A Generalized Quasi-Likelihood Estimator for Nonstationary Stochastic Processes−Asymptotic Properties and Examples

2010 Mathematics Subject Classification: 62F12, 62M05, 62M09, 62M10, 60G42.

Frequency domain analysis of stationary time series

This thesis provides a necessary and sufficient condition for asymptotic efficiency of a nonparametric estimator of the generalised autocovariance function of a Gaussian stationary random process. The generalised autocovariance function is the inverse Fourier transform of a power transformation of the spectral density, and encompasses the traditional and inverse autocovariance functions. Its nonparametric estimator is based on the inverse discrete Fourier transform of the same power transformation of the pooled periodogram. The general result is then applied to the class of Gaussian stationary ARMA processes and its implications are discussed. We illustrate that for a class of contrast functionals and spectral densities, the minimum contrast estimator of the spectral density satisfies a Yule-Walker system of equations in the generalised autocovariance estimator. Selection of the pooling parameter, which characterizes the nonparametric estimator of the generalised autocovariance, controlling its resolution, is addressed by using a multiplicative periodogram bootstrap to estimate the finite-sample distribution of the estimator. A multivariate extension of recently introduced spectral models for univariate time series is considered, and an algorithm for the coefficients of a power transformation of matrix polynomials is derived, which allows to obtain the Wold coefficients from the matrix coefficients characterizing the generalised matrix cepstral models. This algorithm also allows the definition of the matrix variance profile, providing important quantities for vector time series analysis. A nonparametric estimator based on a transformation of the smoothed periodogram is proposed for estimation of the matrix variance profile.

Adaptively weighted maximum likelihood estimation of discrete distributions

SummaryDiscrete data arise in various research fields, typically when the observations are count data.I propose a robust and efficient parametric procedure for estimation of discrete distributions. The estimation is done in two phases. First, a very robust, but possibly inefficient, estimate of the model parameters is computed and used to indentify outliers. Then the outliers are either removed from the sample or given low weights, and a weighted maximum likelihood estimate (WML) is computed.The weights are determined via an adaptive process such that if the data follow the model, then asymptotically no observation is downweighted.I prove that the final estimator inherits the breakdown point of the initial one, and that its influence function at the model is the same as the influence function of the maximum likelihood estimator, which strongly suggests that it is asymptotically fully efficient.The initial estimator is a minimum disparity estimator (MDE). MDEs can be shown to have full asymptotic efficiency, and some MDEs have very high breakdown points and very low bias under contamination. Several initial estimators are considered, and the performances of the WMLs based on each of them are studied.It results that in a great variety of situations the WML substantially improves the initial estimator, both in terms of finite sample mean square error and in terms of bias under contamination. Besides, the performances of the WML are rather stable under a change of the MDE even if the MDEs have very different behaviors.Two examples of application of the WML to real data are considered. In both of them, the necessity for a robust estimator is clear: the maximum likelihood estimator is badly corrupted by the presence of a few outliers.This procedure is particularly natural in the discrete distribution setting, but could be extended to the continuous case, for which a possible procedure is sketched.RésuméLes données discrètes sont présentes dans différents domaines de recherche, en particulier lorsque les observations sont des comptages.Je propose une méthode paramétrique robuste et efficace pour l'estimation de distributions discrètes. L'estimation est faite en deux phases. Tout d'abord, un estimateur très robuste des paramètres du modèle est calculé, et utilisé pour la détection des données aberrantes (outliers). Cet estimateur n'est pas nécessairement efficace. Ensuite, soit les outliers sont retirés de l'échantillon, soit des faibles poids leur sont attribués, et un estimateur du maximum de vraisemblance pondéré (WML) est calculé.Les poids sont déterminés via un processus adaptif, tel qu'asymptotiquement, si les données suivent le modèle, aucune observation n'est dépondérée.Je prouve que le point de rupture de l'estimateur final est au moins aussi élevé que celui de l'estimateur initial, et que sa fonction d'influence au modèle est la même que celle du maximum de vraisemblance, ce qui suggère que cet estimateur est pleinement efficace asymptotiquement.L'estimateur initial est un estimateur de disparité minimale (MDE). Les MDE sont asymptotiquement pleinement efficaces, et certains d'entre eux ont un point de rupture très élevé et un très faible biais sous contamination. J'étudie les performances du WML basé sur différents MDEs.Le résultat est que dans une grande variété de situations le WML améliore largement les performances de l'estimateur initial, autant en terme du carré moyen de l'erreur que du biais sous contamination. De plus, les performances du WML restent assez stables lorsqu'on change l'estimateur initial, même si les différents MDEs ont des comportements très différents.Je considère deux exemples d'application du WML à des données réelles, où la nécessité d'un estimateur robuste est manifeste : l'estimateur du maximum de vraisemblance est fortement corrompu par la présence de quelques outliers.La méthode proposée est particulièrement naturelle dans le cadre des distributions discrètes, mais pourrait être étendue au cas continu.

