TRANSPOSABLE REGULARIZED COVARIANCE MODELS WITH AN APPLICATION TO MISSING DATA IMPUTATION.

PubMed

Allen, Genevera I; Tibshirani, Robert

2010-06-01

Missing data estimation is an important challenge with high-dimensional data arranged in the form of a matrix. Typically this data matrix is transposable , meaning that either the rows, columns or both can be treated as features. To model transposable data, we present a modification of the matrix-variate normal, the mean-restricted matrix-variate normal , in which the rows and columns each have a separate mean vector and covariance matrix. By placing additive penalties on the inverse covariance matrices of the rows and columns, these so called transposable regularized covariance models allow for maximum likelihood estimation of the mean and non-singular covariance matrices. Using these models, we formulate EM-type algorithms for missing data imputation in both the multivariate and transposable frameworks. We present theoretical results exploiting the structure of our transposable models that allow these models and imputation methods to be applied to high-dimensional data. Simulations and results on microarray data and the Netflix data show that these imputation techniques often outperform existing methods and offer a greater degree of flexibility.

Calculating Path-Dependent Travel Time Prediction Variance and Covariance fro a Global Tomographic P-Velocity Model

NASA Astrophysics Data System (ADS)

Ballard, S.; Hipp, J. R.; Encarnacao, A.; Young, C. J.; Begnaud, M. L.; Phillips, W. S.

2012-12-01

Seismic event locations can be made more accurate and precise by computing predictions of seismic travel time through high fidelity 3D models of the wave speed in the Earth's interior. Given the variable data quality and uneven data sampling associated with this type of model, it is essential that there be a means to calculate high-quality estimates of the path-dependent variance and covariance associated with the predicted travel times of ray paths through the model. In this paper, we describe a methodology for accomplishing this by exploiting the full model covariance matrix and show examples of path-dependent travel time prediction uncertainty computed from SALSA3D, our global, seamless 3D tomographic P-velocity model. Typical global 3D models have on the order of 1/2 million nodes, so the challenge in calculating the covariance matrix is formidable: 0.9 TB storage for 1/2 of a symmetric matrix, necessitating an Out-Of-Core (OOC) blocked matrix solution technique. With our approach the tomography matrix (G which includes Tikhonov regularization terms) is multiplied by its transpose (GTG) and written in a blocked sub-matrix fashion. We employ a distributed parallel solution paradigm that solves for (GTG)-1 by assigning blocks to individual processing nodes for matrix decomposition update and scaling operations. We first find the Cholesky decomposition of GTG which is subsequently inverted. Next, we employ OOC matrix multiplication methods to calculate the model covariance matrix from (GTG)-1 and an assumed data covariance matrix. Given the model covariance matrix, we solve for the travel-time covariance associated with arbitrary ray-paths by summing the model covariance along both ray paths. Setting the paths equal and taking the square root yields the travel prediction uncertainty for the single path.

A Robust Statistics Approach to Minimum Variance Portfolio Optimization

NASA Astrophysics Data System (ADS)

Yang, Liusha; Couillet, Romain; McKay, Matthew R.

2015-12-01

We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset returns. For large portfolios, the number of available market returns is often of similar order to the number of assets, so that the sample covariance matrix performs poorly as a covariance estimator. Additionally, financial market data often contain outliers which, if not correctly handled, may further corrupt the covariance estimation. We address these shortcomings by studying the performance of a hybrid covariance matrix estimator based on Tyler's robust M-estimator and on Ledoit-Wolf's shrinkage estimator while assuming samples with heavy-tailed distribution. Employing recent results from random matrix theory, we develop a consistent estimator of (a scaled version of) the realized portfolio risk, which is minimized by optimizing online the shrinkage intensity. Our portfolio optimization method is shown via simulations to outperform existing methods both for synthetic and real market data.

Low-dimensional Representation of Error Covariance

NASA Technical Reports Server (NTRS)

Tippett, Michael K.; Cohn, Stephen E.; Todling, Ricardo; Marchesin, Dan

2000-01-01

Ensemble and reduced-rank approaches to prediction and assimilation rely on low-dimensional approximations of the estimation error covariances. Here stability properties of the forecast/analysis cycle for linear, time-independent systems are used to identify factors that cause the steady-state analysis error covariance to admit a low-dimensional representation. A useful measure of forecast/analysis cycle stability is the bound matrix, a function of the dynamics, observation operator and assimilation method. Upper and lower estimates for the steady-state analysis error covariance matrix eigenvalues are derived from the bound matrix. The estimates generalize to time-dependent systems. If much of the steady-state analysis error variance is due to a few dominant modes, the leading eigenvectors of the bound matrix approximate those of the steady-state analysis error covariance matrix. The analytical results are illustrated in two numerical examples where the Kalman filter is carried to steady state. The first example uses the dynamics of a generalized advection equation exhibiting nonmodal transient growth. Failure to observe growing modes leads to increased steady-state analysis error variances. Leading eigenvectors of the steady-state analysis error covariance matrix are well approximated by leading eigenvectors of the bound matrix. The second example uses the dynamics of a damped baroclinic wave model. The leading eigenvectors of a lowest-order approximation of the bound matrix are shown to approximate well the leading eigenvectors of the steady-state analysis error covariance matrix.

Method and system to estimate variables in an integrated gasification combined cycle (IGCC) plant

DOEpatents

Kumar, Aditya; Shi, Ruijie; Dokucu, Mustafa

2013-09-17

System and method to estimate variables in an integrated gasification combined cycle (IGCC) plant are provided. The system includes a sensor suite to measure respective plant input and output variables. An extended Kalman filter (EKF) receives sensed plant input variables and includes a dynamic model to generate a plurality of plant state estimates and a covariance matrix for the state estimates. A preemptive-constraining processor is configured to preemptively constrain the state estimates and covariance matrix to be free of constraint violations. A measurement-correction processor may be configured to correct constrained state estimates and a constrained covariance matrix based on processing of sensed plant output variables. The measurement-correction processor is coupled to update the dynamic model with corrected state estimates and a corrected covariance matrix. The updated dynamic model may be configured to estimate values for at least one plant variable not originally sensed by the sensor suite.

An Upper Bound on Orbital Debris Collision Probability When Only One Object has Position Uncertainty Information

NASA Technical Reports Server (NTRS)

Frisbee, Joseph H., Jr.

2015-01-01

Upper bounds on high speed satellite collision probability, P (sub c), have been investigated. Previous methods assume an individual position error covariance matrix is available for each object. The two matrices being combined into a single, relative position error covariance matrix. Components of the combined error covariance are then varied to obtain a maximum P (sub c). If error covariance information for only one of the two objects was available, either some default shape has been used or nothing could be done. An alternative is presented that uses the known covariance information along with a critical value of the missing covariance to obtain an approximate but useful P (sub c) upper bound. There are various avenues along which an upper bound on the high speed satellite collision probability has been pursued. Typically, for the collision plane representation of the high speed collision probability problem, the predicted miss position in the collision plane is assumed fixed. Then the shape (aspect ratio of ellipse), the size (scaling of standard deviations) or the orientation (rotation of ellipse principal axes) of the combined position error ellipse is varied to obtain a maximum P (sub c). Regardless as to the exact details of the approach, previously presented methods all assume that an individual position error covariance matrix is available for each object and the two are combined into a single, relative position error covariance matrix. This combined position error covariance matrix is then modified according to the chosen scheme to arrive at a maximum P (sub c). But what if error covariance information for one of the two objects is not available? When error covariance information for one of the objects is not available the analyst has commonly defaulted to the situation in which only the relative miss position and velocity are known without any corresponding state error covariance information. The various usual methods of finding a maximum P (sub c) do no good because the analyst defaults to no knowledge of the combined, relative position error covariance matrix. It is reasonable to think, given an assumption of no covariance information, an analyst might still attempt to determine the error covariance matrix that results in an upper bound on the P (sub c). Without some guidance on limits to the shape, size and orientation of the unknown covariance matrix, the limiting case is a degenerate ellipse lying along the relative miss vector in the collision plane. Unless the miss position is exceptionally large or the at-risk object is exceptionally small, this method results in a maximum P (sub c) too large to be of practical use. For example, assuming that the miss distance is equal to the current ISS alert volume along-track (+ or -) distance of 25 kilometers and that the at-risk area has a 70 meter radius. The maximum (degenerate ellipse) P (sub c) is about 0.00136. At 40 kilometers, the maximum P (sub c) would be 0.00085 which is still almost an order of magnitude larger than the ISS maneuver threshold of 0.0001. In fact, a miss distance of almost 340 kilometers is necessary to reduce the maximum P (sub c) associated with this degenerate ellipse to the ISS maneuver threshold value. Such a result is frequently of no practical value to the analyst. Some improvement may be made with respect to this problem by realizing that while the position error covariance matrix of one of the objects (usually the debris object) may not be known the position error covariance matrix of the other object (usually the asset) is almost always available. Making use of the position error covariance information for the one object provides an improvement in finding a maximum P (sub c) which, in some cases, may offer real utility. The equations to be used are presented and their use discussed.

Treating Sample Covariances for Use in Strongly Coupled Atmosphere-Ocean Data Assimilation

NASA Astrophysics Data System (ADS)

Smith, Polly J.; Lawless, Amos S.; Nichols, Nancy K.

2018-01-01

Strongly coupled data assimilation requires cross-domain forecast error covariances; information from ensembles can be used, but limited sampling means that ensemble derived error covariances are routinely rank deficient and/or ill-conditioned and marred by noise. Thus, they require modification before they can be incorporated into a standard assimilation framework. Here we compare methods for improving the rank and conditioning of multivariate sample error covariance matrices for coupled atmosphere-ocean data assimilation. The first method, reconditioning, alters the matrix eigenvalues directly; this preserves the correlation structures but does not remove sampling noise. We show that it is better to recondition the correlation matrix rather than the covariance matrix as this prevents small but dynamically important modes from being lost. The second method, model state-space localization via the Schur product, effectively removes sample noise but can dampen small cross-correlation signals. A combination that exploits the merits of each is found to offer an effective alternative.

An Alternative Method for Computing Mean and Covariance Matrix of Some Multivariate Distributions

ERIC Educational Resources Information Center

Radhakrishnan, R.; Choudhury, Askar

2009-01-01

Computing the mean and covariance matrix of some multivariate distributions, in particular, multivariate normal distribution and Wishart distribution are considered in this article. It involves a matrix transformation of the normal random vector into a random vector whose components are independent normal random variables, and then integrating…

Constructing a Covariance Matrix that Yields a Specified Minimizer and a Specified Minimum Discrepancy Function Value.

ERIC Educational Resources Information Center

Cudeck, Robert; Browne, Michael W.

1992-01-01

A method is proposed for constructing a population covariance matrix as the sum of a particular model plus a nonstochastic residual matrix, with the stipulation that the model holds with a prespecified lack of fit. The procedure is considered promising for Monte Carlo studies. (SLD)

Path-Dependent Travel Time Prediction Variance and Covariance for a Global Tomographic P- and S-Velocity Model

NASA Astrophysics Data System (ADS)

Hipp, J. R.; Ballard, S.; Begnaud, M. L.; Encarnacao, A. V.; Young, C. J.; Phillips, W. S.

2015-12-01

Recently our combined SNL-LANL research team has succeeded in developing a global, seamless 3D tomographic P- and S-velocity model (SALSA3D) that provides superior first P and first S travel time predictions at both regional and teleseismic distances. However, given the variable data quality and uneven data sampling associated with this type of model, it is essential that there be a means to calculate high-quality estimates of the path-dependent variance and covariance associated with the predicted travel times of ray paths through the model. In this paper, we describe a methodology for accomplishing this by exploiting the full model covariance matrix and show examples of path-dependent travel time prediction uncertainty computed from our latest tomographic model. Typical global 3D SALSA3D models have on the order of 1/2 million nodes, so the challenge in calculating the covariance matrix is formidable: 0.9 TB storage for 1/2 of a symmetric matrix, necessitating an Out-Of-Core (OOC) blocked matrix solution technique. With our approach the tomography matrix (G which includes a prior model covariance constraint) is multiplied by its transpose (GTG) and written in a blocked sub-matrix fashion. We employ a distributed parallel solution paradigm that solves for (GTG)-1 by assigning blocks to individual processing nodes for matrix decomposition update and scaling operations. We first find the Cholesky decomposition of GTG which is subsequently inverted. Next, we employ OOC matrix multiplication methods to calculate the model covariance matrix from (GTG)-1 and an assumed data covariance matrix. Given the model covariance matrix, we solve for the travel-time covariance associated with arbitrary ray-paths by summing the model covariance along both ray paths. Setting the paths equal and taking the square root yields the travel prediction uncertainty for the single path.

Sparse Covariance Matrix Estimation With Eigenvalue Constraints

PubMed Central

LIU, Han; WANG, Lie; ZHAO, Tuo

2014-01-01

We propose a new approach for estimating high-dimensional, positive-definite covariance matrices. Our method extends the generalized thresholding operator by adding an explicit eigenvalue constraint. The estimated covariance matrix simultaneously achieves sparsity and positive definiteness. The estimator is rate optimal in the minimax sense and we develop an efficient iterative soft-thresholding and projection algorithm based on the alternating direction method of multipliers. Empirically, we conduct thorough numerical experiments on simulated datasets as well as real data examples to illustrate the usefulness of our method. Supplementary materials for the article are available online. PMID:25620866

Fast Minimum Variance Beamforming Based on Legendre Polynomials.

PubMed

Bae, MooHo; Park, Sung Bae; Kwon, Sung Jae

2016-09-01

Currently, minimum variance beamforming (MV) is actively investigated as a method that can improve the performance of an ultrasound beamformer, in terms of the lateral and contrast resolution. However, this method has the disadvantage of excessive computational complexity since the inverse spatial covariance matrix must be calculated. Some noteworthy methods among various attempts to solve this problem include beam space adaptive beamforming methods and the fast MV method based on principal component analysis, which are similar in that the original signal in the element space is transformed to another domain using an orthonormal basis matrix and the dimension of the covariance matrix is reduced by approximating the matrix only with important components of the matrix, hence making the inversion of the matrix very simple. Recently, we proposed a new method with further reduced computational demand that uses Legendre polynomials as the basis matrix for such a transformation. In this paper, we verify the efficacy of the proposed method through Field II simulations as well as in vitro and in vivo experiments. The results show that the approximation error of this method is less than or similar to those of the above-mentioned methods and that the lateral response of point targets and the contrast-to-speckle noise in anechoic cysts are also better than or similar to those methods when the dimensionality of the covariance matrices is reduced to the same dimension.

Numerical Differentiation Methods for Computing Error Covariance Matrices in Item Response Theory Modeling: An Evaluation and a New Proposal

ERIC Educational Resources Information Center

Tian, Wei; Cai, Li; Thissen, David; Xin, Tao

2013-01-01

In item response theory (IRT) modeling, the item parameter error covariance matrix plays a critical role in statistical inference procedures. When item parameters are estimated using the EM algorithm, the parameter error covariance matrix is not an automatic by-product of item calibration. Cai proposed the use of Supplemented EM algorithm for…

On the computation and updating of the modified Cholesky decomposition of a covariance matrix

NASA Technical Reports Server (NTRS)

Vanrooy, D. L.

1976-01-01

Methods for obtaining and updating the modified Cholesky decomposition (MCD) for the particular case of a covariance matrix when one is given only the original data are described. These methods are the standard method of forming the covariance matrix K then solving for the MCD, L and D (where K=LDLT); a method based on Householder reflections; and lastly, a method employing the composite-t algorithm. For many cases in the analysis of remotely sensed data, the composite-t method is the superior method despite the fact that it is the slowest one, since (1) the relative amount of time computing MCD's is often quite small, (2) the stability properties of it are the best of the three, and (3) it affords an efficient and numerically stable procedure for updating the MCD. The properties of these methods are discussed and FORTRAN programs implementing these algorithms are listed.

Bayesian Factor Analysis When Only a Sample Covariance Matrix Is Available

ERIC Educational Resources Information Center

Hayashi, Kentaro; Arav, Marina

2006-01-01

In traditional factor analysis, the variance-covariance matrix or the correlation matrix has often been a form of inputting data. In contrast, in Bayesian factor analysis, the entire data set is typically required to compute the posterior estimates, such as Bayes factor loadings and Bayes unique variances. We propose a simple method for computing…

Calculating Path-Dependent Travel Time Prediction Variance and Covariance for the SALSA3D Global Tomographic P-Velocity Model with a Distributed Parallel Multi-Core Computer

NASA Astrophysics Data System (ADS)

Hipp, J. R.; Encarnacao, A.; Ballard, S.; Young, C. J.; Phillips, W. S.; Begnaud, M. L.

2011-12-01

Recently our combined SNL-LANL research team has succeeded in developing a global, seamless 3D tomographic P-velocity model (SALSA3D) that provides superior first P travel time predictions at both regional and teleseismic distances. However, given the variable data quality and uneven data sampling associated with this type of model, it is essential that there be a means to calculate high-quality estimates of the path-dependent variance and covariance associated with the predicted travel times of ray paths through the model. In this paper, we show a methodology for accomplishing this by exploiting the full model covariance matrix. Our model has on the order of 1/2 million nodes, so the challenge in calculating the covariance matrix is formidable: 0.9 TB storage for 1/2 of a symmetric matrix, necessitating an Out-Of-Core (OOC) blocked matrix solution technique. With our approach the tomography matrix (G which includes Tikhonov regularization terms) is multiplied by its transpose (GTG) and written in a blocked sub-matrix fashion. We employ a distributed parallel solution paradigm that solves for (GTG)-1 by assigning blocks to individual processing nodes for matrix decomposition update and scaling operations. We first find the Cholesky decomposition of GTG which is subsequently inverted. Next, we employ OOC matrix multiply methods to calculate the model covariance matrix from (GTG)-1 and an assumed data covariance matrix. Given the model covariance matrix we solve for the travel-time covariance associated with arbitrary ray-paths by integrating the model covariance along both ray paths. Setting the paths equal gives variance for that path. Sandia National Laboratories is a multi-program laboratory managed and operated by Sandia Corporation, a wholly owned subsidiary of Lockheed Martin Corporation, for the U.S. Department of Energy's National Nuclear Security Administration under contract DE-AC04-94AL85000.

Covariance, correlation matrix, and the multiscale community structure of networks.

PubMed

Shen, Hua-Wei; Cheng, Xue-Qi; Fang, Bin-Xing

2010-07-01

Empirical studies show that real world networks often exhibit multiple scales of topological descriptions. However, it is still an open problem how to identify the intrinsic multiple scales of networks. In this paper, we consider detecting the multiscale community structure of network from the perspective of dimension reduction. According to this perspective, a covariance matrix of network is defined to uncover the multiscale community structure through the translation and rotation transformations. It is proved that the covariance matrix is the unbiased version of the well-known modularity matrix. We then point out that the translation and rotation transformations fail to deal with the heterogeneous network, which is very common in nature and society. To address this problem, a correlation matrix is proposed through introducing the rescaling transformation into the covariance matrix. Extensive tests on real world and artificial networks demonstrate that the correlation matrix significantly outperforms the covariance matrix, identically the modularity matrix, as regards identifying the multiscale community structure of network. This work provides a novel perspective to the identification of community structure and thus various dimension reduction methods might be used for the identification of community structure. Through introducing the correlation matrix, we further conclude that the rescaling transformation is crucial to identify the multiscale community structure of network, as well as the translation and rotation transformations.

An Empirical State Error Covariance Matrix for the Weighted Least Squares Estimation Method

NASA Technical Reports Server (NTRS)

Frisbee, Joseph H., Jr.

2011-01-01

State estimation techniques effectively provide mean state estimates. However, the theoretical state error covariance matrices provided as part of these techniques often suffer from a lack of confidence in their ability to describe the un-certainty in the estimated states. By a reinterpretation of the equations involved in the weighted least squares algorithm, it is possible to directly arrive at an empirical state error covariance matrix. This proposed empirical state error covariance matrix will contain the effect of all error sources, known or not. Results based on the proposed technique will be presented for a simple, two observer, measurement error only problem.

Large Covariance Estimation by Thresholding Principal Orthogonal Complements

PubMed Central

Fan, Jianqing; Liao, Yuan; Mincheva, Martina

2012-01-01

This paper deals with the estimation of a high-dimensional covariance with a conditional sparsity structure and fast-diverging eigenvalues. By assuming sparse error covariance matrix in an approximate factor model, we allow for the presence of some cross-sectional correlation even after taking out common but unobservable factors. We introduce the Principal Orthogonal complEment Thresholding (POET) method to explore such an approximate factor structure with sparsity. The POET estimator includes the sample covariance matrix, the factor-based covariance matrix (Fan, Fan, and Lv, 2008), the thresholding estimator (Bickel and Levina, 2008) and the adaptive thresholding estimator (Cai and Liu, 2011) as specific examples. We provide mathematical insights when the factor analysis is approximately the same as the principal component analysis for high-dimensional data. The rates of convergence of the sparse residual covariance matrix and the conditional sparse covariance matrix are studied under various norms. It is shown that the impact of estimating the unknown factors vanishes as the dimensionality increases. The uniform rates of convergence for the unobserved factors and their factor loadings are derived. The asymptotic results are also verified by extensive simulation studies. Finally, a real data application on portfolio allocation is presented. PMID:24348088

Large Covariance Estimation by Thresholding Principal Orthogonal Complements.

PubMed

Fan, Jianqing; Liao, Yuan; Mincheva, Martina

2013-09-01

This paper deals with the estimation of a high-dimensional covariance with a conditional sparsity structure and fast-diverging eigenvalues. By assuming sparse error covariance matrix in an approximate factor model, we allow for the presence of some cross-sectional correlation even after taking out common but unobservable factors. We introduce the Principal Orthogonal complEment Thresholding (POET) method to explore such an approximate factor structure with sparsity. The POET estimator includes the sample covariance matrix, the factor-based covariance matrix (Fan, Fan, and Lv, 2008), the thresholding estimator (Bickel and Levina, 2008) and the adaptive thresholding estimator (Cai and Liu, 2011) as specific examples. We provide mathematical insights when the factor analysis is approximately the same as the principal component analysis for high-dimensional data. The rates of convergence of the sparse residual covariance matrix and the conditional sparse covariance matrix are studied under various norms. It is shown that the impact of estimating the unknown factors vanishes as the dimensionality increases. The uniform rates of convergence for the unobserved factors and their factor loadings are derived. The asymptotic results are also verified by extensive simulation studies. Finally, a real data application on portfolio allocation is presented.

Video based object representation and classification using multiple covariance matrices.

PubMed

Zhang, Yurong; Liu, Quan

2017-01-01

Video based object recognition and classification has been widely studied in computer vision and image processing area. One main issue of this task is to develop an effective representation for video. This problem can generally be formulated as image set representation. In this paper, we present a new method called Multiple Covariance Discriminative Learning (MCDL) for image set representation and classification problem. The core idea of MCDL is to represent an image set using multiple covariance matrices with each covariance matrix representing one cluster of images. Firstly, we use the Nonnegative Matrix Factorization (NMF) method to do image clustering within each image set, and then adopt Covariance Discriminative Learning on each cluster (subset) of images. At last, we adopt KLDA and nearest neighborhood classification method for image set classification. Promising experimental results on several datasets show the effectiveness of our MCDL method.

Noise covariance incorporated MEG-MUSIC algorithm: a method for multiple-dipole estimation tolerant of the influence of background brain activity.

PubMed

Sekihara, K; Poeppel, D; Marantz, A; Koizumi, H; Miyashita, Y

1997-09-01

This paper proposes a method of localizing multiple current dipoles from spatio-temporal biomagnetic data. The method is based on the multiple signal classification (MUSIC) algorithm and is tolerant of the influence of background brain activity. In this method, the noise covariance matrix is estimated using a portion of the data that contains noise, but does not contain any signal information. Then, a modified noise subspace projector is formed using the generalized eigenvectors of the noise and measured-data covariance matrices. The MUSIC localizer is calculated using this noise subspace projector and the noise covariance matrix. The results from a computer simulation have verified the effectiveness of the method. The method was then applied to source estimation for auditory-evoked fields elicited by syllable speech sounds. The results strongly suggest the method's effectiveness in removing the influence of background activity.

A Kalman filter for a two-dimensional shallow-water model

NASA Technical Reports Server (NTRS)

Parrish, D. F.; Cohn, S. E.

1985-01-01

A two-dimensional Kalman filter is described for data assimilation for making weather forecasts. The filter is regarded as superior to the optimal interpolation method because the filter determines the forecast error covariance matrix exactly instead of using an approximation. A generalized time step is defined which includes expressions for one time step of the forecast model, the error covariance matrix, the gain matrix, and the evolution of the covariance matrix. Subsequent time steps are achieved by quantifying the forecast variables or employing a linear extrapolation from a current variable set, assuming the forecast dynamics are linear. Calculations for the evolution of the error covariance matrix are banded, i.e., are performed only with the elements significantly different from zero. Experimental results are provided from an application of the filter to a shallow-water simulation covering a 6000 x 6000 km grid.

Testing Pattern Hypotheses for Correlation Matrices

ERIC Educational Resources Information Center

McDonald, Roderick P.

1975-01-01

The treatment of covariance matrices given by McDonald (1974) can be readily modified to cover hypotheses prescribing zeros and equalities in the correlation matrix rather than the covariance matrix, still with the convenience of the closed-form Least Squares solution and the classical Newton method. (Author/RC)

An Upper Bound on High Speed Satellite Collision Probability When Only One Object has Position Uncertainty Information

NASA Technical Reports Server (NTRS)

Frisbee, Joseph H., Jr.

2015-01-01

Upper bounds on high speed satellite collision probability, PC †, have been investigated. Previous methods assume an individual position error covariance matrix is available for each object. The two matrices being combined into a single, relative position error covariance matrix. Components of the combined error covariance are then varied to obtain a maximum PC. If error covariance information for only one of the two objects was available, either some default shape has been used or nothing could be done. An alternative is presented that uses the known covariance information along with a critical value of the missing covariance to obtain an approximate but potentially useful Pc upper bound.

Analysis of modified SMI method for adaptive array weight control

NASA Technical Reports Server (NTRS)

Dilsavor, R. L.; Moses, R. L.

1989-01-01

An adaptive array is applied to the problem of receiving a desired signal in the presence of weak interference signals which need to be suppressed. A modification, suggested by Gupta, of the sample matrix inversion (SMI) algorithm controls the array weights. In the modified SMI algorithm, interference suppression is increased by subtracting a fraction F of the noise power from the diagonal elements of the estimated covariance matrix. Given the true covariance matrix and the desired signal direction, the modified algorithm is shown to maximize a well-defined, intuitive output power ratio criterion. Expressions are derived for the expected value and variance of the array weights and output powers as a function of the fraction F and the number of snapshots used in the covariance matrix estimate. These expressions are compared with computer simulation and good agreement is found. A trade-off is found to exist between the desired level of interference suppression and the number of snapshots required in order to achieve that level with some certainty. The removal of noise eigenvectors from the covariance matrix inverse is also discussed with respect to this application. Finally, the type and severity of errors which occur in the covariance matrix estimate are characterized through simulation.

Synthesis of linear regression coefficients by recovering the within-study covariance matrix from summary statistics.

PubMed

Yoneoka, Daisuke; Henmi, Masayuki

2017-06-01

Recently, the number of regression models has dramatically increased in several academic fields. However, within the context of meta-analysis, synthesis methods for such models have not been developed in a commensurate trend. One of the difficulties hindering the development is the disparity in sets of covariates among literature models. If the sets of covariates differ across models, interpretation of coefficients will differ, thereby making it difficult to synthesize them. Moreover, previous synthesis methods for regression models, such as multivariate meta-analysis, often have problems because covariance matrix of coefficients (i.e. within-study correlations) or individual patient data are not necessarily available. This study, therefore, proposes a brief explanation regarding a method to synthesize linear regression models under different covariate sets by using a generalized least squares method involving bias correction terms. Especially, we also propose an approach to recover (at most) threecorrelations of covariates, which is required for the calculation of the bias term without individual patient data. Copyright © 2016 John Wiley & Sons, Ltd. Copyright © 2016 John Wiley & Sons, Ltd.

