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.

Uniform approach to linear and nonlinear interrelation patterns in multivariate time series

Currently, a variety of linear and nonlinear measures is in use to investigate spatiotemporal interrelation patterns of multivariate time series. Whereas the former are by definition insensitive to nonlinear effects, the latter detect both nonlinear and linear interrelation. In the present contribution we employ a uniform surrogate-based approach, which is capable of disentangling interrelations that significantly exceed random effects and interrelations that significantly exceed linear correlation. The bivariate version of the proposed framework is explored using a simple model allowing for separate tuning of coupling and nonlinearity of interrelation. To demonstrate applicability of the approach to multivariate real-world time series we investigate resting state functional magnetic resonance imaging (rsfMRI) data of two healthy subjects as well as intracranial electroencephalograms (iEEG) of two epilepsy patients with focal onset seizures. The main findings are that for our rsfMRI data interrelations can be described by linear cross-correlation. Rejection of the null hypothesis of linear iEEG interrelation occurs predominantly for epileptogenic tissue as well as during epileptic seizures.

A multivariate approach for processing magnetization effects in triggered event-related functional magnetic resonance imaging time series

Triggered event-related functional magnetic resonance imaging requires sparse intervals of temporally resolved functional data acquisitions, whose initiation corresponds to the occurrence of an event, typically an epileptic spike in the electroencephalographic trace. However, conventional fMRI time series are greatly affected by non-steady-state magnetization effects, which obscure initial blood oxygen level-dependent (BOLD) signals. Here, conventional echo-planar imaging and a post-processing solution based on principal component analysis were employed to remove the dominant eigenimages of the time series, to filter out the global signal changes induced by magnetization decay and to recover BOLD signals starting with the first functional volume. This approach was compared with a physical solution using radiofrequency preparation, which nullifies magnetization effects. As an application of the method, the detectability of the initial transient BOLD response in the auditory cortex, which is elicited by the onset of acoustic scanner noise, was used to demonstrate that post-processing-based removal of magnetization effects allows to detect brain activity patterns identical with those obtained using the radiofrequency preparation. Using the auditory responses as an ideal experimental model of triggered brain activity, our results suggest that reducing the initial magnetization effects by removing a few principal components from fMRI data may be potentially useful in the analysis of triggered event-related echo-planar time series. The implications of this study are discussed with special caution to remaining technical limitations and the additional neurophysiological issues of the triggered acquisition.

A Nonstationary Negative Binomial Time Series with Time-Dependent Covariates: Enterococcus Counts in Boston Harbor

Boston Harbor has had a history of poor water quality, including contamination by enteric pathogens. We conduct a statistical analysis of data collected by the Massachusetts Water Resources Authority (MWRA) between 1996 and 2002 to evaluate the effects of court-mandated improvements in sewage treatment. Motivated by the ineffectiveness of standard Poisson mixture models and their zero-inflated counterparts, we propose a new negative binomial model for time series of Enterococcus counts in Boston Harbor, where nonstationarity and autocorrelation are modeled using a nonparametric smooth function of time in the predictor. Without further restrictions, this function is not identifiable in the presence of time-dependent covariates; consequently we use a basis orthogonal to the space spanned by the covariates and use penalized quasi-likelihood (PQL) for estimation. We conclude that Enterococcus counts were greatly reduced near the Nut Island Treatment Plant (NITP) outfalls following the transfer of wastewaters from NITP to the Deer Island Treatment Plant (DITP) and that the transfer of wastewaters from Boston Harbor to the offshore diffusers in Massachusetts Bay reduced the Enterococcus counts near the DITP outfalls.