Second-order parameter estimation

This work provides a general framework for the design of second-order blind estimators without adopting anyapproximation about the observation statistics or the a prioridistribution of the parameters. The proposed solution is obtainedminimizing the estimator variance subject to some constraints onthe estimator bias. The resulting optimal estimator is found todepend on the observation fourth-order moments that can be calculatedanalytically from the known signal model. Unfortunately,in most cases, the performance of this estimator is severely limitedby the residual bias inherent to nonlinear estimation problems.To overcome this limitation, the second-order minimum varianceunbiased estimator is deduced from the general solution by assumingaccurate prior information on the vector of parameters.This small-error approximation is adopted to design iterativeestimators or trackers. It is shown that the associated varianceconstitutes the lower bound for the variance of any unbiasedestimator based on the sample covariance matrix.The paper formulation is then applied to track the angle-of-arrival(AoA) of multiple digitally-modulated sources by means ofa uniform linear array. The optimal second-order tracker is comparedwith the classical maximum likelihood (ML) blind methodsthat are shown to be quadratic in the observed data as well. Simulationshave confirmed that the discrete nature of the transmittedsymbols can be exploited to improve considerably the discriminationof near sources in medium-to-high SNR scenarios.

Statistical problems related to excitation threshold and reset value of membrane potentials

Die vorliegende Arbeit ist motiviert durch biologische Fragestellungen bezüglich des Verhaltens von Membranpotentialen in Neuronen. Ein vielfach betrachtetes Modell für spikende Neuronen ist das Folgende. Zwischen den Spikes verhält sich das Membranpotential wie ein Diffusionsprozess X der durch die SDGL dX_t= beta(X_t) dt+ sigma(X_t) dB_t gegeben ist, wobei (B_t) eine Standard-Brown'sche Bewegung bezeichnet. Spikes erklärt man wie folgt. Sobald das Potential X eine gewisse Exzitationsschwelle S überschreitet entsteht ein Spike. Danach wird das Potential wieder auf einen bestimmten Wert x_0 zurückgesetzt. In Anwendungen ist es manchmal möglich, einen Diffusionsprozess X zwischen den Spikes zu beobachten und die Koeffizienten der SDGL beta() und sigma() zu schätzen. Dennoch ist es nötig, die Schwellen x_0 und S zu bestimmen um das Modell festzulegen. Eine Möglichkeit, dieses Problem anzugehen, ist x_0 und S als Parameter eines statistischen Modells aufzufassen und diese zu schätzen. In der vorliegenden Arbeit werden vier verschiedene Fälle diskutiert, in denen wir jeweils annehmen, dass das Membranpotential X zwischen den Spikes eine Brown'sche Bewegung mit Drift, eine geometrische Brown'sche Bewegung, ein Ornstein-Uhlenbeck Prozess oder ein Cox-Ingersoll-Ross Prozess ist. Darüber hinaus beobachten wir die Zeiten zwischen aufeinander folgenden Spikes, die wir als iid Treffzeiten der Schwelle S von X gestartet in x_0 auffassen. Die ersten beiden Fälle ähneln sich sehr und man kann jeweils den Maximum-Likelihood-Schätzer explizit angeben. Darüber hinaus wird, unter Verwendung der LAN-Theorie, die Optimalität dieser Schätzer gezeigt. In den Fällen OU- und CIR-Prozess wählen wir eine Minimum-Distanz-Methode, die auf dem Vergleich von empirischer und wahrer Laplace-Transformation bezüglich einer Hilbertraumnorm beruht. Wir werden beweisen, dass alle Schätzer stark konsistent und asymptotisch normalverteilt sind. Im letzten Kapitel werden wir die Effizienz der Minimum-Distanz-Schätzer anhand simulierter Daten überprüfen. Ferner, werden Anwendungen auf reale Datensätze und deren Resultate ausführlich diskutiert.

Minimum error contrast enhancement

Contrast enhancement is an image processing technique where the objective is to preprocess the image so that relevant information can be either seen or further processed more reliably. These techniques are typically applied when the image itself or the device used for image reproduction provides poor visibility and distinguishability of different regions of interest inthe image. In most studies, the emphasis is on the visualization of image data,but this human observer biased goal often results to images which are not optimal for automated processing. The main contribution of this study is to express the contrast enhancement as a mapping from N-channel image data to 1-channel gray-level image, and to devise a projection method which results to an image with minimal error to the correct contrast image. The projection, the minimum-error contrast image, possess the optimal contrast between the regions of interest in the image. The method is based on estimation of the probability density distributions of the region values, and it employs Bayesian inference to establish the minimum error projection.

