Neural and wavelet network models for financial distress classification

This work analyzes the use of linear discriminant models, multi-layer perceptron neural networks and wavelet networks for corporate financial distress prediction. Although simple and easy to interpret, linear models require statistical assumptions that may be unrealistic. Neural networks are able to discriminate patterns that are not linearly separable, but the large number of parameters involved in a neural model often causes generalization problems. Wavelet networks are classification models that implement nonlinear discriminant surfaces as the superposition of dilated and translated versions of a single "mother wavelet" function. In this paper, an algorithm is proposed to select dilation and translation parameters that yield a wavelet network classifier with good parsimony characteristics. The models are compared in a case study involving failed and continuing British firms in the period 1997-2000. Problems associated with over-parameterized neural networks are illustrated and the Optimal Brain Damage pruning technique is employed to obtain a parsimonious neural model. The results, supported by a re-sampling study, show that both neural and wavelet networks may be a valid alternative to classical linear discriminant models.

A note on a practical relationship between filter coefficients and scaling and wavelet functions of Discrete Wavelet Transforms

In this paper, the relationship between the filter coefficients and the scaling and wavelet functions of the Discrete Wavelet Transform is presented and exemplified from a practical point-of-view. The explanations complement the wavelet theory, that is well documented in the literature, being important for researchers who work with this tool for time-frequency analysis. (c) 2011 Elsevier Ltd. All rights reserved.

Momentos nulos e regularidade wavelet na detecção de falhas em sinais

Pós-graduação em Engenharia Elétrica - FEIS

Experimental study on bridge damage identification based on wavelet packet energy curvature difference method

Among those damage identification methods, the Wavelet Packet Energy Curvature Difference (WPECD) Method is an effective one. However, most of the existing methods rely on numerical simulation and are unverified via experiment, and very few of them have been applied to practice. In this paper, the validity of WPECD in structural damage identification is verified by a numerical example. A damage simulation experiment is taken on a real replaced girder at the Ziya River New Bridge in Cangzhou. Two damage cases are applied and the acceleration responses at the measuring points are obtained, based on which the damages are identified with the WPECD Method, and the influence of wavelet function and decomposition level is studied. The results show that the WPECD Method can identify structure damage efficiently and can be put into practice.

Análise wavelet da variabilidade do quasar 3C 273

Discovered in 1963, 3C 273 was the second quasar identified and cataloged in the Third Cambridge Catalog for radio sources, and the first one for which emission lines were identified with a hydrogen sequence redshifted. It is the brightest quasar of the celestial sphere, the most studied, analyzed, and with a resulting abundance of data available in a vast literature. The accurate analysis of the deviations of the spectral lines of quasars provides enough information to put in evidence the variation of fundamental constants of nature and similarly the universe expansion rate. The analysis of the variability of the light curves of these bodies, and the consequent accuracy of their periodicity, is of utmost importance as it provides an efficiency of their observations, enables a greater understanding of the physical phenomena, and makes it possible to conduct spectral observations on more accurate dates (when their light curves show pronounced peaks and therefore richer spectra information). In this master’s thesis twenty eight light curves from the quasar 3C 273 are studied, covering all the electromagnetic spectrum wavebands (radio emission to gamma rays), totaling in the analysis of four light curves for each waveband. We have applied the method of Continuous Wavelet Transform using the sixth-order (!0 = 6) Morlet wavelet function, and obtained excellent results in accordance with the literature.

Análise wavelet da variabilidade do quasar 3C 273

Discovered in 1963, 3C 273 was the second quasar identified and cataloged in the Third Cambridge Catalog for radio sources, and the first one for which emission lines were identified with a hydrogen sequence redshifted. It is the brightest quasar of the celestial sphere, the most studied, analyzed, and with a resulting abundance of data available in a vast literature. The accurate analysis of the deviations of the spectral lines of quasars provides enough information to put in evidence the variation of fundamental constants of nature and similarly the universe expansion rate. The analysis of the variability of the light curves of these bodies, and the consequent accuracy of their periodicity, is of utmost importance as it provides an efficiency of their observations, enables a greater understanding of the physical phenomena, and makes it possible to conduct spectral observations on more accurate dates (when their light curves show pronounced peaks and therefore richer spectra information). In this master’s thesis twenty eight light curves from the quasar 3C 273 are studied, covering all the electromagnetic spectrum wavebands (radio emission to gamma rays), totaling in the analysis of four light curves for each waveband. We have applied the method of Continuous Wavelet Transform using the sixth-order (!0 = 6) Morlet wavelet function, and obtained excellent results in accordance with the literature.

