée.Je prouve que le point de rupture de l'estimateur final est au moins aussi élevé que celui de l'estimateur initial, et que sa fonction d'influence au modèle est la même que celle du maximum de vraisemblance, ce qui suggère que cet estimateur est pleinement efficace asymptotiquement.L'estimateur initial est un estimateur de disparité minimale (MDE). Les MDE sont asymptotiquement pleinement efficaces, et certains d'entre eux ont un point de rupture très élevé et un très faible biais sous contamination. J'étudie les performances du WML basé sur différents MDEs.Le résultat est que dans une grande variété de situations le WML améliore largement les performances de l'estimateur initial, autant en terme du carré moyen de l'erreur que du biais sous contamination. De plus, les performances du WML restent assez stables lorsqu'on change l'estimateur initial, même si les différents MDEs ont des comportements très différents.Je considère deux exemples d'application du WML à des données réelles, où la nécessité d'un estimateur robuste est manifeste : l'estimateur du maximum de vraisemblance est fortement corrompu par la présence de quelques outliers.La méthode proposée est particulièrement naturelle dans le cadre des distributions discrètes, mais pourrait être étendue au cas continu.

Estimation of inelastic seismic material properties of a surgical sea-bed from multi-component marine seismic data

To date, state-of-the-art seismic material parameter estimates from multi-component sea-bed seismic data are based on the assumption that the sea-bed consists of a fully elastic half-space. In reality, however, the shallow sea-bed generally consists of soft, unconsolidated sediments that are characterized by strong to very strong seismic attenuation. To explore the potential implications, we apply a state-of-the-art elastic decomposition algorithm to synthetic data for a range of canonical sea-bed models consisting of a viscoelastic half-space of varying attenuation. We find that in the presence of strong seismic attenuation, as quantified by Q-values of 10 or less, significant errors arise in the conventional elastic estimation of seismic properties. Tests on synthetic data indicate that these errors can be largely avoided by accounting for the inherent attenuation of the seafloor when estimating the seismic parameters. This can be achieved by replacing the real-valued expressions for the elastic moduli in the governing equations in the parameter estimation by their complex-valued viscoelastic equivalents. The practical application of our parameter procedure yields realistic estimates of the elastic seismic material properties of the shallow sea-bed, while the corresponding Q-estimates seem to be biased towards too low values, particularly for S-waves. Given that the estimation of inelastic material parameters is notoriously difficult, particularly in the immediate vicinity of the sea-bed, this is expected to be of interest and importance for civil and ocean engineering purposes.

Estimation of the viscoelastic properties of vessel walls using a computational model and Doppler ultrasound

Human arteries affected by atherosclerosis are characterized by altered wall viscoelastic properties. The possibility of noninvasively assessing arterial viscoelasticity in vivo would significantly contribute to the early diagnosis and prevention of this disease. This paper presents a noniterative technique to estimate the viscoelastic parameters of a vascular wall Zener model. The approach requires the simultaneous measurement of flow variations and wall displacements, which can be provided by suitable ultrasound Doppler instruments. Viscoelastic parameters are estimated by fitting the theoretical constitutive equations to the experimental measurements using an ARMA parameter approach. The accuracy and sensitivity of the proposed method are tested using reference data generated by numerical simulations of arterial pulsation in which the physiological conditions and the viscoelastic parameters of the model can be suitably varied. The estimated values quantitatively agree with the reference values, showing that the only parameter affected by changing the physiological conditions is viscosity, whose relative error was about 27% even when a poor signal-to-noise ratio is simulated. Finally, the feasibility of the method is illustrated through three measurements made at different flow regimes on a cylindrical vessel phantom, yielding a parameter mean estimation error of 25%.

Minimum distance estimation of stationary and non-stationary ARFIMA processes

A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator iseasy to compute and is consistent and asymptotically normally distributed for fractionallyintegrated (FI) processes with an integration order d strictly greater than -0.75. Therefore, it can be applied to both stationary and non-stationary processes. Deterministic components are also allowed in the DGP. Furthermore, as a by-product, the estimation procedure provides an immediate check on the adequacy of the specified model. This is so because the criterion function, when evaluated at the estimated values, coincides with the Box-Pierce goodness of fit statistic. Empirical applications and Monte-Carlo simulations supporting the analytical results and showing the good performance of the estimator in finite samples are also provided.

Quantitative estimation of foot-flat and stance phase of gait using foot-worn inertial sensors.