Generating Nonnormal Multivariate Data Using Copulas: Applications to SEM

ERIC Educational Resources Information Center

Mair, Patrick; Satorra, Albert; Bentler, Peter M.

2012-01-01

This article develops a procedure based on copulas to simulate multivariate nonnormal data that satisfy a prespecified variance-covariance matrix. The covariance matrix used can comply with a specific moment structure form (e.g., a factor analysis or a general structural equation model). Thus, the method is particularly useful for Monte Carlo…

Generating Nonnormal Multivariate Data Using Copulas: Applications to SEM.

PubMed

Mair, Patrick; Satorra, Albert; Bentler, Peter M

2012-07-01

This article develops a procedure based on copulas to simulate multivariate nonnormal data that satisfy a prespecified variance-covariance matrix. The covariance matrix used can comply with a specific moment structure form (e.g., a factor analysis or a general structural equation model). Thus, the method is particularly useful for Monte Carlo evaluation of structural equation models within the context of nonnormal data. The new procedure for nonnormal data simulation is theoretically described and also implemented in the widely used R environment. The quality of the method is assessed by Monte Carlo simulations. A 1-sample test on the observed covariance matrix based on the copula methodology is proposed. This new test for evaluating the quality of a simulation is defined through a particular structural model specification and is robust against normality violations.

Shrinkage covariance matrix approach based on robust trimmed mean in gene sets detection

NASA Astrophysics Data System (ADS)

Karjanto, Suryaefiza; Ramli, Norazan Mohamed; Ghani, Nor Azura Md; Aripin, Rasimah; Yusop, Noorezatty Mohd

2015-02-01

Microarray involves of placing an orderly arrangement of thousands of gene sequences in a grid on a suitable surface. The technology has made a novelty discovery since its development and obtained an increasing attention among researchers. The widespread of microarray technology is largely due to its ability to perform simultaneous analysis of thousands of genes in a massively parallel manner in one experiment. Hence, it provides valuable knowledge on gene interaction and function. The microarray data set typically consists of tens of thousands of genes (variables) from just dozens of samples due to various constraints. Therefore, the sample covariance matrix in Hotelling's T2 statistic is not positive definite and become singular, thus it cannot be inverted. In this research, the Hotelling's T2 statistic is combined with a shrinkage approach as an alternative estimation to estimate the covariance matrix to detect significant gene sets. The use of shrinkage covariance matrix overcomes the singularity problem by converting an unbiased to an improved biased estimator of covariance matrix. Robust trimmed mean is integrated into the shrinkage matrix to reduce the influence of outliers and consequently increases its efficiency. The performance of the proposed method is measured using several simulation designs. The results are expected to outperform existing techniques in many tested conditions.

Least-Squares Data Adjustment with Rank-Deficient Data Covariance Matrices

DOE Office of Scientific and Technical Information (OSTI.GOV)

Williams, J.G.

2011-07-01

A derivation of the linear least-squares adjustment formulae is required that avoids the assumption that the covariance matrix of prior parameters can be inverted. Possible proofs are of several kinds, including: (i) extension of standard results for the linear regression formulae, and (ii) minimization by differentiation of a quadratic form of the deviations in parameters and responses. In this paper, the least-squares adjustment equations are derived in both these ways, while explicitly assuming that the covariance matrix of prior parameters is singular. It will be proved that the solutions are unique and that, contrary to statements that have appeared inmore » the literature, the least-squares adjustment problem is not ill-posed. No modification is required to the adjustment formulae that have been used in the past in the case of a singular covariance matrix for the priors. In conclusion: The linear least-squares adjustment formula that has been used in the past is valid in the case of a singular covariance matrix for the covariance matrix of prior parameters. Furthermore, it provides a unique solution. Statements in the literature, to the effect that the problem is ill-posed are wrong. No regularization of the problem is required. This has been proved in the present paper by two methods, while explicitly assuming that the covariance matrix of prior parameters is singular: i) extension of standard results for the linear regression formulae, and (ii) minimization by differentiation of a quadratic form of the deviations in parameters and responses. No modification is needed to the adjustment formulae that have been used in the past. (author)« less

An algorithm for propagating the square-root covariance matrix in triangular form

NASA Technical Reports Server (NTRS)

Tapley, B. D.; Choe, C. Y.

1976-01-01

A method for propagating the square root of the state error covariance matrix in lower triangular form is described. The algorithm can be combined with any triangular square-root measurement update algorithm to obtain a triangular square-root sequential estimation algorithm. The triangular square-root algorithm compares favorably with the conventional sequential estimation algorithm with regard to computation time.

Super-resolution Doppler beam sharpening method using fast iterative adaptive approach-based spectral estimation

NASA Astrophysics Data System (ADS)

Mao, Deqing; Zhang, Yin; Zhang, Yongchao; Huang, Yulin; Yang, Jianyu

2018-01-01

Doppler beam sharpening (DBS) is a critical technology for airborne radar ground mapping in forward-squint region. In conventional DBS technology, the narrow-band Doppler filter groups formed by fast Fourier transform (FFT) method suffer from low spectral resolution and high side lobe levels. The iterative adaptive approach (IAA), based on the weighted least squares (WLS), is applied to the DBS imaging applications, forming narrower Doppler filter groups than the FFT with lower side lobe levels. Regrettably, the IAA is iterative, and requires matrix multiplication and inverse operation when forming the covariance matrix, its inverse and traversing the WLS estimate for each sampling point, resulting in a notably high computational complexity for cubic time. We propose a fast IAA (FIAA)-based super-resolution DBS imaging method, taking advantage of the rich matrix structures of the classical narrow-band filtering. First, we formulate the covariance matrix via the FFT instead of the conventional matrix multiplication operation, based on the typical Fourier structure of the steering matrix. Then, by exploiting the Gohberg-Semencul representation, the inverse of the Toeplitz covariance matrix is computed by the celebrated Levinson-Durbin (LD) and Toeplitz-vector algorithm. Finally, the FFT and fast Toeplitz-vector algorithm are further used to traverse the WLS estimates based on the data-dependent trigonometric polynomials. The method uses the Hermitian feature of the echo autocorrelation matrix R to achieve its fast solution and uses the Toeplitz structure of R to realize its fast inversion. The proposed method enjoys a lower computational complexity without performance loss compared with the conventional IAA-based super-resolution DBS imaging method. The results based on simulations and measured data verify the imaging performance and the operational efficiency.

Robust Averaging of Covariances for EEG Recordings Classification in Motor Imagery Brain-Computer Interfaces.

PubMed

Uehara, Takashi; Sartori, Matteo; Tanaka, Toshihisa; Fiori, Simone

2017-06-01

The estimation of covariance matrices is of prime importance to analyze the distribution of multivariate signals. In motor imagery-based brain-computer interfaces (MI-BCI), covariance matrices play a central role in the extraction of features from recorded electroencephalograms (EEGs); therefore, correctly estimating covariance is crucial for EEG classification. This letter discusses algorithms to average sample covariance matrices (SCMs) for the selection of the reference matrix in tangent space mapping (TSM)-based MI-BCI. Tangent space mapping is a powerful method of feature extraction and strongly depends on the selection of a reference covariance matrix. In general, the observed signals may include outliers; therefore, taking the geometric mean of SCMs as the reference matrix may not be the best choice. In order to deal with the effects of outliers, robust estimators have to be used. In particular, we discuss and test the use of geometric medians and trimmed averages (defined on the basis of several metrics) as robust estimators. The main idea behind trimmed averages is to eliminate data that exhibit the largest distance from the average covariance calculated on the basis of all available data. The results of the experiments show that while the geometric medians show little differences from conventional methods in terms of classification accuracy in the classification of electroencephalographic recordings, the trimmed averages show significant improvement for all subjects.

A Noise Removal Method for Uniform Circular Arrays in Complex Underwater Noise Environments with Low SNR

PubMed Central

Xia, Huijun; Yang, Kunde; Ma, Yuanliang; Wang, Yong; Liu, Yaxiong

2017-01-01

Generally, many beamforming methods are derived under the assumption of white noise. In practice, the actual underwater ambient noise is complex. As a result, the noise removal capacity of the beamforming method may be deteriorated considerably. Furthermore, in underwater environment with extremely low signal-to-noise ratio (SNR), the performances of the beamforming method may be deteriorated. To tackle these problems, a noise removal method for uniform circular array (UCA) is proposed to remove the received noise and improve the SNR in complex noise environments with low SNR. First, the symmetrical noise sources are defined and the spatial correlation of the symmetrical noise sources is calculated. Then, based on the preceding results, the noise covariance matrix is decomposed into symmetrical and asymmetrical components. Analysis indicates that the symmetrical component only affect the real part of the noise covariance matrix. Consequently, the delay-and-sum (DAS) beamforming is performed by using the imaginary part of the covariance matrix to remove the symmetrical component. However, the noise removal method causes two problems. First, the proposed method produces a false target. Second, the proposed method would seriously suppress the signal when it is located in some directions. To solve the first problem, two methods to reconstruct the signal covariance matrix are presented: based on the estimation of signal variance and based on the constrained optimization algorithm. To solve the second problem, we can design the array configuration and select the suitable working frequency. Theoretical analysis and experimental results are included to demonstrate that the proposed methods are particularly effective in complex noise environments with low SNR. The proposed method can be extended to any array. PMID:28598386

Corrected score estimation in the proportional hazards model with misclassified discrete covariates

PubMed Central

Zucker, David M.; Spiegelman, Donna

2013-01-01

SUMMARY We consider Cox proportional hazards regression when the covariate vector includes error-prone discrete covariates along with error-free covariates, which may be discrete or continuous. The misclassification in the discrete error-prone covariates is allowed to be of any specified form. Building on the work of Nakamura and his colleagues, we present a corrected score method for this setting. The method can handle all three major study designs (internal validation design, external validation design, and replicate measures design), both functional and structural error models, and time-dependent covariates satisfying a certain ‘localized error’ condition. We derive the asymptotic properties of the method and indicate how to adjust the covariance matrix of the regression coefficient estimates to account for estimation of the misclassification matrix. We present the results of a finite-sample simulation study under Weibull survival with a single binary covariate having known misclassification rates. The performance of the method described here was similar to that of related methods we have examined in previous works. Specifically, our new estimator performed as well as or, in a few cases, better than the full Weibull maximum likelihood estimator. We also present simulation results for our method for the case where the misclassification probabilities are estimated from an external replicate measures study. Our method generally performed well in these simulations. The new estimator has a broader range of applicability than many other estimators proposed in the literature, including those described in our own earlier work, in that it can handle time-dependent covariates with an arbitrary misclassification structure. We illustrate the method on data from a study of the relationship between dietary calcium intake and distal colon cancer. PMID:18219700

Multi-Target Angle Tracking Algorithm for Bistatic MIMO Radar Based on the Elements of the Covariance Matrix

PubMed Central

Zhang, Zhengyan; Zhang, Jianyun; Zhou, Qingsong; Li, Xiaobo

2018-01-01

In this paper, we consider the problem of tracking the direction of arrivals (DOA) and the direction of departure (DOD) of multiple targets for bistatic multiple-input multiple-output (MIMO) radar. A high-precision tracking algorithm for target angle is proposed. First, the linear relationship between the covariance matrix difference and the angle difference of the adjacent moment was obtained through three approximate relations. Then, the proposed algorithm obtained the relationship between the elements in the covariance matrix difference. On this basis, the performance of the algorithm was improved by averaging the covariance matrix element. Finally, the least square method was used to estimate the DOD and DOA. The algorithm realized the automatic correlation of the angle and provided better performance when compared with the adaptive asymmetric joint diagonalization (AAJD) algorithm. The simulation results demonstrated the effectiveness of the proposed algorithm. The algorithm provides the technical support for the practical application of MIMO radar. PMID:29518957

Multi-Target Angle Tracking Algorithm for Bistatic Multiple-Input Multiple-Output (MIMO) Radar Based on the Elements of the Covariance Matrix.

PubMed

Zhang, Zhengyan; Zhang, Jianyun; Zhou, Qingsong; Li, Xiaobo

2018-03-07

In this paper, we consider the problem of tracking the direction of arrivals (DOA) and the direction of departure (DOD) of multiple targets for bistatic multiple-input multiple-output (MIMO) radar. A high-precision tracking algorithm for target angle is proposed. First, the linear relationship between the covariance matrix difference and the angle difference of the adjacent moment was obtained through three approximate relations. Then, the proposed algorithm obtained the relationship between the elements in the covariance matrix difference. On this basis, the performance of the algorithm was improved by averaging the covariance matrix element. Finally, the least square method was used to estimate the DOD and DOA. The algorithm realized the automatic correlation of the angle and provided better performance when compared with the adaptive asymmetric joint diagonalization (AAJD) algorithm. The simulation results demonstrated the effectiveness of the proposed algorithm. The algorithm provides the technical support for the practical application of MIMO radar.

An Empirical State Error Covariance Matrix for Batch State Estimation

NASA Technical Reports Server (NTRS)

Frisbee, Joseph H., Jr.

2011-01-01

State estimation techniques serve effectively to provide mean state estimates. However, the state error covariance matrices provided as part of these techniques suffer from some degree of lack of confidence in their ability to adequately describe the uncertainty in the estimated states. A specific problem with the traditional form of state error covariance matrices is that they represent only a mapping of the assumed observation error characteristics into the state space. Any errors that arise from other sources (environment modeling, precision, etc.) are not directly represented in a traditional, theoretical state error covariance matrix. Consider that an actual observation contains only measurement error and that an estimated observation contains all other errors, known and unknown. It then follows that a measurement residual (the difference between expected and observed measurements) contains all errors for that measurement. Therefore, a direct and appropriate inclusion of the actual measurement residuals in the state error covariance matrix will result in an empirical state error covariance matrix. This empirical state error covariance matrix will fully account for the error in the state estimate. By way of a literal reinterpretation of the equations involved in the weighted least squares estimation algorithm, it is possible to arrive at an appropriate, and formally correct, empirical state error covariance matrix. The first specific step of the method is to use the average form of the weighted measurement residual variance performance index rather than its usual total weighted residual form. Next it is helpful to interpret the solution to the normal equations as the average of a collection of sample vectors drawn from a hypothetical parent population. From here, using a standard statistical analysis approach, it directly follows as to how to determine the standard empirical state error covariance matrix. This matrix will contain the total uncertainty in the state estimate, regardless as to the source of the uncertainty. Also, in its most straight forward form, the technique only requires supplemental calculations to be added to existing batch algorithms. The generation of this direct, empirical form of the state error covariance matrix is independent of the dimensionality of the observations. Mixed degrees of freedom for an observation set are allowed. As is the case with any simple, empirical sample variance problems, the presented approach offers an opportunity (at least in the case of weighted least squares) to investigate confidence interval estimates for the error covariance matrix elements. The diagonal or variance terms of the error covariance matrix have a particularly simple form to associate with either a multiple degree of freedom chi-square distribution (more approximate) or with a gamma distribution (less approximate). The off diagonal or covariance terms of the matrix are less clear in their statistical behavior. However, the off diagonal covariance matrix elements still lend themselves to standard confidence interval error analysis. The distributional forms associated with the off diagonal terms are more varied and, perhaps, more approximate than those associated with the diagonal terms. Using a simple weighted least squares sample problem, results obtained through use of the proposed technique are presented. The example consists of a simple, two observer, triangulation problem with range only measurements. Variations of this problem reflect an ideal case (perfect knowledge of the range errors) and a mismodeled case (incorrect knowledge of the range errors).

Coil-to-coil physiological noise correlations and their impact on fMRI time-series SNR

PubMed Central

Triantafyllou, C.; Polimeni, J. R.; Keil, B.; Wald, L. L.

2017-01-01

Purpose Physiological nuisance fluctuations (“physiological noise”) are a major contribution to the time-series Signal to Noise Ratio (tSNR) of functional imaging. While thermal noise correlations between array coil elements have a well-characterized effect on the image Signal to Noise Ratio (SNR0), the element-to-element covariance matrix of the time-series fluctuations has not yet been analyzed. We examine this effect with a goal of ultimately improving the combination of multichannel array data. Theory and Methods We extend the theoretical relationship between tSNR and SNR0 to include a time-series noise covariance matrix Ψt, distinct from the thermal noise covariance matrix Ψ0, and compare its structure to Ψ0 and the signal coupling matrix SSH formed from the signal intensity vectors S. Results Inclusion of the measured time-series noise covariance matrix into the model relating tSNR and SNR0 improves the fit of experimental multichannel data and is shown to be distinct from Ψ0 or SSH. Conclusion Time-series noise covariances in array coils are found to differ from Ψ0 and more surprisingly, from the signal coupling matrix SSH. Correct characterization of the time-series noise has implications for the analysis of time-series data and for improving the coil element combination process. PMID:26756964

Robust infrared targets tracking with covariance matrix representation

NASA Astrophysics Data System (ADS)

Cheng, Jian

2009-07-01

Robust infrared target tracking is an important and challenging research topic in many military and security applications, such as infrared imaging guidance, infrared reconnaissance, scene surveillance, etc. To effectively tackle the nonlinear and non-Gaussian state estimation problems, particle filtering is introduced to construct the theory framework of infrared target tracking. Under this framework, the observation probabilistic model is one of main factors for infrared targets tracking performance. In order to improve the tracking performance, covariance matrices are introduced to represent infrared targets with the multi-features. The observation probabilistic model can be constructed by computing the distance between the reference target's and the target samples' covariance matrix. Because the covariance matrix provides a natural tool for integrating multiple features, and is scale and illumination independent, target representation with covariance matrices can hold strong discriminating ability and robustness. Two experimental results demonstrate the proposed method is effective and robust for different infrared target tracking, such as the sensor ego-motion scene, and the sea-clutter scene.

LCMV beamforming for a novel wireless local positioning system: a stationarity analysis

NASA Astrophysics Data System (ADS)

Tong, Hui; Zekavat, Seyed A.

2005-05-01

In this paper, we discuss the implementation of Linear Constrained Minimum Variance (LCMV) beamforming (BF) for a novel Wireless Local Position System (WLPS). WLPS main components are: (a) a dynamic base station (DBS), and (b) a transponder (TRX), both mounted on mobiles. WLPS might be considered as a node in a Mobile Adhoc NETwork (MANET). Each TRX is assigned an identification (ID) code. DBS transmits periodic short bursts of energy which contains an ID request (IDR) signal. The TRX transmits back its ID code (a signal with a limited duration) to the DBS as soon as it detects the IDR signal. Hence, the DBS receives non-continuous signals transmitted by TRX. In this work, we assume asynchronous Direct-Sequence Code Division Multiple Access (DS-CDMA) transmission from the TRX with antenna array/LCMV BF mounted at the DBS, and we discuss the implementation of the observed signal covariance matrix for LCMV BF. In LCMV BF, the observed covariance matrix should be estimated. Usually sample covariance matrix (SCM) is used to estimate this covariance matrix assuming a stationary model for the observed data which is the case in many communication systems. However, due to the non-stationary behavior of the received signal in WLPS systems, SCM does not lead to a high WLPS performance compared to even a conventional beamformer. A modified covariance matrix estimation method which utilizes the cyclostationarity property of WLPS system is introduced as a solution to this problem. It is shown that this method leads to a significant improvement in the WLPS performance.

Random matrix theory filters in portfolio optimisation: A stability and risk assessment

NASA Astrophysics Data System (ADS)

Daly, J.; Crane, M.; Ruskin, H. J.

2008-07-01

Random matrix theory (RMT) filters, applied to covariance matrices of financial returns, have recently been shown to offer improvements to the optimisation of stock portfolios. This paper studies the effect of three RMT filters on the realised portfolio risk, and on the stability of the filtered covariance matrix, using bootstrap analysis and out-of-sample testing. We propose an extension to an existing RMT filter, (based on Krzanowski stability), which is observed to reduce risk and increase stability, when compared to other RMT filters tested. We also study a scheme for filtering the covariance matrix directly, as opposed to the standard method of filtering correlation, where the latter is found to lower the realised risk, on average, by up to 6.7%. We consider both equally and exponentially weighted covariance matrices in our analysis, and observe that the overall best method out-of-sample was that of the exponentially weighted covariance, with our Krzanowski stability-based filter applied to the correlation matrix. We also find that the optimal out-of-sample decay factors, for both filtered and unfiltered forecasts, were higher than those suggested by Riskmetrics [J.P. Morgan, Reuters, Riskmetrics technical document, Technical Report, 1996. http://www.riskmetrics.com/techdoc.html], with those for the latter approaching a value of α=1. In conclusion, RMT filtering reduced the realised risk, on average, and in the majority of cases when tested out-of-sample, but increased the realised risk on a marked number of individual days-in some cases more than doubling it.

Precision matrix expansion - efficient use of numerical simulations in estimating errors on cosmological parameters

NASA Astrophysics Data System (ADS)

Friedrich, Oliver; Eifler, Tim

2018-01-01

Computing the inverse covariance matrix (or precision matrix) of large data vectors is crucial in weak lensing (and multiprobe) analyses of the large-scale structure of the Universe. Analytically computed covariances are noise-free and hence straightforward to invert; however, the model approximations might be insufficient for the statistical precision of future cosmological data. Estimating covariances from numerical simulations improves on these approximations, but the sample covariance estimator is inherently noisy, which introduces uncertainties in the error bars on cosmological parameters and also additional scatter in their best-fitting values. For future surveys, reducing both effects to an acceptable level requires an unfeasibly large number of simulations. In this paper we describe a way to expand the precision matrix around a covariance model and show how to estimate the leading order terms of this expansion from simulations. This is especially powerful if the covariance matrix is the sum of two contributions, C = A+B, where A is well understood analytically and can be turned off in simulations (e.g. shape noise for cosmic shear) to yield a direct estimate of B. We test our method in mock experiments resembling tomographic weak lensing data vectors from the Dark Energy Survey (DES) and the Large Synoptic Survey Telescope (LSST). For DES we find that 400 N-body simulations are sufficient to achieve negligible statistical uncertainties on parameter constraints. For LSST this is achieved with 2400 simulations. The standard covariance estimator would require >105 simulations to reach a similar precision. We extend our analysis to a DES multiprobe case finding a similar performance.

Attitude determination using vector observations: A fast optimal matrix algorithm

NASA Technical Reports Server (NTRS)

Markley, F. Landis

1993-01-01

The attitude matrix minimizing Wahba's loss function is computed directly by a method that is competitive with the fastest known algorithm for finding this optimal estimate. The method also provides an estimate of the attitude error covariance matrix. Analysis of the special case of two vector observations identifies those cases for which the TRIAD or algebraic method minimizes Wahba's loss function.

Computation of transform domain covariance matrices

NASA Technical Reports Server (NTRS)

Fino, B. J.; Algazi, V. R.

1975-01-01

It is often of interest in applications to compute the covariance matrix of a random process transformed by a fast unitary transform. Here, the recursive definition of fast unitary transforms is used to derive recursive relations for the covariance matrices of the transformed process. These relations lead to fast methods of computation of covariance matrices and to substantial reductions of the number of arithmetic operations required.

Beamforming using subspace estimation from a diagonally averaged sample covariance.

PubMed

Quijano, Jorge E; Zurk, Lisa M

2017-08-01

The potential benefit of a large-aperture sonar array for high resolution target localization is often challenged by the lack of sufficient data required for adaptive beamforming. This paper introduces a Toeplitz-constrained estimator of the clairvoyant signal covariance matrix corresponding to multiple far-field targets embedded in background isotropic noise. The estimator is obtained by averaging along subdiagonals of the sample covariance matrix, followed by covariance extrapolation using the method of maximum entropy. The sample covariance is computed from limited data snapshots, a situation commonly encountered with large-aperture arrays in environments characterized by short periods of local stationarity. Eigenvectors computed from the Toeplitz-constrained covariance are used to construct signal-subspace projector matrices, which are shown to reduce background noise and improve detection of closely spaced targets when applied to subspace beamforming. Monte Carlo simulations corresponding to increasing array aperture suggest convergence of the proposed projector to the clairvoyant signal projector, thereby outperforming the classic projector obtained from the sample eigenvectors. Beamforming performance of the proposed method is analyzed using simulated data, as well as experimental data from the Shallow Water Array Performance experiment.

Efficient Storage Scheme of Covariance Matrix during Inverse Modeling

NASA Astrophysics Data System (ADS)

Mao, D.; Yeh, T. J.

2013-12-01

During stochastic inverse modeling, the covariance matrix of geostatistical based methods carries the information about the geologic structure. Its update during iterations reflects the decrease of uncertainty with the incorporation of observed data. For large scale problem, its storage and update cost too much memory and computational resources. In this study, we propose a new efficient storage scheme for storage and update. Compressed Sparse Column (CSC) format is utilized to storage the covariance matrix, and users can assign how many data they prefer to store based on correlation scales since the data beyond several correlation scales are usually not very informative for inverse modeling. After every iteration, only the diagonal terms of the covariance matrix are updated. The off diagonal terms are calculated and updated based on shortened correlation scales with a pre-assigned exponential model. The correlation scales are shortened by a coefficient, i.e. 0.95, every iteration to show the decrease of uncertainty. There is no universal coefficient for all the problems and users are encouraged to try several times. This new scheme is tested with 1D examples first. The estimated results and uncertainty are compared with the traditional full storage method. In the end, a large scale numerical model is utilized to validate this new scheme.

Evaluation of orbits with incomplete knowledge of the mathematical expectancy and the matrix of covariation of errors

NASA Technical Reports Server (NTRS)

Bakhshiyan, B. T.; Nazirov, R. R.; Elyasberg, P. E.

1980-01-01

The problem of selecting the optimal algorithm of filtration and the optimal composition of the measurements is examined assuming that the precise values of the mathematical expectancy and the matrix of covariation of errors are unknown. It is demonstrated that the optimal algorithm of filtration may be utilized for making some parameters more precise (for example, the parameters of the gravitational fields) after preliminary determination of the elements of the orbit by a simpler method of processing (for example, the method of least squares).

Efficient retrieval of landscape Hessian: Forced optimal covariance adaptive learning

NASA Astrophysics Data System (ADS)

Shir, Ofer M.; Roslund, Jonathan; Whitley, Darrell; Rabitz, Herschel

2014-06-01

Knowledge of the Hessian matrix at the landscape optimum of a controlled physical observable offers valuable information about the system robustness to control noise. The Hessian can also assist in physical landscape characterization, which is of particular interest in quantum system control experiments. The recently developed landscape theoretical analysis motivated the compilation of an automated method to learn the Hessian matrix about the global optimum without derivative measurements from noisy data. The current study introduces the forced optimal covariance adaptive learning (FOCAL) technique for this purpose. FOCAL relies on the covariance matrix adaptation evolution strategy (CMA-ES) that exploits covariance information amongst the control variables by means of principal component analysis. The FOCAL technique is designed to operate with experimental optimization, generally involving continuous high-dimensional search landscapes (≳30) with large Hessian condition numbers (≳104). This paper introduces the theoretical foundations of the inverse relationship between the covariance learned by the evolution strategy and the actual Hessian matrix of the landscape. FOCAL is presented and demonstrated to retrieve the Hessian matrix with high fidelity on both model landscapes and quantum control experiments, which are observed to possess nonseparable, nonquadratic search landscapes. The recovered Hessian forms were corroborated by physical knowledge of the systems. The implications of FOCAL extend beyond the investigated studies to potentially cover other physically motivated multivariate landscapes.

