Benchmarks and the accuracy of GARCH model estimation

This paper reviews nine software packages with particular reference to their GARCH model estimation accuracy when judged against a respected benchmark. We consider the numerical consistency of GARCH and EGARCH estimation and forecasting. Our results have a number of implications for published research and future software development. Finally, we argue that the establishment of benchmarks for other standard non-linear models is long overdue.

Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study

Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic relationships. The Örst reduces parameter space by imposing long-term restrictions on the behavior of economic variables as discussed by the literature on cointegration, and the second reduces parameter space by imposing short-term restrictions as discussed by the literature on serial-correlation common features (SCCF). Our simulations cover three important issues on model building, estimation, and forecasting. First, we examine the performance of standard and modiÖed information criteria in choosing lag length for cointegrated VARs with SCCF restrictions. Second, we provide a comparison of forecasting accuracy of Ötted VARs when only cointegration restrictions are imposed and when cointegration and SCCF restrictions are jointly imposed. Third, we propose a new estimation algorithm where short- and long-term restrictions interact to estimate the cointegrating and the cofeature spaces respectively. We have three basic results. First, ignoring SCCF restrictions has a high cost in terms of model selection, because standard information criteria chooses too frequently inconsistent models, with too small a lag length. Criteria selecting lag and rank simultaneously have a superior performance in this case. Second, this translates into a superior forecasting performance of the restricted VECM over the VECM, with important improvements in forecasting accuracy ñreaching more than 100% in extreme cases. Third, the new algorithm proposed here fares very well in terms of parameter estimation, even when we consider the estimation of long-term parameters, opening up the discussion of joint estimation of short- and long-term parameters in VAR models.

Efficient and Ad Hoc Estimation in the Bivariate Censoring Model

A large number of proposals for estimating the bivariate survival function under random censoring has been made. In this paper we discuss nonparametric maximum likelihood estimation and the bivariate Kaplan-Meier estimator of Dabrowska. We show how these estimators are computed, present their intuitive background and compare their practical performance under different levels of dependence and censoring, based on extensive simulation results, which leads to a practical advise.

Semiparametric Estimation of Models for Natural Direct and Indirect Effects

In recent years, researchers in the health and social sciences have become increasingly interested in mediation analysis. Specifically, upon establishing a non-null total effect of an exposure, investigators routinely wish to make inferences about the direct (indirect) pathway of the effect of the exposure not through (through) a mediator variable that occurs subsequently to the exposure and prior to the outcome. Natural direct and indirect effects are of particular interest as they generally combine to produce the total effect of the exposure and therefore provide insight on the mechanism by which it operates to produce the outcome. A semiparametric theory has recently been proposed to make inferences about marginal mean natural direct and indirect effects in observational studies (Tchetgen Tchetgen and Shpitser, 2011), which delivers multiply robust locally efficient estimators of the marginal direct and indirect effects, and thus generalizes previous results for total effects to the mediation setting. In this paper we extend the new theory to handle a setting in which a parametric model for the natural direct (indirect) effect within levels of pre-exposure variables is specified and the model for the observed data likelihood is otherwise unrestricted. We show that estimation is generally not feasible in this model because of the curse of dimensionality associated with the required estimation of auxiliary conditional densities or expectations, given high-dimensional covariates. We thus consider multiply robust estimation and propose a more general model which assumes a subset but not all of several working models holds.

Development and simulation of DSP filters for transformer differential protection / by Oskar Reynisson.

