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.

Component wave delineation of ECG by filtering in the Fourier domain

A complete solution to the fundamental problem of delineation of an ECG signal into its component waves by filtering the discrete Fourier transform of the signal is presented. The set of samples in a component wave is transformed into a complex sequence with a distinct frequency band. The filter characteristics are determined from the time signal itself. Multiplication of the transformed signal with a complex sinusoidal function allows the use of a bank of low-pass filters for the delineation of all component waves. Data from about 300 beats have been analysed and the results are highly satisfactory both qualitatively and quantitatively.

Correlation filtering: a terrain correction method for aeromagnetic maps with application

In correlation filtering we attempt to remove that component of the aeromagnetic field which is closely related to the topography. The magnetization vector is assumed to be spatially variable, but it can be successively estimated under the additional assumption that the magnetic component due to topography is uncorrelated with the magnetic signal of deeper origin. The correlation filtering was tested against a synthetic example. The filtered field compares very well with the known signal of deeper origin. We have also applied this method to real data from the south Indian shield. It is demonstrated that the performance of the correlation filtering is superior in situations where the direction of magnetization is variable, for example, where the remnant magnetization is dominant.

Structure of ant assemblages in Western Ghats, India: role of habitat, disturbance and introduced species

1. Habitat fragmentation, anthropogenic disturbance and the introduction of invasive species are factors thought to structure ant assemblages. To understand responses of the ant community to changes in the environment, ants are commonly categorised into functional groups, a scheme developed and based on Australian ants. 2. Behaviourally dominant and aggressive ants of the dominant dolichoderinae functional group have been suggested to structure the ant assemblages in arid and semi-arid habitats of these regions. Given the limited geographical distribution of dominant dolichoderinae, it is crucial to determine the responses of the ant community to changes in the environment in their absence. 3. This study addresses this less studied aspect by considering the associations of ants of Western Ghats, India, with habitat, anthropogenic disturbance and introduced ants. We determined how ant functional groups respond to these factors in this region, where dominant dolichoderines are naturally absent, and whether responses are consistent with predictions derived from the ant functional group scheme. 4. This study provides new information on ant assemblages in a little-studied region. As in other parts of the world, ant assemblages in Western Ghats were strongly influenced by habitat and disturbance, with different functional groups associated with different habitats and levels of disturbance. 5. No functional group showed evidence of being influenced by the abundance of introduced species. In addition, predictions of negative interactions between functional groups were not supported. Our findings suggest that abiotic factors are universal determinants of ant assemblage structure, but that competitive interactions may not be.

Artifact-free reconstruction from off-axis digital holograms through nonlinear filtering

We present experimental investigation of a new reconstruction method for off-axis digital holographic microscopy (DHM). This method effectively suppresses the object auto-correlation, commonly called the zero-order term, from holographic measurements, thereby suppressing the artifacts generated by the intensities of the two beams employed for interference from complex wavefield reconstruction. The algorithm is based on non-linear filtering, and can be applied to standard DHM setups, with realistic recording conditions. We study the applicability of the technique under different experimental configurations, such as topographic images of microscopic specimens or speckle holograms.

The role of competition and habitat in structuring small mammal communities in a tropical montane ecosystem in southern India

Small mammals were sampled in two natural habitats (montane stunted evergreen forests and montane grassland) and four anthropogenic habitats (tea, wattle, bluegum and pine plantation) in the Upper Nilgiris in southern India. Of the species trapped, eight were in montane evergreen forests and three were in other habitats. Habitat discrimination was studied in the rodents Rattus rattus and Mus famulus and the shrew Suncus montanus in the montane forest habitat. Multivariate tests on five variables (canopy cover, midstorey density, ground cover, tree density, canopy height) showed that R. rattus uses areas of higher tree density and lower canopy cover. Suncus montanus and M. famulus use habitat with higher tree density and ground cover and lower canopy height. Multivariate tests did not discriminate habitat use between the species. Univariate tests, however, showed that M. famulus uses areas of higher tree density than R. rattus and S. montanus. Rattus rattus was the dominant species in the montane forest, comprising 60.9% of total density, while the rodent Millardia meltada was the dominant species in the grassland. Studies of spatial interaction between these two species in habitats where they coexisted showed neither overlap nor avoidance between the species. Rattus rattus, however, did use areas of lower ground cover than did M. meltada. The analysis of spatial interactions between the species, habitat discrimination and use, and the removal experiments suggest that interspecific competition may not be a strong force in structuring these small mammal communities. There are distinct patterns in the use of different habitats by some species, but microhabitat selection and segregation is weak. Other factors such as intraspecific competition may play a more important role in these communities.

Two stage iterative wiener filtering for speech enhancement

We formulate a two-stage Iterative Wiener filtering (IWF) approach to speech enhancement, bettering the performance of constrained IWF, reported in literature. The codebook constrained IWF (CCIWF) has been shown to be effective in achieving convergence of IWF in the presence of both stationary and non-stationary noise. To this, we include a second stage of unconstrained IWF and show that the speech enhancement performance can be improved in terms of average segmental SNR (SSNR), Itakura-Saito (IS) distance and Linear Prediction Coefficients (LPC) parameter coincidence. We also explore the tradeoff between the number of CCIWF iterations and the second stage IWF iterations.