Covariance Matrix Evaluations for Independent Mass Fission Yields

DOE Office of Scientific and Technical Information (OSTI.GOV)

Terranova, N., E-mail: nicholas.terranova@unibo.it; Serot, O.; Archier, P.

2015-01-15

Recent needs for more accurate fission product yields include covariance information to allow improved uncertainty estimations of the parameters used by design codes. The aim of this work is to investigate the possibility to generate more reliable and complete uncertainty information on independent mass fission yields. Mass yields covariances are estimated through a convolution between the multi-Gaussian empirical model based on Brosa's fission modes, which describe the pre-neutron mass yields, and the average prompt neutron multiplicity curve. The covariance generation task has been approached using the Bayesian generalized least squared method through the CONRAD code. Preliminary results on mass yieldsmore » variance-covariance matrix will be presented and discussed from physical grounds in the case of {sup 235}U(n{sub th}, f) and {sup 239}Pu(n{sub th}, f) reactions.« less

A Generalized Method of Image Analysis from an Intercorrelation Matrix which May Be Singular.

ERIC Educational Resources Information Center

Yanai, Haruo; Mukherjee, Bishwa Nath

1987-01-01

This generalized image analysis method is applicable to singular and non-singular correlation matrices (CMs). Using the orthogonal projector and a weaker generalized inverse matrix, image and anti-image covariance matrices can be derived from a singular CM. (SLD)

A note on variance estimation in random effects meta-regression.

PubMed

Sidik, Kurex; Jonkman, Jeffrey N

2005-01-01

For random effects meta-regression inference, variance estimation for the parameter estimates is discussed. Because estimated weights are used for meta-regression analysis in practice, the assumed or estimated covariance matrix used in meta-regression is not strictly correct, due to possible errors in estimating the weights. Therefore, this note investigates the use of a robust variance estimation approach for obtaining variances of the parameter estimates in random effects meta-regression inference. This method treats the assumed covariance matrix of the effect measure variables as a working covariance matrix. Using an example of meta-analysis data from clinical trials of a vaccine, the robust variance estimation approach is illustrated in comparison with two other methods of variance estimation. A simulation study is presented, comparing the three methods of variance estimation in terms of bias and coverage probability. We find that, despite the seeming suitability of the robust estimator for random effects meta-regression, the improved variance estimator of Knapp and Hartung (2003) yields the best performance among the three estimators, and thus may provide the best protection against errors in the estimated weights.

Regularized matrix regression

PubMed Central

Zhou, Hua; Li, Lexin

2014-01-01

Summary Modern technologies are producing a wealth of data with complex structures. For instance, in two-dimensional digital imaging, flow cytometry and electroencephalography, matrix-type covariates frequently arise when measurements are obtained for each combination of two underlying variables. To address scientific questions arising from those data, new regression methods that take matrices as covariates are needed, and sparsity or other forms of regularization are crucial owing to the ultrahigh dimensionality and complex structure of the matrix data. The popular lasso and related regularization methods hinge on the sparsity of the true signal in terms of the number of its non-zero coefficients. However, for the matrix data, the true signal is often of, or can be well approximated by, a low rank structure. As such, the sparsity is frequently in the form of low rank of the matrix parameters, which may seriously violate the assumption of the classical lasso. We propose a class of regularized matrix regression methods based on spectral regularization. A highly efficient and scalable estimation algorithm is developed, and a degrees-of-freedom formula is derived to facilitate model selection along the regularization path. Superior performance of the method proposed is demonstrated on both synthetic and real examples. PMID:24648830

Estimation of Covariance Matrix on Bi-Response Longitudinal Data Analysis with Penalized Spline Regression

NASA Astrophysics Data System (ADS)

Islamiyati, A.; Fatmawati; Chamidah, N.

2018-03-01

The correlation assumption of the longitudinal data with bi-response occurs on the measurement between the subjects of observation and the response. It causes the auto-correlation of error, and this can be overcome by using a covariance matrix. In this article, we estimate the covariance matrix based on the penalized spline regression model. Penalized spline involves knot points and smoothing parameters simultaneously in controlling the smoothness of the curve. Based on our simulation study, the estimated regression model of the weighted penalized spline with covariance matrix gives a smaller error value compared to the error of the model without covariance matrix.

A matrix-based method of moments for fitting the multivariate random effects model for meta-analysis and meta-regression

PubMed Central

Jackson, Dan; White, Ian R; Riley, Richard D

2013-01-01

Multivariate meta-analysis is becoming more commonly used. Methods for fitting the multivariate random effects model include maximum likelihood, restricted maximum likelihood, Bayesian estimation and multivariate generalisations of the standard univariate method of moments. Here, we provide a new multivariate method of moments for estimating the between-study covariance matrix with the properties that (1) it allows for either complete or incomplete outcomes and (2) it allows for covariates through meta-regression. Further, for complete data, it is invariant to linear transformations. Our method reduces to the usual univariate method of moments, proposed by DerSimonian and Laird, in a single dimension. We illustrate our method and compare it with some of the alternatives using a simulation study and a real example. PMID:23401213

Error due to unresolved scales in estimation problems for atmospheric data assimilation

NASA Astrophysics Data System (ADS)

Janjic, Tijana

The error arising due to unresolved scales in data assimilation procedures is examined. The problem of estimating the projection of the state of a passive scalar undergoing advection at a sequence of times is considered. The projection belongs to a finite- dimensional function space and is defined on the continuum. Using the continuum projection of the state of a passive scalar, a mathematical definition is obtained for the error arising due to the presence, in the continuum system, of scales unresolved by the discrete dynamical model. This error affects the estimation procedure through point observations that include the unresolved scales. In this work, two approximate methods for taking into account the error due to unresolved scales and the resulting correlations are developed and employed in the estimation procedure. The resulting formulas resemble the Schmidt-Kalman filter and the usual discrete Kalman filter, respectively. For this reason, the newly developed filters are called the Schmidt-Kalman filter and the traditional filter. In order to test the assimilation methods, a two- dimensional advection model with nonstationary spectrum was developed for passive scalar transport in the atmosphere. An analytical solution on the sphere was found depicting the model dynamics evolution. Using this analytical solution the model error is avoided, and the error due to unresolved scales is the only error left in the estimation problem. It is demonstrated that the traditional and the Schmidt- Kalman filter work well provided the exact covariance function of the unresolved scales is known. However, this requirement is not satisfied in practice, and the covariance function must be modeled. The Schmidt-Kalman filter cannot be computed in practice without further approximations. Therefore, the traditional filter is better suited for practical use. Also, the traditional filter does not require modeling of the full covariance function of the unresolved scales, but only modeling of the covariance matrix obtained by evaluating the covariance function at the observation points. We first assumed that this covariance matrix is stationary and that the unresolved scales are not correlated between the observation points, i.e., the matrix is diagonal, and that the values along the diagonal are constant. Tests with these assumptions were unsuccessful, indicating that a more sophisticated model of the covariance is needed for assimilation of data with nonstationary spectrum. A new method for modeling the covariance matrix based on an extended set of modeling assumptions is proposed. First, it is assumed that the covariance matrix is diagonal, that is, that the unresolved scales are not correlated between the observation points. It is postulated that the values on the diagonal depend on a wavenumber that is characteristic for the unresolved part of the spectrum. It is further postulated that this characteristic wavenumber can be diagnosed from the observations and from the estimate of the projection of the state that is being estimated. It is demonstrated that the new method successfully overcomes previously encountered difficulties.

Statistical Analysis of Big Data on Pharmacogenomics

PubMed Central

Fan, Jianqing; Liu, Han

2013-01-01

This paper discusses statistical methods for estimating complex correlation structure from large pharmacogenomic datasets. We selectively review several prominent statistical methods for estimating large covariance matrix for understanding correlation structure, inverse covariance matrix for network modeling, large-scale simultaneous tests for selecting significantly differently expressed genes and proteins and genetic markers for complex diseases, and high dimensional variable selection for identifying important molecules for understanding molecule mechanisms in pharmacogenomics. Their applications to gene network estimation and biomarker selection are used to illustrate the methodological power. Several new challenges of Big data analysis, including complex data distribution, missing data, measurement error, spurious correlation, endogeneity, and the need for robust statistical methods, are also discussed. PMID:23602905

Constant covariance in local vertical coordinates for near-circular orbits

NASA Technical Reports Server (NTRS)

Shepperd, Stanley W.

1991-01-01

A method is presented for devising a covariance matrix that either remains constant or grows in keeping with the presence of a period error in a rotating local-vertical coordinate system. The solution presented may prove useful in the initialization of simulation covariance matrices for near-circular-orbit problems. Use is made of the Clohessy-Wiltshire equations and the travelling-ellipse formulation.

Robust adaptive multichannel SAR processing based on covariance matrix reconstruction

NASA Astrophysics Data System (ADS)

Tan, Zhen-ya; He, Feng

2018-04-01

With the combination of digital beamforming (DBF) processing, multichannel synthetic aperture radar(SAR) systems in azimuth promise well in high-resolution and wide-swath imaging, whereas conventional processing methods don't take the nonuniformity of scattering coefficient into consideration. This paper brings up a robust adaptive Multichannel SAR processing method which utilizes the Capon spatial spectrum estimator to obtain the spatial spectrum distribution over all ambiguous directions first, and then the interference-plus-noise covariance Matrix is reconstructed based on definition to acquire the Multichannel SAR processing filter. The performance of processing under nonuniform scattering coefficient is promoted by this novel method and it is robust again array errors. The experiments with real measured data demonstrate the effectiveness and robustness of the proposed method.

Analysis of Modified SMI Method for Adaptive Array Weight Control. M.S. Thesis

NASA Technical Reports Server (NTRS)

Dilsavor, Ronald Louis

1989-01-01

An adaptive array is used to receive a desired signal in the presence of weak interference signals which need to be suppressed. A modified sample matrix inversion (SMI) algorithm controls the array weights. The modification leads to increased interference suppression by subtracting a fraction of the noise power from the diagonal elements of the covariance matrix. The modified algorithm maximizes an intuitive power ratio criterion. The expected values and variances of the array weights, output powers, and power ratios as functions of the fraction and the number of snapshots are found and compared to computer simulation and real experimental array performance. Reduced-rank covariance approximations and errors in the estimated covariance are also described.

On the regularity of the covariance matrix of a discretized scalar field on the sphere

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bilbao-Ahedo, J.D.; Barreiro, R.B.; Herranz, D.

2017-02-01

We present a comprehensive study of the regularity of the covariance matrix of a discretized field on the sphere. In a particular situation, the rank of the matrix depends on the number of pixels, the number of spherical harmonics, the symmetries of the pixelization scheme and the presence of a mask. Taking into account the above mentioned components, we provide analytical expressions that constrain the rank of the matrix. They are obtained by expanding the determinant of the covariance matrix as a sum of determinants of matrices made up of spherical harmonics. We investigate these constraints for five different pixelizationsmore » that have been used in the context of Cosmic Microwave Background (CMB) data analysis: Cube, Icosahedron, Igloo, GLESP and HEALPix, finding that, at least in the considered cases, the HEALPix pixelization tends to provide a covariance matrix with a rank closer to the maximum expected theoretical value than the other pixelizations. The effect of the propagation of numerical errors in the regularity of the covariance matrix is also studied for different computational precisions, as well as the effect of adding a certain level of noise in order to regularize the matrix. In addition, we investigate the application of the previous results to a particular example that requires the inversion of the covariance matrix: the estimation of the CMB temperature power spectrum through the Quadratic Maximum Likelihood algorithm. Finally, some general considerations in order to achieve a regular covariance matrix are also presented.« less

Bayesian hierarchical model for large-scale covariance matrix estimation.

PubMed

Zhu, Dongxiao; Hero, Alfred O

2007-12-01

Many bioinformatics problems implicitly depend on estimating large-scale covariance matrix. The traditional approaches tend to give rise to high variance and low accuracy due to "overfitting." We cast the large-scale covariance matrix estimation problem into the Bayesian hierarchical model framework, and introduce dependency between covariance parameters. We demonstrate the advantages of our approaches over the traditional approaches using simulations and OMICS data analysis.

Application of Improved 5th-Cubature Kalman Filter in Initial Strapdown Inertial Navigation System Alignment for Large Misalignment Angles.

PubMed

Wang, Wei; Chen, Xiyuan

2018-02-23

In view of the fact the accuracy of the third-degree Cubature Kalman Filter (CKF) used for initial alignment under large misalignment angle conditions is insufficient, an improved fifth-degree CKF algorithm is proposed in this paper. In order to make full use of the innovation on filtering, the innovation covariance matrix is calculated recursively by an innovative sequence with an exponent fading factor. Then a new adaptive error covariance matrix scaling algorithm is proposed. The Singular Value Decomposition (SVD) method is used for improving the numerical stability of the fifth-degree CKF in this paper. In order to avoid the overshoot caused by excessive scaling of error covariance matrix during the convergence stage, the scaling scheme is terminated when the gradient of azimuth reaches the maximum. The experimental results show that the improved algorithm has better alignment accuracy with large misalignment angles than the traditional algorithm.

Output-Feedback Control of Unknown Linear Discrete-Time Systems With Stochastic Measurement and Process Noise via Approximate Dynamic Programming.

PubMed

Wang, Jun-Sheng; Yang, Guang-Hong

2017-07-25

This paper studies the optimal output-feedback control problem for unknown linear discrete-time systems with stochastic measurement and process noise. A dithered Bellman equation with the innovation covariance matrix is constructed via the expectation operator given in the form of a finite summation. On this basis, an output-feedback-based approximate dynamic programming method is developed, where the terms depending on the innovation covariance matrix are available with the aid of the innovation covariance matrix identified beforehand. Therefore, by iterating the Bellman equation, the resulting value function can converge to the optimal one in the presence of the aforementioned noise, and the nearly optimal control laws are delivered. To show the effectiveness and the advantages of the proposed approach, a simulation example and a velocity control experiment on a dc machine are employed.

Convergence of the standard RLS method and UDUT factorisation of covariance matrix for solving the algebraic Riccati equation of the DLQR via heuristic approximate dynamic programming

NASA Astrophysics Data System (ADS)

Moraes Rêgo, Patrícia Helena; Viana da Fonseca Neto, João; Ferreira, Ernesto M.

2015-08-01

The main focus of this article is to present a proposal to solve, via UDUT factorisation, the convergence and numerical stability problems that are related to the covariance matrix ill-conditioning of the recursive least squares (RLS) approach for online approximations of the algebraic Riccati equation (ARE) solution associated with the discrete linear quadratic regulator (DLQR) problem formulated in the actor-critic reinforcement learning and approximate dynamic programming context. The parameterisations of the Bellman equation, utility function and dynamic system as well as the algebra of Kronecker product assemble a framework for the solution of the DLQR problem. The condition number and the positivity parameter of the covariance matrix are associated with statistical metrics for evaluating the approximation performance of the ARE solution via RLS-based estimators. The performance of RLS approximators is also evaluated in terms of consistence and polarisation when associated with reinforcement learning methods. The used methodology contemplates realisations of online designs for DLQR controllers that is evaluated in a multivariable dynamic system model.

Variations of cosmic large-scale structure covariance matrices across parameter space

NASA Astrophysics Data System (ADS)

Reischke, Robert; Kiessling, Alina; Schäfer, Björn Malte

2017-03-01

The likelihood function for cosmological parameters, given by e.g. weak lensing shear measurements, depends on contributions to the covariance induced by the non-linear evolution of the cosmic web. As highly non-linear clustering to date has only been described by numerical N-body simulations in a reliable and sufficiently precise way, the necessary computational costs for estimating those covariances at different points in parameter space are tremendous. In this work, we describe the change of the matter covariance and the weak lensing covariance matrix as a function of cosmological parameters by constructing a suitable basis, where we model the contribution to the covariance from non-linear structure formation using Eulerian perturbation theory at third order. We show that our formalism is capable of dealing with large matrices and reproduces expected degeneracies and scaling with cosmological parameters in a reliable way. Comparing our analytical results to numerical simulations, we find that the method describes the variation of the covariance matrix found in the SUNGLASS weak lensing simulation pipeline within the errors at one-loop and tree-level for the spectrum and the trispectrum, respectively, for multipoles up to ℓ ≤ 1300. We show that it is possible to optimize the sampling of parameter space where numerical simulations should be carried out by minimizing interpolation errors and propose a corresponding method to distribute points in parameter space in an economical way.

Dimension from covariance matrices.

PubMed

Carroll, T L; Byers, J M

2017-02-01

We describe a method to estimate embedding dimension from a time series. This method includes an estimate of the probability that the dimension estimate is valid. Such validity estimates are not common in algorithms for calculating the properties of dynamical systems. The algorithm described here compares the eigenvalues of covariance matrices created from an embedded signal to the eigenvalues for a covariance matrix of a Gaussian random process with the same dimension and number of points. A statistical test gives the probability that the eigenvalues for the embedded signal did not come from the Gaussian random process.

Robust covariance estimation of galaxy-galaxy weak lensing: validation and limitation of jackknife covariance

NASA Astrophysics Data System (ADS)

Shirasaki, Masato; Takada, Masahiro; Miyatake, Hironao; Takahashi, Ryuichi; Hamana, Takashi; Nishimichi, Takahiro; Murata, Ryoma

2017-09-01

We develop a method to simulate galaxy-galaxy weak lensing by utilizing all-sky, light-cone simulations and their inherent halo catalogues. Using the mock catalogue to study the error covariance matrix of galaxy-galaxy weak lensing, we compare the full covariance with the 'jackknife' (JK) covariance, the method often used in the literature that estimates the covariance from the resamples of the data itself. We show that there exists the variation of JK covariance over realizations of mock lensing measurements, while the average JK covariance over mocks can give a reasonably accurate estimation of the true covariance up to separations comparable with the size of JK subregion. The scatter in JK covariances is found to be ∼10 per cent after we subtract the lensing measurement around random points. However, the JK method tends to underestimate the covariance at the larger separations, more increasingly for a survey with a higher number density of source galaxies. We apply our method to the Sloan Digital Sky Survey (SDSS) data, and show that the 48 mock SDSS catalogues nicely reproduce the signals and the JK covariance measured from the real data. We then argue that the use of the accurate covariance, compared to the JK covariance, allows us to use the lensing signals at large scales beyond a size of the JK subregion, which contains cleaner cosmological information in the linear regime.

Bayesian operational modal analysis with asynchronous data, Part II: Posterior uncertainty

NASA Astrophysics Data System (ADS)

Zhu, Yi-Chen; Au, Siu-Kui

2018-01-01

A Bayesian modal identification method has been proposed in the companion paper that allows the most probable values of modal parameters to be determined using asynchronous ambient vibration data. This paper investigates the identification uncertainty of modal parameters in terms of their posterior covariance matrix. Computational issues are addressed. Analytical expressions are derived to allow the posterior covariance matrix to be evaluated accurately and efficiently. Synthetic, laboratory and field data examples are presented to verify the consistency, investigate potential modelling error and demonstrate practical applications.

Detecting Seismic Activity with a Covariance Matrix Analysis of Data Recorded on Seismic Arrays

NASA Astrophysics Data System (ADS)

Seydoux, L.; Shapiro, N.; de Rosny, J.; Brenguier, F.

2014-12-01

Modern seismic networks are recording the ground motion continuously all around the word, with very broadband and high-sensitivity sensors. The aim of our study is to apply statistical array-based approaches to processing of these records. We use the methods mainly brought from the random matrix theory in order to give a statistical description of seismic wavefields recorded at the Earth's surface. We estimate the array covariance matrix and explore the distribution of its eigenvalues that contains information about the coherency of the sources that generated the studied wavefields. With this approach, we can make distinctions between the signals generated by isolated deterministic sources and the "random" ambient noise. We design an algorithm that uses the distribution of the array covariance matrix eigenvalues to detect signals corresponding to coherent seismic events. We investigate the detection capacity of our methods at different scales and in different frequency ranges by applying it to the records of two networks: (1) the seismic monitoring network operating on the Piton de la Fournaise volcano at La Réunion island composed of 21 receivers and with an aperture of ~15 km, and (2) the transportable component of the USArray composed of ~400 receivers with ~70 km inter-station spacing.

Fully Anisotropic Rotational Diffusion Tensor from Molecular Dynamics Simulations.

PubMed

Linke, Max; Köfinger, Jürgen; Hummer, Gerhard

2018-05-31

We present a method to calculate the fully anisotropic rotational diffusion tensor from molecular dynamics simulations. Our approach is based on fitting the time-dependent covariance matrix of the quaternions that describe the rigid-body rotational dynamics. Explicit analytical expressions have been derived for the covariances by Favro, which are valid irrespective of the degree of anisotropy. We use these expressions to determine an optimal rotational diffusion tensor from trajectory data. The molecular structures are aligned against a reference by optimal rigid-body superposition. The quaternion covariances can then be obtained directly from the rotation matrices used in the alignment. The rotational diffusion tensor is determined by a fit to the time-dependent quaternion covariances, or directly by Laplace transformation and matrix diagonalization. To quantify uncertainties in the fit, we derive analytical expressions and compare them with the results of Brownian dynamics simulations of anisotropic rotational diffusion. We apply the method to microsecond long trajectories of the Dickerson-Drew B-DNA dodecamer and of horse heart myoglobin. The anisotropic rotational diffusion tensors calculated from simulations agree well with predictions from hydrodynamics.

A three domain covariance framework for EEG/MEG data.

PubMed

Roś, Beata P; Bijma, Fetsje; de Gunst, Mathisca C M; de Munck, Jan C

2015-10-01

In this paper we introduce a covariance framework for the analysis of single subject EEG and MEG data that takes into account observed temporal stationarity on small time scales and trial-to-trial variations. We formulate a model for the covariance matrix, which is a Kronecker product of three components that correspond to space, time and epochs/trials, and consider maximum likelihood estimation of the unknown parameter values. An iterative algorithm that finds approximations of the maximum likelihood estimates is proposed. Our covariance model is applicable in a variety of cases where spontaneous EEG or MEG acts as source of noise and realistic noise covariance estimates are needed, such as in evoked activity studies, or where the properties of spontaneous EEG or MEG are themselves the topic of interest, like in combined EEG-fMRI experiments in which the correlation between EEG and fMRI signals is investigated. We use a simulation study to assess the performance of the estimator and investigate the influence of different assumptions about the covariance factors on the estimated covariance matrix and on its components. We apply our method to real EEG and MEG data sets. Copyright © 2015 Elsevier Inc. All rights reserved.

Improvement of structural models using covariance analysis and nonlinear generalized least squares

NASA Technical Reports Server (NTRS)

Glaser, R. J.; Kuo, C. P.; Wada, B. K.

1992-01-01

The next generation of large, flexible space structures will be too light to support their own weight, requiring a system of structural supports for ground testing. The authors have proposed multiple boundary-condition testing (MBCT), using more than one support condition to reduce uncertainties associated with the supports. MBCT would revise the mass and stiffness matrix, analytically qualifying the structure for operation in space. The same procedure is applicable to other common test conditions, such as empty/loaded tanks and subsystem/system level tests. This paper examines three techniques for constructing the covariance matrix required by nonlinear generalized least squares (NGLS) to update structural models based on modal test data. The methods range from a complicated approach used to generate the simulation data (i.e., the correct answer) to a diagonal matrix based on only two constants. The results show that NGLS is very insensitive to assumptions about the covariance matrix, suggesting that a workable NGLS procedure is possible. The examples also indicate that the multiple boundary condition procedure more accurately reduces errors than individual boundary condition tests alone.

The Performance Analysis Based on SAR Sample Covariance Matrix

PubMed Central

Erten, Esra

2012-01-01

Multi-channel systems appear in several fields of application in science. In the Synthetic Aperture Radar (SAR) context, multi-channel systems may refer to different domains, as multi-polarization, multi-interferometric or multi-temporal data, or even a combination of them. Due to the inherent speckle phenomenon present in SAR images, the statistical description of the data is almost mandatory for its utilization. The complex images acquired over natural media present in general zero-mean circular Gaussian characteristics. In this case, second order statistics as the multi-channel covariance matrix fully describe the data. For practical situations however, the covariance matrix has to be estimated using a limited number of samples, and this sample covariance matrix follow the complex Wishart distribution. In this context, the eigendecomposition of the multi-channel covariance matrix has been shown in different areas of high relevance regarding the physical properties of the imaged scene. Specifically, the maximum eigenvalue of the covariance matrix has been frequently used in different applications as target or change detection, estimation of the dominant scattering mechanism in polarimetric data, moving target indication, etc. In this paper, the statistical behavior of the maximum eigenvalue derived from the eigendecomposition of the sample multi-channel covariance matrix in terms of multi-channel SAR images is simplified for SAR community. Validation is performed against simulated data and examples of estimation and detection problems using the analytical expressions are as well given. PMID:22736976

The TileCal Online Energy Estimation for the Next LHC Operation Period

NASA Astrophysics Data System (ADS)

Sotto-Maior Peralva, B.; ATLAS Collaboration

2015-05-01

The ATLAS Tile Calorimeter (TileCal) is the detector used in the reconstruction of hadrons, jets and missing transverse energy from the proton-proton collisions at the Large Hadron Collider (LHC). It covers the central part of the ATLAS detector (|η| < 1.6). The energy deposited by the particles is read out by approximately 5,000 cells, with double readout channels. The signal provided by the readout electronics for each channel is digitized at 40 MHz and its amplitude is estimated by an optimal filtering algorithm, which expects a single signal with a well-defined shape. However, the LHC luminosity is expected to increase leading to pile-up that deforms the signal of interest. Due to limited resources, the current hardware setup, which is based on Digital Signal Processors (DSP), does not allow the implementation of sophisticated energy estimation methods that deal with the pile-up. Therefore, the technique to be employed for online energy estimation in TileCal for next LHC operation period must be based on fast filters such as the Optimal Filter (OF) and the Matched Filter (MF). Both the OF and MF methods envisage the use of the background second order statistics in its design, more precisely the covariance matrix. However, the identity matrix has been used to describe this quantity. Although this approximation can be valid for low luminosity LHC, it leads to biased estimators under pile- up conditions. Since most of the TileCal cell present low occupancy, the pile-up, which is often modeled by a non-Gaussian distribution, can be seen as outlier events. Consequently, the classical covariance matrix estimation does not describe correctly the second order statistics of the background for the majority of the events, as this approach is very sensitive to outliers. As a result, the OF (or MF) coefficients are miscalculated leading to a larger variance and biased energy estimator. This work evaluates the usage of a robust covariance estimator, namely the Minimum Covariance Determinant (MCD) algorithm, to be applied in the OF design. The goal of the MCD estimator is to find a number of observations whose classical covariance matrix has the lowest determinant. Hence, this procedure avoids taking into account low likelihood events to describe the background. It is worth mentioning that the background covariance matrix as well as the OF coefficients for each TileCal channel are computed offline and stored for both online and offline use. In order to evaluate the impact of the MCD estimator on the performance of the OF, simulated data sets were used. Different average numbers of interactions per bunch crossing and bunch spacings were tested. The results show that the estimation of the background covariance matrix through MCD improves significantly the final energy resolution with respect to the identity matrix which is currently used. Particularly, for high occupancy cells, the final energy resolution is improved by more than 20%. Moreover, the use of the classical covariance matrix degrades the energy resolution for the majority of TileCal cells.

Empirical State Error Covariance Matrix for Batch Estimation

NASA Technical Reports Server (NTRS)

Frisbee, Joe

2015-01-01

State estimation techniques effectively provide mean state estimates. However, the theoretical state error covariance matrices provided as part of these techniques often suffer from a lack of confidence in their ability to describe the uncertainty in the estimated states. By a reinterpretation of the equations involved in the weighted batch least squares algorithm, it is possible to directly arrive at an empirical state error covariance matrix. The proposed empirical state error covariance matrix will contain the effect of all error sources, known or not. This empirical error covariance matrix may be calculated as a side computation for each unique batch solution. Results based on the proposed technique will be presented for a simple, two observer and measurement error only problem.

