Asymptotic minimax robust and misspecified Lorden quickest change detection for dependent stochastic processes

The quick detection of an abrupt unknown change in the conditional distribution of a dependent stochastic process has numerous applications. In this paper, we pose a minimax robust quickest change detection problem for cases where there is uncertainty about the post-change conditional distribution. Our minimax robust formulation is based on the popular Lorden criteria of optimal quickest change detection. Under a condition on the set of possible post-change distributions, we show that the widely known cumulative sum (CUSUM) rule is asymptotically minimax robust under our Lorden minimax robust formulation as a false alarm constraint becomes more strict. We also establish general asymptotic bounds on the detection delay of misspecified CUSUM rules (i.e. CUSUM rules that are designed with post- change distributions that differ from those of the observed sequence). We exploit these bounds to compare the delay performance of asymptotically minimax robust, asymptotically optimal, and other misspecified CUSUM rules. In simulation examples, we illustrate that asymptotically minimax robust CUSUM rules can provide better detection delay performance at greatly reduced computation effort compared to competing generalised likelihood ratio procedures.

A speaker rediarization scheme for improving diarization in large two-speaker telephone datasets

In this paper we propose a novel scheme for carrying out speaker diarization in an iterative manner. We aim to show that the information obtained through the first pass of speaker diarization can be reused to refine and improve the original diarization results. We call this technique speaker rediarization and demonstrate the practical application of our rediarization algorithm using a large archive of two-speaker telephone conversation recordings. We use the NIST 2008 SRE summed telephone corpora for evaluating our speaker rediarization system. This corpus contains recurring speaker identities across independent recording sessions that need to be linked across the entire corpus. We show that our speaker rediarization scheme can take advantage of inter-session speaker information, linked in the initial diarization pass, to achieve a 30% relative improvement over the original diarization error rate (DER) after only two iterations of rediarization.

Mixed Convection Boundary Layer Flow Past a Horizontal Circular Cylinder Embedded in a Bidisperse Porous Medium

Adopting a two-temperature and two-velocity model, appropriate to a bidisperse porous medium (BDPM) proposed by Nield and Kuznetsov (2008), the classical steady, mixed convection boundary layer flow about a horizontal, isothermal circular cylinder embedded in a porous medium has been theoretically studied in this article. It is shown that the boundary layer analysis leads to expressions for the flow and heat transfer characteristics in terms of an inter-phase momentum parameter, a thermal diffusivity ratio, a thermal conductivity ratio, a permeability ratio, a modified thermal capacity ratio, and a buoyancy or mixed convection parameter. The transformed partial differential equations governing the flow and heat transfer in the f-phase (the macro-pores) and the p-phase (the remainder of the structure) are solved numerically using a very efficient implicit finite-difference technique known as Keller-box method. A good agreement is observed between the present results and those known from the open literature in the special case of a traditional Darcy formulation (monodisperse system).

Markers of systemic inflammation in diagnostics and in prediction of outcome of community-acquired infection

