Amplitude modulated model for analyzing non-stationary speech signals

Recently amplitude modulated (AM) model in presence of additive white noise was used to analyze certain non-stationary speech data. It is observed that the assumption of white noise may not be proper in many cases. In this article, we consider the AM signal model in presence of stationary noise. We consider the least squares estimators and the estimators obtained by maximizing the Periodogram function. The two estimators are asymptotically equivalent. We study the theoretical properties of both estimators and observe their performances through numerical simulations. One speech data is analyzed and it is observed that the performance of the proposed estimators is quite satisfactory.     

Image processing through multiscale analysis and measurement noise modeling

We describe a range of powerful multiscale analysis methods. We also focus on the pivotal issue of measurement noise in the physical sciences. From multiscale analysis and noise modeling, we develop a comprehensive methodology for data analysis of 2D images, 1D signals (or spectra), and point pattern data. Noise modeling is based on the following: (i) multiscale transforms, including wavelet transforms; (ii) a data structure termed the multiresolution support; and (iii) multiple scale significance testing. The latter two aspects serve to characterize signal with respect to noise. The data analysis objectives we deal with include noise filtering and scale decomposition for visualization or feature detection.     

The specification of vector autoregressive moving average models

In this paper we propose a new identification method based on the residual white noise autoregressive criterion (Pukkila et al., 1990) to select the order of VARMA structures. Results from extensive simulation experiments based on different model structures with varying number of observations and number of component series are used to demonstrate the performance of this new procedure. We also use economic and business data to compare the model structures selected by this order selection method with those identified in other published studies.     

Accuracy of edge detection methods with local information in speckled imagery

We compare the accuracy of five approaches for contour detection in speckled imagery. Some of these methods take advantage of the statistical properties of speckled data, and all of them employ active contours using B-spline curves. Images obtained with coherent illumination are affected by a noise called speckle, which is inherent to the imaging process. These data have been statistically modeled by a multiplicative model using the G0 distribution, under which regions with different degrees of roughness can be characterized by the value of a parameter. We use this information to find boundaries between regions with different textures. We propose and compare five strategies for boundary detection: three based on the data (maximum discontinuity on raw data, fractal dimension and maximum likelihood) and two based on estimates of the roughness parameter (maximum discontinuity and anisotropic smoothed roughness estimates). In order to compare these strategies, a Monte Carlo experience was performed to assess the accuracy of fitting a curve to a region. The probability of finding the correct edge with less than a specified error is estimated and used to compare the techniques. The two best procedures are then compared in terms of their computational cost and, finally, we show that the maximum likelihood approach on the raw data using the G0 law is the best technique.     

A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise

Abstract

The purpose of this paper is to develop a detection algorithm for the first jump point in sampling trajectories of jump-diffusions which are described as solutions of stochastic differential equations driven by α-stable white noise. This is done by a multivariate Lagrange interpolation approach. To this end, we utilize computer simulation algorithm in MATLAB to visualize the sampling trajectories of the jump-diffusions for various combinations of parameters arising in the modeling structure of stochastic differential equations.     

Constructing and fitting models for cokriging and multivariable spatial prediction

We consider best linear unbiased prediction for multivariable data. Minimizing mean-squared-prediction errors leads to prediction equations involving either covariances or variograms. We discuss problems with multivariate extensions that include the construction of valid models and the estimation of their parameters. In this paper, we develop new methods to construct valid crossvariograms, fit them to data, and then use them for multivariable spatial prediction, including cokriging. Crossvariograms are constructed by explicitly modeling spatial data as moving averages over white noise random processes. Parameters of the moving average functions may be inferred from the variogram, and with few additional parameters, crossvariogram models are constructed. Weighted least squares is then used to fit the crossvariogram model to the empirical crossvariogram for the data. We demonstrate the method for simulated data, and show a considerable advantage of cokriging over ordinary kriging.     

Skew Gaussian Process for Nonlinear Regression

In this article, we extend the Gaussian process for regression model by assuming a skew Gaussian process prior on the input function and a skew Gaussian white noise on the error term. Under these assumptions, the predictive density of the output function at a new fixed input is obtained in a closed form. Also, we study the Gaussian process predictor when the errors depart from the Gaussianity to the skew Gaussian white noise. The bias is derived in a closed form and is studied for some special cases. We conduct a simulation study to compare the empirical distribution function of the Gaussian process predictor under Gaussian white noise and skew Gaussian white noise.     

