Application of auto regressive models of wavelet sub-bands for classifying Terahertz pulse measurements

This paper presents an approach for automatic classification of pulsed Terahertz (THz), or T-ray, signals highlighting their potential in biomedical, pharmaceutical and security applications. T-ray classification systems supply a wealth of information about test samples and make possible the discrimination of heterogeneous layers within an object. In this paper, a novel technique involving the use of Auto Regressive (AR) and Auto Regressive Moving Average (ARMA) models on the wavelet transforms of measured T-ray pulse data is presented. Two example applications are examined - the classi. cation of normal human bone (NHB) osteoblasts against human osteosarcoma (HOS) cells and the identification of six different powder samples. A variety of model types and orders are used to generate descriptive features for subsequent classification. Wavelet-based de-noising with soft threshold shrinkage is applied to the measured T-ray signals prior to modeling. For classi. cation, a simple Mahalanobis distance classi. er is used. After feature extraction, classi. cation accuracy for cancerous and normal cell types is 93%, whereas for powders, it is 98%.

Análisis diacrónico de la producción española de tesis doctorales en educación matemática mediante la metodología ARIMA (Auto-Regressive Integrated Moving Average) en datos de diseños longitudinales.

Se analiza la manera en que se realizan las tesis doctorales en educación matemática en España. Se utiliza la metodología ARIMA (Auto-Regressive Integrated Moving Average) para realizar el análisis de manera diacrónica sobre datos longitudinales. Se hace incapié en la importancia de la metodología usada y sus ventajas frente a las metodologías tradicionalmente usadas en análisis diacrónicos. Se exponen las cuatro fases de la metodología ARIMA, correspondientes a la identificación del proceso, la estimación de cambio en el proceso, la validación del mismo y la predicción de sus consecuencias.

Structural Health Monitoring based on AR models and PZT sensors

This paper presents a new approach for damage detection in Structural Health Monitoring (SHM) systems, which is based on the Electromechanical Impedance (EMI) principle and Autoregressive (AR) models. Typical applications of EMI in SHM are based on computing the Frequency Response Function (FRF). In this work the procedure is based on the EMI principle but the results are determined through the coefficients of AR models, which are computed from the time response of PZT transducers bonded to the monitored structure, and acting as actuator and sensors at the same time. The procedure is based on exciting the PZT transducers using a wide band chirp signal and getting its time response. The AR models are obtained in both healthy and damaged conditions and used to compute statistics indexes. Practical tests were carried out in an aluminum plate and the results have demonstrated the effectiveness of the proposed method. © 2012 IEEE.

Weibull and generalised exponential overdispersion models with an application to ozone air pollution

We consider the problem of estimating the mean and variance of the time between occurrences of an event of interest (inter-occurrences times) where some forms of dependence between two consecutive time intervals are allowed. Two basic density functions are taken into account. They are the Weibull and the generalised exponential density functions. In order to capture the dependence between two consecutive inter-occurrences times, we assume that either the shape and/or the scale parameters of the two density functions are given by auto-regressive models. The expressions for the mean and variance of the inter-occurrences times are presented. The models are applied to the ozone data from two regions of Mexico City. The estimation of the parameters is performed using a Bayesian point of view via Markov chain Monte Carlo (MCMC) methods.

