Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

A variational approach to camera motion smoothing

[EN] In this paper we study a variational problem derived from a computer vision application: video camera calibration with smoothing constraint. By video camera calibration we meanto estimate the location, orientation and lens zoom-setting of the camera for each video frame taking into account image visible features. To simplify the problem we assume that the camera is mounted on a tripod, in such case, for each frame captured at time t , the calibration is provided by 3 parameters : (1) P(t) (PAN) which represents the tripod vertical axis rotation, (2) T(t) (TILT) which represents the tripod horizontal axis rotation and (3) Z(t) (CAMERA ZOOM) the camera lens zoom setting. The calibration function t -> u(t) = (P(t),T(t),Z(t)) is obtained as the minima of an energy function I[u] . In thIs paper we study the existence of minima of such energy function as well as the solutions of the associated Euler-Lagrange equations.

Simultaneous aligning and smoothing of Surface triangulations

[EN]In this work we develop a procedure to deform a given surface triangulation to obtain its alignment with interior curves. These curves are defined by splines in a parametric space and, subsequently, mapped to the surface triangulation. We have restricted our study to orthogonal mapping, so we require the curves to be included in a patch of the surface that can be orthogonally projected onto a plane (our parametric space). For example, the curves can represent interfaces between different materials or boundary conditions, internal boundaries or feature lines. Another setting in which this procedure can be used is the adaption of a reference mesh to changing curves in the course of an evolutionary process...

Performance evaluation of a parallel algorithm for simultaneous untangling and smoothing of tetrahedral meshes

[EN]A new parallel algorithm for simultaneous untangling and smoothing of tetrahedral meshes is proposed in this paper. We provide a detailed analysis of its performance on shared-memory many-core computer architectures. This performance analysis includes the evaluation of execution time, parallel scalability, load balancing, and parallelism bottlenecks. Additionally, we compare the impact of three previously published graph coloring procedures on the performance of our parallel algorithm. We use six benchmark meshes with a wide range of sizes. Using these experimental data sets, we describe the behavior of the parallel algorithm for different data sizes. We demonstrate that this algorithm is highly scalable when it runs on two different high-performance many-core computers with up to 128 processors...

Untangling and smoothing of quadrilateral and hexahedral meshes

[EN]In this paper, we extend a simultaneous untangling and smoothing technique previously developed for triangular and tetrahedral meshes to quadrilateral and hexahedral ones. Specifically, we present a technique that iteratively untangles and smooths a given quadrilateral or hexahedral mesh by minimizing an objective function defined in terms of a modification of an algebraic quality measure. The proposed method optimizes the mesh quality by a local node relocation process. That is, without modifying the mesh connectivity. Finally, we present several examples to show that the proposed technique obtains valid meshes composed by high-quality quadrilaterals and hexahedra, even when we start from tangled meshes…

Local Trigonometric Methods for Time Series Smoothing.

The thesis is concerned with local trigonometric regression methods. The aim was to develop a method for extraction of cyclical components in time series. The main results of the thesis are the following. First, a generalization of the filter proposed by Christiano and Fitzgerald is furnished for the smoothing of ARIMA(p,d,q) process. Second, a local trigonometric filter is built, with its statistical properties. Third, they are discussed the convergence properties of trigonometric estimators, and the problem of choosing the order of the model. A large scale simulation experiment has been designed in order to assess the performance of the proposed models and methods. The results show that local trigonometric regression may be a useful tool for periodic time series analysis.

Influence of Smoothing on Voxel-Based Mesh Accuracy in Micro-Finite Element

The interest in automatic volume meshing for finite element analysis (FEA) has grown more since the appearance of microfocus CT (μCT), due to its high resolution, which allows for the assessment of mechanical behaviour at a high precision. Nevertheless, the basic meshing approach of generating one hexahedron per voxel produces jagged edges. To prevent this effect, smoothing algorithms have been introduced to enhance the topology of the mesh. However, whether smoothing also improves the accuracy of voxel-based meshes in clinical applications is still under question. There is a trade-off between smoothing and quality of elements in the mesh. Distorted elements may be produced by excessive smoothing and reduce accuracy of the mesh. In the present work, influence of smoothing on the accuracy of voxel-based meshes in micro-FE was assessed. An accurate 3D model of a trabecular structure with known apparent mechanical properties was used as a reference model. Virtual CT scans of this reference model (with resolutions of 16, 32 and 64 μm) were then created and used to build voxel-based meshes of the microarchitecture. Effects of smoothing on the apparent mechanical properties of the voxel-based meshes as compared to the reference model were evaluated. Apparent Young’s moduli of the smooth voxel-based mesh were significantly closer to those of the reference model for the 16 and 32 μm resolutions. Improvements were not significant for the 64 μm, due to loss of trabecular connectivity in the model. This study shows that smoothing offers a real benefit to voxel-based meshes used in micro-FE. It might also broaden voxel-based meshing to other biomechanical domains where it was not used previously due to lack of accuracy. As an example, this work will be used in the framework of the European project ContraCancrum, which aims at providing a patient-specific simulation of tumour development in brain and lungs for oncologists. For this type of clinical application, such a fast, automatic, and accurate generation of the mesh is of great benefit.

Corpus-Based Speech Enhancement With Uncertainty Modeling and Cepstral Smoothing

We present a new approach for corpus-based speech enhancement that significantly improves over a method published by Xiao and Nickel in 2010. Corpus-based enhancement systems do not merely filter an incoming noisy signal, but resynthesize its speech content via an inventory of pre-recorded clean signals. The goal of the procedure is to perceptually improve the sound of speech signals in background noise. The proposed new method modifies Xiao's method in four significant ways. Firstly, it employs a Gaussian mixture model (GMM) instead of a vector quantizer in the phoneme recognition front-end. Secondly, the state decoding of the recognition stage is supported with an uncertainty modeling technique. With the GMM and the uncertainty modeling it is possible to eliminate the need for noise dependent system training. Thirdly, the post-processing of the original method via sinusoidal modeling is replaced with a powerful cepstral smoothing operation. And lastly, due to the improvements of these modifications, it is possible to extend the operational bandwidth of the procedure from 4 kHz to 8 kHz. The performance of the proposed method was evaluated across different noise types and different signal-to-noise ratios. The new method was able to significantly outperform traditional methods, including the one by Xiao and Nickel, in terms of PESQ scores and other objective quality measures. Results of subjective CMOS tests over a smaller set of test samples support our claims.

Choosing Smoothness Parameters for Smoothing Splines by Minimizing and Estimate of Risk

Smoothing splines are a popular approach for non-parametric regression problems. We use periodic smoothing splines to fit a periodic signal plus noise model to data for which we assume there are underlying circadian patterns. In the smoothing spline methodology, choosing an appropriate smoothness parameter is an important step in practice. In this paper, we draw a connection between smoothing splines and REACT estimators that provides motivation for the creation of criteria for choosing the smoothness parameter. The new criteria are compared to three existing methods, namely cross-validation, generalized cross-validation, and generalization of maximum likelihood criteria, by a Monte Carlo simulation and by an application to the study of circadian patterns. For most of the situations presented in the simulations, including the practical example, the new criteria out-perform the three existing criteria.