Transformer protection is one of the most challenging applications within the power system protective relay field. Transformers with a capacity rating exceeding 10 MVA are usually protected using differential current relays. Transformers are an aging and vulnerable bottleneck in the present power grid; therefore, quick fault detection and corresponding transformer de-energization is the key element in minimizing transformer damage. Present differential current relays are based on digital signal processing (DSP). They combine DSP phasor estimation and protective-logic-based decision making. The limitations of existing DSP-based differential current relays must be identified to determine the best protection options for sensitive and quick fault detection. The development, implementation, and evaluation of a DSP differential current relay is detailed. The overall goal is to make fault detection faster without compromising secure and safe transformer operation. A detailed background on the DSP differential current relay is provided. Then different DSP phasor estimation filters are implemented and evaluated based on their ability to extract desired frequency components from the measured current signal quickly and accurately. The main focus of the phasor estimation evaluation is to identify the difference between using non-recursive and recursive filtering methods. Then the protective logic of the DSP differential current relay is implemented and required settings made in accordance with transformer application. Finally, the DSP differential current relay will be evaluated using available transformer models within the ATP simulation environment. Recursive filtering methods were found to have significant advantage over non-recursive filtering methods when evaluated individually and when applied in the DSP differential relay. Recursive filtering methods can be up to 50% faster than non-recursive methods, but can cause false trip due to overshoot if the only objective is speed. The relay sensitivity is however independent of filtering method and depends on the settings of the relay’s differential characteristics (pickup threshold and percent slope).

Registration of Sub-Sequence and Multi-Camera Reconstructions for Camera Motion Estimation

This paper presents different application scenarios for which the registration of sub-sequence reconstructions or multi-camera reconstructions is essential for successful camera motion estimation and 3D reconstruction from video. The registration is achieved by merging unconnected feature point tracks between the reconstructions. One application is drift removal for sequential camera motion estimation of long sequences. The state-of-the-art in drift removal is to apply a RANSAC approach to find unconnected feature point tracks. In this paper an alternative spectral algorithm for pairwise matching of unconnected feature point tracks is used. It is then shown that the algorithms can be combined and applied to novel scenarios where independent camera motion estimations must be registered into a common global coordinate system. In the first scenario multiple moving cameras, which capture the same scene simultaneously, are registered. A second new scenario occurs in situations where the tracking of feature points during sequential camera motion estimation fails completely, e.g., due to large occluding objects in the foreground, and the unconnected tracks of the independent reconstructions must be merged. In the third scenario image sequences of the same scene, which are captured under different illuminations, are registered. Several experiments with challenging real video sequences demonstrate that the presented techniques work in practice.

On-board and Ground Visual Pose Estimation Techniques for UAV Control

In this paper, two techniques to control UAVs (Unmanned Aerial Vehicles), based on visual information are presented. The first one is based on the detection and tracking of planar structures from an on-board camera, while the second one is based on the detection and 3D reconstruction of the position of the UAV based on an external camera system. Both strategies are tested with a VTOL (Vertical take-off and landing) UAV, and results show good behavior of the visual systems (precision in the estimation and frame rate) when estimating the helicopter¿s position and using the extracted information to control the UAV.

Positional accommodative intraocular lens power error induced by the estimation of the corneal power and the effective lens position

Purpose: To evaluate the predictability of the refractive correction achieved with a positional accommodating intraocular lenses (IOL) and to develop a potential optimization of it by minimizing the error associated with the keratometric estimation of the corneal power and by developing a predictive formula for the effective lens position (ELP). Materials and Methods: Clinical data from 25 eyes of 14 patients (age range, 52–77 years) and undergoing cataract surgery with implantation of the accommodating IOL Crystalens HD (Bausch and Lomb) were retrospectively reviewed. In all cases, the calculation of an adjusted IOL power (PIOLadj) based on Gaussian optics considering the residual refractive error was done using a variable keratometric index value (nkadj) for corneal power estimation with and without using an estimation algorithm for ELP obtained by multiple regression analysis (ELPadj). PIOLadj was compared to the real IOL power implanted (PIOLReal, calculated with the SRK-T formula) and also to the values estimated by the Haigis, HofferQ, and Holladay I formulas. Results: No statistically significant differences were found between PIOLReal and PIOLadj when ELPadj was used (P = 0.10), with a range of agreement between calculations of 1.23 D. In contrast, PIOLReal was significantly higher when compared to PIOLadj without using ELPadj and also compared to the values estimated by the other formulas. Conclusions: Predictable refractive outcomes can be obtained with the accommodating IOL Crystalens HD using a variable keratometric index for corneal power estimation and by estimating ELP with an algorithm dependent on anatomical factors and age.