Transurethral Ultrasound Diffraction Tomography

DTIC Science & Technology

2007-03-01

the covariance matrix was derived. The covariance reduced to that of the X- ray CT under the assumptions of linear operator and real data.[5] The...the covariance matrix in the linear x- ray computed tomography is a special case of the inverse scattering matrix derived in this paper. The matrix was...is derived in Sec. IV, and its relation to that of the linear x- ray computed tomography appears in Sec. V. In Sec. VI, the inverse scattering

Strategies for reducing large fMRI data sets for independent component analysis.

PubMed

Wang, Ze; Wang, Jiongjiong; Calhoun, Vince; Rao, Hengyi; Detre, John A; Childress, Anna R

2006-06-01

In independent component analysis (ICA), principal component analysis (PCA) is generally used to reduce the raw data to a few principal components (PCs) through eigenvector decomposition (EVD) on the data covariance matrix. Although this works for spatial ICA (sICA) on moderately sized fMRI data, it is intractable for temporal ICA (tICA), since typical fMRI data have a high spatial dimension, resulting in an unmanageable data covariance matrix. To solve this problem, two practical data reduction methods are presented in this paper. The first solution is to calculate the PCs of tICA from the PCs of sICA. This approach works well for moderately sized fMRI data; however, it is highly computationally intensive, even intractable, when the number of scans increases. The second solution proposed is to perform PCA decomposition via a cascade recursive least squared (CRLS) network, which provides a uniform data reduction solution for both sICA and tICA. Without the need to calculate the covariance matrix, CRLS extracts PCs directly from the raw data, and the PC extraction can be terminated after computing an arbitrary number of PCs without the need to estimate the whole set of PCs. Moreover, when the whole data set becomes too large to be loaded into the machine memory, CRLS-PCA can save data retrieval time by reading the data once, while the conventional PCA requires numerous data retrieval steps for both covariance matrix calculation and PC extractions. Real fMRI data were used to evaluate the PC extraction precision, computational expense, and memory usage of the presented methods.

Massive data compression for parameter-dependent covariance matrices

NASA Astrophysics Data System (ADS)

Heavens, Alan F.; Sellentin, Elena; de Mijolla, Damien; Vianello, Alvise

2017-12-01

We show how the massive data compression algorithm MOPED can be used to reduce, by orders of magnitude, the number of simulated data sets which are required to estimate the covariance matrix required for the analysis of Gaussian-distributed data. This is relevant when the covariance matrix cannot be calculated directly. The compression is especially valuable when the covariance matrix varies with the model parameters. In this case, it may be prohibitively expensive to run enough simulations to estimate the full covariance matrix throughout the parameter space. This compression may be particularly valuable for the next generation of weak lensing surveys, such as proposed for Euclid and Large Synoptic Survey Telescope, for which the number of summary data (such as band power or shear correlation estimates) is very large, ∼104, due to the large number of tomographic redshift bins which the data will be divided into. In the pessimistic case where the covariance matrix is estimated separately for all points in an Monte Carlo Markov Chain analysis, this may require an unfeasible 109 simulations. We show here that MOPED can reduce this number by a factor of 1000, or a factor of ∼106 if some regularity in the covariance matrix is assumed, reducing the number of simulations required to a manageable 103, making an otherwise intractable analysis feasible.

SAR Polarimetry

NASA Technical Reports Server (NTRS)

vanZyl, Jakob J.

2012-01-01

Radar Scattering includes: Surface Characteristics, Geometric Properties, Dielectric Properties, Rough Surface Scattering, Geometrical Optics and Small Perturbation Method Solutions, Integral Equation Method, Magellan Image of Pancake Domes on Venus, Dickinson Impact Crater on Venus (Magellan), Lakes on Titan (Cassini Radar, Longitudinal Dunes on Titan (Cassini Radar), Rough Surface Scattering: Effect of Dielectric Constant, Vegetation Scattering, Effect of Soil Moisture. Polarimetric Radar includes: Principles of Polarimetry: Field Descriptions, Wave Polarizations: Geometrical Representations, Definition of Ellipse Orientation Angles, Scatter as Polarization Transformer, Scattering Matrix, Coordinate Systems, Scattering Matrix, Covariance Matrix, Pauli Basis and Coherency Matrix, Polarization Synthesis, Polarimeter Implementation.

Uncertainty quantification in (α,n) neutron source calculations for an oxide matrix

DOE PAGES

Pigni, M. T.; Croft, S.; Gauld, I. C.

2016-04-25

Here we present a methodology to propagate nuclear data covariance information in neutron source calculations from (α,n) reactions. The approach is applied to estimate the uncertainty in the neutron generation rates for uranium oxide fuel types due to uncertainties on 1) 17,18O( α,n) reaction cross sections and 2) uranium and oxygen stopping power cross sections. The procedure to generate reaction cross section covariance information is based on the Bayesian fitting method implemented in the R-matrix SAMMY code. The evaluation methodology uses the Reich-Moore approximation to fit the 17,18O(α,n) reaction cross-sections in order to derive a set of resonance parameters andmore » a related covariance matrix that is then used to calculate the energydependent cross section covariance matrix. The stopping power cross sections and related covariance information for uranium and oxygen were obtained by the fit of stopping power data in the -energy range of 1 keV up to 12 MeV. Cross section perturbation factors based on the covariance information relative to the evaluated 17,18O( α,n) reaction cross sections, as well as uranium and oxygen stopping power cross sections, were used to generate a varied set of nuclear data libraries used in SOURCES4C and ORIGEN for inventory and source term calculations. The set of randomly perturbed output (α,n) source responses, provide the mean values and standard deviations of the calculated responses reflecting the uncertainties in nuclear data used in the calculations. Lastly, the results and related uncertainties are compared with experiment thick target (α,n) yields for uranium oxide.« less

Application of Improved 5th-Cubature Kalman Filter in Initial Strapdown Inertial Navigation System Alignment for Large Misalignment Angles

PubMed Central

Wang, Wei; Chen, Xiyuan

2018-01-01

In view of the fact the accuracy of the third-degree Cubature Kalman Filter (CKF) used for initial alignment under large misalignment angle conditions is insufficient, an improved fifth-degree CKF algorithm is proposed in this paper. In order to make full use of the innovation on filtering, the innovation covariance matrix is calculated recursively by an innovative sequence with an exponent fading factor. Then a new adaptive error covariance matrix scaling algorithm is proposed. The Singular Value Decomposition (SVD) method is used for improving the numerical stability of the fifth-degree CKF in this paper. In order to avoid the overshoot caused by excessive scaling of error covariance matrix during the convergence stage, the scaling scheme is terminated when the gradient of azimuth reaches the maximum. The experimental results show that the improved algorithm has better alignment accuracy with large misalignment angles than the traditional algorithm. PMID:29473912

Low-rank matrix decomposition and spatio-temporal sparse recovery for STAP radar

DOE PAGES

Sen, Satyabrata

2015-08-04

We develop space-time adaptive processing (STAP) methods by leveraging the advantages of sparse signal processing techniques in order to detect a slowly-moving target. We observe that the inherent sparse characteristics of a STAP problem can be formulated as the low-rankness of clutter covariance matrix when compared to the total adaptive degrees-of-freedom, and also as the sparse interference spectrum on the spatio-temporal domain. By exploiting these sparse properties, we propose two approaches for estimating the interference covariance matrix. In the first approach, we consider a constrained matrix rank minimization problem (RMP) to decompose the sample covariance matrix into a low-rank positivemore » semidefinite and a diagonal matrix. The solution of RMP is obtained by applying the trace minimization technique and the singular value decomposition with matrix shrinkage operator. Our second approach deals with the atomic norm minimization problem to recover the clutter response-vector that has a sparse support on the spatio-temporal plane. We use convex relaxation based standard sparse-recovery techniques to find the solutions. With extensive numerical examples, we demonstrate the performances of proposed STAP approaches with respect to both the ideal and practical scenarios, involving Doppler-ambiguous clutter ridges, spatial and temporal decorrelation effects. As a result, the low-rank matrix decomposition based solution requires secondary measurements as many as twice the clutter rank to attain a near-ideal STAP performance; whereas the spatio-temporal sparsity based approach needs a considerably small number of secondary data.« less

EXACT DISTRIBUTIONS OF INTRACLASS CORRELATION AND CRONBACH'S ALPHA WITH GAUSSIAN DATA AND GENERAL COVARIANCE.

PubMed

Kistner, Emily O; Muller, Keith E

2004-09-01

Intraclass correlation and Cronbach's alpha are widely used to describe reliability of tests and measurements. Even with Gaussian data, exact distributions are known only for compound symmetric covariance (equal variances and equal correlations). Recently, large sample Gaussian approximations were derived for the distribution functions. New exact results allow calculating the exact distribution function and other properties of intraclass correlation and Cronbach's alpha, for Gaussian data with any covariance pattern, not just compound symmetry. Probabilities are computed in terms of the distribution function of a weighted sum of independent chi-square random variables. New F approximations for the distribution functions of intraclass correlation and Cronbach's alpha are much simpler and faster to compute than the exact forms. Assuming the covariance matrix is known, the approximations typically provide sufficient accuracy, even with as few as ten observations. Either the exact or approximate distributions may be used to create confidence intervals around an estimate of reliability. Monte Carlo simulations led to a number of conclusions. Correctly assuming that the covariance matrix is compound symmetric leads to accurate confidence intervals, as was expected from previously known results. However, assuming and estimating a general covariance matrix produces somewhat optimistically narrow confidence intervals with 10 observations. Increasing sample size to 100 gives essentially unbiased coverage. Incorrectly assuming compound symmetry leads to pessimistically large confidence intervals, with pessimism increasing with sample size. In contrast, incorrectly assuming general covariance introduces only a modest optimistic bias in small samples. Hence the new methods seem preferable for creating confidence intervals, except when compound symmetry definitely holds.

Eigenvalue-eigenvector decomposition (EED) analysis of dissimilarity and covariance matrix obtained from total synchronous fluorescence spectral (TSFS) data sets of herbal preparations: Optimizing the classification approach

NASA Astrophysics Data System (ADS)

Tarai, Madhumita; Kumar, Keshav; Divya, O.; Bairi, Partha; Mishra, Kishor Kumar; Mishra, Ashok Kumar

2017-09-01

The present work compares the dissimilarity and covariance based unsupervised chemometric classification approaches by taking the total synchronous fluorescence spectroscopy data sets acquired for the cumin and non-cumin based herbal preparations. The conventional decomposition method involves eigenvalue-eigenvector analysis of the covariance of the data set and finds the factors that can explain the overall major sources of variation present in the data set. The conventional approach does this irrespective of the fact that the samples belong to intrinsically different groups and hence leads to poor class separation. The present work shows that classification of such samples can be optimized by performing the eigenvalue-eigenvector decomposition on the pair-wise dissimilarity matrix.

Research and Analysis on the Localization of a 3-D Single Source in Lossy Medium Using Uniform Circular Array

PubMed Central

Xue, Bing; Qu, Xiaodong; Fang, Guangyou; Ji, Yicai

2017-01-01

In this paper, the methods and analysis for estimating the location of a three-dimensional (3-D) single source buried in lossy medium are presented with uniform circular array (UCA). The mathematical model of the signal in the lossy medium is proposed. Using information in the covariance matrix obtained by the sensors’ outputs, equations of the source location (azimuth angle, elevation angle, and range) are obtained. Then, the phase and amplitude of the covariance matrix function are used to process the source localization in the lossy medium. By analyzing the characteristics of the proposed methods and the multiple signal classification (MUSIC) method, the computational complexity and the valid scope of these methods are given. From the results, whether the loss is known or not, we can choose the best method for processing the issues (localization in lossless medium or lossy medium). PMID:28574467

Covariance specification and estimation to improve top-down Green House Gas emission estimates

NASA Astrophysics Data System (ADS)

Ghosh, S.; Lopez-Coto, I.; Prasad, K.; Whetstone, J. R.

2015-12-01

The National Institute of Standards and Technology (NIST) operates the North-East Corridor (NEC) project and the Indianapolis Flux Experiment (INFLUX) in order to develop measurement methods to quantify sources of Greenhouse Gas (GHG) emissions as well as their uncertainties in urban domains using a top down inversion method. Top down inversion updates prior knowledge using observations in a Bayesian way. One primary consideration in a Bayesian inversion framework is the covariance structure of (1) the emission prior residuals and (2) the observation residuals (i.e. the difference between observations and model predicted observations). These covariance matrices are respectively referred to as the prior covariance matrix and the model-data mismatch covariance matrix. It is known that the choice of these covariances can have large effect on estimates. The main objective of this work is to determine the impact of different covariance models on inversion estimates and their associated uncertainties in urban domains. We use a pseudo-data Bayesian inversion framework using footprints (i.e. sensitivities of tower measurements of GHGs to surface emissions) and emission priors (based on Hestia project to quantify fossil-fuel emissions) to estimate posterior emissions using different covariance schemes. The posterior emission estimates and uncertainties are compared to the hypothetical truth. We find that, if we correctly specify spatial variability and spatio-temporal variability in prior and model-data mismatch covariances respectively, then we can compute more accurate posterior estimates. We discuss few covariance models to introduce space-time interacting mismatches along with estimation of the involved parameters. We then compare several candidate prior spatial covariance models from the Matern covariance class and estimate their parameters with specified mismatches. We find that best-fitted prior covariances are not always best in recovering the truth. To achieve accuracy, we perform a sensitivity study to further tune covariance parameters. Finally, we introduce a shrinkage based sample covariance estimation technique for both prior and mismatch covariances. This technique allows us to achieve similar accuracy nonparametrically in a more efficient and automated way.

A special form of SPD covariance matrix for interpretation and visualization of data manipulated with Riemannian geometry

NASA Astrophysics Data System (ADS)

Congedo, Marco; Barachant, Alexandre

2015-01-01

Currently the Riemannian geometry of symmetric positive definite (SPD) matrices is gaining momentum as a powerful tool in a wide range of engineering applications such as image, radar and biomedical data signal processing. If the data is not natively represented in the form of SPD matrices, typically we may summarize them in such form by estimating covariance matrices of the data. However once we manipulate such covariance matrices on the Riemannian manifold we lose the representation in the original data space. For instance, we can evaluate the geometric mean of a set of covariance matrices, but not the geometric mean of the data generating the covariance matrices, the space of interest in which the geometric mean can be interpreted. As a consequence, Riemannian information geometry is often perceived by non-experts as a "black-box" tool and this perception prevents a wider adoption in the scientific community. Hereby we show that we can overcome this limitation by constructing a special form of SPD matrix embedding both the covariance structure of the data and the data itself. Incidentally, whenever the original data can be represented in the form of a generic data matrix (not even square), this special SPD matrix enables an exhaustive and unique description of the data up to second-order statistics. This is achieved embedding the covariance structure of both the rows and columns of the data matrix, allowing naturally a wide range of possible applications and bringing us over and above just an interpretability issue. We demonstrate the method by manipulating satellite images (pansharpening) and event-related potentials (ERPs) of an electroencephalography brain-computer interface (BCI) study. The first example illustrates the effect of moving along geodesics in the original data space and the second provides a novel estimation of ERP average (geometric mean), showing that, in contrast to the usual arithmetic mean, this estimation is robust to outliers. In conclusion, we are able to show that the Riemannian concepts of distance, geometric mean, moving along a geodesic, etc. can be readily transposed into a generic data space, whatever this data space represents.

Triangular covariance factorizations for. Ph.D. Thesis. - Calif. Univ.

NASA Technical Reports Server (NTRS)

Thornton, C. L.

1976-01-01

An improved computational form of the discrete Kalman filter is derived using an upper triangular factorization of the error covariance matrix. The covariance P is factored such that P = UDUT where U is unit upper triangular and D is diagonal. Recursions are developed for propagating the U-D covariance factors together with the corresponding state estimate. The resulting algorithm, referred to as the U-D filter, combines the superior numerical precision of square root filtering techniques with an efficiency comparable to that of Kalman's original formula. Moreover, this method is easily implemented and involves no more computer storage than the Kalman algorithm. These characteristics make the U-D method an attractive realtime filtering technique. A new covariance error analysis technique is obtained from an extension of the U-D filter equations. This evaluation method is flexible and efficient and may provide significantly improved numerical results. Cost comparisons show that for a large class of problems the U-D evaluation algorithm is noticeably less expensive than conventional error analysis methods.

Network-Based Detection and Classification of Seismovolcanic Tremors: Example From the Klyuchevskoy Volcanic Group in Kamchatka

NASA Astrophysics Data System (ADS)

Soubestre, Jean; Shapiro, Nikolai M.; Seydoux, Léonard; de Rosny, Julien; Droznin, Dmitry V.; Droznina, Svetlana Ya.; Senyukov, Sergey L.; Gordeev, Evgeniy I.

2018-01-01

We develop a network-based method for detecting and classifying seismovolcanic tremors. The proposed approach exploits the coherence of tremor signals across the network that is estimated from the array covariance matrix. The method is applied to four and a half years of continuous seismic data recorded by 19 permanent seismic stations in the vicinity of the Klyuchevskoy volcanic group in Kamchatka (Russia), where five volcanoes were erupting during the considered time period. We compute and analyze daily covariance matrices together with their eigenvalues and eigenvectors. As a first step, most coherent signals corresponding to dominating tremor sources are detected based on the width of the covariance matrix eigenvalues distribution. Thus, volcanic tremors of the two volcanoes known as most active during the considered period, Klyuchevskoy and Tolbachik, are efficiently detected. As a next step, we consider the daily array covariance matrix's first eigenvector. Our main hypothesis is that these eigenvectors represent the principal components of the daily seismic wavefield and, for days with tremor activity, characterize dominant tremor sources. Those daily first eigenvectors, which can be used as network-based fingerprints of tremor sources, are then grouped into clusters using correlation coefficient as a measure of the vector similarity. As a result, we identify seven clusters associated with different periods of activity of four volcanoes: Tolbachik, Klyuchevskoy, Shiveluch, and Kizimen. The developed method does not require a priori knowledge and is fully automatic; and the database of the network-based tremor fingerprints can be continuously enriched with newly available data.

Covariance Between Genotypic Effects and its Use for Genomic Inference in Half-Sib Families

PubMed Central

Wittenburg, Dörte; Teuscher, Friedrich; Klosa, Jan; Reinsch, Norbert

2016-01-01

In livestock, current statistical approaches utilize extensive molecular data, e.g., single nucleotide polymorphisms (SNPs), to improve the genetic evaluation of individuals. The number of model parameters increases with the number of SNPs, so the multicollinearity between covariates can affect the results obtained using whole genome regression methods. In this study, dependencies between SNPs due to linkage and linkage disequilibrium among the chromosome segments were explicitly considered in methods used to estimate the effects of SNPs. The population structure affects the extent of such dependencies, so the covariance among SNP genotypes was derived for half-sib families, which are typical in livestock populations. Conditional on the SNP haplotypes of the common parent (sire), the theoretical covariance was determined using the haplotype frequencies of the population from which the individual parent (dam) was derived. The resulting covariance matrix was included in a statistical model for a trait of interest, and this covariance matrix was then used to specify prior assumptions for SNP effects in a Bayesian framework. The approach was applied to one family in simulated scenarios (few and many quantitative trait loci) and using semireal data obtained from dairy cattle to identify genome segments that affect performance traits, as well as to investigate the impact on predictive ability. Compared with a method that does not explicitly consider any of the relationship among predictor variables, the accuracy of genetic value prediction was improved by 10–22%. The results show that the inclusion of dependence is particularly important for genomic inference based on small sample sizes. PMID:27402363

Parametric number covariance in quantum chaotic spectra.

PubMed

Vinayak; Kumar, Sandeep; Pandey, Akhilesh

2016-03-01

We study spectral parametric correlations in quantum chaotic systems and introduce the number covariance as a measure of such correlations. We derive analytic results for the classical random matrix ensembles using the binary correlation method and obtain compact expressions for the covariance. We illustrate the universality of this measure by presenting the spectral analysis of the quantum kicked rotors for the time-reversal invariant and time-reversal noninvariant cases. A local version of the parametric number variance introduced earlier is also investigated.

Application of copulas to improve covariance estimation for partial least squares.

PubMed

D'Angelo, Gina M; Weissfeld, Lisa A

2013-02-20

Dimension reduction techniques, such as partial least squares, are useful for computing summary measures and examining relationships in complex settings. Partial least squares requires an estimate of the covariance matrix as a first step in the analysis, making this estimate critical to the results. In addition, the covariance matrix also forms the basis for other techniques in multivariate analysis, such as principal component analysis and independent component analysis. This paper has been motivated by an example from an imaging study in Alzheimer's disease where there is complete separation between Alzheimer's and control subjects for one of the imaging modalities. This separation occurs in one block of variables and does not occur with the second block of variables resulting in inaccurate estimates of the covariance. We propose the use of a copula to obtain estimates of the covariance in this setting, where one set of variables comes from a mixture distribution. Simulation studies show that the proposed estimator is an improvement over the standard estimators of covariance. We illustrate the methods from the motivating example from a study in the area of Alzheimer's disease. Copyright © 2012 John Wiley & Sons, Ltd.

A loop-counting method for covariate-corrected low-rank biclustering of gene-expression and genome-wide association study data.

PubMed

Rangan, Aaditya V; McGrouther, Caroline C; Kelsoe, John; Schork, Nicholas; Stahl, Eli; Zhu, Qian; Krishnan, Arjun; Yao, Vicky; Troyanskaya, Olga; Bilaloglu, Seda; Raghavan, Preeti; Bergen, Sarah; Jureus, Anders; Landen, Mikael

2018-05-14

A common goal in data-analysis is to sift through a large data-matrix and detect any significant submatrices (i.e., biclusters) that have a low numerical rank. We present a simple algorithm for tackling this biclustering problem. Our algorithm accumulates information about 2-by-2 submatrices (i.e., 'loops') within the data-matrix, and focuses on rows and columns of the data-matrix that participate in an abundance of low-rank loops. We demonstrate, through analysis and numerical-experiments, that this loop-counting method performs well in a variety of scenarios, outperforming simple spectral methods in many situations of interest. Another important feature of our method is that it can easily be modified to account for aspects of experimental design which commonly arise in practice. For example, our algorithm can be modified to correct for controls, categorical- and continuous-covariates, as well as sparsity within the data. We demonstrate these practical features with two examples; the first drawn from gene-expression analysis and the second drawn from a much larger genome-wide-association-study (GWAS).

An Improved DOA Estimation Approach Using Coarray Interpolation and Matrix Denoising

PubMed Central

Guo, Muran; Chen, Tao; Wang, Ben

2017-01-01

Co-prime arrays can estimate the directions of arrival (DOAs) of O(MN) sources with O(M+N) sensors, and are convenient to analyze due to their closed-form expression for the locations of virtual lags. However, the number of degrees of freedom is limited due to the existence of holes in difference coarrays if subspace-based algorithms such as the spatial smoothing multiple signal classification (MUSIC) algorithm are utilized. To address this issue, techniques such as positive definite Toeplitz completion and array interpolation have been proposed in the literature. Another factor that compromises the accuracy of DOA estimation is the limitation of the number of snapshots. Coarray-based processing is particularly sensitive to the discrepancy between the sample covariance matrix and the ideal covariance matrix due to the finite number of snapshots. In this paper, coarray interpolation based on matrix completion (MC) followed by a denoising operation is proposed to detect more sources with a higher accuracy. The effectiveness of the proposed method is based on the capability of MC to fill in holes in the virtual sensors and that of MC denoising operation to reduce the perturbation in the sample covariance matrix. The results of numerical simulations verify the superiority of the proposed approach. PMID:28509886

An Improved DOA Estimation Approach Using Coarray Interpolation and Matrix Denoising.

PubMed

Guo, Muran; Chen, Tao; Wang, Ben

2017-05-16

Co-prime arrays can estimate the directions of arrival (DOAs) of O ( M N ) sources with O ( M + N ) sensors, and are convenient to analyze due to their closed-form expression for the locations of virtual lags. However, the number of degrees of freedom is limited due to the existence of holes in difference coarrays if subspace-based algorithms such as the spatial smoothing multiple signal classification (MUSIC) algorithm are utilized. To address this issue, techniques such as positive definite Toeplitz completion and array interpolation have been proposed in the literature. Another factor that compromises the accuracy of DOA estimation is the limitation of the number of snapshots. Coarray-based processing is particularly sensitive to the discrepancy between the sample covariance matrix and the ideal covariance matrix due to the finite number of snapshots. In this paper, coarray interpolation based on matrix completion (MC) followed by a denoising operation is proposed to detect more sources with a higher accuracy. The effectiveness of the proposed method is based on the capability of MC to fill in holes in the virtual sensors and that of MC denoising operation to reduce the perturbation in the sample covariance matrix. The results of numerical simulations verify the superiority of the proposed approach.

UDU/T/ covariance factorization for Kalman filtering

NASA Technical Reports Server (NTRS)

Thornton, C. L.; Bierman, G. J.

1980-01-01

There has been strong motivation to produce numerically stable formulations of the Kalman filter algorithms because it has long been known that the original discrete-time Kalman formulas are numerically unreliable. Numerical instability can be avoided by propagating certain factors of the estimate error covariance matrix rather than the covariance matrix itself. This paper documents filter algorithms that correspond to the covariance factorization P = UDU(T), where U is a unit upper triangular matrix and D is diagonal. Emphasis is on computational efficiency and numerical stability, since these properties are of key importance in real-time filter applications. The history of square-root and U-D covariance filters is reviewed. Simple examples are given to illustrate the numerical inadequacy of the Kalman covariance filter algorithms; these examples show how factorization techniques can give improved computational reliability.

Power law tails in phylogenetic systems.

PubMed

Qin, Chongli; Colwell, Lucy J

2018-01-23

Covariance analysis of protein sequence alignments uses coevolving pairs of sequence positions to predict features of protein structure and function. However, current methods ignore the phylogenetic relationships between sequences, potentially corrupting the identification of covarying positions. Here, we use random matrix theory to demonstrate the existence of a power law tail that distinguishes the spectrum of covariance caused by phylogeny from that caused by structural interactions. The power law is essentially independent of the phylogenetic tree topology, depending on just two parameters-the sequence length and the average branch length. We demonstrate that these power law tails are ubiquitous in the large protein sequence alignments used to predict contacts in 3D structure, as predicted by our theory. This suggests that to decouple phylogenetic effects from the interactions between sequence distal sites that control biological function, it is necessary to remove or down-weight the eigenvectors of the covariance matrix with largest eigenvalues. We confirm that truncating these eigenvectors improves contact prediction.

Imaging of downward-looking linear array SAR using three-dimensional spatial smoothing MUSIC algorithm

NASA Astrophysics Data System (ADS)

Zhang, Siqian; Kuang, Gangyao

2014-10-01

In this paper, a novel three-dimensional imaging algorithm of downward-looking linear array SAR is presented. To improve the resolution, multiple signal classification (MUSIC) algorithm has been used. However, since the scattering centers are always correlated in real SAR system, the estimated covariance matrix becomes singular. To address the problem, a three-dimensional spatial smoothing method is proposed in this paper to restore the singular covariance matrix to a full-rank one. The three-dimensional signal matrix can be divided into a set of orthogonal three-dimensional subspaces. The main idea of the method is based on extracting the array correlation matrix as the average of all correlation matrices from the subspaces. In addition, the spectral height of the peaks contains no information with regard to the scattering intensity of the different scattering centers, thus it is difficulty to reconstruct the backscattering information. The least square strategy is used to estimate the amplitude of the scattering center in this paper. The above results of the theoretical analysis are verified by 3-D scene simulations and experiments on real data.