Minimum neighbour and extended Kalman filter estimator: a practical distributed channel assignment scheme for dense wireless local area networks

Dense deployments of wireless local area networks (WLANs) are becoming a norm in many cities around the world. However, increased interference and traffic demands can severely limit the aggregate throughput achievable unless an effective channel assignment scheme is used. In this work, a simple and effective distributed channel assignment (DCA) scheme is proposed. It is shown that in order to maximise throughput, each access point (AP) simply chooses the channel with the minimum number of active neighbour nodes (i.e. nodes associated with neighbouring APs that have packets to send). However, application of such a scheme to practice depends critically on its ability to estimate the number of neighbour nodes in each channel, for which no practical estimator has been proposed before. In view of this, an extended Kalman filter (EKF) estimator and an estimate of the number of nodes by AP are proposed. These not only provide fast and accurate estimates but can also exploit channel switching information of neighbouring APs. Extensive packet level simulation results show that the proposed minimum neighbour and EKF estimator (MINEK) scheme is highly scalable and can provide significant throughput improvement over other channel assignment schemes.

On-line Gaussian mixture density estimator for adaptive minimum bit-error-rate beamforming receivers

We develop an on-line Gaussian mixture density estimator (OGMDE) in the complex-valued domain to facilitate adaptive minimum bit-error-rate (MBER) beamforming receiver for multiple antenna based space-division multiple access systems. Specifically, the novel OGMDE is proposed to adaptively model the probability density function of the beamformer’s output by tracking the incoming data sample by sample. With the aid of the proposed OGMDE, our adaptive beamformer is capable of updating the beamformer’s weights sample by sample to directly minimize the achievable bit error rate (BER). We show that this OGMDE based MBER beamformer outperforms the existing on-line MBER beamformer, known as the least BER beamformer, in terms of both the convergence speed and the achievable BER.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

Parafoveal letter recognition at reduced contrast in normal aging and in patients with risk factors for AMD

Background Patients with early age-related maculopathy ( ARM) do not necessarily show obvious morphological signs or functional impairment. Many have good visual acuity, yet complain of decreased visual performance. The aim of this study was to investigate the aging effects on performance of parafoveal letter recognition at reduced contrast, and defects caused by early ARM and normal fellow eyes of patients with unilateral age-related macular degeneration (nfAMD). Methods Testing of the central visual field (8 radius) was performed by the Macular Mapping Test (MMT) using recognition of letters in 40 parafoveal target locations at four contrast levels (5, 10, 25 and 100%). Effects of aging were investigated in 64 healthy subjects aged 23 to 76 years (CTRL). In addition, 39 eyes (minimum visual acuity of 0.63; 20/30) from 39 patients with either no visible signs of ARM, while the fellow eye had advanced age-related macular degeneration (nfAMD; n=12), or early signs of ARM (eARM; n=27) were examined. Performance was expressed summarily as a ""field score"" (FS). Results Performance in the MMT begins to decline linearly with age in normal subjects from the age of 50 and 54 years on, at 5% and 10% contrast respectively. The differentiation between patients and CTRLs was enhanced if FS at 5% was analyzed along with FS at 10% contrast. In 8/12 patients from group nfAMD and in 18/27 from group eARM, the FS was statistically significantly lower than in the CTRL group in at least one of the lower contrast levels. Conclusion Using parafoveal test locations, a recognition task and diminished contrast increases the chance of early detection of functional defects due to eARM or nfAMD and can differentiate them from those due to aging alone.

Habitat complexity, spatial interference, and "minimum risk distribution": a framework for population stability