Modeling and Analysis of Some Heavy Tailed Time Series

The thesis has covered various aspects of modeling and analysis of finite mean time series with symmetric stable distributed innovations. Time series analysis based on Box and Jenkins methods are the most popular approaches where the models are linear and errors are Gaussian. We highlighted the limitations of classical time series analysis tools and explored some generalized tools and organized the approach parallel to the classical set up. In the present thesis we mainly studied the estimation and prediction of signal plus noise model. Here we assumed the signal and noise follow some models with symmetric stable innovations.We start the thesis with some motivating examples and application areas of alpha stable time series models. Classical time series analysis and corresponding theories based on finite variance models are extensively discussed in second chapter. We also surveyed the existing theories and methods correspond to infinite variance models in the same chapter. We present a linear filtering method for computing the filter weights assigned to the observation for estimating unobserved signal under general noisy environment in third chapter. Here we consider both the signal and the noise as stationary processes with infinite variance innovations. We derived semi infinite, double infinite and asymmetric signal extraction filters based on minimum dispersion criteria. Finite length filters based on Kalman-Levy filters are developed and identified the pattern of the filter weights. Simulation studies show that the proposed methods are competent enough in signal extraction for processes with infinite variance.Parameter estimation of autoregressive signals observed in a symmetric stable noise environment is discussed in fourth chapter. Here we used higher order Yule-Walker type estimation using auto-covariation function and exemplify the methods by simulation and application to Sea surface temperature data. We increased the number of Yule-Walker equations and proposed a ordinary least square estimate to the autoregressive parameters. Singularity problem of the auto-covariation matrix is addressed and derived a modified version of the Generalized Yule-Walker method using singular value decomposition.In fifth chapter of the thesis we introduced partial covariation function as a tool for stable time series analysis where covariance or partial covariance is ill defined. Asymptotic results of the partial auto-covariation is studied and its application in model identification of stable auto-regressive models are discussed. We generalize the Durbin-Levinson algorithm to include infinite variance models in terms of partial auto-covariation function and introduce a new information criteria for consistent order estimation of stable autoregressive model.In chapter six we explore the application of the techniques discussed in the previous chapter in signal processing. Frequency estimation of sinusoidal signal observed in symmetric stable noisy environment is discussed in this context. Here we introduced a parametric spectrum analysis and frequency estimate using power transfer function. Estimate of the power transfer function is obtained using the modified generalized Yule-Walker approach. Another important problem in statistical signal processing is to identify the number of sinusoidal components in an observed signal. We used a modified version of the proposed information criteria for this purpose.

Estudos de estratégias de identificação paramétrica para detecção e diagnóstico de faltas em um processo industrial do tipo tanques comunicantes

Esta dissertação apresenta uma técnica para detecção e diagnósticos de faltas incipientes. Tais faltas provocam mudanças no comportamento do sistema sob investigação, o que se reflete em alterações nos valores dos parâmetros do seu modelo matemático representativo. Como plataforma de testes, foi elaborado um modelo de um sistema industrial em ambiente computacional Matlab/Simulink, o qual consiste em uma planta dinâmica composta de dois tanques comunicantes entre si. A modelagem dessa planta foi realizada através das equações físicas que descrevem a dinâmica do sistema. A falta, a que o sistema foi submetido, representa um estrangulamento gradual na tubulação de saída de um dos tanques. Esse estrangulamento provoca uma redução lenta, de até 20 %, na seção desse tubo. A técnica de detecção de falta foi realizada através da estimação em tempo real dos parâmetros de modelos Auto-regressivos com Entradas Exógenas (ARX) com estimadores Fuzzy e de Mínimos Quadrados Recursivos. Já, o diagnóstico do percentual de entupimento da tubulação foi obtido por um sistema fuzzy de rastreamento de parâmetro, realimentado pela integral do resíduo de detecção. Ao utilizar essa metodologia, foi possível detectar e diagnosticar a falta simulada em três pontos de operação diferentes do sistema. Em ambas as técnicas testadas, o método de MQR teve um bom desempenho, apenas para detectar a falta. Já, o método que utilizou estimação com supervisão fuzzy obteve melhor desempenho, em detectar e diagnosticar as faltas aplicadas ao sistema, constatando a proposta do trabalho.

Parameter identification in time series models

Time series analysis can be categorized into three different approaches: classical, Box-Jenkins, and State space. Classical approach makes a basement for the analysis and Box-Jenkins approach is an improvement of the classical approach and deals with stationary time series. State space approach allows time variant factors and covers up a broader area of time series analysis. This thesis focuses on parameter identifiablity of different parameter estimation methods such as LSQ, Yule-Walker, MLE which are used in the above time series analysis approaches. Also the Kalman filter method and smoothing techniques are integrated with the state space approach and MLE method to estimate parameters allowing them to change over time. Parameter estimation is carried out by repeating estimation and integrating with MCMC and inspect how well different estimation methods can identify the optimal model parameters. Identification is performed in probabilistic and general senses and compare the results in order to study and represent identifiability more informative way.