Eigenvalue-eigenvector decomposition (EED) analysis of dissimilarity and covariance matrix obtained from total synchronous fluorescence spectral (TSFS) data sets of herbal preparations: Optimizing the classification approach.

PubMed

Tarai, Madhumita; Kumar, Keshav; Divya, O; Bairi, Partha; Mishra, Kishor Kumar; Mishra, Ashok Kumar

2017-09-05

The present work compares the dissimilarity and covariance based unsupervised chemometric classification approaches by taking the total synchronous fluorescence spectroscopy data sets acquired for the cumin and non-cumin based herbal preparations. The conventional decomposition method involves eigenvalue-eigenvector analysis of the covariance of the data set and finds the factors that can explain the overall major sources of variation present in the data set. The conventional approach does this irrespective of the fact that the samples belong to intrinsically different groups and hence leads to poor class separation. The present work shows that classification of such samples can be optimized by performing the eigenvalue-eigenvector decomposition on the pair-wise dissimilarity matrix. Copyright © 2017 Elsevier B.V. All rights reserved.

Generalized Fisher matrices

NASA Astrophysics Data System (ADS)

Heavens, A. F.; Seikel, M.; Nord, B. D.; Aich, M.; Bouffanais, Y.; Bassett, B. A.; Hobson, M. P.

2014-12-01

The Fisher Information Matrix formalism (Fisher 1935) is extended to cases where the data are divided into two parts (X, Y), where the expectation value of Y depends on X according to some theoretical model, and X and Y both have errors with arbitrary covariance. In the simplest case, (X, Y) represent data pairs of abscissa and ordinate, in which case the analysis deals with the case of data pairs with errors in both coordinates, but X can be any measured quantities on which Y depends. The analysis applies for arbitrary covariance, provided all errors are Gaussian, and provided the errors in X are small, both in comparison with the scale over which the expected signal Y changes, and with the width of the prior distribution. This generalizes the Fisher Matrix approach, which normally only considers errors in the `ordinate' Y. In this work, we include errors in X by marginalizing over latent variables, effectively employing a Bayesian hierarchical model, and deriving the Fisher Matrix for this more general case. The methods here also extend to likelihood surfaces which are not Gaussian in the parameter space, and so techniques such as DALI (Derivative Approximation for Likelihoods) can be generalized straightforwardly to include arbitrary Gaussian data error covariances. For simple mock data and theoretical models, we compare to Markov Chain Monte Carlo experiments, illustrating the method with cosmological supernova data. We also include the new method in the FISHER4CAST software.

On the treatment of ill-conditioned cases in the Monte Carlo library least-squares approach for inverse radiation analyzers

NASA Astrophysics Data System (ADS)

Meric, Ilker; Johansen, Geir A.; Holstad, Marie B.; Mattingly, John; Gardner, Robin P.

2012-05-01

Prompt gamma-ray neutron activation analysis (PGNAA) has been and still is one of the major methods of choice for the elemental analysis of various bulk samples. This is mostly due to the fact that PGNAA offers a rapid, non-destructive and on-line means of sample interrogation. The quantitative analysis of the prompt gamma-ray data could, on the other hand, be performed either through the single peak analysis or the so-called Monte Carlo library least-squares (MCLLS) approach, of which the latter has been shown to be more sensitive and more accurate than the former. The MCLLS approach is based on the assumption that the total prompt gamma-ray spectrum of any sample is a linear combination of the contributions from the individual constituents or libraries. This assumption leads to, through the minimization of the chi-square value, a set of linear equations which has to be solved to obtain the library multipliers, a process that involves the inversion of the covariance matrix. The least-squares solution may be extremely uncertain due to the ill-conditioning of the covariance matrix. The covariance matrix will become ill-conditioned whenever, in the subsequent calculations, two or more libraries are highly correlated. The ill-conditioning will also be unavoidable whenever the sample contains trace amounts of certain elements or elements with significantly low thermal neutron capture cross-sections. In this work, a new iterative approach, which can handle the ill-conditioning of the covariance matrix, is proposed and applied to a hydrocarbon multiphase flow problem in which the parameters of interest are the separate amounts of the oil, gas, water and salt phases. The results of the proposed method are also compared with the results obtained through the implementation of a well-known regularization method, the truncated singular value decomposition. Final calculations indicate that the proposed approach would be able to treat ill-conditioned cases appropriately.

Pu239 Cross-Section Variations Based on Experimental Uncertainties and Covariances

DOE Office of Scientific and Technical Information (OSTI.GOV)

Sigeti, David Edward; Williams, Brian J.; Parsons, D. Kent

2016-10-18

Algorithms and software have been developed for producing variations in plutonium-239 neutron cross sections based on experimental uncertainties and covariances. The varied cross-section sets may be produced as random samples from the multi-variate normal distribution defined by an experimental mean vector and covariance matrix, or they may be produced as Latin-Hypercube/Orthogonal-Array samples (based on the same means and covariances) for use in parametrized studies. The variations obey two classes of constraints that are obligatory for cross-section sets and which put related constraints on the mean vector and covariance matrix that detemine the sampling. Because the experimental means and covariances domore » not obey some of these constraints to sufficient precision, imposing the constraints requires modifying the experimental mean vector and covariance matrix. Modification is done with an algorithm based on linear algebra that minimizes changes to the means and covariances while insuring that the operations that impose the different constraints do not conflict with each other.« less

Bayesian statistics and Monte Carlo methods

NASA Astrophysics Data System (ADS)

Koch, K. R.

2018-03-01

The Bayesian approach allows an intuitive way to derive the methods of statistics. Probability is defined as a measure of the plausibility of statements or propositions. Three rules are sufficient to obtain the laws of probability. If the statements refer to the numerical values of variables, the so-called random variables, univariate and multivariate distributions follow. They lead to the point estimation by which unknown quantities, i.e. unknown parameters, are computed from measurements. The unknown parameters are random variables, they are fixed quantities in traditional statistics which is not founded on Bayes' theorem. Bayesian statistics therefore recommends itself for Monte Carlo methods, which generate random variates from given distributions. Monte Carlo methods, of course, can also be applied in traditional statistics. The unknown parameters, are introduced as functions of the measurements, and the Monte Carlo methods give the covariance matrix and the expectation of these functions. A confidence region is derived where the unknown parameters are situated with a given probability. Following a method of traditional statistics, hypotheses are tested by determining whether a value for an unknown parameter lies inside or outside the confidence region. The error propagation of a random vector by the Monte Carlo methods is presented as an application. If the random vector results from a nonlinearly transformed vector, its covariance matrix and its expectation follow from the Monte Carlo estimate. This saves a considerable amount of derivatives to be computed, and errors of the linearization are avoided. The Monte Carlo method is therefore efficient. If the functions of the measurements are given by a sum of two or more random vectors with different multivariate distributions, the resulting distribution is generally not known. TheMonte Carlo methods are then needed to obtain the covariance matrix and the expectation of the sum.

Triple collocation-based estimation of spatially correlated observation error covariance in remote sensing soil moisture data assimilation

NASA Astrophysics Data System (ADS)

Wu, Kai; Shu, Hong; Nie, Lei; Jiao, Zhenhang

2018-01-01

Spatially correlated errors are typically ignored in data assimilation, thus degenerating the observation error covariance R to a diagonal matrix. We argue that a nondiagonal R carries more observation information making assimilation results more accurate. A method, denoted TC_Cov, was proposed for soil moisture data assimilation to estimate spatially correlated observation error covariance based on triple collocation (TC). Assimilation experiments were carried out to test the performance of TC_Cov. AMSR-E soil moisture was assimilated with a diagonal R matrix computed using the TC and assimilated using a nondiagonal R matrix, as estimated by proposed TC_Cov. The ensemble Kalman filter was considered as the assimilation method. Our assimilation results were validated against climate change initiative data and ground-based soil moisture measurements using the Pearson correlation coefficient and unbiased root mean square difference metrics. These experiments confirmed that deterioration of diagonal R assimilation results occurred when model simulation is more accurate than observation data. Furthermore, nondiagonal R achieved higher correlation coefficient and lower ubRMSD values over diagonal R in experiments and demonstrated the effectiveness of TC_Cov to estimate richly structuralized R in data assimilation. In sum, compared with diagonal R, nondiagonal R may relieve the detrimental effects of assimilation when simulated model results outperform observation data.

Towards a covariance matrix of CAB model parameters for H(H2O)

NASA Astrophysics Data System (ADS)

Scotta, Juan Pablo; Noguere, Gilles; Damian, José Ignacio Marquez

2017-09-01

Preliminary results on the uncertainties of hydrogen into light water thermal scattering law of the CAB model are presented. It was done through a coupling between the nuclear data code CONRAD and the molecular dynamic simulations code GROMACS. The Generalized Least Square method was used to adjust the model parameters on evaluated data and generate covariance matrices between the CAB model parameters.

A source number estimation method for single optical fiber sensor

NASA Astrophysics Data System (ADS)

Hu, Junpeng; Huang, Zhiping; Su, Shaojing; Zhang, Yimeng; Liu, Chunwu

2015-10-01

The single-channel blind source separation (SCBSS) technique makes great significance in many fields, such as optical fiber communication, sensor detection, image processing and so on. It is a wide range application to realize blind source separation (BSS) from a single optical fiber sensor received data. The performance of many BSS algorithms and signal process methods will be worsened with inaccurate source number estimation. Many excellent algorithms have been proposed to deal with the source number estimation in array signal process which consists of multiple sensors, but they can not be applied directly to the single sensor condition. This paper presents a source number estimation method dealing with the single optical fiber sensor received data. By delay process, this paper converts the single sensor received data to multi-dimension form. And the data covariance matrix is constructed. Then the estimation algorithms used in array signal processing can be utilized. The information theoretic criteria (ITC) based methods, presented by AIC and MDL, Gerschgorin's disk estimation (GDE) are introduced to estimate the source number of the single optical fiber sensor's received signal. To improve the performance of these estimation methods at low signal noise ratio (SNR), this paper make a smooth process to the data covariance matrix. By the smooth process, the fluctuation and uncertainty of the eigenvalues of the covariance matrix are reduced. Simulation results prove that ITC base methods can not estimate the source number effectively under colored noise. The GDE method, although gets a poor performance at low SNR, but it is able to accurately estimate the number of sources with colored noise. The experiments also show that the proposed method can be applied to estimate the source number of single sensor received data.

Extensions of output variance constrained controllers to hard constraints

NASA Technical Reports Server (NTRS)

Skelton, R.; Zhu, G.

1989-01-01

Covariance Controllers assign specified matrix values to the state covariance. A number of robustness results are directly related to the covariance matrix. The conservatism in known upperbounds on the H infinity, L infinity, and L (sub 2) norms for stability and disturbance robustness of linear uncertain systems using covariance controllers is illustrated with examples. These results are illustrated for continuous and discrete time systems. **** ONLY 2 BLOCK MARKERS FOUND -- RETRY *****

A Novel Hybrid Dimension Reduction Technique for Undersized High Dimensional Gene Expression Data Sets Using Information Complexity Criterion for Cancer Classification

PubMed Central

Pamukçu, Esra; Bozdogan, Hamparsum; Çalık, Sinan

2015-01-01

Gene expression data typically are large, complex, and highly noisy. Their dimension is high with several thousand genes (i.e., features) but with only a limited number of observations (i.e., samples). Although the classical principal component analysis (PCA) method is widely used as a first standard step in dimension reduction and in supervised and unsupervised classification, it suffers from several shortcomings in the case of data sets involving undersized samples, since the sample covariance matrix degenerates and becomes singular. In this paper we address these limitations within the context of probabilistic PCA (PPCA) by introducing and developing a new and novel approach using maximum entropy covariance matrix and its hybridized smoothed covariance estimators. To reduce the dimensionality of the data and to choose the number of probabilistic PCs (PPCs) to be retained, we further introduce and develop celebrated Akaike's information criterion (AIC), consistent Akaike's information criterion (CAIC), and the information theoretic measure of complexity (ICOMP) criterion of Bozdogan. Six publicly available undersized benchmark data sets were analyzed to show the utility, flexibility, and versatility of our approach with hybridized smoothed covariance matrix estimators, which do not degenerate to perform the PPCA to reduce the dimension and to carry out supervised classification of cancer groups in high dimensions. PMID:25838836

Merging Multi-model CMIP5/PMIP3 Past-1000 Ensemble Simulations with Tree Ring Proxy Data by Optimal Interpolation Approach

NASA Astrophysics Data System (ADS)

Chen, Xin; Luo, Yong; Xing, Pei; Nie, Suping; Tian, Qinhua

2015-04-01

Two sets of gridded annual mean surface air temperature in past millennia over the Northern Hemisphere was constructed employing optimal interpolation (OI) method so as to merge the tree ring proxy records with the simulations from CMIP5 (the fifth phase of the Climate Model Intercomparison Project). Both the uncertainties in proxy reconstruction and model simulations can be taken into account applying OI algorithm. For better preservation of physical coordinated features and spatial-temporal completeness of climate variability in 7 copies of model results, we perform the Empirical Orthogonal Functions (EOF) analysis to truncate the ensemble mean field as the first guess (background field) for OI. 681 temperature sensitive tree-ring chronologies are collected and screened from International Tree Ring Data Bank (ITRDB) and Past Global Changes (PAGES-2k) project. Firstly, two methods (variance matching and linear regression) are employed to calibrate the tree ring chronologies with instrumental data (CRUTEM4v) individually. In addition, we also remove the bias of both the background field and proxy records relative to instrumental dataset. Secondly, time-varying background error covariance matrix (B) and static "observation" error covariance matrix (R) are calculated for OI frame. In our scheme, matrix B was calculated locally, and "observation" error covariance are partially considered in R matrix (the covariance value between the pairs of tree ring sites that are very close to each other would be counted), which is different from the traditional assumption that R matrix should be diagonal. Comparing our results, it turns out that regional averaged series are not sensitive to the selection for calibration methods. The Quantile-Quantile plots indicate regional climatologies based on both methods are tend to be more agreeable with regional reconstruction of PAGES-2k in 20th century warming period than in little ice age (LIA). Lager volcanic cooling response over Asia and Europe in context of recent millennium are detected in our datasets than that revealed in regional reconstruction from PAGES-2k network. Verification experiments have showed that the merging approach really reconcile the proxy data and model ensemble simulations in an optimal way (with smaller errors than both of them). Further research is needed to improve the error estimation on them.

Non-Linear Optimization Applied to Angle-of-Arrival Satellite-Based Geolocation with Correlated Measurements

DTIC Science & Technology

2015-03-01

General covariance intersection covariance matrix Σ1 Measurement 1’s covariance matrix I(X) Fisher information matrix g Confidence region L Lower... information in this chapter will discuss the motivation and background of the geolocation algorithm with the scope of the applications for this research. The...algorithm is able to produce the best description of an object given the information from a set of measurements. Determining a position requires the use of a

Metabolic rate associates with, but does not generate covariation between, behaviours in western stutter-trilling crickets, Gryllus integer.

PubMed

Krams, Indrikis A; Niemelä, Petri T; Trakimas, Giedrius; Krams, Ronalds; Burghardt, Gordon M; Krama, Tatjana; Kuusik, Aare; Mänd, Marika; Rantala, Markus J; Mänd, Raivo; Kekäläinen, Jukka; Sirkka, Ilkka; Luoto, Severi; Kortet, Raine

2017-03-29

The causes and consequences of among-individual variation and covariation in behaviours are of substantial interest to behavioural ecology, but the proximate mechanisms underpinning this (co)variation are still unclear. Previous research suggests metabolic rate as a potential proximate mechanism to explain behavioural covariation. We measured the resting metabolic rate (RMR), boldness and exploration in western stutter-trilling crickets, Gryllus integer , selected differentially for short and fast development over two generations. After applying mixed-effects models to reveal the sign of the covariation, we applied structural equation models to an individual-level covariance matrix to examine whether the RMR generates covariation between the measured behaviours. All traits showed among-individual variation and covariation: RMR and boldness were positively correlated, RMR and exploration were negatively correlated, and boldness and exploration were negatively correlated. However, the RMR was not a causal factor generating covariation between boldness and exploration. Instead, the covariation between all three traits was explained by another, unmeasured mechanism. The selection lines differed from each other in all measured traits and significantly affected the covariance matrix structure between the traits, suggesting that there is a genetic component in the trait integration. Our results emphasize that interpretations made solely from the correlation matrix might be misleading. © 2017 The Author(s).

Metabolic rate associates with, but does not generate covariation between, behaviours in western stutter-trilling crickets, Gryllus integer

PubMed Central

Trakimas, Giedrius; Krams, Ronalds; Burghardt, Gordon M.; Krama, Tatjana; Kuusik, Aare; Mänd, Marika; Rantala, Markus J.; Mänd, Raivo; Sirkka, Ilkka; Luoto, Severi; Kortet, Raine

2017-01-01

The causes and consequences of among-individual variation and covariation in behaviours are of substantial interest to behavioural ecology, but the proximate mechanisms underpinning this (co)variation are still unclear. Previous research suggests metabolic rate as a potential proximate mechanism to explain behavioural covariation. We measured the resting metabolic rate (RMR), boldness and exploration in western stutter-trilling crickets, Gryllus integer, selected differentially for short and fast development over two generations. After applying mixed-effects models to reveal the sign of the covariation, we applied structural equation models to an individual-level covariance matrix to examine whether the RMR generates covariation between the measured behaviours. All traits showed among-individual variation and covariation: RMR and boldness were positively correlated, RMR and exploration were negatively correlated, and boldness and exploration were negatively correlated. However, the RMR was not a causal factor generating covariation between boldness and exploration. Instead, the covariation between all three traits was explained by another, unmeasured mechanism. The selection lines differed from each other in all measured traits and significantly affected the covariance matrix structure between the traits, suggesting that there is a genetic component in the trait integration. Our results emphasize that interpretations made solely from the correlation matrix might be misleading. PMID:28330918

An Empirical State Error Covariance Matrix Orbit Determination Example

NASA Technical Reports Server (NTRS)

Frisbee, Joseph H., Jr.

2015-01-01

State estimation techniques serve effectively to provide mean state estimates. However, the state error covariance matrices provided as part of these techniques suffer from some degree of lack of confidence in their ability to adequately describe the uncertainty in the estimated states. A specific problem with the traditional form of state error covariance matrices is that they represent only a mapping of the assumed observation error characteristics into the state space. Any errors that arise from other sources (environment modeling, precision, etc.) are not directly represented in a traditional, theoretical state error covariance matrix. First, consider that an actual observation contains only measurement error and that an estimated observation contains all other errors, known and unknown. Then it follows that a measurement residual (the difference between expected and observed measurements) contains all errors for that measurement. Therefore, a direct and appropriate inclusion of the actual measurement residuals in the state error covariance matrix of the estimate will result in an empirical state error covariance matrix. This empirical state error covariance matrix will fully include all of the errors in the state estimate. The empirical error covariance matrix is determined from a literal reinterpretation of the equations involved in the weighted least squares estimation algorithm. It is a formally correct, empirical state error covariance matrix obtained through use of the average form of the weighted measurement residual variance performance index rather than the usual total weighted residual form. Based on its formulation, this matrix will contain the total uncertainty in the state estimate, regardless as to the source of the uncertainty and whether the source is anticipated or not. It is expected that the empirical error covariance matrix will give a better, statistical representation of the state error in poorly modeled systems or when sensor performance is suspect. In its most straight forward form, the technique only requires supplemental calculations to be added to existing batch estimation algorithms. In the current problem being studied a truth model making use of gravity with spherical, J2 and J4 terms plus a standard exponential type atmosphere with simple diurnal and random walk components is used. The ability of the empirical state error covariance matrix to account for errors is investigated under four scenarios during orbit estimation. These scenarios are: exact modeling under known measurement errors, exact modeling under corrupted measurement errors, inexact modeling under known measurement errors, and inexact modeling under corrupted measurement errors. For this problem a simple analog of a distributed space surveillance network is used. The sensors in this network make only range measurements and with simple normally distributed measurement errors. The sensors are assumed to have full horizon to horizon viewing at any azimuth. For definiteness, an orbit at the approximate altitude and inclination of the International Space Station is used for the study. The comparison analyses of the data involve only total vectors. No investigation of specific orbital elements is undertaken. The total vector analyses will look at the chisquare values of the error in the difference between the estimated state and the true modeled state using both the empirical and theoretical error covariance matrices for each of scenario.

In Spite of Indeterminacy Many Common Factor Score Estimates Yield an Identical Reproduced Covariance Matrix

ERIC Educational Resources Information Center

Beauducel, Andre

2007-01-01

It was investigated whether commonly used factor score estimates lead to the same reproduced covariance matrix of observed variables. This was achieved by means of Schonemann and Steiger's (1976) regression component analysis, since it is possible to compute the reproduced covariance matrices of the regression components corresponding to different…

On the Possibility of Ill-Conditioned Covariance Matrices in the First-Order Two-Step Estimator

NASA Technical Reports Server (NTRS)

Garrison, James L.; Axelrod, Penina; Kasdin, N. Jeremy

1997-01-01

The first-order two-step nonlinear estimator, when applied to a problem of orbital navigation, is found to occasionally produce first step covariance matrices with very low eigenvalues at certain trajectory points. This anomaly is the result of the linear approximation to the first step covariance propagation. The study of this anomaly begins with expressing the propagation of the first and second step covariance matrices in terms of a single matrix. This matrix is shown to have a rank equal to the difference between the number of first step states and the number of second step states. Furthermore, under some simplifying assumptions, it is found that the basis of the column space of this matrix remains fixed once the filter has removed the large initial state error. A test matrix containing the basis of this column space and the partial derivative matrix relating first and second step states is derived. This square test matrix, which has dimensions equal to the number of first step states, numerically drops rank at the same locations that the first step covariance does. It is formulated in terms of a set of constant vectors (the basis) and a matrix which can be computed from a reference trajectory (the partial derivative matrix). A simple example problem involving dynamics which are described by two states and a range measurement illustrate the cause of this anomaly and the application of the aforementioned numerical test in more detail.

On the Singularity in the Estimation of the Quaternion-of-Rotation

NASA Technical Reports Server (NTRS)

Bar-Itzhack, Itzhack Y.; Thienel, Julie K.

2003-01-01

It has been claimed in the archival literature that the covariance matrix of a Kalman filter, which is designed to estimate the quaternion-of-rotation, is necessarily rank deficient because the normality constraint of the quaternion produces dependence between the quaternion elements. In reality, though, this phenomenon does not occur. The covariance matrix is not singular, and the filter is well behaved. Several simple examples are presented that demonstrate the regularity of the covariance matrix. First, estimation cases are presented where a relationship exists between the estimated variables, and yet the covariance matrix is not singular. Then the particular problem of quaternion estimation is analyzed. It is shown that the discrepancy stems from the fact that a functional relationship exists between the elements of the true quaternion but not between its estimated elements.

Use of the maximum entropy method to retrieve the vertical atmospheric ozone profile and predict atmospheric ozone content

NASA Technical Reports Server (NTRS)

Turner, B. Curtis

1992-01-01

A method is developed for prediction of ozone levels in planetary atmospheres. This method is formulated in terms of error covariance matrices, and is associated with both direct measurements, a priori first guess profiles, and a weighting function matrix. This is described by the following linearized equation: y = A(matrix) x X + eta, where A is the weighting matrix and eta is noise. The problems to this approach are: (1) the A matrix is near singularity; (2) the number of unknowns in the profile exceeds the number of data points, therefore, the solution may not be unique; and (3) even if a unique solution exists, eta may cause the solution to be ill conditioned.

Integrated approach to estimate the ocean's time variable dynamic topography including its covariance matrix

NASA Astrophysics Data System (ADS)

Müller, Silvia; Brockmann, Jan Martin; Schuh, Wolf-Dieter

2015-04-01

The ocean's dynamic topography as the difference between the sea surface and the geoid reflects many characteristics of the general ocean circulation. Consequently, it provides valuable information for evaluating or tuning ocean circulation models. The sea surface is directly observed by satellite radar altimetry while the geoid cannot be observed directly. The satellite-based gravity field determination requires different measurement principles (satellite-to-satellite tracking (e.g. GRACE), satellite-gravity-gradiometry (GOCE)). In addition, hydrographic measurements (salinity, temperature and pressure; near-surface velocities) provide information on the dynamic topography. The observation types have different representations and spatial as well as temporal resolutions. Therefore, the determination of the dynamic topography is not straightforward. Furthermore, the integration of the dynamic topography into ocean circulation models requires not only the dynamic topography itself but also its inverse covariance matrix on the ocean model grid. We developed a rigorous combination method in which the dynamic topography is parameterized in space as well as in time. The altimetric sea surface heights are expressed as a sum of geoid heights represented in terms of spherical harmonics and the dynamic topography parameterized by a finite element method which can be directly related to the particular ocean model grid. Besides the difficult task of combining altimetry data with a gravity field model, a major aspect is the consistent combination of satellite data and in-situ observations. The particular characteristics and the signal content of the different observations must be adequately considered requiring the introduction of auxiliary parameters. Within our model the individual observation groups are combined in terms of normal equations considering their full covariance information; i.e. a rigorous variance/covariance propagation from the original measurements to the final product is accomplished. In conclusion, the developed integrated approach allows for estimating the dynamic topography and its inverse covariance matrix on arbitrary grids in space and time. The inverse covariance matrix contains the appropriate weights for model-data misfits in least-squares ocean model inversions. The focus of this study is on the North Atlantic Ocean. We will present the conceptual design and dynamic topography estimates based on time variable data from seven satellite altimeter missions (Jason-1, Jason-2, Topex/Poseidon, Envisat, ERS-2, GFO, Cryosat2) in combination with the latest GOCE gravity field model and in-situ data from the Argo floats and near-surface drifting buoys.

Correlated noise in the COBE DMR sky maps

NASA Technical Reports Server (NTRS)

Lineweaver, C. H.; Smoot, G. F.; Bennett, C. L.; Wright, E. L.; Tenorio, L.; Kogut, A.; Keegstra, P. B.; Hinshaw, G.; Banday, A. J.

1994-01-01

The Cosmic Background Explorer Satellite Differential Radiometer (COBE DMR) sky maps contain low-level correlated noise. We obtain estimates of the amplitude and pattern of the correlated noise from three techniques: angular averages of the covariance matrix, Monte Carlo simulations of two-point correlation functions and direct analysis of the DMR maps. The results from the three methods are mutually consistent. The noise covariance matrix of a DMR sky maps is diagonal to an accuracy of better than 1%. For a given sky pixel, the dominant noise covariance occure with the ring of pixels at an angular separation of 60 deg due to the 60 deg separation of the DMR horns. The mean covariance at 60 deg is 0.45%((sup +0.18)(sub -0.14)) of the mean variance. Additionally, the variance in a given pixel is 0.7% greater than would be expected from a single beam experiment with the same noise properties. Autocorrelation functions suffer from a approximately 1.5 sigma positive bias at 60 deg while cross-correlations have no bias. Published COBE DMR results are not significantly affected by correlated noise.

Empirical data and the variance-covariance matrix for the 1969 Smithsonian Standard Earth (2)

NASA Technical Reports Server (NTRS)

Gaposchkin, E. M.

1972-01-01

The empirical data used in the 1969 Smithsonian Standard Earth (2) are presented. The variance-covariance matrix, or the normal equations, used for correlation analysis, are considered. The format and contents of the matrix, available on magnetic tape, are described and a sample printout is given.

Considering Horn's Parallel Analysis from a Random Matrix Theory Point of View.