Time periods composing stance phase of gait can be clinically meaningful parameters to reveal differences between normal and pathological gait. This study aimed, first, to describe a novel method for detecting stance and inner-stance temporal events based on foot-worn inertial sensors; second, to extract and validate relevant metrics from those events; and third, to investigate their suitability as clinical outcome for gait evaluations. 42 subjects including healthy subjects and patients before and after surgical treatments for ankle osteoarthritis performed 50-m walking trials while wearing foot-worn inertial sensors and pressure insoles as a reference system. Several hypotheses were evaluated to detect heel-strike, toe-strike, heel-off, and toe-off based on kinematic features. Detected events were compared with the reference system on 3193 gait cycles and showed good accuracy and precision. Absolute and relative stance periods, namely loading response, foot-flat, and push-off were then estimated, validated, and compared statistically between populations. Besides significant differences observed in stance duration, the analysis revealed differing tendencies with notably a shorter foot-flat in healthy subjects. The result indicated which features in inertial sensors' signals should be preferred for detecting precisely and accurately temporal events against a reference standard. The system is suitable for clinical evaluations and provides temporal analysis of gait beyond the common swing/stance decomposition, through a quantitative estimation of inner-stance phases such as foot-flat.

Maximum-likelihood estimation of specific differential phase and attenuation in rain

Precise estimation of propagation parameters inprecipitation media is of interest to improve the performanceof communications systems and in remote sensing applications.In this paper, we present maximum-likelihood estimators ofspecific attenuation and specific differential phase in rain. Themodel used for obtaining the cited estimators assumes coherentpropagation, reflection symmetry of the medium, and Gaussianstatistics of the scattering matrix measurements. No assumptionsabout the microphysical properties of the medium are needed.The performance of the estimators is evaluated through simulateddata. Results show negligible estimators bias and variances closeto Cramer–Rao bounds.

Estimation of the correlation structure of crustal velocity heterogeneity from seismic reflection data

Numerous sources of evidence point to the fact that heterogeneity within the Earth's deep crystalline crust is complex and hence may be best described through stochastic rather than deterministic approaches. As seismic reflection imaging arguably offers the best means of sampling deep crustal rocks in situ, much interest has been expressed in using such data to characterize the stochastic nature of crustal heterogeneity. Previous work on this problem has shown that the spatial statistics of seismic reflection data are indeed related to those of the underlying heterogeneous seismic velocity distribution. As of yet, however, the nature of this relationship has remained elusive due to the fact that most of the work was either strictly empirical or based on incorrect methodological approaches. Here, we introduce a conceptual model, based on the assumption of weak scattering, that allows us to quantitatively link the second-order statistics of a 2-D seismic velocity distribution with those of the corresponding processed and depth-migrated seismic reflection image. We then perform a sensitivity study in order to investigate what information regarding the stochastic model parameters describing crustal velocity heterogeneity might potentially be recovered from the statistics of a seismic reflection image using this model. Finally, we present a Monte Carlo inversion strategy to estimate these parameters and we show examples of its application at two different source frequencies and using two different sets of prior information. Our results indicate that the inverse problem is inherently non-unique and that many different combinations of the vertical and lateral correlation lengths describing the velocity heterogeneity can yield seismic images with the same 2-D autocorrelation structure. The ratio of all of these possible combinations of vertical and lateral correlation lengths, however, remains roughly constant which indicates that, without additional prior information, the aspect ratio is the only parameter describing the stochastic seismic velocity structure that can be reliably recovered.

Validation of a wrist monitor for accurate estimation of RR intervals during sleep.

While the incidence of sleep disorders is continuously increasing in western societies, there is a clear demand for technologies to asses sleep-related parameters in ambulatory scenarios. The present study introduces a novel concept of accurate sensor to measure RR intervals via the analysis of photo-plethysmographic signals recorded at the wrist. In a cohort of 26 subjects undergoing full night polysomnography, the wrist device provided RR interval estimates in agreement with RR intervals as measured from standard electrocardiographic time series. The study showed an overall agreement between both approaches of 0.05 ± 18 ms. The novel wrist sensor opens the door towards a new generation of comfortable and easy-to-use sleep monitors.

Bayesian estimation of speciation and extinction from incomplete fossil occurrence data.