Sepsis is associated with a systemic inflammatory response. It is characterised by an early proinflammatory response and followed by a state of immunosuppression. In order to improve the outcome of patients with infection and sepsis, novel therapies that influence the systemic inflammatory response are being developed and utilised. Thus, an accurate and early diagnosis of infection and evaluation of immune state are crucial. In this thesis, various markers of systemic inflammation were studied with respect to enhancing the diagnostics of infection and of predicting outcome in patients with suspected community-acquired infection. A total of 1092 acutely ill patients admitted to a university hospital medical emergency department were evaluated, and 531 patients with a suspicion of community-acquired infection were included for the analysis. Markers of systemic inflammation were determined from a blood sample obtained simultaneously with a blood culture sample on admission to hospital. Levels of phagocyte CD11b/CD18 and CD14 expression were measured by whole blood flow cytometry. Concentrations of soluble CD14, interleukin (IL)-8, and soluble IL-2 receptor α (sIL-2Rα) were determined by ELISA, those of sIL-2R, IL-6, and IL-8 by a chemiluminescent immunoassay, that of procalcitonin by immunoluminometric assay, and that of C-reactive protein by immunoturbidimetric assay. Clinical data were collected retrospectively from the medical records. No marker of systemic inflammation, neither CRP, PCT, IL-6, IL-8, nor sIL-2R predicted bacteraemia better than did the clinical signs of infection, i.e., the presence of infectious focus or fever or both. IL-6 and PCT had the highest positive likelihood ratios to identify patients with hidden community-acquired infection. However, the use of a single marker failed to detect all patients with infection. A combination of markers including a fast-responding reactant (CD11b expression), a later-peaking reactant (CRP), and a reactant originating from inflamed tissues (IL-8) detected all patients with infection. The majority of patients (86.5%) with possible but not verified infection showed levels exceeding at least one cut-off limit of combination, supporting the view that infection was the cause of their acute illness. The 28-day mortality of patients with community-acquired infection was low (3.4%). On admission to hospital, the low expression of cell-associated lipopolysaccharide receptor CD14 (mCD14) was predictive for 28-day mortality. In the patients with severe forms of community-acquired infection, namely pneumonia and sepsis, high levels of soluble CD14 alone did not predict mortality, but a high sCD14 level measured simultaneously with a low mCD14 raised the possibility of poor prognosis. In conclusion, to further enhance the diagnostics of hidden community-acquired infection, a combination of inflammatory markers is useful; 28-day mortality is associated with low levels of mCD14 expression at an early phase of the disease.

Inference on Cointegration in Vector Autoregressive Models (summary section only)

In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The thesis consists of an introduction and four papers. The first paper proposes a new test for cointegration in VAR models that is directly based on the eigenvalues of the least squares (LS) estimate of the autoregressive matrix. In the second paper we compare a small sample correction for the likelihood ratio (LR) test of cointegrating rank and the bootstrap. The simulation experiments show that the bootstrap works very well in practice and dominates the correction factor. The tests are applied to international stock prices data, and the .nite sample performance of the tests are investigated by simulating the data. The third paper studies the demand for money in Sweden 1970—2000 using the I(2) model. In the fourth paper we re-examine the evidence of cointegration between international stock prices. The paper shows that some of the previous empirical results can be explained by the small-sample bias and size distortion of Johansen’s LR tests for cointegration. In all papers we work with two data sets. The first data set is a Swedish money demand data set with observations on the money stock, the consumer price index, gross domestic product (GDP), the short-term interest rate and the long-term interest rate. The data are quarterly and the sample period is 1970(1)—2000(1). The second data set consists of month-end stock market index observations for Finland, France, Germany, Sweden, the United Kingdom and the United States from 1980(1) to 1997(2). Both data sets are typical of the sample sizes encountered in economic data, and the applications illustrate the usefulness of the models and tests discussed in the thesis.

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

Tests for Cointegration Rank and the Initial Condition

Many economic events involve initial observations that substantially deviate from long-run steady state. Initial conditions of this type have been found to impact diversely on the power of univariate unit root tests, whereas the impact on multivariate tests is largely unknown. This paper investigates the impact of the initial condition on tests for cointegration rank. We compare the local power of the widely used likelihood ratio (LR) test with the local power of a test based on the eigenvalues of the companion matrix. We find that the power of the LR test is increasing in the magnitude of the initial condition, whereas the power of the other test is decreasing. The behaviour of the tests is investigated in an application to price convergence.

Application of nonlinear filtering to credit risk

Merton's model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the filter itself depends on the parameters in question, this does not permit direct maximum likelihood estimation, but does pave the way for the `Expectation-Maximization' method for estimating parameters. (C) 2010 Elsevier B.V. All rights reserved.