Bayesian scale space analysis of temporal changes in satellite images

We consider the detection of land cover changes using pairs of Landsat ETM+ satellite images. The images consist of eight spectral bands and to simplify the multidimensional change detection task, the image pair is first transformed to a one-dimensional image. When the transformation is non-linear, the true change in the images may be masked by complex noise. For example, when changes in the Normalized Difference Vegetation Index is considered, the variance of noise may not be constant over the image and methods based on image thresholding can be ineffective. To facilitate detection of change in such situations, we propose an approach that uses Bayesian statistical modeling and simulation-based inference. In order to detect both large and small scale changes, our method uses a scale space approach that employs multi-level smoothing. We demonstrate the technique using artificial test images and two pairs of real Landsat ETM+satellite images.     

Change detection in the mean of a white Gaussian process by the backward standardized sum

A statistical method for detection of a change in the mean of a white Gaussian noise process is developed in this paper. The decision function of the method searches for the maximum of the backward standardized sum in a moving window to detect the change. Statistical properties of the decision function are derived to set the detection threshold. The derivation of the mean delay function and the optimal size of the moving window is also presented. The performance of the proposed method is compared, in terms of the mean delay for the detection, with that of the exponentially weighted moving average (EWMA). The mean delays of the cumulative sum control charts are also compared for benchmarking. The performance comparison is carried out by evaluating the average run length functions and by simulations. The results conclude that the mean detection delay of the proposed method is shorter than that of the standard EWMA for the same Type I error probability.     

Sampled autocovariance and autocorrelation results for linear time processes

We derive an exact formula for the covariance between the sampled autocovariances at any two lags for a finite time series realisation from a general stationary autoregressive moving average process. We indicate, through one particular example, how this result can be used to deduce analogous formulae for any nonstationary model of the ARUMA class, a generalisation of the ARIMA models. Such formulae then allow us to obtain approximate expressions for the convariances between all pairs of serial correlations for finite realisations from the ARUMA model. We also note that, in the limit as the series length n → ∞, our results for the ARMA class retrieve those of Bartlett (1946). Finally, we investigate an improvement to the approximation that is obtained by applying Bartlett's general asymptotic formula to finite series realisations. That such an improvement should exist can immediately be seen by consideration of out results for the simplest case of a white noise process. However, we deduce the final improved approapproximation, for general models, in two ways - from (corrected) results due to Davies and Newbold (1980), and by an alternative approach to theirs.     

On panel data filtering in technical efficiency estimation

In present days it is commonly recognized that firm production datasets are affected by some level of random perturbation, and that consequently production frontiers have a stochastic nature. Mathematical programming methods, traditionally employed for frontier evaluation, are then reputed capable of mistaking errors for technical (in)efficiency. Therefore, recent literature is oriented towards a statistical view: frontiers are designed by enveloping data that have been preliminarly filtered from noise.In this paper a nonparametric smoother for filtering panel production data is presented. We pursue a recent approach of Kneip and Simar (1996), and frame it into a more general formulation whose a setting constitutes our specific proposal. The major feature of the method is that noise reduction and outlier detection are faced separately: i) a high order local polynomial fit is used as smoother; and ii) data are weighted by robustness scores. An extensive numerical study on some common production models yields encouraging results from a competition with Kneip and Simars filter.     

Vector autoregressive models with measurement errors for testing Granger causality

This paper develops a method for estimating the parameters of a vector autoregression (VAR) observed in white noise. The estimation method assumes that the noise variance matrix is known and does not require any iterative process. This study provides consistent estimators and the asymptotic distribution of the parameters required for conducting tests of Granger causality. Methods in the existing statistical literature cannot be used for testing Granger causality, since under the null hypothesis the model becomes unidentifiable. Measurement error effects on parameter estimates were evaluated by using computational simulations. The results suggest that the proposed approach produces empirical false positive rates close to the adopted nominal level (even for small samples) and has a satisfactory performance around the null hypothesis. The applicability and usefulness of the proposed approach are illustrated using a functional magnetic resonance imaging dataset.     

Solving Noisy ICA Using Multivariate Wavelet Denoising with an Application to Noisy Latent Variables Regression

A novel approach to solve the independent component analysis (ICA) model in the presence of noise is proposed. We use wavelets as natural denoising tools to solve the noisy ICA model. To do this, we use a multivariate wavelet denoising algorithm allowing spatial and temporal dependency. We propose also using a statistical approach, named nested design of experiments, to select the parameters such as wavelet family and thresholding type. This technique helps us to select more convenient combination of the parameters. This approach could be extended to many other problems in which one needs to choose parameters between many choices. The performance of the proposed method is illustrated on the simulated data and promising results are obtained. Also, the suggested method applied in latent variables regression in the presence of noise on real data. The good results confirm the ability of multivariate wavelet denoising to solving noisy ICA.     

