Nonnegative Matrix Factorization Applied to Nonlinear Speech and Image Cryptosystems

Nonnegative matrix factorization (NMF) is widely used in signal separation and image compression. Motivated by its successful applications, we propose a new cryptosystem based on NMF, where the nonlinear mixing (NLM) model with a strong noise is introduced for encryption and NMF is used for decryption. The security of the cryptosystem relies on following two facts: 1) the constructed multivariable nonlinear function is not invertible; 2) the process of NMF is unilateral, if the inverse matrix of the constructed linear mixing matrix is not nonnegative. Comparing with Lin's method (2006) that is a theoretical scheme using one-time padding in the cryptosystem, our cipher can be used repeatedly for the practical request, i.e., multitme padding is used in our cryptosystem. Also, there is no restriction on statistical characteristics of the ciphers and the plaintexts. Thus, more signals can be processed (successfully encrypted and decrypted), no matter they are correlative, sparse, or Gaussian. Furthermore, instead of the number of zero-crossing-based method that is often unstable in encryption and decryption, an improved method based on the kurtosis of the signals is introduced to solve permutation ambiguities in waveform reconstruction. Simulations are given to illustrate security and availability of our cryptosystem.

Selection of the right risk measures for portfolio allocation

 An optimisation framework is proposed to enable investors to select the right risk measures in portfolio selection. Verification is deployed by performing experiments in developed markets (e.g., the US stock market), emerging markets (e.g., the South Korean stock market) and global investments. A preselection procedure dealing with large datasets is also introduced to eliminate stocks that have low diversification potential before running the portfolio optimisation model. Portfolios are evaluated by four performance indices, i.e., the Sortino ratio, the Sharpe ratio, the Stutzer performance index, and the Omega measure. Experimental results demonstrate that high performance and also well-diversified portfolios are obtained if modified value-at-risk, variance, or semi-variance is concerned whereas emphasising only skewness, kurtosis or higher moments in general produces low performance and poorly diversified portfolios. In addition, the preselection applied to large datasets results in portfolios that have not only high performance but also high diversification degree.

Does The Risk Of Groundwater Depletion Drive Tube-Well Technology Adoption: A Case Of Pakistan

We employ a moment-based approach to empirically analyse farmer’s decisions about adoption of tube-well technology under depleting groundwater resources using a farm level data from 200 farming households in the Punjab province, Pakistan. The results indicate that the higher the expected profit the greater the probability of adoption. Similarly, with increasing variance the probability of adopting tube-well increases significantly indicating that farmers choose to adopt tube-well technology in order to hedge against production risks. Statistical non-significant the third moment i.e., skewness indicates that farmer generally do not consider downside yield risk when decide to adopt tube-well technology whereas highly significant fourth moment (kurtosis) employ that probability of adoption decreases as a result of extreme events in profit distribution. In addition, we show that land tenureship and three other exogenous variables, i.e., extension services, access to different sources of information and off-farm income play a significant role in the adoption process.

Do higher moments really matter in portfolio choice?

We present explicit formulas for evaluating the difference between Markowitz weights and those from optimal portfolios, with the same given return, considering either asymmetry or kurtosis. We prove that, whenever the higher moment constraint is not binding, the weights are never the same. If, due to special features of the first and second moments, the difference might be negligible, in quite many cases it will be very significant. An appealing illustration, when the designer wants to incorporate an asset with quite heavy tails, but wants to moderate this effect, further supports the argument.

On certain geometric aspects of portfolio optimisation with higher moments

We discuss geometric properties related to the minimisation of a portfolio kurtosis given its first two odd moments, considering a risk-less asset and allowing for short sales. The findings are generalised for the minimisation of any given even portfolio moment with fixed excess return and skewness, and then for the case in which only excess return is constrained. An example with two risky assets provides a better insight on the problems related to the solutions. The importance of the geometric properties and their use in the higher moments portfolio choice context is highlighted.

Alocação dinâmica ótima com momentos de ordem superior para a estratégia de carry trade

O objetivo do presente trabalho é verificar se, ao levar-se em consideração momentos de ordem superior (assimetria e curtose) na alocação de uma carteira de carry trade, há ganhos em relação à alocação tradicional que prioriza somente os dois primeiros momentos (média e variância). A hipótese da pesquisa é que moedas de carry trade apresentam retornos com distribuição não-Normal, e os momentos de ordem superior desta têm uma dinâmica, a qual pode ser modelada através de um modelo da família GARCH, neste caso IC-GARCHSK. Este modelo consiste em uma equação para cada momento condicional dos componentes independentes, explicitamente: o retorno, a variância, a assimetria, e a curtose. Outra hipótese é que um investidor com uma função utilidade do tipo CARA (constant absolute risk aversion), pode tê-la aproximada por uma expansão de Taylor de 4ª ordem. A estratégia do trabalho é modelar a dinâmica dos momentos da série dos logartimos neperianos dos retornos diários de algumas moedas de carry trade através do modelo IC-GARCHSK, e estimar a alocação ótima da carteira dinamicamente, de tal forma que se maximize a função utilidade do investidor. Os resultados mostram que há ganhos sim, ao levar-se em consideração os momentos de ordem superior, uma vez que o custo de oportunidade desta foi menor que o de uma carteira construída somente utilizando como critérios média e variância.