The temporal dynamics of species diversity are shaped by variations in the rates of speciation and extinction, and there is a long history of inferring these rates using first and last appearances of taxa in the fossil record. Understanding diversity dynamics critically depends on unbiased estimates of the unobserved times of speciation and extinction for all lineages, but the inference of these parameters is challenging due to the complex nature of the available data. Here, we present a new probabilistic framework to jointly estimate species-specific times of speciation and extinction and the rates of the underlying birth-death process based on the fossil record. The rates are allowed to vary through time independently of each other, and the probability of preservation and sampling is explicitly incorporated in the model to estimate the true lifespan of each lineage. We implement a Bayesian algorithm to assess the presence of rate shifts by exploring alternative diversification models. Tests on a range of simulated data sets reveal the accuracy and robustness of our approach against violations of the underlying assumptions and various degrees of data incompleteness. Finally, we demonstrate the application of our method with the diversification of the mammal family Rhinocerotidae and reveal a complex history of repeated and independent temporal shifts of both speciation and extinction rates, leading to the expansion and subsequent decline of the group. The estimated parameters of the birth-death process implemented here are directly comparable with those obtained from dated molecular phylogenies. Thus, our model represents a step towards integrating phylogenetic and fossil information to infer macroevolutionary processes.

Estimation of the noisy component of anatomical backgrounds.

The knowledge of the relationship that links radiation dose and image quality is a prerequisite to any optimization of medical diagnostic radiology. Image quality depends, on the one hand, on the physical parameters such as contrast, resolution, and noise, and on the other hand, on characteristics of the observer that assesses the image. While the role of contrast and resolution is precisely defined and recognized, the influence of image noise is not yet fully understood. Its measurement is often based on imaging uniform test objects, even though real images contain anatomical backgrounds whose statistical nature is much different from test objects used to assess system noise. The goal of this study was to demonstrate the importance of variations in background anatomy by quantifying its effect on a series of detection tasks. Several types of mammographic backgrounds and signals were examined by psychophysical experiments in a two-alternative forced-choice detection task. According to hypotheses concerning the strategy used by the human observers, their signal to noise ratio was determined. This variable was also computed for a mathematical model based on the statistical decision theory. By comparing theoretical model and experimental results, the way that anatomical structure is perceived has been analyzed. Experiments showed that the observer's behavior was highly dependent upon both system noise and the anatomical background. The anatomy partly acts as a signal recognizable as such and partly as a pure noise that disturbs the detection process. This dual nature of the anatomy is quantified. It is shown that its effect varies according to its amplitude and the profile of the object being detected. The importance of the noisy part of the anatomy is, in some situations, much greater than the system noise. Hence, reducing the system noise by increasing the dose will not improve task performance. This observation indicates that the tradeoff between dose and image quality might be optimized by accepting a higher system noise. This could lead to a better resolution, more contrast, or less dose.

Maximum likelihood estimation of position in GNSS

In this letter, we obtain the Maximum LikelihoodEstimator of position in the framework of Global NavigationSatellite Systems. This theoretical result is the basis of a completelydifferent approach to the positioning problem, in contrastto the conventional two-steps position estimation, consistingof estimating the synchronization parameters of the in-viewsatellites and then performing a position estimation with thatinformation. To the authors’ knowledge, this is a novel approachwhich copes with signal fading and it mitigates multipath andjamming interferences. Besides, the concept of Position–basedSynchronization is introduced, which states that synchronizationparameters can be recovered from a user position estimation. Weprovide computer simulation results showing the robustness ofthe proposed approach in fading multipath channels. The RootMean Square Error performance of the proposed algorithm iscompared to those achieved with state-of-the-art synchronizationtechniques. A Sequential Monte–Carlo based method is used todeal with the multivariate optimization problem resulting fromthe ML solution in an iterative way.

Monte Carlo Methods in Parameter Estimation of Nonlinear Models

Yksi keskeisimmistä tehtävistä matemaattisten mallien tilastollisessa analyysissä on mallien tuntemattomien parametrien estimointi. Tässä diplomityössä ollaan kiinnostuneita tuntemattomien parametrien jakaumista ja niiden muodostamiseen sopivista numeerisista menetelmistä, etenkin tapauksissa, joissa malli on epälineaarinen parametrien suhteen. Erilaisten numeeristen menetelmien osalta pääpaino on Markovin ketju Monte Carlo -menetelmissä (MCMC). Nämä laskentaintensiiviset menetelmät ovat viime aikoina kasvattaneet suosiotaan lähinnä kasvaneen laskentatehon vuoksi. Sekä Markovin ketjujen että Monte Carlo -simuloinnin teoriaa on esitelty työssä siinä määrin, että menetelmien toimivuus saadaan perusteltua. Viime aikoina kehitetyistä menetelmistä tarkastellaan etenkin adaptiivisia MCMC menetelmiä. Työn lähestymistapa on käytännönläheinen ja erilaisia MCMC -menetelmien toteutukseen liittyviä asioita korostetaan. Työn empiirisessä osuudessa tarkastellaan viiden esimerkkimallin tuntemattomien parametrien jakaumaa käyttäen hyväksi teoriaosassa esitettyjä menetelmiä. Mallit kuvaavat kemiallisia reaktioita ja kuvataan tavallisina differentiaaliyhtälöryhminä. Mallit on kerätty kemisteiltä Lappeenrannan teknillisestä yliopistosta ja Åbo Akademista, Turusta.