Underestimation of Standard Errors in Multi-Site Time Series Studies

Multi-site time series studies of air pollution and mortality and morbidity have figured prominently in the literature as comprehensive approaches for estimating acute effects of air pollution on health. Hierarchical models are generally used to combine site-specific information and estimate pooled air pollution effects taking into account both within-site statistical uncertainty, and across-site heterogeneity. Within a site, characteristics of time series data of air pollution and health (small pollution effects, missing data, highly correlated predictors, non linear confounding etc.) make modelling all sources of uncertainty challenging. One potential consequence is underestimation of the statistical variance of the site-specific effects to be combined. In this paper we investigate the impact of variance underestimation on the pooled relative rate estimate. We focus on two-stage normal-normal hierarchical models and on under- estimation of the statistical variance at the first stage. By mathematical considerations and simulation studies, we found that variance underestimation does not affect the pooled estimate substantially. However, some sensitivity of the pooled estimate to variance underestimation is observed when the number of sites is small and underestimation is severe. These simulation results are applicable to any two-stage normal-normal hierarchical model for combining information of site-specific results, and they can be easily extended to more general hierarchical formulations. We also examined the impact of variance underestimation on the national average relative rate estimate from the National Morbidity Mortality Air Pollution Study and we found that variance underestimation as much as 40% has little effect on the national average.

Ozone and Mortality: A Meta-Analysis of Time-Series Studies and Comparison to a Multi-City Study (The National Morbidity, Mortality, and Air Pollution Study)

While many time-series studies of ozone and daily mortality identified positive associations,others yielded null or inconclusive results. We performed a meta-analysis of 144 effect estimates from 39 time-series studies, and estimated pooled effects by lags, age groups,cause-specific mortality, and concentration metrics. We compared results to estimates from the National Morbidity, Mortality, and Air Pollution Study (NMMAPS), a time-series study of 95 large U.S. cities from 1987 to 2000. Both meta-analysis and NMMAPS results provided strong evidence of a short-term association between ozone and mortality, with larger effects for cardiovascular and respiratory mortality, the elderly, and current day ozone exposure as compared to other single day lags. In both analyses, results were not sensitive to adjustment for particulate matter and model specifications. In the meta-analysis we found that a 10 ppb increase in daily ozone is associated with a 0.83 (95% confidence interval: 0.53, 1.12%) increase in total mortality, whereas the corresponding NMMAPS estimate is 0.25%(0.12, 0.39%). Meta-analysis results were consistently larger than those from NMMAPS,indicating publication bias. Additional publication bias is evident regarding the choice of lags in time-series studies, and the larger heterogeneity in posterior city-specific estimates in the meta-analysis, as compared with NMAMPS.

On Time Series Analysis of Public Health and Biomedical Data

A time series is a sequence of observations made over time. Examples in public health include daily ozone concentrations, weekly admissions to an emergency department or annual expenditures on health care in the United States. Time series models are used to describe the dependence of the response at each time on predictor variables including covariates and possibly previous values in the series. Time series methods are necessary to account for the correlation among repeated responses over time. This paper gives an overview of time series ideas and methods used in public health research.

Detecting offsets in GPS time series: first results from the Detection of Offsets in GPS Experiment

The accuracy of Global Positioning System (GPS) time series is degraded by the presence of offsets. To assess the effectiveness of methods that detect and remove these offsets, we designed and managed the Detection of Offsets in GPS Experiment. We simulated time series that mimicked realistic GPS data consisting of a velocity component, offsets, white and flicker noises (1/f spectrum noises) composed in an additive model. The data set was made available to the GPS analysis community without revealing the offsets, and several groups conducted blind tests with a range of detection approaches. The results show that, at present, manual methods (where offsets are hand picked) almost always give better results than automated or semi‒automated methods (two automated methods give quite similar velocity bias as the best manual solutions). For instance, the fifth percentile range (5% to 95%) in velocity bias for automated approaches is equal to 4.2 mm/year (most commonly ±0.4 mm/yr from the truth), whereas it is equal to 1.8 mm/yr for the manual solutions (most commonly 0.2 mm/yr from the truth). The magnitude of offsets detectable by manual solutions is smaller than for automated solutions, with the smallest detectable offset for the best manual and automatic solutions equal to 5 mm and 8 mm, respectively. Assuming the simulated time series noise levels are representative of real GPS time series, robust geophysical interpretation of individual site velocities lower than 0.2–0.4 mm/yr is therefore certainly not robust, although a limit of nearer 1 mm/yr would be a more conservative choice. Further work to improve offset detection in GPS coordinates time series is required before we can routinely interpret sub‒mm/yr velocities for single GPS stations.

