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.

Estimating tremor in Vocal Fold Biomechanics for Neurological Disease characterisation

Neurological Diseases (ND) are affecting larger segments of aging population every year. Treatment is dependent on expensive accurate and frequent monitoring. It is well known that ND leave correlates in speech and phonation. The present work shows a method to detect alterations in vocal fold tension during phonation. These may appear either as hypertension or as cyclical tremor. Estimations of tremor may be produced by auto-regressive modeling of the vocal fold tension series in sustained phonation. The correlates obtained are a set of cyclicality coefficients, the frequency and the root mean square amplitude of the tremor. Statistical distributions of these correlates obtained from a set of male and female subjects are presented. Results from five study cases of female voice are also given.

A Comparison of Machine Learning Techniques for Modeling River Flow Time Series: The Case of Upper Cauvery River Basin

Models of river flow time series are essential in efficient management of a river basin. It helps policy makers in developing efficient water utilization strategies to maximize the utility of scarce water resource. Time series analysis has been used extensively for modeling river flow data. The use of machine learning techniques such as support-vector regression and neural network models is gaining increasing popularity. In this paper we compare the performance of these techniques by applying it to a long-term time-series data of the inflows into the Krishnaraja Sagar reservoir (KRS) from three tributaries of the river Cauvery. In this study flow data over a period of 30 years from three different observation points established in upper Cauvery river sub-basin is analyzed to estimate their contribution to KRS. Specifically, ANN model uses a multi-layer feed forward network trained with a back-propagation algorithm and support vector regression with epsilon intensive-loss function is used. Auto-regressive moving average models are also applied to the same data. The performance of different techniques is compared using performance metrics such as root mean squared error (RMSE), correlation, normalized root mean squared error (NRMSE) and Nash-Sutcliffe Efficiency (NSE).

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.

TIME VARYING LINEAR PREDICTION USING SPARSITY CONSTRAINTS

Time-varying linear prediction has been studied in the context of speech signals, in which the auto-regressive (AR) coefficients of the system function are modeled as a linear combination of a set of known bases. Traditionally, least squares minimization is used for the estimation of model parameters of the system. Motivated by the sparse nature of the excitation signal for voiced sounds, we explore the time-varying linear prediction modeling of speech signals using sparsity constraints. Parameter estimation is posed as a 0-norm minimization problem. The re-weighted 1-norm minimization technique is used to estimate the model parameters. We show that for sparsely excited time-varying systems, the formulation models the underlying system function better than the least squares error minimization approach. Evaluation with synthetic and real speech examples show that the estimated model parameters track the formant trajectories closer than the least squares 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).

Determinantes do nível de caixa das empresas: análise de amostra de países da América Latina

Neste estudo são analisados, através de técnicas de dados em painel, os fatores determinantes dos níveis de ativos líquidos de empresas abertas do Brasil, Argentina, Chile, México e Peru no período de 1995 a 2009. O índice utilizado nas modelagens é denominado de ativo líquido (ou simplesmente caixa), o qual inclui os recursos disponíveis em caixa e as aplicações financeiras de curto prazo, divididos pelo total de ativos da firma. É possível identificar uma tendência crescente de acúmulo de ativos líquidos como proporção do total de ativos ao longo dos anos em praticamente todos os países. São encontradas evidências de que empresas com maiores oportunidades de crescimento, maior tamanho (medido pelo total de ativos), maior nível de pagamento de dividendos e maior nível de lucratividade, acumulam mais caixa na maior parte dos países analisados. Da mesma forma, empresas com maiores níveis de investimento em ativo imobilizado, maior geração de caixa, maior volatilidade do fluxo de caixa, maior alavancagem e maior nível de capital de giro, apresentam menor nível de acúmulo de ativos líquidos. São identificadas semelhanças de fatores determinantes de liquidez em relação a estudos empíricos com empresas de países desenvolvidos, bem como diferenças devido a fenômenos particulares de países emergentes, como por exemplo elevadas taxas de juros internas, diferentes graus de acessibilidade ao mercado de crédito internacional e a linhas de crédito de agências de fomento, equity kicking, entre outros. Em teste para a base de dados das maiores firmas do Brasil, é identificada a presença de níveis-alvo de caixa através de modelo auto-regressivo de primeira ordem (AR1). Variáveis presentes em estudos mais recentes com empresas de países desenvolvidos como aquisições, abertura recente de capital e nível de governança corporativa também são testadas para a base de dados do Brasil.