Damage detection in a benchmark structure using AR-ARX models and statistical pattern recognition

Structural health monitoring (SHM) is related to the ability of monitoring the state and deciding the level of damage or deterioration within aerospace, civil and mechanical systems. In this sense, this paper deals with the application of a two-step auto-regressive and auto-regressive with exogenous inputs (AR-ARX) model for linear prediction of damage diagnosis in structural systems. This damage detection algorithm is based on the. monitoring of residual error as damage-sensitive indexes, obtained through vibration response measurements. In complex structures there are. many positions under observation and a large amount of data to be handed, making difficult the visualization of the signals. This paper also investigates data compression by using principal component analysis. In order to establish a threshold value, a fuzzy c-means clustering is taken to quantify the damage-sensitive index in an unsupervised learning mode. Tests are made in a benchmark problem, as proposed by IASC-ASCE with different damage patterns. The diagnosis that was obtained showed high correlation with the actual integrity state of the structure. Copyright © 2007 by ABCM.

An Early-Warning System for Hypo-/Hyperglycemic Events Based on Fusion of Adaptive Prediction Models

Introduction: Early warning of future hypoglycemic and hyperglycemic events can improve the safety of type 1 diabetes mellitus (T1DM) patients. The aim of this study is to design and evaluate a hypoglycemia / hyperglycemia early warning system (EWS) for T1DM patients under sensor-augmented pump (SAP) therapy. Methods: The EWS is based on the combination of data-driven online adaptive prediction models and a warning algorithm. Three modeling approaches have been investigated: (i) autoregressive (ARX) models, (ii) auto-regressive with an output correction module (cARX) models, and (iii) recurrent neural network (RNN) models. The warning algorithm performs postprocessing of the models′ outputs and issues alerts if upcoming hypoglycemic/hyperglycemic events are detected. Fusion of the cARX and RNN models, due to their complementary prediction performances, resulted in the hybrid autoregressive with an output correction module/recurrent neural network (cARN)-based EWS. Results: The EWS was evaluated on 23 T1DM patients under SAP therapy. The ARX-based system achieved hypoglycemic (hyperglycemic) event prediction with median values of accuracy of 100.0% (100.0%), detection time of 10.0 (8.0) min, and daily false alarms of 0.7 (0.5). The respective values for the cARX-based system were 100.0% (100.0%), 17.5 (14.8) min, and 1.5 (1.3) and, for the RNN-based system, were 100.0% (92.0%), 8.4 (7.0) min, and 0.1 (0.2). The hybrid cARN-based EWS presented outperforming results with 100.0% (100.0%) prediction accuracy, detection 16.7 (14.7) min in advance, and 0.8 (0.8) daily false alarms. Conclusion: Combined use of cARX and RNN models for the development of an EWS outperformed the single use of each model, achieving accurate and prompt event prediction with few false alarms, thus providing increased safety and comfort.

Um modelo estocástico combinado de previsão sazonal para a precipitação no Brasil

Este artigo discute um modelo de previsão combinada para a realização de prognósticos climáticos na escala sazonal. Nele, previsões pontuais de modelos estocásticos são agregadas para obter as melhores projeções no tempo. Utilizam-se modelos estocásticos autoregressivos integrados a médias móveis, de suavização exponencial e previsões por análise de correlações canônicas. O controle de qualidade das previsões é feito através da análise dos resíduos e da avaliação do percentual de redução da variância não-explicada da modelagem combinada em relação às previsões dos modelos individuais. Exemplos da aplicação desses conceitos em modelos desenvolvidos no Instituto Nacional de Meteorologia (INMET) mostram bons resultados e ilustram que as previsões do modelo combinado, superam na maior parte dos casos a de cada modelo componente, quando comparadas aos dados observados.