CAPM estendido para momentos superiores : um teste empírico

A inclusão de momentos superiores no apreçamento de ativos do modelo CAPM vem sendo bastante discutido nas últimas décadas. Esse trabalho realiza um teste empírico para o modelo CAPM estendido para os 3o e 4o momentos, no qual as assimetrias e curtoses dos ativos também são apreçadas. O teste foi realizado utilizando o Método Generalizado dos Momentos (MGM), em que todas as condições de momento derivam do modelo teórico. Os dados utilizados foram os retornos diários das ações mais negociadas na Bovespa entre 2004 e 2006.

Variabilidade espacial de atributos do solo e de fatores de erosão em diferentes pedoformas

As formas do relevo podem ser indicadores da variação dos atributos do solo, pois essa variabilidade é causada por pequenas alterações do declive que afetam os processos pedogenéticos bem como o transporte e o armazenamento de água no perfil do solo. O trabalho foi desenvolvido em Catanduva (SP), com o objetivo de caracterizar a variabilidade espacial de atributos do solo e fatores de erosão em diferentes pedoformas sob cultivo de cana-de-açúcar. de acordo com o modelo de Troeh classificou-se as formas do relevo em duas pedoformas, côncava e convexa. Com a utilização de um DGPS levantaram-se as cotas altimétricas, estabelecendo-se uma malha, com intervalos regulares de 50 m, com 270 pontos na pedoforma côncava e 353 pontos na pedoforma convexa, perfazendo um total de 623 pontos, coletados na profundidade de 0,0 - 0,2 m em uma área de 200 ha. em cada ponto da malha foram determinados os atributos químicos do solo, granulometria, espessura do solo e fatores de erosão locais, tais como erosividade (R), erodibilidade (K), fator topográfico (LS), uso e manejo (C), práticas conservacionistas (P), potencial natural de erosão (PNE), perda de solo (A) e risco de erosão (RE). Os dados foram avaliados primeiramente por uma análise estatística exploratória, calculando-se a média, mediana, variância, coeficiente de variação, coeficiente de assimetria, coeficiente de curtose e teste de normalidade. Posteriormente, a dependência espacial foi verificada por meio da técnica de geoestatística utilizando-se semivariogramas. As maiores perdas de solo, risco de erosão e potencial natural de erosão e menor espessura do solo ocorreram na pedoforma convexa, indicando forte dependência espacial com a forma do relevo. A pedoforma côncava proporcionou maior variabilidade espacial, demonstrando que a forma do relevo condiciona padrões diferenciados de variabilidade. A magnitude da variabilidade dos atributos do solo é mais influenciada pela forma do relevo que pela erosão. A espessura do horizonte A+E integrado com a forma do relevo é um indicador de processos erosivos para classe de Argissolos.

In-process grinding monitoring by acoustic emission

This work aims to investigate the efficiency of digital signal processing tools of acoustic emission signals in order to detect thermal damages in grinding process. To accomplish such a goal, an experimental work was carried out for 15 runs in a surface grinding machine operating with an aluminum oxide grinding wheel and ABNT 1045. The acoustic emission signals were acquired from a fixed sensor placed on the workpiece holder. A high sampling rate data acquisition system at 2.5 MHz was used to collect the raw acoustic emission instead of root mean square value usually employed. Many statistics have shown effective to detect burn, such as the root mean square (RMS), correlation of the AE, constant false alarm (CFAR), ratio of power (ROP) and mean-value deviance (MVD). However, the CFAR, ROP, Kurtosis and correlation of the AE have been presented more sensitive than the RMS.

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Macrobenthic intertidal communities from wave to tide dominated beach environments. A case study in two Brazilian beaches

Modification showed by intertidal macrofaunal communities between two nearby sites that change from a wave to a tide dominated beach environment, was analyzed on the present study. At each site, eleven intertidal sampling stations were distributed along a transect, from the drift line to the spring low tide water level. Four macrofaunal samples one meter long-shore spaced were collected at, each station with an iron core of 0.05 m(2) surface area, taken to a depth of 20 cm. Major,differences on sediments between sites were the offshore decrease of mean particle size diameter and increase of kurtosis and water content at the tide dominated site. KIDS ordination showed major similarities between the lowest stations of this site, that represents the dissipative low tide-terrace portion of the beach. Two lower station of the wave dominated site presented similarities with this group. The other stations of the tide-dominated site, that represents the reflective high tide beach portion, grouped distant from the former. (canonical Correspondence Analysis (CCA) showed a similar spatial distribution of stations, suggesting the importance of environmental factors on the explanation of species distribution patterns. Sediment water content and water table depth, with the highest inertia value, seems to be the principal physical factor. Increase on water content affects the macrofaunal distribution by the expansion of typical infralitoral species, as was the case of Bathyporeiapus ruffoi, on the dissipative low tide terrace beach portion. A disrupted distribution with the lost of a gradate zonation along a physical gradient is one of the major modification presented by macrobenthic communities on the transition from a wave to a tide dominated beach environment.

Neural network detection of grinding burn from acoustic emission

An artificial neural network (ANN) approach is proposed for the detection of workpiece `burn', the undesirable change in metallurgical properties of the material produced by overly aggressive or otherwise inappropriate grinding. The grinding acoustic emission (AE) signals for 52100 bearing steel were collected and digested to extract feature vectors that appear to be suitable for ANN processing. Two feature vectors are represented: one concerning band power, kurtosis and skew; and the other autoregressive (AR) coefficients. The result (burn or no-burn) of the signals was identified on the basis of hardness and profile tests after grinding. The trained neural network works remarkably well for burn detection. Other signal-processing approaches are also discussed, and among them the constant false-alarm rate (CFAR) power law and the mean-value deviance (MVD) prove useful.