Linear Filtering in MDCT domain

In this paper, expressions for convolution multiplication properties of MDCT are derived starting from the equivalent DFT representations. Using these expressions, methods for implementing linear filtering through block convolution in the MDCT domain are presented. The implementation is exact for symmetric filters and approximate for non-symmetric filters in the case of rectangular window based MDCT. For a general MDCT window function, the filtering is done on the windowed segments and hence the convolution is approximate for symmetric as well as non-symmetric filters. This approximation error is shown to be perceptually insignificant for symmetric impulse response filters. Moreover, the inherent $50 \%$ overlap between adjacent frames used in MDCT computation does reduce this approximation error similar to smoothing of other block processing errors. The presented techniques are useful for compressed domain processing of audio signals.

Adaptive Filtering Technique and DSP Based Implementation for High-Speed Distance Protection

The paper presents an adaptive Fourier filtering technique and a relaying scheme based on a combination of a digital band-pass filter along with a three-sample algorithm, for applications in high-speed numerical distance protection. To enhance the performance of above-mentioned technique, a high-speed fault detector has been used. MATLAB based simulation studies show that the adaptive Fourier filtering technique provides fast tripping for near faults and security for farther faults. The digital relaying scheme based on a combination of digital band-pass filter along with three-sample data window algorithm also provides accurate and high-speed detection of faults. The paper also proposes a high performance 16-bit fixed point DSP (Texas Instruments TMS320LF2407A) processor based hardware scheme suitable for implementation of the above techniques. To evaluate the performance of the proposed relaying scheme under steady state and transient conditions, PC based menu driven relay test procedures are developed using National Instruments LabVIEW software. The test signals are generated in real time using LabVIEW compatible analog output modules. The results obtained from the simulation studies as well as hardware implementations are also presented.

Explicit filtering LES for turbulent non-premixed combustion

Two models for large eddy simulation of turbulent reacting flow in homogeneous turbulence were studied. The sub-grid stress arising out of non-linearities of the Navier-Stokes equations were modeled using an explicit filtering approach. A filtered mass density function (FMDF) approach was used for closure of the sub-grid scalar fluctuations. A posteriori calculations, when compared with the results from the direct numerical simulation, indicate that the explicit filtering is adequate in representing the effect of sub-grid stress on the filtered velocity field in the absence of reaction. Discrepancies arise when reactions occur, but the FMDF approach suffices to account for sub-grid scale fluctuations of the reacting scalars, accurately.

Pseudo-time particle filtering for diffuse optical tomography

We recast the reconstruction problem of diffuse optical tomography (DOT) in a pseudo-dynamical framework and develop a method to recover the optical parameters using particle filters, i.e., stochastic filters based on Monte Carlo simulations. In particular, we have implemented two such filters, viz., the bootstrap (BS) filter and the Gaussian-sum (GS) filter and employed them to recover optical absorption coefficient distribution from both numerically simulated and experimentally generated photon fluence data. Using either indicator functions or compactly supported continuous kernels to represent the unknown property distribution within the inhomogeneous inclusions, we have drastically reduced the number of parameters to be recovered and thus brought the overall computation time to within reasonable limits. Even though the GS filter outperformed the BS filter in terms of accuracy of reconstruction, both gave fairly accurate recovery of the height, radius, and location of the inclusions. Since the present filtering algorithms do not use derivatives, we could demonstrate accurate contrast recovery even in the middle of the object where the usual deterministic algorithms perform poorly owing to the poor sensitivity of measurement of the parameters. Consistent with the fact that the DOT recovery, being ill posed, admits multiple solutions, both the filters gave solutions that were verified to be admissible by the closeness of the data computed through them to the data used in the filtering step (either numerically simulated or experimentally generated). (C) 2011 Optical Society of America

A DCT Based Filtering of Biomedical Images

Image filtering techniques have numerous potential applications in biomedical imaging and image processing. The design of filters largely depends on the a-priori knowledge about the type of noise corrupting the image and image features. This makes the standard filters to be application and image specific. The most popular filters such as average, Gaussian and Wiener reduce noisy artifacts by smoothing. However, this operation normally results in smoothing of the edges as well. On the other hand, sharpening filters enhance the high frequency details making the image non-smooth. An integrated general approach to design filters based on discrete cosine transform (DCT) is proposed in this study for optimal medical image filtering. This algorithm exploits the better energy compaction property of DCT and re-arrange these coefficients in a wavelet manner to get the better energy clustering at desired spatial locations. This algorithm performs optimal smoothing of the noisy image by preserving high and low frequency features. Evaluation results show that the proposed filter is robust under various noise distributions.

Zero-phase inverse filtering for extraction of source characteristics

The instants at which significant excitation of vocal tract take place during voicing are referred to as epochs. Epochs and strengths of excitation pulses at epochs are useful in characterizing voice source. Epoch filtering technique proposed by the authors determine epochs from speech waveform. In this paper we propose zero-phase inverse filtering to obtain strengths of excitation pulses at epochs. Zero-phase inverse filter compensates the gross spectral envelope of short-time spectrum of speech without affecting phase characteristics. Linear prediction analysis is used to realize the zero-phase inverse filter. Source characteristics that can be derived from speech using this technique are illustrated with examples.