Chow–Liu trees are sufficient predictive models for reproducing key features of functional networks of periictal EEG time-series

Seizure freedom in patients suffering from pharmacoresistant epilepsies is still not achieved in 20–30% of all cases. Hence, current therapies need to be improved, based on a more complete understanding of ictogenesis. In this respect, the analysis of functional networks derived from intracranial electroencephalographic (iEEG) data has recently become a standard tool. Functional networks however are purely descriptive models and thus are conceptually unable to predict fundamental features of iEEG time-series, e.g., in the context of therapeutical brain stimulation. In this paper we present some first steps towards overcoming the limitations of functional network analysis, by showing that its results are implied by a simple predictive model of time-sliced iEEG time-series. More specifically, we learn distinct graphical models (so called Chow–Liu (CL) trees) as models for the spatial dependencies between iEEG signals. Bayesian inference is then applied to the CL trees, allowing for an analytic derivation/prediction of functional networks, based on thresholding of the absolute value Pearson correlation coefficient (CC) matrix. Using various measures, the thus obtained networks are then compared to those which were derived in the classical way from the empirical CC-matrix. In the high threshold limit we find (a) an excellent agreement between the two networks and (b) key features of periictal networks as they have previously been reported in the literature. Apart from functional networks, both matrices are also compared element-wise, showing that the CL approach leads to a sparse representation, by setting small correlations to values close to zero while preserving the larger ones. Overall, this paper shows the validity of CL-trees as simple, spatially predictive models for periictal iEEG data. Moreover, we suggest straightforward generalizations of the CL-approach for modeling also the temporal features of iEEG signals.

The Moderating Role of Electoral Pressure on Congressional Ideological Polarization: A Cross-Sectional Time-Series Analysis

Reelection and self-interest are recurring themes in the study of our congressional leaders. To date, many studies have already been done on the trends between elections, party affiliation, and voting behavior in Congress. However, because a plethora of data has been collected on both elections and congressional voting, the ability to draw a connection between the two provides a very reasonable prospect. This project analyzes whether voting shifts in congressional elections have an effect on congressional voting. Will a congressman become ideologically more polarized when his electoral margins increase? Essentially, this paper assumes that all congressmen are ideologically polarized, and it is elections which serve to reel congressmen back toward the ideological middle. The election and ideological data for this study, which spans from the 56th to the 107th Congress, finds statistically significant relationships between these two variables. In fact, congressman pay attention to election returns when voting in Congress. When broken down by party, Democrats are more exhibitive of this phenomenon, which suggest that Democrats may be more likely to intrinsically follow the popular model of representation. Meanwhile, it can be hypothesized that insignificant results for Republicans indicate that Republicans may follow a trustee model of representation.

NONLINEAR TIME SERIES/SYSTEM ANALYSIS (STATE-SPACE, DYNAMICS, INTERVENTION, RESILIENCE, KALMAN)

A discussion of nonlinear dynamics, demonstrated by the familiar automobile, is followed by the development of a systematic method of analysis of a possibly nonlinear time series using difference equations in the general state-space format. This format allows recursive state-dependent parameter estimation after each observation thereby revealing the dynamics inherent in the system in combination with random external perturbations.^ The one-step ahead prediction errors at each time period, transformed to have constant variance, and the estimated parametric sequences provide the information to (1) formally test whether time series observations y(,t) are some linear function of random errors (ELEM)(,s), for some t and s, or whether the series would more appropriately be described by a nonlinear model such as bilinear, exponential, threshold, etc., (2) formally test whether a statistically significant change has occurred in structure/level either historically or as it occurs, (3) forecast nonlinear system with a new and innovative (but very old numerical) technique utilizing rational functions to extrapolate individual parameters as smooth functions of time which are then combined to obtain the forecast of y and (4) suggest a measure of resilience, i.e. how much perturbation a structure/level can tolerate, whether internal or external to the system, and remain statistically unchanged. Although similar to one-step control, this provides a less rigid way to think about changes affecting social systems.^ Applications consisting of the analysis of some familiar and some simulated series demonstrate the procedure. Empirical results suggest that this state-space or modified augmented Kalman filter may provide interesting ways to identify particular kinds of nonlinearities as they occur in structural change via the state trajectory.^ A computational flow-chart detailing computations and software input and output is provided in the body of the text. IBM Advanced BASIC program listings to accomplish most of the analysis are provided in the appendix. ^