Activation function study for wavelet network

The main purpose of this paper is to investigate theoretically and experimentally the use of family of Polynomial Powers of the Sigmoid (PPS) Function Networks applied in speech signal representation and function approximation. This paper carries out practical investigations in terms of approximation fitness (LSE), time consuming (CPU Time), computational complexity (FLOP) and representation power (Number of Activation Function) for different PPS activation functions. We expected that different activation functions can provide performance variations and further investigations will guide us towards a class of mappings associating the best activation function to solve a class of problems under certain criteria.

Rotor Failure Diagnosis of Induction Motors by Wavelet Transform and Fourier Transform in Function of the Load

This paper presents two diagnostic methods for the online detection of broken bars in induction motors with squirrel-cage type rotors. The wavelet representation of a function is a new technique. Wavelet transform of a function is the improved version of Fourier transform. Fourier transform is a powerful tool for analyzing the components of a stationary signal. But it is failed for analyzing the non-stationary signal whereas wavelet transform allows the components of a non-stationary signal to be analyzed. In this paper, our main goal is to find out the advantages of wavelet transform compared to Fourier transform in rotor failure diagnosis of induction motors.

A wavelet visible difference predictor

In this paper, we describe a model of the human visual system (HVS) based on the wavelet transform. This model is largely based on a previously proposed model, but has a number of modifications that make it more amenable to potential integration into a wavelet based image compression scheme. These modifications include the use of a separable wavelet transform instead of the cortex transform, the application of a wavelet contrast sensitivity function (CSP), and a simplified definition of subband contrast that allows us to predict noise visibility directly from wavelet coefficients. Initially, we outline the luminance, frequency, and masking sensitivities of the HVS and discuss how these can be incorporated into the wavelet transform. We then outline a number of limitations of the wavelet transform as a model of the HVS, namely the lack of translational invariance and poor orientation sensitivity. In order to investigate the efficacy of this wavelet based model, a wavelet visible difference predictor (WVDP) is described. The WVDP is then used to predict visible differences between an original and compressed (or noisy) image. Results are presented to emphasize the limitations of commonly used measures of image quality and to demonstrate the performance of the WVDP, The paper concludes with suggestions on bow the WVDP can be used to determine a visually optimal quantization strategy for wavelet coefficients and produce a quantitative measure of image quality.

Wavelet correlation between subjects: A time-scale data driven analysis for brain mapping using fMRI

Functional magnetic resonance imaging (fMRI) based on BOLD signal has been used to indirectly measure the local neural activity induced by cognitive tasks or stimulation. Most fMRI data analysis is carried out using the general linear model (GLM), a statistical approach which predicts the changes in the observed BOLD response based on an expected hemodynamic response function (HRF). In cases when the task is cognitively complex or in cases of diseases, variations in shape and/or delay may reduce the reliability of results. A novel exploratory method using fMRI data, which attempts to discriminate between neurophysiological signals induced by the stimulation protocol from artifacts or other confounding factors, is introduced in this paper. This new method is based on the fusion between correlation analysis and the discrete wavelet transform, to identify similarities in the time course of the BOLD signal in a group of volunteers. We illustrate the usefulness of this approach by analyzing fMRI data from normal subjects presented with standardized human face pictures expressing different degrees of sadness. The results show that the proposed wavelet correlation analysis has greater statistical power than conventional GLM or time domain intersubject correlation analysis. (C) 2010 Elsevier B.V. All rights reserved.

Waveform inversion of crosshole georadar data: influence of source wavelet variability and the suitability of a single wavelet assumption

Waveform-based tomographic imaging of crosshole georadar data is a powerful method to investigate the shallow subsurface because of its ability to provide images of electrical properties in near-surface environments with unprecedented spatial resolution. A critical issue with waveform inversion is the a priori unknown source signal. Indeed, the estimation of the source pulse is notoriously difficult but essential for the effective application of this method. Here, we explore the viability and robustness of a recently proposed deconvolution-based procedure to estimate the source pulse during waveform inversion of crosshole georadar data, where changes in wavelet shape with location as a result of varying near-field conditions and differences in antenna coupling may be significant. Specifically, we examine whether a single, average estimated source current function can adequately represent the pulses radiated at all transmitter locations during a crosshole georadar survey, or whether a separate source wavelet estimation should be performed for each transmitter gather. Tests with synthetic and field data indicate that remarkably good tomographic reconstructions can be obtained using a single estimated source pulse when moderate to strong variability exists in the true source signal with antenna location. Only in the case of very strong variability in the true source pulse are tomographic reconstructions clearly improved by estimating a different source wavelet for each transmitter location.