Application of wavelets to the study of political history

\The idea that social processes develop in a cyclical manner is somewhat like a `Lorelei'. Researchers are lured to it because of its theoretical promise, only to become entangled in (if not wrecked by) messy problems of empirical inference. The reasoning leading to hypotheses of some kind of cycle is often elegant enough, yet the data from repeated observations rarely display the supposed cyclical pattern. (...) In addition, various `schools' seem to exist which frequently arrive at di erent conclusions on the basis of the same data." (van der Eijk and Weber 1987:271). Much of the empirical controversies around these issues arise because of three distinct problems: the coexistence of cycles of di erent periodicities, the possibility of transient cycles and the existence of cycles without xed periodicity. In some cases, there are no reasons to expect any of these phenomena to be relevant. Seasonality caused by Christmas is one such example (Wen 2002). In such cases, researchers mostly rely on spectral analysis and Auto-Regressive Moving-Average (ARMA) models to estimate the periodicity of cycles.1 However, and this is particularly true in social sciences, sometimes there are good theoretical reasons to expect irregular cycles. In such cases, \the identi cation of periodic movement in something like the vote is a daunting task all by itself. When a pendulum swings with an irregular beat (frequency), and the extent of the swing (amplitude) is not constant, mathematical functions like sine-waves are of no use."(Lebo and Norpoth 2007:73) In the past, this di culty has led to two di erent approaches. On the one hand, some researchers dismissed these methods altogether, relying on informal alternatives that do not meet rigorous standards of statistical inference. Goldstein (1985 and 1988), studying the severity of Great power wars is one such example. On the other hand, there are authors who transfer the assumptions of spectral analysis (and ARMA models) into fundamental assumptions about the nature of social phenomena. This type of argument was produced by Beck (1991) who, in a reply to Goldstein (1988), claimed that only \ xed period models are meaningful models of cyclic phenomena".We argue that wavelet analysis|a mathematical framework developed in the mid-1980s (Grossman and Morlet 1984; Goupillaud et al. 1984) | is a very viable alternative to study cycles in political time-series. It has the advantage of staying close to the frequency domain approach of spectral analysis while addressing its main limitations. Its principal contribution comes from estimating the spectral characteristics of a time-series as a function of time, thus revealing how its di erent periodic components may change over time. The rest of article proceeds as follows. In the section \Time-frequency Analysis", we study in some detail the continuous wavelet transform and compare its time-frequency properties with the more standard tool for that purpose, the windowed Fourier transform. In the section \The British Political Pendulum", we apply wavelet analysis to essentially the same data analyzed by Lebo and Norpoth (2007) and Merrill, Grofman and Brunell (2011) and try to provide a more nuanced answer to the same question discussed by these authors: do British electoral politics exhibit cycles? Finally, in the last section, we present a concise list of future directions.

The Difference, System and ‘Double-D’ GMM Panel Estimators in the Presence of Structural Breaks

The effects of structural breaks in dynamic panels are more complicated than in time series models as the bias can be either negative or positive. This paper focuses on the effects of mean shifts in otherwise stationary processes within an instrumental variable panel estimation framework. We show the sources of the bias and a Monte Carlo analysis calibrated on United States bank lending data demonstrates the size of the bias for a range of auto-regressive parameters. We also propose additional moment conditions that can be used to reduce the biases caused by shifts in the mean of the data.

Regression analysis of spatial data.

Many of the most interesting questions ecologists ask lead to analyses of spatial data. Yet, perhaps confused by the large number of statistical models and fitting methods available, many ecologists seem to believe this is best left to specialists. Here, we describe the issues that need consideration when analysing spatial data and illustrate these using simulation studies. Our comparative analysis involves using methods including generalized least squares, spatial filters, wavelet revised models, conditional autoregressive models and generalized additive mixed models to estimate regression coefficients from synthetic but realistic data sets, including some which violate standard regression assumptions. We assess the performance of each method using two measures and using statistical error rates for model selection. Methods that performed well included generalized least squares family of models and a Bayesian implementation of the conditional auto-regressive model. Ordinary least squares also performed adequately in the absence of model selection, but had poorly controlled Type I error rates and so did not show the improvements in performance under model selection when using the above methods. Removing large-scale spatial trends in the response led to poor performance. These are empirical results; hence extrapolation of these findings to other situations should be performed cautiously. Nevertheless, our simulation-based approach provides much stronger evidence for comparative analysis than assessments based on single or small numbers of data sets, and should be considered a necessary foundation for statements of this type in future.

Source separation techniques applied to linear prediction

The prediction filters are well known models for signal estimation, in communications, control and many others areas. The classical method for deriving linear prediction coding (LPC) filters is often based on the minimization of a mean square error (MSE). Consequently, second order statistics are only required, but the estimation is only optimal if the residue is independent and identically distributed (iid) Gaussian. In this paper, we derive the ML estimate of the prediction filter. Relationships with robust estimation of auto-regressive (AR) processes, with blind deconvolution and with source separation based on mutual information minimization are then detailed. The algorithm, based on the minimization of a high-order statistics criterion, uses on-line estimation of the residue statistics. Experimental results emphasize on the interest of this approach.

De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).