PubMed

Saccenti, Edoardo; Timmerman, Marieke E

2017-03-01

Horn's parallel analysis is a widely used method for assessing the number of principal components and common factors. We discuss the theoretical foundations of parallel analysis for principal components based on a covariance matrix by making use of arguments from random matrix theory. In particular, we show that (i) for the first component, parallel analysis is an inferential method equivalent to the Tracy-Widom test, (ii) its use to test high-order eigenvalues is equivalent to the use of the joint distribution of the eigenvalues, and thus should be discouraged, and (iii) a formal test for higher-order components can be obtained based on a Tracy-Widom approximation. We illustrate the performance of the two testing procedures using simulated data generated under both a principal component model and a common factors model. For the principal component model, the Tracy-Widom test performs consistently in all conditions, while parallel analysis shows unpredictable behavior for higher-order components. For the common factor model, including major and minor factors, both procedures are heuristic approaches, with variable performance. We conclude that the Tracy-Widom procedure is preferred over parallel analysis for statistically testing the number of principal components based on a covariance matrix.

Computationally Efficient Adaptive Beamformer for Ultrasound Imaging Based on QR Decomposition.

PubMed

Park, Jongin; Wi, Seok-Min; Lee, Jin S

2016-02-01

Adaptive beamforming methods for ultrasound imaging have been studied to improve image resolution and contrast. The most common approach is the minimum variance (MV) beamformer which minimizes the power of the beamformed output while maintaining the response from the direction of interest constant. The method achieves higher resolution and better contrast than the delay-and-sum (DAS) beamformer, but it suffers from high computational cost. This cost is mainly due to the computation of the spatial covariance matrix and its inverse, which requires O(L(3)) computations, where L denotes the subarray size. In this study, we propose a computationally efficient MV beamformer based on QR decomposition. The idea behind our approach is to transform the spatial covariance matrix to be a scalar matrix σI and we subsequently obtain the apodization weights and the beamformed output without computing the matrix inverse. To do that, QR decomposition algorithm is used and also can be executed at low cost, and therefore, the computational complexity is reduced to O(L(2)). In addition, our approach is mathematically equivalent to the conventional MV beamformer, thereby showing the equivalent performances. The simulation and experimental results support the validity of our approach.

Directional variance adjustment: bias reduction in covariance matrices based on factor analysis with an application to portfolio optimization.

PubMed

Bartz, Daniel; Hatrick, Kerr; Hesse, Christian W; Müller, Klaus-Robert; Lemm, Steven

2013-01-01

Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices derived from the statistical Factor Analysis model exhibit a systematic error, which is similar to the well-known systematic error of the spectrum of the sample covariance matrix. Moreover, we introduce the Directional Variance Adjustment (DVA) algorithm, which diminishes the systematic error. In a thorough empirical study for the US, European, and Hong Kong stock market we show that our proposed method leads to improved portfolio allocation.

Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization

PubMed Central

Bartz, Daniel; Hatrick, Kerr; Hesse, Christian W.; Müller, Klaus-Robert; Lemm, Steven

2013-01-01

Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices derived from the statistical Factor Analysis model exhibit a systematic error, which is similar to the well-known systematic error of the spectrum of the sample covariance matrix. Moreover, we introduce the Directional Variance Adjustment (DVA) algorithm, which diminishes the systematic error. In a thorough empirical study for the US, European, and Hong Kong stock market we show that our proposed method leads to improved portfolio allocation. PMID:23844016

Dark matter statistics for large galaxy catalogs: power spectra and covariance matrices

NASA Astrophysics Data System (ADS)

Klypin, Anatoly; Prada, Francisco

2018-06-01

Large-scale surveys of galaxies require accurate theoretical predictions of the dark matter clustering for thousands of mock galaxy catalogs. We demonstrate that this goal can be achieve with the new Parallel Particle-Mesh (PM) N-body code GLAM at a very low computational cost. We run ˜22, 000 simulations with ˜2 billion particles that provide ˜1% accuracy of the dark matter power spectra P(k) for wave-numbers up to k ˜ 1hMpc-1. Using this large data-set we study the power spectrum covariance matrix. In contrast to many previous analytical and numerical results, we find that the covariance matrix normalised to the power spectrum C(k, k΄)/P(k)P(k΄) has a complex structure of non-diagonal components: an upturn at small k, followed by a minimum at k ≈ 0.1 - 0.2 hMpc-1, and a maximum at k ≈ 0.5 - 0.6 hMpc-1. The normalised covariance matrix strongly evolves with redshift: C(k, k΄)∝δα(t)P(k)P(k΄), where δ is the linear growth factor and α ≈ 1 - 1.25, which indicates that the covariance matrix depends on cosmological parameters. We also show that waves longer than 1h-1Gpc have very little impact on the power spectrum and covariance matrix. This significantly reduces the computational costs and complexity of theoretical predictions: relatively small volume ˜(1h-1Gpc)3 simulations capture the necessary properties of dark matter clustering statistics. As our results also indicate, achieving ˜1% errors in the covariance matrix for k < 0.50 hMpc-1 requires a resolution better than ɛ ˜ 0.5h-1Mpc.

Hypothesis testing for band size detection of high-dimensional banded precision matrices.

PubMed

An, Baiguo; Guo, Jianhua; Liu, Yufeng

2014-06-01

Many statistical analysis procedures require a good estimator for a high-dimensional covariance matrix or its inverse, the precision matrix. When the precision matrix is banded, the Cholesky-based method often yields a good estimator of the precision matrix. One important aspect of this method is determination of the band size of the precision matrix. In practice, crossvalidation is commonly used; however, we show that crossvalidation not only is computationally intensive but can be very unstable. In this paper, we propose a new hypothesis testing procedure to determine the band size in high dimensions. Our proposed test statistic is shown to be asymptotically normal under the null hypothesis, and its theoretical power is studied. Numerical examples demonstrate the effectiveness of our testing procedure.

COVARIANCE ESTIMATION USING CONJUGATE GRADIENT FOR 3D CLASSIFICATION IN CRYO-EM.

PubMed

Andén, Joakim; Katsevich, Eugene; Singer, Amit

2015-04-01

Classifying structural variability in noisy projections of biological macromolecules is a central problem in Cryo-EM. In this work, we build on a previous method for estimating the covariance matrix of the three-dimensional structure present in the molecules being imaged. Our proposed method allows for incorporation of contrast transfer function and non-uniform distribution of viewing angles, making it more suitable for real-world data. We evaluate its performance on a synthetic dataset and an experimental dataset obtained by imaging a 70S ribosome complex.

On the use of the covariance matrix to fit correlated data

NASA Astrophysics Data System (ADS)

D'Agostini, G.

1994-07-01

Best fits to data which are affected by systematic uncertainties on the normalization factor have the tendency to produce curves lower than expected if the covariance matrix of the data points is used in the definition of the χ2. This paper shows that the effect is a direct consequence of the hypothesis used to estimate the empirical covariance matrix, namely the linearization on which the usual error propagation relies. The bias can become unacceptable if the normalization error is large, or a large number of data points are fitted.

Improving deformation models by discounting transient signals in geodetic data: 2. Geodetic data, stress directions, and long-term strain rates in Italy

NASA Astrophysics Data System (ADS)

Carafa, Michele M. C.; Bird, Peter

2016-07-01

The lithosphere of Italy is exposed to a number of different short-term strain transients, including but not limited to landslides, postseismic relaxation, and volcanic inflation/deflation. These transients affect GPS velocities and complicate the assessment of the long-term tectonic component of the surface deformation. In a companion paper we present a method for anticipating the principal patterns of nontectonic, short-term strains and building this information into the covariance matrix of the geodetic velocities. In this work we apply this method to Italian GPS velocities to build an augmented covariance matrix that characterizes all expected discrepancies between short- and long-term velocities. We find that formal uncertainties usually reported for GPS measurements are smaller than the variability of the same benchmarks across a geologic time span. Furthermore, we include in our modeling the azimuths of most compressive horizontal principal stresses (SHmax) because GPS data cannot resolve the active kinematics of coastal and offshore areas. We find that the final tectonic model can be made relatively insensitive to short-term interfering processes if the augmented covariance matrix and SHmax data records are used in the objective function. This results in a preferred neotectonic model that is also in closer agreement with independent geologic and seismological constraints and has the advantage of reducing short-term biases in forecasts of long-term seismicity.

Stochastic process approximation for recursive estimation with guaranteed bound on the error covariance

NASA Technical Reports Server (NTRS)

Menga, G.

1975-01-01

An approach, is proposed for the design of approximate, fixed order, discrete time realizations of stochastic processes from the output covariance over a finite time interval, was proposed. No restrictive assumptions are imposed on the process; it can be nonstationary and lead to a high dimension realization. Classes of fixed order models are defined, having the joint covariance matrix of the combined vector of the outputs in the interval of definition greater or equal than the process covariance; (the difference matrix is nonnegative definite). The design is achieved by minimizing, in one of those classes, a measure of the approximation between the model and the process evaluated by the trace of the difference of the respective covariance matrices. Models belonging to these classes have the notable property that, under the same measurement system and estimator structure, the output estimation error covariance matrix computed on the model is an upper bound of the corresponding covariance on the real process. An application of the approach is illustrated by the modeling of random meteorological wind profiles from the statistical analysis of historical data.

A weighted least squares approach to retrieve aerosol layer height over bright surfaces applied to GOME-2 measurements of the oxygen A band for forest fire cases over Europe

NASA Astrophysics Data System (ADS)

Nanda, Swadhin; Pepijn Veefkind, J.; de Graaf, Martin; Sneep, Maarten; Stammes, Piet; de Haan, Johan F.; Sanders, Abram F. J.; Apituley, Arnoud; Tuinder, Olaf; Levelt, Pieternel F.

2018-06-01

This paper presents a weighted least squares approach to retrieve aerosol layer height from top-of-atmosphere reflectance measurements in the oxygen A band (758-770 nm) over bright surfaces. A property of the measurement error covariance matrix is discussed, due to which photons travelling from the surface are given a higher preference over photons that scatter back from the aerosol layer. This is a potential source of biases in the estimation of aerosol properties over land, which can be mitigated by revisiting the design of the measurement error covariance matrix. The alternative proposed in this paper, which we call the dynamic scaling method, introduces a scene-dependent and wavelength-dependent modification in the measurement signal-to-noise ratio in order to influence this matrix. This method is generally applicable to other retrieval algorithms using weighted least squares. To test this method, synthetic experiments are done in addition to application to GOME-2A and GOME-2B measurements of the oxygen A band over the August 2010 Russian wildfires and the October 2017 Portugal wildfire plume over western Europe.

Replica approach to mean-variance portfolio optimization

NASA Astrophysics Data System (ADS)

Varga-Haszonits, Istvan; Caccioli, Fabio; Kondor, Imre

2016-12-01

We consider the problem of mean-variance portfolio optimization for a generic covariance matrix subject to the budget constraint and the constraint for the expected return, with the application of the replica method borrowed from the statistical physics of disordered systems. We find that the replica symmetry of the solution does not need to be assumed, but emerges as the unique solution of the optimization problem. We also check the stability of this solution and find that the eigenvalues of the Hessian are positive for r  =  N/T  <  1, where N is the dimension of the portfolio and T the length of the time series used to estimate the covariance matrix. At the critical point r  =  1 a phase transition is taking place. The out of sample estimation error blows up at this point as 1/(1  -  r), independently of the covariance matrix or the expected return, displaying the universality not only of the critical exponent, but also the critical point. As a conspicuous illustration of the dangers of in-sample estimates, the optimal in-sample variance is found to vanish at the critical point inversely proportional to the divergent estimation error.

The Covariance Adjustment Approaches for Combining Incomparable Cox Regressions Caused by Unbalanced Covariates Adjustment: A Multivariate Meta-Analysis Study.

PubMed

Dehesh, Tania; Zare, Najaf; Ayatollahi, Seyyed Mohammad Taghi

2015-01-01

Univariate meta-analysis (UM) procedure, as a technique that provides a single overall result, has become increasingly popular. Neglecting the existence of other concomitant covariates in the models leads to loss of treatment efficiency. Our aim was proposing four new approximation approaches for the covariance matrix of the coefficients, which is not readily available for the multivariate generalized least square (MGLS) method as a multivariate meta-analysis approach. We evaluated the efficiency of four new approaches including zero correlation (ZC), common correlation (CC), estimated correlation (EC), and multivariate multilevel correlation (MMC) on the estimation bias, mean square error (MSE), and 95% probability coverage of the confidence interval (CI) in the synthesis of Cox proportional hazard models coefficients in a simulation study. Comparing the results of the simulation study on the MSE, bias, and CI of the estimated coefficients indicated that MMC approach was the most accurate procedure compared to EC, CC, and ZC procedures. The precision ranking of the four approaches according to all above settings was MMC ≥ EC ≥ CC ≥ ZC. This study highlights advantages of MGLS meta-analysis on UM approach. The results suggested the use of MMC procedure to overcome the lack of information for having a complete covariance matrix of the coefficients.

The High School & Beyond Data Set: Academic Self-Concept Measures.

ERIC Educational Resources Information Center

Strein, William

A series of confirmatory factor analyses using both LISREL VI (maximum likelihood method) and LISCOMP (weighted least squares method using covariance matrix based on polychoric correlations) and including cross-validation on independent samples were applied to items from the High School and Beyond data set to explore the measurement…

On the role of dimensionality and sample size for unstructured and structured covariance matrix estimation

NASA Technical Reports Server (NTRS)

Morgera, S. D.; Cooper, D. B.

1976-01-01

The experimental observation that a surprisingly small sample size vis-a-vis dimension is needed to achieve good signal-to-interference ratio (SIR) performance with an adaptive predetection filter is explained. The adaptive filter requires estimates as obtained by a recursive stochastic algorithm of the inverse of the filter input data covariance matrix. The SIR performance with sample size is compared for the situations where the covariance matrix estimates are of unstructured (generalized) form and of structured (finite Toeplitz) form; the latter case is consistent with weak stationarity of the input data stochastic process.

SMURC: High-Dimension Small-Sample Multivariate Regression With Covariance Estimation.

PubMed

Bayar, Belhassen; Bouaynaya, Nidhal; Shterenberg, Roman

2017-03-01

We consider a high-dimension low sample-size multivariate regression problem that accounts for correlation of the response variables. The system is underdetermined as there are more parameters than samples. We show that the maximum likelihood approach with covariance estimation is senseless because the likelihood diverges. We subsequently propose a normalization of the likelihood function that guarantees convergence. We call this method small-sample multivariate regression with covariance (SMURC) estimation. We derive an optimization problem and its convex approximation to compute SMURC. Simulation results show that the proposed algorithm outperforms the regularized likelihood estimator with known covariance matrix and the sparse conditional Gaussian graphical model. We also apply SMURC to the inference of the wing-muscle gene network of the Drosophila melanogaster (fruit fly).

Homonuclear long-range correlation spectra from HMBC experiments by covariance processing.

PubMed

Schoefberger, Wolfgang; Smrecki, Vilko; Vikić-Topić, Drazen; Müller, Norbert

2007-07-01

We present a new application of covariance nuclear magnetic resonance processing based on 1H--13C-HMBC experiments which provides an effective way for establishing indirect 1H--1H and 13C--13C nuclear spin connectivity at natural isotope abundance. The method, which identifies correlated spin networks in terms of covariance between one-dimensional traces from a single decoupled HMBC experiment, derives 13C--13C as well as 1H--1H spin connectivity maps from the two-dimensional frequency domain heteronuclear long-range correlation data matrix. The potential and limitations of this novel covariance NMR application are demonstrated on two compounds: eugenyl-beta-D-glucopyranoside and an emodin-derivative. Copyright (c) 2007 John Wiley & Sons, Ltd.

The spatiotemporal MEG covariance matrix modeled as a sum of Kronecker products.

PubMed

Bijma, Fetsje; de Munck, Jan C; Heethaar, Rob M

2005-08-15

The single Kronecker product (KP) model for the spatiotemporal covariance of MEG residuals is extended to a sum of Kronecker products. This sum of KP is estimated such that it approximates the spatiotemporal sample covariance best in matrix norm. Contrary to the single KP, this extension allows for describing multiple, independent phenomena in the ongoing background activity. Whereas the single KP model can be interpreted by assuming that background activity is generated by randomly distributed dipoles with certain spatial and temporal characteristics, the sum model can be physiologically interpreted by assuming a composite of such processes. Taking enough terms into account, the spatiotemporal sample covariance matrix can be described exactly by this extended model. In the estimation of the sum of KP model, it appears that the sum of the first 2 KP describes between 67% and 93%. Moreover, these first two terms describe two physiological processes in the background activity: focal, frequency-specific alpha activity, and more widespread non-frequency-specific activity. Furthermore, temporal nonstationarities due to trial-to-trial variations are not clearly visible in the first two terms, and, hence, play only a minor role in the sample covariance matrix in terms of matrix power. Considering the dipole localization, the single KP model appears to describe around 80% of the noise and seems therefore adequate. The emphasis of further improvement of localization accuracy should be on improving the source model rather than the covariance model.

Pre-processing ambient noise cross-correlations with equalizing the covariance matrix eigenspectrum

NASA Astrophysics Data System (ADS)

Seydoux, Léonard; de Rosny, Julien; Shapiro, Nikolai M.

2017-09-01

Passive imaging techniques from ambient seismic noise requires a nearly isotropic distribution of the noise sources in order to ensure reliable traveltime measurements between seismic stations. However, real ambient seismic noise often partially fulfils this condition. It is generated in preferential areas (in deep ocean or near continental shores), and some highly coherent pulse-like signals may be present in the data such as those generated by earthquakes. Several pre-processing techniques have been developed in order to attenuate the directional and deterministic behaviour of this real ambient noise. Most of them are applied to individual seismograms before cross-correlation computation. The most widely used techniques are the spectral whitening and temporal smoothing of the individual seismic traces. We here propose an additional pre-processing to be used together with the classical ones, which is based on the spatial analysis of the seismic wavefield. We compute the cross-spectra between all available stations pairs in spectral domain, leading to the data covariance matrix. We apply a one-bit normalization to the covariance matrix eigenspectrum before extracting the cross-correlations in the time domain. The efficiency of the method is shown with several numerical tests. We apply the method to the data collected by the USArray, when the M8.8 Maule earthquake occurred on 2010 February 27. The method shows a clear improvement compared with the classical equalization to attenuate the highly energetic and coherent waves incoming from the earthquake, and allows to perform reliable traveltime measurement even in the presence of the earthquake.

FastSKAT: Sequence kernel association tests for very large sets of markers.

PubMed

Lumley, Thomas; Brody, Jennifer; Peloso, Gina; Morrison, Alanna; Rice, Kenneth

2018-06-22

The sequence kernel association test (SKAT) is widely used to test for associations between a phenotype and a set of genetic variants that are usually rare. Evaluating tail probabilities or quantiles of the null distribution for SKAT requires computing the eigenvalues of a matrix related to the genotype covariance between markers. Extracting the full set of eigenvalues of this matrix (an n×n matrix, for n subjects) has computational complexity proportional to n 3 . As SKAT is often used when n>104, this step becomes a major bottleneck in its use in practice. We therefore propose fastSKAT, a new computationally inexpensive but accurate approximations to the tail probabilities, in which the k largest eigenvalues of a weighted genotype covariance matrix or the largest singular values of a weighted genotype matrix are extracted, and a single term based on the Satterthwaite approximation is used for the remaining eigenvalues. While the method is not particularly sensitive to the choice of k, we also describe how to choose its value, and show how fastSKAT can automatically alert users to the rare cases where the choice may affect results. As well as providing faster implementation of SKAT, the new method also enables entirely new applications of SKAT that were not possible before; we give examples grouping variants by topologically associating domains, and comparing chromosome-wide association by class of histone marker. © 2018 WILEY PERIODICALS, INC.

Multivariate localization methods for ensemble Kalman filtering

NASA Astrophysics Data System (ADS)

Roh, S.; Jun, M.; Szunyogh, I.; Genton, M. G.

2015-05-01

In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (entry-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.

A semiparametric separation curve approach for comparing correlated ROC data from multiple markers

PubMed Central

Tang, Liansheng Larry; Zhou, Xiao-Hua

2012-01-01

In this article we propose a separation curve method to identify the range of false positive rates for which two ROC curves differ or one ROC curve is superior to the other. Our method is based on a general multivariate ROC curve model, including interaction terms between discrete covariates and false positive rates. It is applicable with most existing ROC curve models. Furthermore, we introduce a semiparametric least squares ROC estimator and apply the estimator to the separation curve method. We derive a sandwich estimator for the covariance matrix of the semiparametric estimator. We illustrate the application of our separation curve method through two real life examples. PMID:23074360

Three Methods of Estimating a Model of Group Effects: A Comparison with Reference to School Effect Studies.

ERIC Educational Resources Information Center

Igra, Amnon

1980-01-01

Three methods of estimating a model of school effects are compared: ordinary least squares; an approach based on the analysis of covariance; and, a residualized input-output approach. Results are presented using a matrix algebra formulation, and advantages of the first two methods are considered. (Author/GK)

Covariance Matrix Estimation for the Cryo-EM Heterogeneity Problem*

PubMed Central

Katsevich, E.; Katsevich, A.; Singer, A.

2015-01-01

In cryo-electron microscopy (cryo-EM), a microscope generates a top view of a sample of randomly oriented copies of a molecule. The problem of single particle reconstruction (SPR) from cryo-EM is to use the resulting set of noisy two-dimensional projection images taken at unknown directions to reconstruct the three-dimensional (3D) structure of the molecule. In some situations, the molecule under examination exhibits structural variability, which poses a fundamental challenge in SPR. The heterogeneity problem is the task of mapping the space of conformational states of a molecule. It has been previously suggested that the leading eigenvectors of the covariance matrix of the 3D molecules can be used to solve the heterogeneity problem. Estimating the covariance matrix is challenging, since only projections of the molecules are observed, but not the molecules themselves. In this paper, we formulate a general problem of covariance estimation from noisy projections of samples. This problem has intimate connections with matrix completion problems and high-dimensional principal component analysis. We propose an estimator and prove its consistency. When there are finitely many heterogeneity classes, the spectrum of the estimated covariance matrix reveals the number of classes. The estimator can be found as the solution to a certain linear system. In the cryo-EM case, the linear operator to be inverted, which we term the projection covariance transform, is an important object in covariance estimation for tomographic problems involving structural variation. Inverting it involves applying a filter akin to the ramp filter in tomography. We design a basis in which this linear operator is sparse and thus can be tractably inverted despite its large size. We demonstrate via numerical experiments on synthetic datasets the robustness of our algorithm to high levels of noise. PMID:25699132

Estimating Time to Event From Longitudinal Categorical Data: An Analysis of Multiple Sclerosis Progression.

PubMed

Mandel, Micha; Gauthier, Susan A; Guttmann, Charles R G; Weiner, Howard L; Betensky, Rebecca A

2007-12-01

The expanded disability status scale (EDSS) is an ordinal score that measures progression in multiple sclerosis (MS). Progression is defined as reaching EDSS of a certain level (absolute progression) or increasing of one point of EDSS (relative progression). Survival methods for time to progression are not adequate for such data since they do not exploit the EDSS level at the end of follow-up. Instead, we suggest a Markov transitional model applicable for repeated categorical or ordinal data. This approach enables derivation of covariate-specific survival curves, obtained after estimation of the regression coefficients and manipulations of the resulting transition matrix. Large sample theory and resampling methods are employed to derive pointwise confidence intervals, which perform well in simulation. Methods for generating survival curves for time to EDSS of a certain level, time to increase of EDSS of at least one point, and time to two consecutive visits with EDSS greater than three are described explicitly. The regression models described are easily implemented using standard software packages. Survival curves are obtained from the regression results using packages that support simple matrix calculation. We present and demonstrate our method on data collected at the Partners MS center in Boston, MA. We apply our approach to progression defined by time to two consecutive visits with EDSS greater than three, and calculate crude (without covariates) and covariate-specific curves.

Error Covariance Penalized Regression: A novel multivariate model combining penalized regression with multivariate error structure.

PubMed

Allegrini, Franco; Braga, Jez W B; Moreira, Alessandro C O; Olivieri, Alejandro C

2018-06-29

A new multivariate regression model, named Error Covariance Penalized Regression (ECPR) is presented. Following a penalized regression strategy, the proposed model incorporates information about the measurement error structure of the system, using the error covariance matrix (ECM) as a penalization term. Results are reported from both simulations and experimental data based on replicate mid and near infrared (MIR and NIR) spectral measurements. The results for ECPR are better under non-iid conditions when compared with traditional first-order multivariate methods such as ridge regression (RR), principal component regression (PCR) and partial least-squares regression (PLS). Copyright © 2018 Elsevier B.V. All rights reserved.

ORACLE INEQUALITIES FOR THE LASSO IN THE COX MODEL

PubMed Central

Huang, Jian; Sun, Tingni; Ying, Zhiliang; Yu, Yi; Zhang, Cun-Hui

2013-01-01

We study the absolute penalized maximum partial likelihood estimator in sparse, high-dimensional Cox proportional hazards regression models where the number of time-dependent covariates can be larger than the sample size. We establish oracle inequalities based on natural extensions of the compatibility and cone invertibility factors of the Hessian matrix at the true regression coefficients. Similar results based on an extension of the restricted eigenvalue can be also proved by our method. However, the presented oracle inequalities are sharper since the compatibility and cone invertibility factors are always greater than the corresponding restricted eigenvalue. In the Cox regression model, the Hessian matrix is based on time-dependent covariates in censored risk sets, so that the compatibility and cone invertibility factors, and the restricted eigenvalue as well, are random variables even when they are evaluated for the Hessian at the true regression coefficients. Under mild conditions, we prove that these quantities are bounded from below by positive constants for time-dependent covariates, including cases where the number of covariates is of greater order than the sample size. Consequently, the compatibility and cone invertibility factors can be treated as positive constants in our oracle inequalities. PMID:24086091

ORACLE INEQUALITIES FOR THE LASSO IN THE COX MODEL.

PubMed

Huang, Jian; Sun, Tingni; Ying, Zhiliang; Yu, Yi; Zhang, Cun-Hui

2013-06-01

We study the absolute penalized maximum partial likelihood estimator in sparse, high-dimensional Cox proportional hazards regression models where the number of time-dependent covariates can be larger than the sample size. We establish oracle inequalities based on natural extensions of the compatibility and cone invertibility factors of the Hessian matrix at the true regression coefficients. Similar results based on an extension of the restricted eigenvalue can be also proved by our method. However, the presented oracle inequalities are sharper since the compatibility and cone invertibility factors are always greater than the corresponding restricted eigenvalue. In the Cox regression model, the Hessian matrix is based on time-dependent covariates in censored risk sets, so that the compatibility and cone invertibility factors, and the restricted eigenvalue as well, are random variables even when they are evaluated for the Hessian at the true regression coefficients. Under mild conditions, we prove that these quantities are bounded from below by positive constants for time-dependent covariates, including cases where the number of covariates is of greater order than the sample size. Consequently, the compatibility and cone invertibility factors can be treated as positive constants in our oracle inequalities.

Coil-to-coil physiological noise correlations and their impact on functional MRI time-series signal-to-noise ratio.