In the past century, the debate over whether or not density-dependent factors regulate populations has generally focused on changes in mean population density, ignoring the spatial variance around the mean as unimportant noise. In an attempt to provide a different framework for understanding population dynamics based on individual fitness, this paper discusses the crucial role of spatial variability itself on the stability of insect populations. The advantages of this method are the following: (1) it is founded on evolutionary principles rather than post hoc assumptions; (2) it erects hypotheses that can be tested; and (3) it links disparate ecological schools, including spatial dynamics, behavioral ecology, preference-performance, and plant apparency into an overall framework. At the core of this framework, habitat complexity governs insect spatial variance. which in turn determines population stability. First, the minimum risk distribution (MRD) is defined as the spatial distribution of individuals that results in the minimum number of premature deaths in a population given the distribution of mortality risk in the habitat (and, therefore, leading to maximized population growth). The greater the divergence of actual spatial patterns of individuals from the MRD, the greater the reduction of population growth and size from high, unstable levels. Then, based on extensive data from 29 populations of the processionary caterpillar, Ochrogaster lunifer, four steps are used to test the effect of habitat interference on population growth rates. (1) The costs (increasing the risk of scramble competition) and benefits (decreasing the risk of inverse density-dependent predation) of egg and larval aggregation are quantified. (2) These costs and benefits, along with the distribution of resources, are used to construct the MRD for each habitat. (3) The MRD is used as a benchmark against which the actual spatial pattern of individuals is compared. The degree of divergence of the actual spatial pattern from the MRD is quantified for each of the 29 habitats. (4) Finally, indices of habitat complexity are used to provide highly accurate predictions of spatial divergence from the MRD, showing that habitat interference reduces population growth rates from high, unstable levels. The reason for the divergence appears to be that high levels of background vegetation (vegetation other than host plants) interfere with female host-searching behavior. This leads to a spatial distribution of egg batches with high mortality risk, and therefore lower population growth. Knowledge of the MRD in other species should be a highly effective means of predicting trends in population dynamics. Species with high divergence between their actual spatial distribution and their MRD may display relatively stable dynamics at low population levels. In contrast, species with low divergence should experience high levels of intragenerational population growth leading to frequent habitat-wide outbreaks and unstable dynamics in the long term. Six hypotheses, erected under the framework of spatial interference, are discussed, and future tests are suggested.

Minimum distance estimation of stationary and non-stationary ARFIMA processes

A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator iseasy to compute and is consistent and asymptotically normally distributed for fractionallyintegrated (FI) processes with an integration order d strictly greater than -0.75. Therefore, it can be applied to both stationary and non-stationary processes. Deterministic components are also allowed in the DGP. Furthermore, as a by-product, the estimation procedure provides an immediate check on the adequacy of the specified model. This is so because the criterion function, when evaluated at the estimated values, coincides with the Box-Pierce goodness of fit statistic. Empirical applications and Monte-Carlo simulations supporting the analytical results and showing the good performance of the estimator in finite samples are also provided.

Comparative evaluation of a new effective population size estimator based on approximate Bayesian computation

We describe and evaluate a new estimator of the effective population size (N-e), a critical parameter in evolutionary and conservation biology. This new "SummStat" N-e. estimator is based upon the use of summary statistics in an approximate Bayesian computation framework to infer N-e. Simulations of a Wright-Fisher population with known N-e show that the SummStat estimator is useful across a realistic range of individuals and loci sampled, generations between samples, and N-e values. We also address the paucity of information about the relative performance of N-e estimators by comparing the SUMMStat estimator to two recently developed likelihood-based estimators and a traditional moment-based estimator. The SummStat estimator is the least biased of the four estimators compared. In 32 of 36 parameter combinations investigated rising initial allele frequencies drawn from a Dirichlet distribution, it has the lowest bias. The relative mean square error (RMSE) of the SummStat estimator was generally intermediate to the others. All of the estimators had RMSE > 1 when small samples (n = 20, five loci) were collected a generation apart. In contrast, when samples were separated by three or more generations and Ne less than or equal to 50, the SummStat and likelihood-based estimators all had greatly reduced RMSE. Under the conditions simulated, SummStat confidence intervals were more conservative than the likelihood-based estimators and more likely to include true N-e. The greatest strength of the SummStat estimator is its flexible structure. This flexibility allows it to incorporate any, potentially informative summary statistic from Population genetic data.

Potential energy surface and moleculardynamics of MbNO: existence of an unsuspected FeON minimum

Ligands such as CO, O2, or NO are involved in the biological function of myoglobin. Here we investigate the energetics and dynamics of NO interacting with the Fe(II) heme group in native myoglobin using ab initio and molecular dynamics simulations. At the global minimum of the ab initio potential energy surface (PES), the binding energy of 23.4 kcal/mol and the Fe-NO structure compare well with the experimental results. Interestingly, the PES is found to exhibit two minima: There exists a metastable, linear Fe-O-N minimum in addition to the known, bent Fe-N-O global minimum conformation. Moreover, the T-shaped configuration is found to be a saddle point, in contrast to the corresponding minimum for NO interacting with Fe(III). To use the ab initio results for finite temperature molecular dynamics simulations, an analytical function was fitted to represent the Fe-NO interaction. The simulations show that the secondary minimum is dynamically stable up to 250 K and has a lifetime of several hundred picoseconds at 300 K. The difference in the topology of the heme-NO PES from that assumed previously (one deep, single Fe-NO minimum) suggests that it is important to use the full PES for a quantitative understanding of this system. Why the metastable state has not been observed in the many spectroscopic studies of myoglobin interacting with NO is discussed, and possible approaches to finding it are outlined.