Undercoverage of Wavelet-Based Resampling Confidence Intervals

The decorrelating property of the discrete wavelet transformation (DWT) appears valuable because one can avoid estimating the correlation structure in the original data space by bootstrap resampling of the DWT. Several authors have shown that the wavestrap approximately retains the correlation structure of observations. However, simply retaining the same correlation structure of original observations does not guarantee enough variation for regression parameter estimators. Our simulation studies show that these wavestraps yield undercoverage of parameters for a simple linear regression for time series data of the type that arise in functional MRI experiments. It is disappointing that the wavestrap does not even provide valid resamples for both white noise sequences and fractional Brownian noise sequences. Thus, the wavestrap method is not completely valid in obtaining resamples related to linear regression analysis and should be used with caution for hypothesis testing as well. The reasons for these undercoverages are also discussed. A parametric bootstrap resampling in the wavelet domain is introduced to offer insight into these previously undiscovered defects in wavestrapping.     

Outlier detection using difference-based variance estimators in multiple regression

In this article, we propose an outlier detection approach in a multiple regression model using the properties of a difference-based variance estimator. This type of a difference-based variance estimator was originally used to estimate error variance in a non parametric regression model without estimating a non parametric function. This article first employed a difference-based error variance estimator to study the outlier detection problem in a multiple regression model. Our approach uses the leave-one-out type method based on difference-based error variance. The existing outlier detection approaches using the leave-one-out approach are highly affected by other outliers, while ours is not because our approach does not use the regression coefficient estimator. We compared our approach with several existing methods using a simulation study, suggesting the outperformance of our approach. The advantages of our approach are demonstrated using a real data application. Our approach can be extended to the non parametric regression model for outlier detection.     

Time–Threshold Maps: Using information from wavelet reconstructions with all threshold values simultaneously

Wavelets are a commonly used tool in science and technology. Often, their use involves applying a wavelet transform to the data, thresholding the coefficients and applying the inverse transform to obtain an estimate of the desired quantities. In this paper, we argue that it is often possible to gain more insight into the data by producing not just one, but many wavelet reconstructions using a range of threshold values and analysing the resulting object, which we term the Time–Threshold Map (TTM) of the input data. We discuss elementary properties of the TTM, in its “basic” and “derivative” versions, using both Haar and Unbalanced Haar wavelet families. We then show how the TTM can help in solving two statistical problems in the signal + noise model: breakpoint detection, and estimating the longest interval of approximate stationarity. We illustrate both applications with examples involving volatility of financial returns. We also briefly discuss other possible uses of the TTM.     

On simple wavelet estimators of random signals and their small-sample properties

In the paper we suggest certain nonparametric estimators of random signals based on the wavelet transform. We consider stochastic signals embedded in white noise and extractions with wavelet denoizing algorithms utilizing the non-decimated discrete wavelet transform and the idea of wavelet scaling. We evaluate properties of these estimators via extensive computer simulations and partially also analytically. Our wavelet estimators of random signals have clear advantages over parametric maximum likelihood methods as far as computational issues are concerned, while at the same time they can compete with these methods in terms of precision of estimation in small samples. An illustrative example concerning smoothing of survey data is also provided.     

Bayesian model comparison for compartmental models with applications in positron emission tomography

We develop strategies for Bayesian modelling as well as model comparison, averaging and selection for compartmental models with particular emphasis on those that occur in the analysis of positron emission tomography (PET) data. Both modelling and computational issues are considered. Biophysically inspired informative priors are developed for the problem at hand, and by comparison with default vague priors it is shown that the proposed modelling is not overly sensitive to prior specification. It is also shown that an additive normal error structure does not describe measured PET data well, despite being very widely used, and that within a simple Bayesian framework simultaneous parameter estimation and model comparison can be performed with a more general noise model. The proposed approach is compared with standard techniques using both simulated and real data. In addition to good, robust estimation performance, the proposed technique provides, automatically, a characterisation of the uncertainty in the resulting estimates which can be considerable in applications such as PET.     

Model-based clustering,classification, and discriminant analysis of data with mixed type

We propose a mixture of latent variables model for the model-based clustering, classification, and discriminant analysis of data comprising variables with mixed type. This approach is a generalization of latent variable analysis, and model fitting is carried out within the expectation-maximization framework. Our approach is outlined and a simulation study conducted to illustrate the effect of sample size and noise on the standard errors and the recovery probabilities for the number of groups. Our modelling methodology is then applied to two real data sets and their clustering and classification performance is discussed. We conclude with discussion and suggestions for future work.     

Empirical null distribution-based modeling of multi-class differential gene expression detection

In this paper, we study the multi-class differential gene expression detection for microarray data. We propose a likelihood-based approach to estimating an empirical null distribution to incorporate gene interactions and provide a more accurate false-positive control than the commonly used permutation or theoretical null distribution-based approach. We propose to rank important genes by p-values or local false discovery rate based on the estimated empirical null distribution. Through simulations and application to lung transplant microarray data, we illustrate the competitive performance of the proposed method.