TIME SERIES ANALYSIS AS INPUT FOR PREDICTIVE MODELING: PREDICTING CARDIAC ARREST IN A PEDIATRIC INTENSIVE CARE UNIT

The first manuscript, entitled "Time-Series Analysis as Input for Clinical Predictive Modeling: Modeling Cardiac Arrest in a Pediatric ICU" lays out the theoretical background for the project. There are several core concepts presented in this paper. First, traditional multivariate models (where each variable is represented by only one value) provide single point-in-time snapshots of patient status: they are incapable of characterizing deterioration. Since deterioration is consistently identified as a precursor to cardiac arrests, we maintain that the traditional multivariate paradigm is insufficient for predicting arrests. We identify time series analysis as a method capable of characterizing deterioration in an objective, mathematical fashion, and describe how to build a general foundation for predictive modeling using time series analysis results as latent variables. Building a solid foundation for any given modeling task involves addressing a number of issues during the design phase. These include selecting the proper candidate features on which to base the model, and selecting the most appropriate tool to measure them. We also identified several unique design issues that are introduced when time series data elements are added to the set of candidate features. One such issue is in defining the duration and resolution of time series elements required to sufficiently characterize the time series phenomena being considered as candidate features for the predictive model. Once the duration and resolution are established, there must also be explicit mathematical or statistical operations that produce the time series analysis result to be used as a latent candidate feature. In synthesizing the comprehensive framework for building a predictive model based on time series data elements, we identified at least four classes of data that can be used in the model design. The first two classes are shared with traditional multivariate models: multivariate data and clinical latent features. Multivariate data is represented by the standard one value per variable paradigm and is widely employed in a host of clinical models and tools. These are often represented by a number present in a given cell of a table. Clinical latent features derived, rather than directly measured, data elements that more accurately represent a particular clinical phenomenon than any of the directly measured data elements in isolation. The second two classes are unique to the time series data elements. The first of these is the raw data elements. These are represented by multiple values per variable, and constitute the measured observations that are typically available to end users when they review time series data. These are often represented as dots on a graph. The final class of data results from performing time series analysis. This class of data represents the fundamental concept on which our hypothesis is based. The specific statistical or mathematical operations are up to the modeler to determine, but we generally recommend that a variety of analyses be performed in order to maximize the likelihood that a representation of the time series data elements is produced that is able to distinguish between two or more classes of outcomes. The second manuscript, entitled "Building Clinical Prediction Models Using Time Series Data: Modeling Cardiac Arrest in a Pediatric ICU" provides a detailed description, start to finish, of the methods required to prepare the data, build, and validate a predictive model that uses the time series data elements determined in the first paper. One of the fundamental tenets of the second paper is that manual implementations of time series based models are unfeasible due to the relatively large number of data elements and the complexity of preprocessing that must occur before data can be presented to the model. Each of the seventeen steps is analyzed from the perspective of how it may be automated, when necessary. We identify the general objectives and available strategies of each of the steps, and we present our rationale for choosing a specific strategy for each step in the case of predicting cardiac arrest in a pediatric intensive care unit. Another issue brought to light by the second paper is that the individual steps required to use time series data for predictive modeling are more numerous and more complex than those used for modeling with traditional multivariate data. Even after complexities attributable to the design phase (addressed in our first paper) have been accounted for, the management and manipulation of the time series elements (the preprocessing steps in particular) are issues that are not present in a traditional multivariate modeling paradigm. In our methods, we present the issues that arise from the time series data elements: defining a reference time; imputing and reducing time series data in order to conform to a predefined structure that was specified during the design phase; and normalizing variable families rather than individual variable instances. The final manuscript, entitled: "Using Time-Series Analysis to Predict Cardiac Arrest in a Pediatric Intensive Care Unit" presents the results that were obtained by applying the theoretical construct and its associated methods (detailed in the first two papers) to the case of cardiac arrest prediction in a pediatric intensive care unit. Our results showed that utilizing the trend analysis from the time series data elements reduced the number of classification errors by 73%. The area under the Receiver Operating Characteristic curve increased from a baseline of 87% to 98% by including the trend analysis. In addition to the performance measures, we were also able to demonstrate that adding raw time series data elements without their associated trend analyses improved classification accuracy as compared to the baseline multivariate model, but diminished classification accuracy as compared to when just the trend analysis features were added (ie, without adding the raw time series data elements). We believe this phenomenon was largely attributable to overfitting, which is known to increase as the ratio of candidate features to class examples rises. Furthermore, although we employed several feature reduction strategies to counteract the overfitting problem, they failed to improve the performance beyond that which was achieved by exclusion of the raw time series elements. Finally, our data demonstrated that pulse oximetry and systolic blood pressure readings tend to start diminishing about 10-20 minutes before an arrest, whereas heart rates tend to diminish rapidly less than 5 minutes before an arrest.