Application of ARX neural networks to model the rate of penetration of petroleum wells drilling

Bit performance prediction has been a challenging problem for the petroleum industry. It is essential in cost reduction associated with well planning and drilling performance prediction, especially when rigs leasing rates tend to follow the projects-demand and barrel-price rises. A methodology to model and predict one of the drilling bit performance evaluator, the Rate of Penetration (ROP), is presented herein. As the parameters affecting the ROP are complex and their relationship not easily modeled, the application of a Neural Network is suggested. In the present work, a dynamic neural network, based on the Auto-Regressive with Extra Input Signals model, or ARX model, is used to approach the ROP modeling problem. The network was applied to a real oil offshore field data set, consisted of information from seven wells drilled with an equal-diameter bit.

Applying a genetic neuro-model reference adaptive controller in drilling optimization

Motivated by rising drilling operation costs, the oil industry has shown a trend toward real-time measurements and control. In this scenario, drilling control becomes a challenging problem for the industry, especially due to the difficulty associated with parameters modeling. One of the drillbit performance evaluators, the Rate Of Penetration (ROP), has been used as a drilling control parameter. However, relationships between operational variables affecting the ROP are complex and not easily modeled. This work presents a neuro-genetic adaptive controller to treat this problem. It is based on an auto-regressive with extra input signals, or ARX model and on a Genetic Algorithm (GA) to control the ROP. © [2006] IEEE.

A genetic neuro-model reference adaptive controller for petroleum wells drilling operations

Motivated by rising drilling operation costs, the oil industry has shown a trend towards real-time measurements and control. In this scenario, drilling control becomes a challenging problem for the industry, especially due to the difficulty associated to parameters modeling. One of the drill-bit performance evaluators, the Rate of Penetration (ROP), has been used in the literature as a drilling control parameter. However, the relationships between the operational variables affecting the ROP are complex and not easily modeled. This work presents a neuro-genetic adaptive controller to treat this problem. It is based on the Auto-Regressive with Extra Input Signals model, or ARX model, to accomplish the system identification and on a Genetic Algorithm (GA) to provide a robust control for the ROP. Results of simulations run over a real offshore oil field data, consisted of seven wells drilled with equal diameter bits, are provided. © 2006 IEEE.

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.

Estratégias de identificação paramétrica aplicadas à modelagem dinâmica de um servidor web Apache

Este artigo apresenta um estudo experimental de técnicas de identificação paramétrica aplicadas à modelagem dinâmica de um servidor web Apache. Foi desenvolvido um arranjo experimental para simular variações de carga no servidor. O arranjo é composto por dois computadores PC, sendo um deles utilizado para executar o servidor Apache e o outro utilizado como um gerador de carga, solicitando requisições de serviço ao servidor Apache. Foram estimados modelos paramétricos auto-regressivos (AR) para diferentes pontos de operação e de condição de carga. Cada ponto de operação foi definido em termos dos valores médios para o parâmetro de entrada MaxClients (parâmetro utilizado para definir o número máximo de processos ativos) e a saída percentual de consumo de CPU (Central Processing Unit) do servidor Apache. Para cada ponto de operação foram coletadas 600 amostras, com um intervalo de amostragem de 5 segundos. Metade do conjunto de amostras coletadas em cada ponto de operação foi utilizada para estimação do modelo, enquanto que a outra metade foi utilizada para validação. Um estudo da ordem mais adequada do modelo mostrou que, para um ponto de operação com valor reduzido de MaxClients, um modelo AR de 7a ordem pode ser satisfatório. Para valores mais elevados de MaxClients, os resultados mostraram que são necessários modelos de ordem mais elevada, devido às não-linearidades inerentes ao sistema.

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.