PubMed

Triantafyllou, Christina; Polimeni, Jonathan R; Keil, Boris; Wald, Lawrence L

2016-12-01

Physiological nuisance fluctuations ("physiological noise") are a major contribution to the time-series signal-to-noise ratio (tSNR) of functional imaging. While thermal noise correlations between array coil elements have a well-characterized effect on the image Signal to Noise Ratio (SNR 0 ), the element-to-element covariance matrix of the time-series fluctuations has not yet been analyzed. We examine this effect with a goal of ultimately improving the combination of multichannel array data. We extend the theoretical relationship between tSNR and SNR 0 to include a time-series noise covariance matrix Ψ t , distinct from the thermal noise covariance matrix Ψ 0 , and compare its structure to Ψ 0 and the signal coupling matrix SS H formed from the signal intensity vectors S. Inclusion of the measured time-series noise covariance matrix into the model relating tSNR and SNR 0 improves the fit of experimental multichannel data and is shown to be distinct from Ψ 0 or SS H . Time-series noise covariances in array coils are found to differ from Ψ 0 and more surprisingly, from the signal coupling matrix SS H . Correct characterization of the time-series noise has implications for the analysis of time-series data and for improving the coil element combination process. Magn Reson Med 76:1708-1719, 2016. © 2016 International Society for Magnetic Resonance in Medicine. © 2016 International Society for Magnetic Resonance in Medicine.

A multivariate multilevel Gaussian model with a mixed effects structure in the mean and covariance part.

PubMed

Li, Baoyue; Bruyneel, Luk; Lesaffre, Emmanuel

2014-05-20

A traditional Gaussian hierarchical model assumes a nested multilevel structure for the mean and a constant variance at each level. We propose a Bayesian multivariate multilevel factor model that assumes a multilevel structure for both the mean and the covariance matrix. That is, in addition to a multilevel structure for the mean we also assume that the covariance matrix depends on covariates and random effects. This allows to explore whether the covariance structure depends on the values of the higher levels and as such models heterogeneity in the variances and correlation structure of the multivariate outcome across the higher level values. The approach is applied to the three-dimensional vector of burnout measurements collected on nurses in a large European study to answer the research question whether the covariance matrix of the outcomes depends on recorded system-level features in the organization of nursing care, but also on not-recorded factors that vary with countries, hospitals, and nursing units. Simulations illustrate the performance of our modeling approach. Copyright © 2013 John Wiley & Sons, Ltd.

Model Reduction via Principe Component Analysis and Markov Chain Monte Carlo (MCMC) Methods

NASA Astrophysics Data System (ADS)

Gong, R.; Chen, J.; Hoversten, M. G.; Luo, J.

2011-12-01

Geophysical and hydrogeological inverse problems often include a large number of unknown parameters, ranging from hundreds to millions, depending on parameterization and problems undertaking. This makes inverse estimation and uncertainty quantification very challenging, especially for those problems in two- or three-dimensional spatial domains. Model reduction technique has the potential of mitigating the curse of dimensionality by reducing total numbers of unknowns while describing the complex subsurface systems adequately. In this study, we explore the use of principal component analysis (PCA) and Markov chain Monte Carlo (MCMC) sampling methods for model reduction through the use of synthetic datasets. We compare the performances of three different but closely related model reduction approaches: (1) PCA methods with geometric sampling (referred to as 'Method 1'), (2) PCA methods with MCMC sampling (referred to as 'Method 2'), and (3) PCA methods with MCMC sampling and inclusion of random effects (referred to as 'Method 3'). We consider a simple convolution model with five unknown parameters as our goal is to understand and visualize the advantages and disadvantages of each method by comparing their inversion results with the corresponding analytical solutions. We generated synthetic data with noise added and invert them under two different situations: (1) the noised data and the covariance matrix for PCA analysis are consistent (referred to as the unbiased case), and (2) the noise data and the covariance matrix are inconsistent (referred to as biased case). In the unbiased case, comparison between the analytical solutions and the inversion results show that all three methods provide good estimates of the true values and Method 1 is computationally more efficient. In terms of uncertainty quantification, Method 1 performs poorly because of relatively small number of samples obtained, Method 2 performs best, and Method 3 overestimates uncertainty due to inclusion of random effects. However, in the biased case, only Method 3 correctly estimates all the unknown parameters, and both Methods 1 and 2 provide wrong values for the biased parameters. The synthetic case study demonstrates that if the covariance matrix for PCA analysis is inconsistent with true models, the PCA methods with geometric or MCMC sampling will provide incorrect estimates.

Mitigation of Faraday rotation in ALOS-2/PALSAR-2 full polarimetric SAR imageries

NASA Astrophysics Data System (ADS)

Mohanty, Shradha; Singh, Gulab

2016-05-01

The ionosphere, which extends from 50-450 kms in earth's atmosphere, is a particularly important region with regards electromagnetic wave propagation and radio communications in the L-band and lower frequencies. These ions interact with the traversing electromagnetic wave and cause rotation of polarization of the radar signal. In this paper, a potentially computable method for quantifying Faraday rotation (FR), is discussed with the knowledge of full polarimetric ALOS/PALSAR data and ALOS-2/PALSAR-2 data. For a well calibrated monostatic, full-pol ALOS-2/PALSAR-2 data, the reciprocal symmetry of the received scattering matrix is violated due to FR. Apart from FR, other system parameters like residual system noise, channel amplitude, phase imbalance and cross-talk, also account for the non-symmetry. To correct for the FR effect, firstly the noise correction was performed. PALSAR/PALSAR-2 data was converted into 4×4 covariance matrix to calculate the coherence between cross-polarized elements. Covariance matrix was modified by the coherence factor. For FR corrections, the covariance matrix was converted into 4×4 coherency matrix. The elements of coherency matrix were used to estimate FR angle and correct for FR. Higher mean FR values during ALOS-PALSAR measurements can be seen in regions nearer to the equator and the values gradually decrease with increase in latitude. Moreover, temporal variations in FR can also be noticed over different years (2006-2010), with varying sunspot activities for the Niigata, Japan test site. With increasing sunspot activities expected during ALOS-2/PALSAR-2 observations, more striping effects were observed over Mumbai, India. This data has also been FR corrected, with mean FR values of about 8°, using the above mentioned technique.

Computation of ancestry scores with mixed families and unrelated individuals.

PubMed

Zhou, Yi-Hui; Marron, James S; Wright, Fred A

2018-03-01

The issue of robustness to family relationships in computing genotype ancestry scores such as eigenvector projections has received increased attention in genetic association, and is particularly challenging when sets of both unrelated individuals and closely related family members are included. The current standard is to compute loadings (left singular vectors) using unrelated individuals and to compute projected scores for remaining family members. However, projected ancestry scores from this approach suffer from shrinkage toward zero. We consider two main novel strategies: (i) matrix substitution based on decomposition of a target family-orthogonalized covariance matrix, and (ii) using family-averaged data to obtain loadings. We illustrate the performance via simulations, including resampling from 1000 Genomes Project data, and analysis of a cystic fibrosis dataset. The matrix substitution approach has similar performance to the current standard, but is simple and uses only a genotype covariance matrix, while the family-average method shows superior performance. Our approaches are accompanied by novel ancillary approaches that provide considerable insight, including individual-specific eigenvalue scree plots. © 2017 The Authors. Biometrics published by Wiley Periodicals, Inc. on behalf of International Biometric Society.

Finding Imaging Patterns of Structural Covariance via Non-Negative Matrix Factorization

PubMed Central

Sotiras, Aristeidis; Resnick, Susan M.; Davatzikos, Christos

2015-01-01

In this paper, we investigate the use of Non-Negative Matrix Factorization (NNMF) for the analysis of structural neuroimaging data. The goal is to identify the brain regions that co-vary across individuals in a consistent way, hence potentially being part of underlying brain networks or otherwise influenced by underlying common mechanisms such as genetics and pathologies. NNMF offers a directly data-driven way of extracting relatively localized co-varying structural regions, thereby transcending limitations of Principal Component Analysis (PCA), Independent Component Analysis (ICA) and other related methods that tend to produce dispersed components of positive and negative loadings. In particular, leveraging upon the well known ability of NNMF to produce parts-based representations of image data, we derive decompositions that partition the brain into regions that vary in consistent ways across individuals. Importantly, these decompositions achieve dimensionality reduction via highly interpretable ways and generalize well to new data as shown via split-sample experiments. We empirically validate NNMF in two data sets: i) a Diffusion Tensor (DT) mouse brain development study, and ii) a structural Magnetic Resonance (sMR) study of human brain aging. We demonstrate the ability of NNMF to produce sparse parts-based representations of the data at various resolutions. These representations seem to follow what we know about the underlying functional organization of the brain and also capture some pathological processes. Moreover, we show that these low dimensional representations favorably compare to descriptions obtained with more commonly used matrix factorization methods like PCA and ICA. PMID:25497684

Optimization of the kernel functions in a probabilistic neural network analyzing the local pattern distribution.

PubMed

Galleske, I; Castellanos, J

2002-05-01

This article proposes a procedure for the automatic determination of the elements of the covariance matrix of the gaussian kernel function of probabilistic neural networks. Two matrices, a rotation matrix and a matrix of variances, can be calculated by analyzing the local environment of each training pattern. The combination of them will form the covariance matrix of each training pattern. This automation has two advantages: First, it will free the neural network designer from indicating the complete covariance matrix, and second, it will result in a network with better generalization ability than the original model. A variation of the famous two-spiral problem and real-world examples from the UCI Machine Learning Repository will show a classification rate not only better than the original probabilistic neural network but also that this model can outperform other well-known classification techniques.

Uncertainty based pressure reconstruction from velocity measurement with generalized least squares

NASA Astrophysics Data System (ADS)

Zhang, Jiacheng; Scalo, Carlo; Vlachos, Pavlos

2017-11-01

A method using generalized least squares reconstruction of instantaneous pressure field from velocity measurement and velocity uncertainty is introduced and applied to both planar and volumetric flow data. Pressure gradients are computed on a staggered grid from flow acceleration. The variance-covariance matrix of the pressure gradients is evaluated from the velocity uncertainty by approximating the pressure gradient error to a linear combination of velocity errors. An overdetermined system of linear equations which relates the pressure and the computed pressure gradients is formulated and then solved using generalized least squares with the variance-covariance matrix of the pressure gradients. By comparing the reconstructed pressure field against other methods such as solving the pressure Poisson equation, the omni-directional integration, and the ordinary least squares reconstruction, generalized least squares method is found to be more robust to the noise in velocity measurement. The improvement on pressure result becomes more remarkable when the velocity measurement becomes less accurate and more heteroscedastic. The uncertainty of the reconstructed pressure field is also quantified and compared across the different methods.

Covariate analysis of bivariate survival data

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bennett, L.E.

1992-01-01

The methods developed are used to analyze the effects of covariates on bivariate survival data when censoring and ties are present. The proposed method provides models for bivariate survival data that include differential covariate effects and censored observations. The proposed models are based on an extension of the univariate Buckley-James estimators which replace censored data points by their expected values, conditional on the censoring time and the covariates. For the bivariate situation, it is necessary to determine the expectation of the failure times for one component conditional on the failure or censoring time of the other component. Two different methodsmore » have been developed to estimate these expectations. In the semiparametric approach these expectations are determined from a modification of Burke's estimate of the bivariate empirical survival function. In the parametric approach censored data points are also replaced by their conditional expected values where the expected values are determined from a specified parametric distribution. The model estimation will be based on the revised data set, comprised of uncensored components and expected values for the censored components. The variance-covariance matrix for the estimated covariate parameters has also been derived for both the semiparametric and parametric methods. Data from the Demographic and Health Survey was analyzed by these methods. The two outcome variables are post-partum amenorrhea and breastfeeding; education and parity were used as the covariates. Both the covariate parameter estimates and the variance-covariance estimates for the semiparametric and parametric models will be compared. In addition, a multivariate test statistic was used in the semiparametric model to examine contrasts. The significance of the statistic was determined from a bootstrap distribution of the test statistic.« less

Tensor manifold-based extreme learning machine for 2.5-D face recognition

NASA Astrophysics Data System (ADS)

Chong, Lee Ying; Ong, Thian Song; Teoh, Andrew Beng Jin

2018-01-01

We explore the use of the Gabor regional covariance matrix (GRCM), a flexible matrix-based descriptor that embeds the Gabor features in the covariance matrix, as a 2.5-D facial descriptor and an effective means of feature fusion for 2.5-D face recognition problems. Despite its promise, matching is not a trivial problem for GRCM since it is a special instance of a symmetric positive definite (SPD) matrix that resides in non-Euclidean space as a tensor manifold. This implies that GRCM is incompatible with the existing vector-based classifiers and distance matchers. Therefore, we bridge the gap of the GRCM and extreme learning machine (ELM), a vector-based classifier for the 2.5-D face recognition problem. We put forward a tensor manifold-compliant ELM and its two variants by embedding the SPD matrix randomly into reproducing kernel Hilbert space (RKHS) via tensor kernel functions. To preserve the pair-wise distance of the embedded data, we orthogonalize the random-embedded SPD matrix. Hence, classification can be done using a simple ridge regressor, an integrated component of ELM, on the random orthogonal RKHS. Experimental results show that our proposed method is able to improve the recognition performance and further enhance the computational efficiency.

Performance of internal covariance estimators for cosmic shear correlation functions

DOE PAGES

Friedrich, O.; Seitz, S.; Eifler, T. F.; ...

2015-12-31

Data re-sampling methods such as the delete-one jackknife are a common tool for estimating the covariance of large scale structure probes. In this paper we investigate the concepts of internal covariance estimation in the context of cosmic shear two-point statistics. We demonstrate how to use log-normal simulations of the convergence field and the corresponding shear field to carry out realistic tests of internal covariance estimators and find that most estimators such as jackknife or sub-sample covariance can reach a satisfactory compromise between bias and variance of the estimated covariance. In a forecast for the complete, 5-year DES survey we show that internally estimated covariance matrices can provide a large fraction of the true uncertainties on cosmological parameters in a 2D cosmic shear analysis. The volume inside contours of constant likelihood in themore » $$\\Omega_m$$-$$\\sigma_8$$ plane as measured with internally estimated covariance matrices is on average $$\\gtrsim 85\\%$$ of the volume derived from the true covariance matrix. The uncertainty on the parameter combination $$\\Sigma_8 \\sim \\sigma_8 \\Omega_m^{0.5}$$ derived from internally estimated covariances is $$\\sim 90\\%$$ of the true uncertainty.« less

DOE Office of Scientific and Technical Information (OSTI.GOV)

Niu, T; Dong, X; Petrongolo, M

Purpose: Dual energy CT (DECT) imaging plays an important role in advanced imaging applications due to its material decomposition capability. Direct decomposition via matrix inversion suffers from significant degradation of image signal-to-noise ratios, which reduces clinical value. Existing de-noising algorithms achieve suboptimal performance since they suppress image noise either before or after the decomposition and do not fully explore the noise statistical properties of the decomposition process. We propose an iterative image-domain decomposition method for noise suppression in DECT, using the full variance-covariance matrix of the decomposed images. Methods: The proposed algorithm is formulated in the form of least-square estimationmore » with smoothness regularization. It includes the inverse of the estimated variance-covariance matrix of the decomposed images as the penalty weight in the least-square term. Performance is evaluated using an evaluation phantom (Catphan 600) and an anthropomorphic head phantom. Results are compared to those generated using direct matrix inversion with no noise suppression, a de-noising method applied on the decomposed images, and an existing algorithm with similar formulation but with an edge-preserving regularization term. Results: On the Catphan phantom, our method retains the same spatial resolution as the CT images before decomposition while reducing the noise standard deviation of decomposed images by over 98%. The other methods either degrade spatial resolution or achieve less low-contrast detectability. Also, our method yields lower electron density measurement error than direct matrix inversion and reduces error variation by over 97%. On the head phantom, it reduces the noise standard deviation of decomposed images by over 97% without blurring the sinus structures. Conclusion: We propose an iterative image-domain decomposition method for DECT. The method combines noise suppression and material decomposition into an iterative process and achieves both goals simultaneously. The proposed algorithm shows superior performance on noise suppression with high image spatial resolution and low-contrast detectability. This work is supported by a Varian MRA grant.« less

Bayes linear covariance matrix adjustment

NASA Astrophysics Data System (ADS)

Wilkinson, Darren J.

1995-12-01

In this thesis, a Bayes linear methodology for the adjustment of covariance matrices is presented and discussed. A geometric framework for quantifying uncertainties about covariance matrices is set up, and an inner-product for spaces of random matrices is motivated and constructed. The inner-product on this space captures aspects of our beliefs about the relationship between covariance matrices of interest to us, providing a structure rich enough for us to adjust beliefs about unknown matrices in the light of data such as sample covariance matrices, exploiting second-order exchangeability and related specifications to obtain representations allowing analysis. Adjustment is associated with orthogonal projection, and illustrated with examples of adjustments for some common problems. The problem of adjusting the covariance matrices underlying exchangeable random vectors is tackled and discussed. Learning about the covariance matrices associated with multivariate time series dynamic linear models is shown to be amenable to a similar approach. Diagnostics for matrix adjustments are also discussed.

Multimodal Optimization by Covariance Matrix Self-Adaptation Evolution Strategy with Repelling Subpopulations.

PubMed

Ahrari, Ali; Deb, Kalyanmoy; Preuss, Mike

2017-01-01

During the recent decades, many niching methods have been proposed and empirically verified on some available test problems. They often rely on some particular assumptions associated with the distribution, shape, and size of the basins, which can seldom be made in practical optimization problems. This study utilizes several existing concepts and techniques, such as taboo points, normalized Mahalanobis distance, and the Ursem's hill-valley function in order to develop a new tool for multimodal optimization, which does not make any of these assumptions. In the proposed method, several subpopulations explore the search space in parallel. Offspring of a subpopulation are forced to maintain a sufficient distance to the center of fitter subpopulations and the previously identified basins, which are marked as taboo points. The taboo points repel the subpopulation to prevent convergence to the same basin. A strategy to update the repelling power of the taboo points is proposed to address the challenge of basins of dissimilar size. The local shape of a basin is also approximated by the distribution of the subpopulation members converging to that basin. The proposed niching strategy is incorporated into the covariance matrix self-adaptation evolution strategy (CMSA-ES), a potent global optimization method. The resultant method, called the covariance matrix self-adaptation with repelling subpopulations (RS-CMSA), is assessed and compared to several state-of-the-art niching methods on a standard test suite for multimodal optimization. An organized procedure for parameter setting is followed which assumes a rough estimation of the desired/expected number of minima available. Performance sensitivity to the accuracy of this estimation is also studied by introducing the concept of robust mean peak ratio. Based on the numerical results using the available and the introduced performance measures, RS-CMSA emerges as the most successful method when robustness and efficiency are considered at the same time.

Are Low-order Covariance Estimates Useful in Error Analyses?

NASA Astrophysics Data System (ADS)

Baker, D. F.; Schimel, D.

2005-12-01

Atmospheric trace gas inversions, using modeled atmospheric transport to infer surface sources and sinks from measured concentrations, are most commonly done using least-squares techniques that return not only an estimate of the state (the surface fluxes) but also the covariance matrix describing the uncertainty in that estimate. Besides allowing one to place error bars around the estimate, the covariance matrix may be used in simulation studies to learn what uncertainties would be expected from various hypothetical observing strategies. This error analysis capability is routinely used in designing instrumentation, measurement campaigns, and satellite observing strategies. For example, Rayner, et al (2002) examined the ability of satellite-based column-integrated CO2 measurements to constrain monthly-average CO2 fluxes for about 100 emission regions using this approach. Exact solutions for both state vector and covariance matrix become computationally infeasible, however, when the surface fluxes are solved at finer resolution (e.g., daily in time, under 500 km in space). It is precisely at these finer scales, however, that one would hope to be able to estimate fluxes using high-density satellite measurements. Non-exact estimation methods such as variational data assimilation or the ensemble Kalman filter could be used, but they achieve their computational savings by obtaining an only approximate state estimate and a low-order approximation of the true covariance. One would like to be able to use this covariance matrix to do the same sort of error analyses as are done with the full-rank covariance, but is it correct to do so? Here we compare uncertainties and `information content' derived from full-rank covariance matrices obtained from a direct, batch least squares inversion to those from the incomplete-rank covariance matrices given by a variational data assimilation approach solved with a variable metric minimization technique (the Broyden-Fletcher- Goldfarb-Shanno algorithm). Two cases are examined: a toy problem in which CO2 fluxes for 3 latitude bands are estimated for only 2 time steps per year, and for the monthly fluxes for 22 regions across 1988-2003 solved for in the TransCom3 interannual flux inversion of Baker, et al (2005). The usefulness of the uncertainty estimates will be assessed as a function of the number of minimization steps used in the variational approach; this will help determine whether they will also be useful in the high-resolution cases that we would most like to apply the non-exact methods to. Baker, D.F., et al., TransCom3 inversion intercomparison: Impact of transport model errors on the interannual variability of regional CO2 fluxes, 1988-2003, Glob. Biogeochem. Cycles, doi:10.1029/2004GB002439, 2005, in press. Rayner, P.J., R.M. Law, D.M. O'Brien, T.M. Butler, and A.C. Dilley, Global observations of the carbon budget, 3, Initial assessment of the impact of satellite orbit, scan geometry, and cloud on measuring CO2 from space, J. Geophys. Res., 107(D21), 4557, doi:10.1029/2001JD000618, 2002.

Using Fisher Information Criteria for Chemical Sensor Selection via Convex Optimization Methods

DTIC Science & Technology

2016-11-16

determinant of the inverse Fisher information matrix which is proportional to the global error volume. If a practitioner has a suitable...pro- ceeds from the determinant of the inverse Fisher information matrix which is proportional to the global error volume. If a practitioner has a...design of statistical estimators (i.e. sensors) as their respective inverses act as lower bounds to the (co)variances of the subject estimator, a property

Combining Correlation Matrices: Simulation Analysis of Improved Fixed-Effects Methods

ERIC Educational Resources Information Center

Hafdahl, Adam R.

2007-01-01

The originally proposed multivariate meta-analysis approach for correlation matrices--analyze Pearson correlations, with each study's observed correlations replacing their population counterparts in its conditional-covariance matrix--performs poorly. Two refinements are considered: Analyze Fisher Z-transformed correlations, and substitute better…

Bayes Factor Covariance Testing in Item Response Models.

PubMed

Fox, Jean-Paul; Mulder, Joris; Sinharay, Sandip

2017-12-01

Two marginal one-parameter item response theory models are introduced, by integrating out the latent variable or random item parameter. It is shown that both marginal response models are multivariate (probit) models with a compound symmetry covariance structure. Several common hypotheses concerning the underlying covariance structure are evaluated using (fractional) Bayes factor tests. The support for a unidimensional factor (i.e., assumption of local independence) and differential item functioning are evaluated by testing the covariance components. The posterior distribution of common covariance components is obtained in closed form by transforming latent responses with an orthogonal (Helmert) matrix. This posterior distribution is defined as a shifted-inverse-gamma, thereby introducing a default prior and a balanced prior distribution. Based on that, an MCMC algorithm is described to estimate all model parameters and to compute (fractional) Bayes factor tests. Simulation studies are used to show that the (fractional) Bayes factor tests have good properties for testing the underlying covariance structure of binary response data. The method is illustrated with two real data studies.

Neutron Multiplicity: LANL W Covariance Matrix for Curve Fitting

DOE Office of Scientific and Technical Information (OSTI.GOV)

Wendelberger, James G.

2016-12-08

In neutron multiplicity counting one may fit a curve by minimizing an objective function, χmore » $$2\\atop{n}$$. The objective function includes the inverse of an n by n matrix of covariances, W. The inverse of the W matrix has a closed form solution. In addition W -1 is a tri-diagonal matrix. The closed form and tridiagonal nature allows for a simpler expression of the objective function χ$$2\\atop{n}$$. Minimization of this simpler expression will provide the optimal parameters for the fitted curve.« less

Detection Performance of Horizontal Linear Hydrophone Arrays in Shallow Water.

DTIC Science & Technology

1980-12-15

random phase G gain G angle interval covariance matrix h processor vector H matrix matched filter; generalized beamformer I unity matrix 4 SACLANTCEN SR...omnidirectional sensor is h*Ph P G = - h [Eq. 47] G = h* Q h P s The following two sections evaluate a few examples of application of the OLP. Following the...At broadside the signal covariance matrix reduces to a dyadic: P 󈧬 s s*;therefore, the gain (e.g. Eq. 37) becomes tr(H* P H) Pn * -1 Q -1 Pn G ~OQp

Graph reconstruction using covariance-based methods.

PubMed

Sulaimanov, Nurgazy; Koeppl, Heinz

2016-12-01

Methods based on correlation and partial correlation are today employed in the reconstruction of a statistical interaction graph from high-throughput omics data. These dedicated methods work well even for the case when the number of variables exceeds the number of samples. In this study, we investigate how the graphs extracted from covariance and concentration matrix estimates are related by using Neumann series and transitive closure and through discussing concrete small examples. Considering the ideal case where the true graph is available, we also compare correlation and partial correlation methods for large realistic graphs. In particular, we perform the comparisons with optimally selected parameters based on the true underlying graph and with data-driven approaches where the parameters are directly estimated from the data.

Investigation of the Capability of Compact Polarimetric SAR Interferometry to Estimate Forest Height

NASA Astrophysics Data System (ADS)

Zhang, Hong; Xie, Lei; Wang, Chao; Chen, Jiehong

2013-08-01

The main objective of this paper is to investigate the capability of compact Polarimetric SAR Interferometry (C-PolInSAR) on forest height estimation. For this, the pseudo fully polarimetric interferomteric (F-PolInSAR) covariance matrix is firstly reconstructed, then the three- stage inversion algorithm, hybrid algorithm, Music and Capon algorithm are applied to both C-PolInSAR covariance matrix and pseudo F-PolInSAR covariance matrix. The availability of forest height estimation is demonstrated using L-band data generated by simulator PolSARProSim and X-band airborne data acquired by East China Research Institute of Electronic Engineering, China Electronics Technology Group Corporation.

Covariance Matrix of a Double-Differential Doppler-Broadened Elastic Scattering Cross Section

NASA Astrophysics Data System (ADS)

Arbanas, G.; Becker, B.; Dagan, R.; Dunn, M. E.; Larson, N. M.; Leal, L. C.; Williams, M. L.

2012-05-01

Legendre moments of a double-differential Doppler-broadened elastic neutron scattering cross section on 238U are computed near the 6.67 eV resonance at temperature T = 103 K up to angular order 14. A covariance matrix of these Legendre moments is computed as a functional of the covariance matrix of the elastic scattering cross section. A variance of double-differential Doppler-broadened elastic scattering cross section is computed from the covariance of Legendre moments. Notice: This manuscript has been authored by UT-Battelle, LLC, under contract DE-AC05-00OR22725 with the U.S. Department of Energy. The United States Government retains and the publisher, by accepting the article for publication, acknowledges that the United States Government retains a non-exclusive, paid-up, irrevocable, world-wide license to publish or reproduce the published form of this manuscript, or allow others to do so, for United States Government purposes.

Empirical Bayes method for reducing false discovery rates of correlation matrices with block diagonal structure.

PubMed

Pacini, Clare; Ajioka, James W; Micklem, Gos

2017-04-12

Correlation matrices are important in inferring relationships and networks between regulatory or signalling elements in biological systems. With currently available technology sample sizes for experiments are typically small, meaning that these correlations can be difficult to estimate. At a genome-wide scale estimation of correlation matrices can also be computationally demanding. We develop an empirical Bayes approach to improve covariance estimates for gene expression, where we assume the covariance matrix takes a block diagonal form. Our method shows lower false discovery rates than existing methods on simulated data. Applied to a real data set from Bacillus subtilis we demonstrate it's ability to detecting known regulatory units and interactions between them. We demonstrate that, compared to existing methods, our method is able to find significant covariances and also to control false discovery rates, even when the sample size is small (n=10). The method can be used to find potential regulatory networks, and it may also be used as a pre-processing step for methods that calculate, for example, partial correlations, so enabling the inference of the causal and hierarchical structure of the networks.

The estimation error covariance matrix for the ideal state reconstructor with measurement noise

NASA Technical Reports Server (NTRS)

Polites, Michael E.