The relationship between diurnal type and time duration estimation at morning and evening times of day

This study investigates whether different diurnal types (morning versus evening) differ in their estimation of time duration at different times of the day. Given that the performance of morning and evening types is typically best at their preferred times of day, and assuming different diurnal trends in subjective alertness (arousal?) for morning and evening types, and adopting the attentional gate model of time duration estimation, it was predicted that morning types would tend to underestimate and be more accurate in the morning compared to evening types where the opposite pattern was expected. Nineteen morning types, 18 evening types and 18 intermediate types were drawn from a large sample (N=1175) of undergraduates administered the Early/Late Preference Scale. Groups performed a time duration estimation task using the production method for estimating 20-s unfilled intervals at two times of day: 0800/1830. The median absolute error, median directional error and frequency of under- and overestimation were analysed using repeated-measures ANOVA. While all differences were statistically non-significant, the following trends were observed: morning types performed better than evening types; participants overestimated in the morning and underestimated in the evening; and participants were more accurate later in the day. It was concluded that the trends are inconsistent with a relationship between subjective alertness and time duration estimation but consistent with a possible relationship between time duration estimation and diurnal body temperature fluctuations. (C) 2002 Elsevier Ltd. All rights reserved.

Mitigating inconsistencies by coupling data cleaning, filtering, and contextual data validation in wireless sensor networks

With the advent of peer to peer networks, and more importantly sensor networks, the desire to extract useful information from continuous and unbounded streams of data has become more prominent. For example, in tele-health applications, sensor based data streaming systems are used to continuously and accurately monitor Alzheimer's patients and their surrounding environment. Typically, the requirements of such applications necessitate the cleaning and filtering of continuous, corrupted and incomplete data streams gathered wirelessly in dynamically varying conditions. Yet, existing data stream cleaning and filtering schemes are incapable of capturing the dynamics of the environment while simultaneously suppressing the losses and corruption introduced by uncertain environmental, hardware, and network conditions. Consequently, existing data cleaning and filtering paradigms are being challenged. This dissertation develops novel schemes for cleaning data streams received from a wireless sensor network operating under non-linear and dynamically varying conditions. The study establishes a paradigm for validating spatio-temporal associations among data sources to enhance data cleaning. To simplify the complexity of the validation process, the developed solution maps the requirements of the application on a geometrical space and identifies the potential sensor nodes of interest. Additionally, this dissertation models a wireless sensor network data reduction system by ascertaining that segregating data adaptation and prediction processes will augment the data reduction rates. The schemes presented in this study are evaluated using simulation and information theory concepts. The results demonstrate that dynamic conditions of the environment are better managed when validation is used for data cleaning. They also show that when a fast convergent adaptation process is deployed, data reduction rates are significantly improved. Targeted applications of the developed methodology include machine health monitoring, tele-health, environment and habitat monitoring, intermodal transportation and homeland security.

Parameter optimization for noise and vibration reduction associated with position and speed sensorless control of permanent magnet machines at low speed

With the advantages and popularity of Permanent Magnet (PM) motors due to their high power density, there is an increasing incentive to use them in variety of applications including electric actuation. These applications have strict noise emission standards. The generation of audible noise and associated vibration modes are characteristics of all electric motors, it is especially problematic in low speed sensorless control rotary actuation applications using high frequency voltage injection technique. This dissertation is aimed at solving the problem of optimizing the sensorless control algorithm for low noise and vibration while achieving at least 12 bit absolute accuracy for speed and position control. The low speed sensorless algorithm is simulated using an improved Phase Variable Model, developed and implemented in a hardware-in-the-loop prototyping environment. Two experimental testbeds were developed and built to test and verify the algorithm in real time.^ A neural network based modeling approach was used to predict the audible noise due to the high frequency injected carrier signal. This model was created based on noise measurements in an especially built chamber. The developed noise model is then integrated into the high frequency based sensorless control scheme so that appropriate tradeoffs and mitigation techniques can be devised. This will improve the position estimation and control performance while keeping the noise below a certain level. Genetic algorithms were used for including the noise optimization parameters into the developed control algorithm.^ A novel wavelet based filtering approach was proposed in this dissertation for the sensorless control algorithm at low speed. This novel filter was capable of extracting the position information at low values of injection voltage where conventional filters fail. This filtering approach can be used in practice to reduce the injected voltage in sensorless control algorithm resulting in significant reduction of noise and vibration.^ Online optimization of sensorless position estimation algorithm was performed to reduce vibration and to improve the position estimation performance. The results obtained are important and represent original contributions that can be helpful in choosing optimal parameters for sensorless control algorithm in many practical applications.^

