Channel estimation for time-varying MIMO relay systems

In this paper, we investigate the channel estimation problem for multiple-input multiple-output (MIMO) relay communication systems with time-varying channels. The time-varying characteristic of the channels is described by the complex-exponential basis expansion model (CE-BEM). We propose a superimposed channel training algorithm to estimate the individual first-hop and second-hop time-varying channel matrices for MIMO relay systems. In particular, the estimation of the second-hop time-varying channel matrix is performed by exploiting the superimposed training sequence at the relay node, while the first-hop time-varying channel matrix is estimated through the source node training sequence and the estimated second-hop channel. To improve the performance of channel estimation, we derive the optimal structure of the source and relay training sequences that minimize the mean-squared error (MSE) of channel estimation. We also optimize the relay amplification factor that governs the power allocation between the source and relay training sequences. Numerical simulations demonstrate that the proposed superimposed channel training algorithm for MIMO relay systems with time-varying channels outperforms the conventional two-stage channel estimation scheme.

Testing against changing correlation

A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modified to allow for the estimation of models for time-varying volatility in the individual series. Unlike standard moment-based tests, the score-based test statistic includes information on the level of correlation under the null hypothesis and local power arguments indicate the benefits of doing so. A simulation study shows that the performance of the score-based test is strong relative to existing tests across a range of data generating processes. An application to the Hong Kong and South Korean equity markets shows that the new test reveals changes in correlation that are not detected by the standard moment-based test.

Generalised Wishart Processes

We introduce a stochastic process with Wishart marginals: the generalised Wishart process (GWP). It is a collection of positive semi-definite random matrices indexed by any arbitrary dependent variable. We use it to model dynamic (e.g. time varying) covariance matrices. Unlike existing models, it can capture a diverse class of covariance structures, it can easily handle missing data, the dependent variable can readily include covariates other than time, and it scales well with dimension; there is no need for free parameters, and optional parameters are easy to interpret. We describe how to construct the GWP, introduce general procedures for inference and predictions, and show that it outperforms its main competitor, multivariate GARCH, even on financial data that especially suits GARCH. We also show how to predict the mean of a multivariate process while accounting for dynamic correlations.

Delay-dependent robust H-infinity control for uncertain systems with time-varying delay

This paper proposes a new approach for delay-dependent robust H-infinity stability analysis and control synthesis of uncertain systems with time-varying delay. The key features of the approach include the introduction of a new Lyapunov–Krasovskii functional, the construction of an augmented matrix with uncorrelated terms, and the employment of a tighter bounding technique. As a result, significant performance improvement is achieved in system analysis and synthesis without using either free weighting matrices or model transformation. Examples are given to demonstrate the effectiveness of the proposed approach.

New Approach on Robust Delay-Dependent H∞ Control for Uncertain T-S Fuzzy Systems With Interval Time-Varying Delay

This paper investigates the robust H∞ control for Takagi-Sugeno (T-S) fuzzy systems with interval time-varying delay. By employing a new and tighter integral inequality and constructing an appropriate type of Lyapunov functional, delay-dependent stability criteria are derived for the control problem. Because neither any model transformation nor free weighting matrices are employed in our theoretical derivation, the developed stability criteria significantly improve and simplify the existing stability conditions. Also, the maximum allowable upper delay bound and controller feedback gains can be obtained simultaneously from the developed approach by solving a constrained convex optimization problem. Numerical examples are given to demonstrate the effectiveness of the proposed methods.

Separable spatiotemporal priors for convex reconstruction of time-varying 3D point clouds

Reconstructing 3D motion data is highly under-constrained due to several common sources of data loss during measurement, such as projection, occlusion, or miscorrespondence. We present a statistical model of 3D motion data, based on the Kronecker structure of the spatiotemporal covariance of natural motion, as a prior on 3D motion. This prior is expressed as a matrix normal distribution, composed of separable and compact row and column covariances. We relate the marginals of the distribution to the shape, trajectory, and shape-trajectory models of prior art. When the marginal shape distribution is not available from training data, we show how placing a hierarchical prior over shapes results in a convex MAP solution in terms of the trace-norm. The matrix normal distribution, fit to a single sequence, outperforms state-of-the-art methods at reconstructing 3D motion data in the presence of significant data loss, while providing covariance estimates of the imputed points.