On wideband deconvolution using wavelet transform

A discussion on the expression proposed in [1]–[3]for deconvolving the wideband density function is presented. Weprove here that such an expression reduces to be proportionalto the wideband correlation receiver output, or continuous wavelettransform of the received signal with respect to the transmittedone. Moreover, we show that the same result has been implicitlyassumed in [1], when the deconvolution equation is derived. Westress the fact that the analyzed approach is just the orthogonalprojection of the density function onto the image of the wavelettransform with respect to the transmitted signal. Consequently,the approach can be considered a good representation of thedensity function only under the prior knowledge that the densityfunction belongs to such a subspace. The choice of the transmittedsignal is thus crucial to this approach.

Spatial covariation of Azotobacter abundance and soil properties: A case study using the wavelet transform

The soil microflora is very heterogeneous in its spatial distribution. The origins of this heterogeneity and its significance for soil function are not well understood. A problem for understanding spatial variation better is the assumption of statistical stationarity that is made in most of the statistical methods used to assess it. These assumptions are made explicit in geostatistical methods that have been increasingly used by soil biologists in recent years. Geostatistical methods are powerful, particularly for local prediction, but they require the assumption that the variability of a property of interest is spatially uniform, which is not always plausible given what is known about the complexity of the soil microflora and the soil environment. We have used the wavelet transform, a relatively new innovation in mathematical analysis, to investigate the spatial variation of abundance of Azotobacter in the soil of a typical agricultural landscape. The wavelet transform entails no assumptions of stationarity and is well suited to the analysis of variables that show intermittent or transient features at different spatial scales. In this study, we computed cross-variograms of Azotobacter abundance with the pH, water content and loss on ignition of the soil. These revealed scale-dependent covariation in all cases. The wavelet transform also showed that the correlation of Azotobacter abundance with all three soil properties depended on spatial scale, the correlation generally increased with spatial scale and was only significantly different from zero at some scales. However, the wavelet analysis also allowed us to show how the correlation changed across the landscape. For example, at one scale Azotobacter abundance was strongly correlated with pH in part of the transect, and not with soil water content, but this was reversed elsewhere on the transect. The results show how scale-dependent variation of potentially limiting environmental factors can induce a complex spatial pattern of abundance in a soil organism. The geostatistical methods that we used here make assumptions that are not consistent with the spatial changes in the covariation of these properties that our wavelet analysis has shown. This suggests that the wavelet transform is a powerful tool for future investigation of the spatial structure and function of soil biota. (c) 2006 Elsevier Ltd. All rights reserved.

Apodisation, denoising and system identification techniques for THz transients in the wavelet domain

This work describes the use of a quadratic programming optimization procedure for designing asymmetric apodization windows to de-noise THz transient interferograms and compares these results to those obtained when wavelet signal processing algorithms are adopted. A systems identification technique in the wavelet domain is also proposed for the estimation of the complex insertion loss function. The proposed techniques can enhance the frequency dependent dynamic range of an experiment and should be of particular interest to the THz imaging and tomography community. Future advances in THz sources and detectors are likely to increase the signal-to-noise ratio of the recorded THz transients and high quality apodization techniques will become more important, and may set the limit on the achievable accuracy of the deduced spectrum.

Classification of lactose and mandelic acid THz spectra using subspace and wavelet-packet algorithms

This work compares classification results of lactose, mandelic acid and dl-mandelic acid, obtained on the basis of their respective THz transients. The performance of three different pre-processing algorithms applied to the time-domain signatures obtained using a THz-transient spectrometer are contrasted by evaluating the classifier performance. A range of amplitudes of zero-mean white Gaussian noise are used to artificially degrade the signal-to-noise ratio of the time-domain signatures to generate the data sets that are presented to the classifier for both learning and validation purposes. This gradual degradation of interferograms by increasing the noise level is equivalent to performing measurements assuming a reduced integration time. Three signal processing algorithms were adopted for the evaluation of the complex insertion loss function of the samples under study; a) standard evaluation by ratioing the sample with the background spectra, b) a subspace identification algorithm and c) a novel wavelet-packet identification procedure. Within class and between class dispersion metrics are adopted for the three data sets. A discrimination metric evaluates how well the three classes can be distinguished within the frequency range 0. 1 - 1.0 THz using the above algorithms.