Atmospheric and seawater carbon dioxide at time series station DYFAMED

A time series of fCO2, SST, and fluorescence data was collected between 1995 and 1997 by a CARIOCA buoy moored at the DyFAMed station (Dynamique des Flux Atmospheriques en Mediterranée) located in the northwestern Mediterranean Sea. On seasonal timescales, the spring phytoplankton bloom decreases the surface water fCO2 to approximately 290 µatm, followed by summer heating and a strong increase in fCO2 to a maximum of approximately 510 µatm. While the DELTA fCO2 shows strong variations on seasonal timescales, the annual average air-sea disequilibrium is only 2 µatm. Temperature-normalized fCO2 shows a continued decrease in dissolved CO2 throughout the summer and fall at a rate of approximately 0.6 µatm/d. The calculated annual air-sea CO2 transfer rate is -0.10 to -0.15 moles CO2 m-2 y-1, with these low values reflecting the relatively weak wind speed regime and small annual air-sea fCO2 disequilibrium. Extrapolating this rate over the whole Mediterranean Sea would lead to a flux of approximately -3 * 10**12 to -4.5 * 10**12 grams C/y, in good agreement with other estimates. An analysis of the effects of sampling frequency on annual air-sea CO2 flux estimates showed that monthly sampling is adequate to resolve the annual CO2 flux to within approximately ±10 - 18% at this site. Annual flux estimates made using temperature-derived fCO2 based on the measured fCO2-SST correlations are in agreement with measurement-based calculations to within ± 7-10% (depending on the gas transfer parameterization used), and suggest that annual CO2 flux estimates may be reasonably well predicted in this region from satellite or model-derived SST and wind speed information.

Oxygen concentration at time series station DYNAPROC

Continuous measurements between 0 and 200 m depth were performed every 2 h over two separate periods of four days at a station in the open northwestern Mediterranean Sea (Dyfamed Station) during the Dynaproc cruise in May 1995. Estimates of the daily variations in profiles of temperature, partial pressure of CO2, oxygen, chlorophyll a and nutrients were obtained. The distributions of the various physical and chemical properties were clearly different during the two time series, which were separated by a period of 11 days during which a wind event occurred. The mean daily utilization or production due to biological processes of dissolved inorganic carbon (DIC), nitrate+nitrite and oxygen were calculated along isopycnals using a vertical diffusion model. Between the surface and about 20 m depth, DIC was consumed and O2 released during the two time series while the nitrate+nitrite concentrations as well as supplies were zero. After the wind event, the O2 : C : N ratios of consumption (or production) were, on average, near the Redfield ratios, but during the first time series, the C : N utilization ratio between 20 and 35 m was two to three times that of Redfield stoichiometry and the oxygen release was low. The integrated net community production (NCP) in terms of carbon was equivalent during the two time series, whereas the chlorophyll a biomass was twice as high, on average, during the first time series but did decrease. These results imply that the production systems were different during the two periods. The first time series corresponds to a period at the end of production, due to the nutrient depletion in the euphotic layer. The formation of degradation products of the living material in dissolved organic form is probably important as indicated by the high C : N utilization ratios. The second time series corresponds to a reactivation of the primary production due to the upward shift of nutrients after the wind event.