On various types of decoupling for time-varying system

This paper deals with the problem of decoupling a class of linear time-varying multi-variable systems, based on the defining property that the impulse response matrix of a decoupled system is diagonal. Depending on the properties of the coefficient matrices of the vector differential equation of the open-loop system, the system may be uniformly or totally decoupled. The necessary and sufficient conditions that permit a system to be uniformly or totally decoupled by state variable feedback are given. The main contribution of this paper is the precise definition of these two classes of decoupling and a rigorous derivation of the necessary and sufficient conditions which show the necessity of requiring that the system be of constant ordered rank with respect to observability. A simple example illustrates the importance of having several definitions of decoupling. Finally, the results are specialized to the case of time invariant systems.

On the L2 stability of linear multidimensional time varying systems

This paper analyzes the L2 stability of solutions of systems with time-varying coefficients of the form [A + C(t)]x′ = [B + D(t)]x + u, where A, B, C, D are matrices. Following proof of a lemma, the main result is derived, according to which the system is L2 stable if the eigenvalues of the coefficient matrices are related in a simple way. A corollary of the theorem dealing with small periodic perturbations of constant coefficient systems is then proved. The paper concludes with two illustrative examples, both of which deal with the attitude dynamics of a rigid, axisymmetric, spinning satellite in an eccentric orbit, subject to gravity gradient torques.

New delay-dependent stability criteria for uncertain neutral systems with mixed time-varying delays and nonlinear perturbations

The problem of stability analysis for a class of neutral systems with mixed time-varying neutral, discrete and distributed delays and nonlinear parameter perturbations is addressed. By introducing a novel Lyapunov-Krasovskii functional and combining the descriptor model transformation, the Leibniz-Newton formula, some free-weighting matrices, and a suitable change of variables, new sufficient conditions are established for the stability of the considered system, which are neutral-delay-dependent, discrete-delay-range dependent, and distributeddelay-dependent. The conditions are presented in terms of linear matrix inequalities (LMIs) and can be efficiently solved using convex programming techniques. Two numerical examples are given to illustrate the efficiency of the proposed method

Comparing time-varying autoregressive structures of locally stationary processes

In this paper, a novel statistical test is introduced to compare two locally stationary time series. The proposed approach is a Wald test considering time-varying autoregressive modeling and function projections in adequate spaces. The covariance structure of the innovations may be also time- varying. In order to obtain function estimators for the time- varying autoregressive parameters, we consider function expansions in splines and wavelet bases. Simulation studies provide evidence that the proposed test has a good performance. We also assess its usefulness when applied to a financial time series.

Synchronization of singular Markovian jumping complex networks with additive time-varying delays via pinning control

Abstract
This study examines the problem of synchronization for singular complex dynamical networks with Markovian jumping parameters and two additive time-varying delay components. The complex networks consist of m modes which switch from one mode to another according to a Markovian chain with known transition probability. Pinning control strategies are designed to make the singular complex networks synchronized. Based on the appropriate Lyapunov-Krasovskii functional, introducing some free weighting matrices and using convexity of matrix functions, a novel synchronization criterion is derived. The proposed sufficient conditions are established in the form of linear matrix inequalities. Finally, a numerical example is presented to illustrate the effectiveness of the obtained results.

Exponential stability for markovian jumping stochastic BAM neural networks with mode-dependent probabilistic time-varying delays and impulse control

Abstract
In this article, an exponential stability analysis of Markovian jumping stochastic bidirectional associative memory (BAM) neural networks with mode-dependent probabilistic time-varying delays and impulsive control is investigated. By establishment of a stochastic variable with Bernoulli distribution, the information of probabilistic time-varying delay is considered and transformed into one with deterministic time-varying delay and stochastic parameters. By fully taking the inherent characteristic of such kind of stochastic BAM neural networks into account, a novel Lyapunov-Krasovskii functional is constructed with as many as possible positive definite matrices which depends on the system mode and a triple-integral term is introduced for deriving the delay-dependent stability conditions. Furthermore, mode-dependent mean square exponential stability criteria are derived by constructing a new Lyapunov-Krasovskii functional with modes in the integral terms and using some stochastic analysis techniques. The criteria are formulated in terms of a set of linear matrix inequalities, which can be checked efficiently by use of some standard numerical packages. Finally, numerical examples and its simulations are given to demonstrate the usefulness and effectiveness of the proposed results.

Modelling stock volatilities during financial crises:a time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.