Mitigating Inconsistencies by Coupling Data Cleaning, Filtering, and Contextual Data Validation in Wireless Sensor Networks

With the advent of peer to peer networks, and more importantly sensor networks, the desire to extract useful information from continuous and unbounded streams of data has become more prominent. For example, in tele-health applications, sensor based data streaming systems are used to continuously and accurately monitor Alzheimer's patients and their surrounding environment. Typically, the requirements of such applications necessitate the cleaning and filtering of continuous, corrupted and incomplete data streams gathered wirelessly in dynamically varying conditions. Yet, existing data stream cleaning and filtering schemes are incapable of capturing the dynamics of the environment while simultaneously suppressing the losses and corruption introduced by uncertain environmental, hardware, and network conditions. Consequently, existing data cleaning and filtering paradigms are being challenged. This dissertation develops novel schemes for cleaning data streams received from a wireless sensor network operating under non-linear and dynamically varying conditions. The study establishes a paradigm for validating spatio-temporal associations among data sources to enhance data cleaning. To simplify the complexity of the validation process, the developed solution maps the requirements of the application on a geometrical space and identifies the potential sensor nodes of interest. Additionally, this dissertation models a wireless sensor network data reduction system by ascertaining that segregating data adaptation and prediction processes will augment the data reduction rates. The schemes presented in this study are evaluated using simulation and information theory concepts. The results demonstrate that dynamic conditions of the environment are better managed when validation is used for data cleaning. They also show that when a fast convergent adaptation process is deployed, data reduction rates are significantly improved. Targeted applications of the developed methodology include machine health monitoring, tele-health, environment and habitat monitoring, intermodal transportation and homeland security.

Design and implementation of a relative localization system for ground and aerial robotic teams

The main focus of this thesis is to address the relative localization problem of a heterogenous team which comprises of both ground and micro aerial vehicle robots. This team configuration allows to combine the advantages of increased accessibility and better perspective provided by aerial robots with the higher computational and sensory resources provided by the ground agents, to realize a cooperative multi robotic system suitable for hostile autonomous missions. However, in such a scenario, the strict constraints in flight time, sensor pay load, and computational capability of micro aerial vehicles limits the practical applicability of popular map-based localization schemes for GPS denied navigation. Therefore, the resource limited aerial platforms of this team demand simpler localization means for autonomous navigation. Relative localization is the process of estimating the formation of a robot team using the acquired inter-robot relative measurements. This allows the team members to know their relative formation even without a global localization reference, such as GPS or a map. Thus a typical robot team would benefit from a relative localization service since it would allow the team to implement formation control, collision avoidance, and supervisory control tasks, independent of a global localization service. More importantly, a heterogenous team such as ground robots and computationally constrained aerial vehicles would benefit from a relative localization service since it provides the crucial localization information required for autonomous operation of the weaker agents. This enables less capable robots to assume supportive roles and contribute to the more powerful robots executing the mission. Hence this study proposes a relative localization-based approach for ground and micro aerial vehicle cooperation, and develops inter-robot measurement, filtering, and distributed computing modules, necessary to realize the system. The research study results in three significant contributions. First, the work designs and validates a novel inter-robot relative measurement hardware solution which has accuracy, range, and scalability characteristics, necessary for relative localization. Second, the research work performs an analysis and design of a novel nonlinear filtering method, which allows the implementation of relative localization modules and attitude reference filters on low cost devices with optimal tuning parameters. Third, this work designs and validates a novel distributed relative localization approach, which harnesses the distributed computing capability of the team to minimize communication requirements, achieve consistent estimation, and enable efficient data correspondence within the network. The work validates the complete relative localization-based system through multiple indoor experiments and numerical simulations. The relative localization based navigation concept with its sensing, filtering, and distributed computing methods introduced in this thesis complements system limitations of a ground and micro aerial vehicle team, and also targets hostile environmental conditions. Thus the work constitutes an essential step towards realizing autonomous navigation of heterogenous teams in real world applications.