Gas-liquid mass transfer in bubbly flow: Estimation of mass transfer, bubble size and reactor performance in various applications

Gas-liquid mass transfer is an important issue in the design and operation of many chemical unit operations. Despite its importance, the evaluation of gas-liquid mass transfer is not straightforward due to the complex nature of the phenomena involved. In this thesis gas-liquid mass transfer was evaluated in three different gas-liquid reactors in a traditional way by measuring the volumetric mass transfer coefficient (kLa). The studied reactors were a bubble column with a T-junction two-phase nozzle for gas dispersion, an industrial scale bubble column reactor for the oxidation of tetrahydroanthrahydroquinone and a concurrent downflow structured bed.The main drawback of this approach is that the obtained correlations give only the average volumetric mass transfer coefficient, which is dependent on average conditions. Moreover, the obtained correlations are valid only for the studied geometry and for the chemical system used in the measurements. In principle, a more fundamental approach is to estimate the interfacial area available for mass transfer from bubble size distributions obtained by solution of population balance equations. This approach has been used in this thesis by developing a population balance model for a bubble column together with phenomenological models for bubble breakage and coalescence. The parameters of the bubble breakage rate and coalescence rate models were estimated by comparing the measured and calculated bubble sizes. The coalescence models always have at least one experimental parameter. This is because the bubble coalescence depends on liquid composition in a way which is difficult to evaluate using known physical properties. The coalescence properties of some model solutions were evaluated by measuring the time that a bubble rests at the free liquid-gas interface before coalescing (the so-calledpersistence time or rest time). The measured persistence times range from 10 msup to 15 s depending on the solution. The coalescence was never found to be instantaneous. The bubble oscillates up and down at the interface at least a coupleof times before coalescence takes place. The measured persistence times were compared to coalescence times obtained by parameter fitting using measured bubble size distributions in a bubble column and a bubble column population balance model. For short persistence times, the persistence and coalescence times are in good agreement. For longer persistence times, however, the persistence times are at least an order of magnitude longer than the corresponding coalescence times from parameter fitting. This discrepancy may be attributed to the uncertainties concerning the estimation of energy dissipation rates, collision rates and mechanisms and contact times of the bubbles.

Bayesian Estimation of Noise

In mathematical modeling the estimation of the model parameters is one of the most common problems. The goal is to seek parameters that fit to the measurements as well as possible. There is always error in the measurements which implies uncertainty to the model estimates. In Bayesian statistics all the unknown quantities are presented as probability distributions. If there is knowledge about parameters beforehand, it can be formulated as a prior distribution. The Bays’ rule combines the prior and the measurements to posterior distribution. Mathematical models are typically nonlinear, to produce statistics for them requires efficient sampling algorithms. In this thesis both Metropolis-Hastings (MH), Adaptive Metropolis (AM) algorithms and Gibbs sampling are introduced. In the thesis different ways to present prior distributions are introduced. The main issue is in the measurement error estimation and how to obtain prior knowledge for variance or covariance. Variance and covariance sampling is combined with the algorithms above. The examples of the hyperprior models are applied to estimation of model parameters and error in an outlier case.

Estimation of the potential evapotranspiration by a simplified penman method

The numerous methods for calculating the potential or reference evapotranspiration (ETo or ETP) almost always do for a 24-hour period, including values of climatic parameters throughout the nocturnal period (daily averages). These results have a nil effect on transpiration, constituting the main evaporative demand process in cases of localized irrigation. The aim of the current manuscript was to come up with a model rather simplified for the calculation of diurnal daily ETo. It deals with an alternative approach based on the theoretical background of the Penman method without having to consider values of aerodynamic conductance of latent and sensible heat fluxes, as well as data of wind speed and relative humidity of the air. The comparison between the diurnal values of ETo measured in weighing lysimeters with elevated precision and estimated by either the Penman-Monteith method or the Simplified-Penman approach in study also points out a fairly consistent agreement among the potential demand calculation criteria. The Simplified-Penman approach was a feasible alternative to estimate ETo under the local meteorological conditions of two field trials. With the availability of the input data required, such a method could be employed in other climatic regions for scheduling irrigation.