Bayesian Decentralized Spectrum Sensing in Cognitive Radio Networks

This paper considers the problem of spectrum sensing, i.e., the detection of whether or not a primary user is transmitting data by a cognitive radio. The Bayesian framework is adopted, with the performance measure being the probability of detection error. A decentralized setup, where N sensors use M observations each to arrive at individual decisions that are combined at a fusion center to form the overall decision is considered. The unknown fading channel between the primary sensor and the cognitive radios makes the individual decision rule computationally complex, hence, a generalized likelihood ratio test (GLRT)-based approach is adopted. Analysis of the probabilities of false alarm and miss detection of the proposed method reveals that the error exponent with respect to M is zero. Also, the fusion of N individual decisions offers a diversity advantage, similar to diversity reception in communication systems, and a tight bound on the error exponent is presented. Through an analysis in the low power regime, the number of observations needed as a function of received power, to achieve a given probability of error is determined. Monte-Carlo simulations confirm the accuracy of the analysis.

A Two Stage Selective Averaging LDPC Decoding

Low density parity-check (LDPC) codes are a class of linear block codes that are decoded by running belief propagation (BP) algorithm or log-likelihood ratio belief propagation (LLR-BP) over the factor graph of the code. One of the disadvantages of LDPC codes is the onset of an error floor at high values of signal to noise ratio caused by trapping sets. In this paper, we propose a two stage decoder to deal with different types of trapping sets. Oscillating trapping sets are taken care by the first stage of the decoder and the elementary trapping sets are handled by the second stage of the decoder. Simulation results on the regular PEG (504,252,3,6) code and the irregular PEG (1024,518,15,8) code shows that the proposed two stage decoder performs significantly better than the standard decoder.

Narrowband signal detection techniques in shallow ocean by acoustic vector sensor array

This paper presents the formulation and performance analysis of four techniques for detection of a narrowband acoustic source in a shallow range-independent ocean using an acoustic vector sensor (AVS) array. The array signal vector is not known due to the unknown location of the source. Hence all detectors are based on a generalized likelihood ratio test (GLRT) which involves estimation of the array signal vector. One non-parametric and three parametric (model-based) signal estimators are presented. It is shown that there is a strong correlation between the detector performance and the mean-square signal estimation error. Theoretical expressions for probability of false alarm and probability of detection are derived for all the detectors, and the theoretical predictions are compared with simulation results. It is shown that the detection performance of an AVS array with a certain number of sensors is equal to or slightly better than that of a conventional acoustic pressure sensor array with thrice as many sensors.

A Bacterial Foraging Optimization and Learning Automata Based Feature Selection for Motor Imagery EEG Classification

Selection of relevant features is an open problem in Brain-computer interfacing (BCI) research. Sometimes, features extracted from brain signals are high dimensional which in turn affects the accuracy of the classifier. Selection of the most relevant features improves the performance of the classifier and reduces the computational cost of the system. In this study, we have used a combination of Bacterial Foraging Optimization and Learning Automata to determine the best subset of features from a given motor imagery electroencephalography (EEG) based BCI dataset. Here, we have employed Discrete Wavelet Transform to obtain a high dimensional feature set and classified it by Distance Likelihood Ratio Test. Our proposed feature selector produced an accuracy of 80.291% in 216 seconds.

SPEECH ENHANCEMENT USING DISCRIMINATIVE RANDOM FIELDS

Speech enhancement in stationary noise is addressed using the ideal channel selection framework. In order to estimate the binary mask, we propose to classify each time-frequency (T-F) bin of the noisy signal as speech or noise using Discriminative Random Fields (DRF). The DRF function contains two terms - an enhancement function and a smoothing term. On each T-F bin, we propose to use an enhancement function based on likelihood ratio test for speech presence, while Ising model is used as smoothing function for spectro-temporal continuity in the estimated binary mask. The effect of the smoothing function over successive iterations is found to reduce musical noise as opposed to using only enhancement function. The binary mask is inferred from the noisy signal using Iterated Conditional Modes (ICM) algorithm. Sentences from NOIZEUS corpus are evaluated from 0 dB to 15 dB Signal to Noise Ratio (SNR) in 4 kinds of additive noise settings: additive white Gaussian noise, car noise, street noise and pink noise. The reconstructed speech using the proposed technique is evaluated in terms of average segmental SNR, Perceptual Evaluation of Speech Quality (PESQ) and Mean opinion Score (MOS).

Fiabilidad de los predictores clínicos y de la biopsia de arteria temporal en el diagnóstico de la arteritis de células gigantes

182 p. : il.