Cervical cancer precursors and hormonal contraceptive use in HIV-positive women: application of a causal model and semi-parametric estimation methods.

OBJECTIVE: To demonstrate the application of causal inference methods to observational data in the obstetrics and gynecology field, particularly causal modeling and semi-parametric estimation. BACKGROUND: Human immunodeficiency virus (HIV)-positive women are at increased risk for cervical cancer and its treatable precursors. Determining whether potential risk factors such as hormonal contraception are true causes is critical for informing public health strategies as longevity increases among HIV-positive women in developing countries. METHODS: We developed a causal model of the factors related to combined oral contraceptive (COC) use and cervical intraepithelial neoplasia 2 or greater (CIN2+) and modified the model to fit the observed data, drawn from women in a cervical cancer screening program at HIV clinics in Kenya. Assumptions required for substantiation of a causal relationship were assessed. We estimated the population-level association using semi-parametric methods: g-computation, inverse probability of treatment weighting, and targeted maximum likelihood estimation. RESULTS: We identified 2 plausible causal paths from COC use to CIN2+: via HPV infection and via increased disease progression. Study data enabled estimation of the latter only with strong assumptions of no unmeasured confounding. Of 2,519 women under 50 screened per protocol, 219 (8.7%) were diagnosed with CIN2+. Marginal modeling suggested a 2.9% (95% confidence interval 0.1%, 6.9%) increase in prevalence of CIN2+ if all women under 50 were exposed to COC; the significance of this association was sensitive to method of estimation and exposure misclassification. CONCLUSION: Use of causal modeling enabled clear representation of the causal relationship of interest and the assumptions required to estimate that relationship from the observed data. Semi-parametric estimation methods provided flexibility and reduced reliance on correct model form. Although selected results suggest an increased prevalence of CIN2+ associated with COC, evidence is insufficient to conclude causality. Priority areas for future studies to better satisfy causal criteria are identified.

CONCURRENT LOCALIZATION AND MAPPING WITH SONAR SENSORS AND CONSIDERATION OF VEHICLE MOTION

Simultaneous Localization and Mapping (SLAM) is a procedure used to determine the location of a mobile vehicle in an unknown environment, while constructing a map of the unknown environment at the same time. Mobile platforms, which make use of SLAM algorithms, have industrial applications in autonomous maintenance, such as the inspection of flaws and defects in oil pipelines and storage tanks. A typical SLAM consists of four main components, namely, experimental setup (data gathering), vehicle pose estimation, feature extraction, and filtering. Feature extraction is the process of realizing significant features from the unknown environment such as corners, edges, walls, and interior features. In this work, an original feature extraction algorithm specific to distance measurements obtained through SONAR sensor data is presented. This algorithm has been constructed by combining the SONAR Salient Feature Extraction Algorithm and the Triangulation Hough Based Fusion with point-in-polygon detection. The reconstructed maps obtained through simulations and experimental data with the fusion algorithm are compared to the maps obtained with existing feature extraction algorithms. Based on the results obtained, it is suggested that the proposed algorithm can be employed as an option for data obtained from SONAR sensors in environment, where other forms of sensing are not viable. The algorithm fusion for feature extraction requires the vehicle pose estimation as an input, which is obtained from a vehicle pose estimation model. For the vehicle pose estimation, the author uses sensor integration to estimate the pose of the mobile vehicle. Different combinations of these sensors are studied (e.g., encoder, gyroscope, or encoder and gyroscope). The different sensor fusion techniques for the pose estimation are experimentally studied and compared. The vehicle pose estimation model, which produces the least amount of error, is used to generate inputs for the feature extraction algorithm fusion. In the experimental studies, two different environmental configurations are used, one without interior features and another one with two interior features. Numerical and experimental findings are discussed. Finally, the SLAM algorithm is implemented along with the algorithms for feature extraction and vehicle pose estimation. Three different cases are experimentally studied, with the floor of the environment intentionally altered to induce slipping. Results obtained for implementations with and without SLAM are compared and discussed. The present work represents a step towards the realization of autonomous inspection platforms for performing concurrent localization and mapping in harsh environments.