1988-01-01

A general expression is derived for the state estimation error covariance matrix for the Ideal State Reconstructor when the input measurements are corrupted by measurement noise. An example is presented which shows that the more measurements used in estimating the state at a given time, the better the estimator.

Factor Covariance Analysis in Subgroups.

ERIC Educational Resources Information Center

Pennell, Roger

The problem considered is that of an investigator sampling two or more correlation matrices and desiring to fit a model where a factor pattern matrix is assumed to be identical across samples and we need to estimate only the factor covariance matrix and the unique variance for each sample. A flexible, least squares solution is worked out and…

Multilevel covariance regression with correlated random effects in the mean and variance structure.

PubMed

Quintero, Adrian; Lesaffre, Emmanuel

2017-09-01

Multivariate regression methods generally assume a constant covariance matrix for the observations. In case a heteroscedastic model is needed, the parametric and nonparametric covariance regression approaches can be restrictive in the literature. We propose a multilevel regression model for the mean and covariance structure, including random intercepts in both components and allowing for correlation between them. The implied conditional covariance function can be different across clusters as a result of the random effect in the variance structure. In addition, allowing for correlation between the random intercepts in the mean and covariance makes the model convenient for skewedly distributed responses. Furthermore, it permits us to analyse directly the relation between the mean response level and the variability in each cluster. Parameter estimation is carried out via Gibbs sampling. We compare the performance of our model to other covariance modelling approaches in a simulation study. Finally, the proposed model is applied to the RN4CAST dataset to identify the variables that impact burnout of nurses in Belgium. © 2017 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

EvolQG - An R package for evolutionary quantitative genetics

PubMed Central

Melo, Diogo; Garcia, Guilherme; Hubbe, Alex; Assis, Ana Paula; Marroig, Gabriel

2016-01-01

We present an open source package for performing evolutionary quantitative genetics analyses in the R environment for statistical computing. Evolutionary theory shows that evolution depends critically on the available variation in a given population. When dealing with many quantitative traits this variation is expressed in the form of a covariance matrix, particularly the additive genetic covariance matrix or sometimes the phenotypic matrix, when the genetic matrix is unavailable and there is evidence the phenotypic matrix is sufficiently similar to the genetic matrix. Given this mathematical representation of available variation, the \\textbf{EvolQG} package provides functions for calculation of relevant evolutionary statistics; estimation of sampling error; corrections for this error; matrix comparison via correlations, distances and matrix decomposition; analysis of modularity patterns; and functions for testing evolutionary hypotheses on taxa diversification. PMID:27785352

Bayesian source term determination with unknown covariance of measurements

NASA Astrophysics Data System (ADS)

Belal, Alkomiet; Tichý, Ondřej; Šmídl, Václav

2017-04-01

Determination of a source term of release of a hazardous material into the atmosphere is a very important task for emergency response. We are concerned with the problem of estimation of the source term in the conventional linear inverse problem, y = Mx, where the relationship between the vector of observations y is described using the source-receptor-sensitivity (SRS) matrix M and the unknown source term x. Since the system is typically ill-conditioned, the problem is recast as an optimization problem minR,B(y - Mx)TR-1(y - Mx) + xTB-1x. The first term minimizes the error of the measurements with covariance matrix R, and the second term is a regularization of the source term. There are different types of regularization arising for different choices of matrices R and B, for example, Tikhonov regularization assumes covariance matrix B as the identity matrix multiplied by scalar parameter. In this contribution, we adopt a Bayesian approach to make inference on the unknown source term x as well as unknown R and B. We assume prior on x to be a Gaussian with zero mean and unknown diagonal covariance matrix B. The covariance matrix of the likelihood R is also unknown. We consider two potential choices of the structure of the matrix R. First is the diagonal matrix and the second is a locally correlated structure using information on topology of the measuring network. Since the inference of the model is intractable, iterative variational Bayes algorithm is used for simultaneous estimation of all model parameters. The practical usefulness of our contribution is demonstrated on an application of the resulting algorithm to real data from the European Tracer Experiment (ETEX). This research is supported by EEA/Norwegian Financial Mechanism under project MSMT-28477/2014 Source-Term Determination of Radionuclide Releases by Inverse Atmospheric Dispersion Modelling (STRADI).

Quantifying lost information due to covariance matrix estimation in parameter inference

NASA Astrophysics Data System (ADS)

Sellentin, Elena; Heavens, Alan F.

2017-02-01

Parameter inference with an estimated covariance matrix systematically loses information due to the remaining uncertainty of the covariance matrix. Here, we quantify this loss of precision and develop a framework to hypothetically restore it, which allows to judge how far away a given analysis is from the ideal case of a known covariance matrix. We point out that it is insufficient to estimate this loss by debiasing the Fisher matrix as previously done, due to a fundamental inequality that describes how biases arise in non-linear functions. We therefore develop direct estimators for parameter credibility contours and the figure of merit, finding that significantly fewer simulations than previously thought are sufficient to reach satisfactory precisions. We apply our results to DES Science Verification weak lensing data, detecting a 10 per cent loss of information that increases their credibility contours. No significant loss of information is found for KiDS. For a Euclid-like survey, with about 10 nuisance parameters we find that 2900 simulations are sufficient to limit the systematically lost information to 1 per cent, with an additional uncertainty of about 2 per cent. Without any nuisance parameters, 1900 simulations are sufficient to only lose 1 per cent of information. We further derive estimators for all quantities needed for forecasting with estimated covariance matrices. Our formalism allows to determine the sweetspot between running sophisticated simulations to reduce the number of nuisance parameters, and running as many fast simulations as possible.

Fast Component Pursuit for Large-Scale Inverse Covariance Estimation.

PubMed

Han, Lei; Zhang, Yu; Zhang, Tong

2016-08-01

The maximum likelihood estimation (MLE) for the Gaussian graphical model, which is also known as the inverse covariance estimation problem, has gained increasing interest recently. Most existing works assume that inverse covariance estimators contain sparse structure and then construct models with the ℓ 1 regularization. In this paper, different from existing works, we study the inverse covariance estimation problem from another perspective by efficiently modeling the low-rank structure in the inverse covariance, which is assumed to be a combination of a low-rank part and a diagonal matrix. One motivation for this assumption is that the low-rank structure is common in many applications including the climate and financial analysis, and another one is that such assumption can reduce the computational complexity when computing its inverse. Specifically, we propose an efficient COmponent Pursuit (COP) method to obtain the low-rank part, where each component can be sparse. For optimization, the COP method greedily learns a rank-one component in each iteration by maximizing the log-likelihood. Moreover, the COP algorithm enjoys several appealing properties including the existence of an efficient solution in each iteration and the theoretical guarantee on the convergence of this greedy approach. Experiments on large-scale synthetic and real-world datasets including thousands of millions variables show that the COP method is faster than the state-of-the-art techniques for the inverse covariance estimation problem when achieving comparable log-likelihood on test data.

SALSA3D: A Tomographic Model of Compressional Wave Slowness in the Earth’s Mantle for Improved Travel-Time Prediction and Travel-Time Prediction Uncertainty

DOE Office of Scientific and Technical Information (OSTI.GOV)

Ballard, Sanford; Hipp, James R.; Begnaud, Michael L.

The task of monitoring the Earth for nuclear explosions relies heavily on seismic data to detect, locate, and characterize suspected nuclear tests. In this study, motivated by the need to locate suspected explosions as accurately and precisely as possible, we developed a tomographic model of the compressional wave slowness in the Earth’s mantle with primary focus on the accuracy and precision of travel-time predictions for P and Pn ray paths through the model. Path-dependent travel-time prediction uncertainties are obtained by computing the full 3D model covariance matrix and then integrating slowness variance and covariance along ray paths from source tomore » receiver. Path-dependent travel-time prediction uncertainties reflect the amount of seismic data that was used in tomography with very low values for paths represented by abundant data in the tomographic data set and very high values for paths through portions of the model that were poorly sampled by the tomography data set. The pattern of travel-time prediction uncertainty is a direct result of the off-diagonal terms of the model covariance matrix and underscores the importance of incorporating the full model covariance matrix in the determination of travel-time prediction uncertainty. In addition, the computed pattern of uncertainty differs significantly from that of 1D distance-dependent travel-time uncertainties computed using traditional methods, which are only appropriate for use with travel times computed through 1D velocity models.« less

SALSA3D: A Tomographic Model of Compressional Wave Slowness in the Earth’s Mantle for Improved Travel-Time Prediction and Travel-Time Prediction Uncertainty

DOE PAGES

Ballard, Sanford; Hipp, James R.; Begnaud, Michael L.; ...

2016-10-11

The task of monitoring the Earth for nuclear explosions relies heavily on seismic data to detect, locate, and characterize suspected nuclear tests. In this study, motivated by the need to locate suspected explosions as accurately and precisely as possible, we developed a tomographic model of the compressional wave slowness in the Earth’s mantle with primary focus on the accuracy and precision of travel-time predictions for P and Pn ray paths through the model. Path-dependent travel-time prediction uncertainties are obtained by computing the full 3D model covariance matrix and then integrating slowness variance and covariance along ray paths from source tomore » receiver. Path-dependent travel-time prediction uncertainties reflect the amount of seismic data that was used in tomography with very low values for paths represented by abundant data in the tomographic data set and very high values for paths through portions of the model that were poorly sampled by the tomography data set. The pattern of travel-time prediction uncertainty is a direct result of the off-diagonal terms of the model covariance matrix and underscores the importance of incorporating the full model covariance matrix in the determination of travel-time prediction uncertainty. In addition, the computed pattern of uncertainty differs significantly from that of 1D distance-dependent travel-time uncertainties computed using traditional methods, which are only appropriate for use with travel times computed through 1D velocity models.« less

Multivariate localization methods for ensemble Kalman filtering

NASA Astrophysics Data System (ADS)

Roh, S.; Jun, M.; Szunyogh, I.; Genton, M. G.

2015-12-01

In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (element-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables that exist at the same locations has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.

Adjoints and Low-rank Covariance Representation

NASA Technical Reports Server (NTRS)

Tippett, Michael K.; Cohn, Stephen E.

2000-01-01

Quantitative measures of the uncertainty of Earth System estimates can be as important as the estimates themselves. Second moments of estimation errors are described by the covariance matrix, whose direct calculation is impractical when the number of degrees of freedom of the system state is large. Ensemble and reduced-state approaches to prediction and data assimilation replace full estimation error covariance matrices by low-rank approximations. The appropriateness of such approximations depends on the spectrum of the full error covariance matrix, whose calculation is also often impractical. Here we examine the situation where the error covariance is a linear transformation of a forcing error covariance. We use operator norms and adjoints to relate the appropriateness of low-rank representations to the conditioning of this transformation. The analysis is used to investigate low-rank representations of the steady-state response to random forcing of an idealized discrete-time dynamical system.

Multiple feature fusion via covariance matrix for visual tracking

NASA Astrophysics Data System (ADS)

Jin, Zefenfen; Hou, Zhiqiang; Yu, Wangsheng; Wang, Xin; Sun, Hui

2018-04-01

Aiming at the problem of complicated dynamic scenes in visual target tracking, a multi-feature fusion tracking algorithm based on covariance matrix is proposed to improve the robustness of the tracking algorithm. In the frame-work of quantum genetic algorithm, this paper uses the region covariance descriptor to fuse the color, edge and texture features. It also uses a fast covariance intersection algorithm to update the model. The low dimension of region covariance descriptor, the fast convergence speed and strong global optimization ability of quantum genetic algorithm, and the fast computation of fast covariance intersection algorithm are used to improve the computational efficiency of fusion, matching, and updating process, so that the algorithm achieves a fast and effective multi-feature fusion tracking. The experiments prove that the proposed algorithm can not only achieve fast and robust tracking but also effectively handle interference of occlusion, rotation, deformation, motion blur and so on.

Finding imaging patterns of structural covariance via Non-Negative Matrix Factorization.

PubMed

Sotiras, Aristeidis; Resnick, Susan M; Davatzikos, Christos

2015-03-01

In this paper, we investigate the use of Non-Negative Matrix Factorization (NNMF) for the analysis of structural neuroimaging data. The goal is to identify the brain regions that co-vary across individuals in a consistent way, hence potentially being part of underlying brain networks or otherwise influenced by underlying common mechanisms such as genetics and pathologies. NNMF offers a directly data-driven way of extracting relatively localized co-varying structural regions, thereby transcending limitations of Principal Component Analysis (PCA), Independent Component Analysis (ICA) and other related methods that tend to produce dispersed components of positive and negative loadings. In particular, leveraging upon the well known ability of NNMF to produce parts-based representations of image data, we derive decompositions that partition the brain into regions that vary in consistent ways across individuals. Importantly, these decompositions achieve dimensionality reduction via highly interpretable ways and generalize well to new data as shown via split-sample experiments. We empirically validate NNMF in two data sets: i) a Diffusion Tensor (DT) mouse brain development study, and ii) a structural Magnetic Resonance (sMR) study of human brain aging. We demonstrate the ability of NNMF to produce sparse parts-based representations of the data at various resolutions. These representations seem to follow what we know about the underlying functional organization of the brain and also capture some pathological processes. Moreover, we show that these low dimensional representations favorably compare to descriptions obtained with more commonly used matrix factorization methods like PCA and ICA. Copyright © 2014 Elsevier Inc. All rights reserved.

Spatial Pyramid Covariance based Compact Video Code for Robust Face Retrieval in TV-series.

PubMed

Li, Yan; Wang, Ruiping; Cui, Zhen; Shan, Shiguang; Chen, Xilin

2016-10-10

We address the problem of face video retrieval in TV-series which searches video clips based on the presence of specific character, given one face track of his/her. This is tremendously challenging because on one hand, faces in TV-series are captured in largely uncontrolled conditions with complex appearance variations, and on the other hand retrieval task typically needs efficient representation with low time and space complexity. To handle this problem, we propose a compact and discriminative representation for the huge body of video data, named Compact Video Code (CVC). Our method first models the face track by its sample (i.e., frame) covariance matrix to capture the video data variations in a statistical manner. To incorporate discriminative information and obtain more compact video signature suitable for retrieval, the high-dimensional covariance representation is further encoded as a much lower-dimensional binary vector, which finally yields the proposed CVC. Specifically, each bit of the code, i.e., each dimension of the binary vector, is produced via supervised learning in a max margin framework, which aims to make a balance between the discriminability and stability of the code. Besides, we further extend the descriptive granularity of covariance matrix from traditional pixel-level to more general patchlevel, and proceed to propose a novel hierarchical video representation named Spatial Pyramid Covariance (SPC) along with a fast calculation method. Face retrieval experiments on two challenging TV-series video databases, i.e., the Big Bang Theory and Prison Break, demonstrate the competitiveness of the proposed CVC over state-of-the-art retrieval methods. In addition, as a general video matching algorithm, CVC is also evaluated in traditional video face recognition task on a standard Internet database, i.e., YouTube Celebrities, showing its quite promising performance by using an extremely compact code with only 128 bits.

Revised error propagation of 40Ar/39Ar data, including covariances

NASA Astrophysics Data System (ADS)

Vermeesch, Pieter

2015-12-01

The main advantage of the 40Ar/39Ar method over conventional K-Ar dating is that it does not depend on any absolute abundance or concentration measurements, but only uses the relative ratios between five isotopes of the same element -argon- which can be measured with great precision on a noble gas mass spectrometer. The relative abundances of the argon isotopes are subject to a constant sum constraint, which imposes a covariant structure on the data: the relative amount of any of the five isotopes can always be obtained from that of the other four. Thus, the 40Ar/39Ar method is a classic example of a 'compositional data problem'. In addition to the constant sum constraint, covariances are introduced by a host of other processes, including data acquisition, blank correction, detector calibration, mass fractionation, decay correction, interference correction, atmospheric argon correction, interpolation of the irradiation parameter, and age calculation. The myriad of correlated errors arising during the data reduction are best handled by casting the 40Ar/39Ar data reduction protocol in a matrix form. The completely revised workflow presented in this paper is implemented in a new software platform, Ar-Ar_Redux, which takes raw mass spectrometer data as input and generates accurate 40Ar/39Ar ages and their (co-)variances as output. Ar-Ar_Redux accounts for all sources of analytical uncertainty, including those associated with decay constants and the air ratio. Knowing the covariance matrix of the ages removes the need to consider 'internal' and 'external' uncertainties separately when calculating (weighted) mean ages. Ar-Ar_Redux is built on the same principles as its sibling program in the U-Pb community (U-Pb_Redux), thus improving the intercomparability of the two methods with tangible benefits to the accuracy of the geologic time scale. The program can be downloaded free of charge from http://redux.london-geochron.com.

The Principle of Energetic Consistency

NASA Technical Reports Server (NTRS)

Cohn, Stephen E.

2009-01-01

A basic result in estimation theory is that the minimum variance estimate of the dynamical state, given the observations, is the conditional mean estimate. This result holds independently of the specifics of any dynamical or observation nonlinearity or stochasticity, requiring only that the probability density function of the state, conditioned on the observations, has two moments. For nonlinear dynamics that conserve a total energy, this general result implies the principle of energetic consistency: if the dynamical variables are taken to be the natural energy variables, then the sum of the total energy of the conditional mean and the trace of the conditional covariance matrix (the total variance) is constant between observations. Ensemble Kalman filtering methods are designed to approximate the evolution of the conditional mean and covariance matrix. For them the principle of energetic consistency holds independently of ensemble size, even with covariance localization. However, full Kalman filter experiments with advection dynamics have shown that a small amount of numerical dissipation can cause a large, state-dependent loss of total variance, to the detriment of filter performance. The principle of energetic consistency offers a simple way to test whether this spurious loss of variance limits ensemble filter performance in full-blown applications. The classical second-moment closure (third-moment discard) equations also satisfy the principle of energetic consistency, independently of the rank of the conditional covariance matrix. Low-rank approximation of these equations offers an energetically consistent, computationally viable alternative to ensemble filtering. Current formulations of long-window, weak-constraint, four-dimensional variational methods are designed to approximate the conditional mode rather than the conditional mean. Thus they neglect the nonlinear bias term in the second-moment closure equation for the conditional mean. The principle of energetic consistency implies that, to precisely the extent that growing modes are important in data assimilation, this term is also important.

INVESTIGATING DIFFERENCES IN BRAIN FUNCTIONAL NETWORKS USING HIERARCHICAL COVARIATE-ADJUSTED INDEPENDENT COMPONENT ANALYSIS.

PubMed

Shi, Ran; Guo, Ying

2016-12-01

Human brains perform tasks via complex functional networks consisting of separated brain regions. A popular approach to characterize brain functional networks in fMRI studies is independent component analysis (ICA), which is a powerful method to reconstruct latent source signals from their linear mixtures. In many fMRI studies, an important goal is to investigate how brain functional networks change according to specific clinical and demographic variabilities. Existing ICA methods, however, cannot directly incorporate covariate effects in ICA decomposition. Heuristic post-ICA analysis to address this need can be inaccurate and inefficient. In this paper, we propose a hierarchical covariate-adjusted ICA (hc-ICA) model that provides a formal statistical framework for estimating covariate effects and testing differences between brain functional networks. Our method provides a more reliable and powerful statistical tool for evaluating group differences in brain functional networks while appropriately controlling for potential confounding factors. We present an analytically tractable EM algorithm to obtain maximum likelihood estimates of our model. We also develop a subspace-based approximate EM that runs significantly faster while retaining high accuracy. To test the differences in functional networks, we introduce a voxel-wise approximate inference procedure which eliminates the need of computationally expensive covariance matrix estimation and inversion. We demonstrate the advantages of our methods over the existing method via simulation studies. We apply our method to an fMRI study to investigate differences in brain functional networks associated with post-traumatic stress disorder (PTSD).

Spatio-Temporal EEG Models for Brain Interfaces

PubMed Central

Gonzalez-Navarro, P.; Moghadamfalahi, M.; Akcakaya, M.; Erdogmus, D.

2016-01-01

Multichannel electroencephalography (EEG) is widely used in non-invasive brain computer interfaces (BCIs) for user intent inference. EEG can be assumed to be a Gaussian process with unknown mean and autocovariance, and the estimation of parameters is required for BCI inference. However, the relatively high dimensionality of the EEG feature vectors with respect to the number of labeled observations lead to rank deficient covariance matrix estimates. In this manuscript, to overcome ill-conditioned covariance estimation, we propose a structure for the covariance matrices of the multichannel EEG signals. Specifically, we assume that these covariances can be modeled as a Kronecker product of temporal and spatial covariances. Our results over the experimental data collected from the users of a letter-by-letter typing BCI show that with less number of parameter estimations, the system can achieve higher classification accuracies compared to a method that uses full unstructured covariance estimation. Moreover, in order to illustrate that the proposed Kronecker product structure could enable shortening the BCI calibration data collection sessions, using Cramer-Rao bound analysis on simulated data, we demonstrate that a model with structured covariance matrices will achieve the same estimation error as a model with no covariance structure using fewer labeled EEG observations. PMID:27713590

[Theory, method and application of method R on estimation of (co)variance components].

PubMed

Liu, Wen-Zhong

2004-07-01

Theory, method and application of Method R on estimation of (co)variance components were reviewed in order to make the method be reasonably used. Estimation requires R values,which are regressions of predicted random effects that are calculated using complete dataset on predicted random effects that are calculated using random subsets of the same data. By using multivariate iteration algorithm based on a transformation matrix,and combining with the preconditioned conjugate gradient to solve the mixed model equations, the computation efficiency of Method R is much improved. Method R is computationally inexpensive,and the sampling errors and approximate credible intervals of estimates can be obtained. Disadvantages of Method R include a larger sampling variance than other methods for the same data,and biased estimates in small datasets. As an alternative method, Method R can be used in larger datasets. It is necessary to study its theoretical properties and broaden its application range further.

A Forward Search Procedure for Identifying Influential Observations in the Estimation of a Covariance Matrix

ERIC Educational Resources Information Center

Poon, Wai-Yin; Wong, Yuen-Kwan

2004-01-01

This study uses a Cook's distance type diagnostic statistic to identify unusual observations in a data set that unduly influence the estimation of a covariance matrix. Similar to many other deletion-type diagnostic statistics, this proposed measure is susceptible to masking or swamping effect in the presence of several unusual observations. In…

Algebraic methods for the solution of some linear matrix equations

NASA Technical Reports Server (NTRS)

Djaferis, T. E.; Mitter, S. K.

1979-01-01

The characterization of polynomials whose zeros lie in certain algebraic domains (and the unification of the ideas of Hermite and Lyapunov) is the basis for developing finite algorithms for the solution of linear matrix equations. Particular attention is given to equations PA + A'P = Q (the Lyapunov equation) and P - A'PA = Q the (discrete Lyapunov equation). The Lyapunov equation appears in several areas of control theory such as stability theory, optimal control (evaluation of quadratic integrals), stochastic control (evaluation of covariance matrices) and in the solution of the algebraic Riccati equation using Newton's method.

Chandrasekhar-type algorithms for fast recursive estimation in linear systems with constant parameters

NASA Technical Reports Server (NTRS)

Choudhury, A. K.; Djalali, M.

1975-01-01

In this recursive method proposed, the gain matrix for the Kalman filter and the convariance of the state vector are computed not via the Riccati equation, but from certain other equations. These differential equations are of Chandrasekhar-type. The 'invariant imbedding' idea resulted in the reduction of the basic boundary value problem of transport theory to an equivalent initial value system, a significant computational advance. Initial value experience showed that there is some computational savings in the method and the loss of positive definiteness of the covariance matrix is less vulnerable.

A heteroskedastic error covariance matrix estimator using a first-order conditional autoregressive Markov simulation for deriving asympotical efficient estimates from ecological sampled Anopheles arabiensis aquatic habitat covariates

PubMed Central

Jacob, Benjamin G; Griffith, Daniel A; Muturi, Ephantus J; Caamano, Erick X; Githure, John I; Novak, Robert J

2009-01-01

Background Autoregressive regression coefficients for Anopheles arabiensis aquatic habitat models are usually assessed using global error techniques and are reported as error covariance matrices. A global statistic, however, will summarize error estimates from multiple habitat locations. This makes it difficult to identify where there are clusters of An. arabiensis aquatic habitats of acceptable prediction. It is therefore useful to conduct some form of spatial error analysis to detect clusters of An. arabiensis aquatic habitats based on uncertainty residuals from individual sampled habitats. In this research, a method of error estimation for spatial simulation models was demonstrated using autocorrelation indices and eigenfunction spatial filters to distinguish among the effects of parameter uncertainty on a stochastic simulation of ecological sampled Anopheles aquatic habitat covariates. A test for diagnostic checking error residuals in an An. arabiensis aquatic habitat model may enable intervention efforts targeting productive habitats clusters, based on larval/pupal productivity, by using the asymptotic distribution of parameter estimates from a residual autocovariance matrix. The models considered in this research extends a normal regression analysis previously considered in the literature. Methods Field and remote-sampled data were collected during July 2006 to December 2007 in Karima rice-village complex in Mwea, Kenya. SAS 9.1.4® was used to explore univariate statistics, correlations, distributions, and to generate global autocorrelation statistics from the ecological sampled datasets. A local autocorrelation index was also generated using spatial covariance parameters (i.e., Moran's Indices) in a SAS/GIS® database. The Moran's statistic was decomposed into orthogonal and uncorrelated synthetic map pattern components using a Poisson model with a gamma-distributed mean (i.e. negative binomial regression). The eigenfunction values from the spatial configuration matrices were then used to define expectations for prior distributions using a Markov chain Monte Carlo (MCMC) algorithm. A set of posterior means were defined in WinBUGS 1.4.3®. After the model had converged, samples from the conditional distributions were used to summarize the posterior distribution of the parameters. Thereafter, a spatial residual trend analyses was used to evaluate variance uncertainty propagation in the model using an autocovariance error matrix. Results By specifying coefficient estimates in a Bayesian framework, the covariate number of tillers was found to be a significant predictor, positively associated with An. arabiensis aquatic habitats. The spatial filter models accounted for approximately 19% redundant locational information in the ecological sampled An. arabiensis aquatic habitat data. In the residual error estimation model there was significant positive autocorrelation (i.e., clustering of habitats in geographic space) based on log-transformed larval/pupal data and the sampled covariate depth of habitat. Conclusion An autocorrelation error covariance matrix and a spatial filter analyses can prioritize mosquito control strategies by providing a computationally attractive and feasible description of variance uncertainty estimates for correctly identifying clusters of prolific An. arabiensis aquatic habitats based on larval/pupal productivity. PMID:19772590

Performance analysis of structured gradient algorithm. [for adaptive beamforming linear arrays

NASA Technical Reports Server (NTRS)

Godara, Lal C.

1990-01-01

The structured gradient algorithm uses a structured estimate of the array correlation matrix (ACM) to estimate the gradient required for the constrained least-mean-square (LMS) algorithm. This structure reflects the structure of the exact array correlation matrix for an equispaced linear array and is obtained by spatial averaging of the elements of the noisy correlation matrix. In its standard form the LMS algorithm does not exploit the structure of the array correlation matrix. The gradient is estimated by multiplying the array output with the receiver outputs. An analysis of the two algorithms is presented to show that the covariance of the gradient estimated by the structured method is less sensitive to the look direction signal than that estimated by the standard method. The effect of the number of elements on the signal sensitivity of the two algorithms is studied.

Comparative test on several forms of background error covariance in 3DVar

NASA Astrophysics Data System (ADS)

Shao, Aimei

2013-04-01

The background error covariance matrix (Hereinafter referred to as B matrix) plays an important role in the three-dimensional variational (3DVar) data assimilation method. However, it is difficult to get B matrix accurately because true atmospheric state is unknown. Therefore, some methods were developed to estimate B matrix (e.g. NMC method, innovation analysis method, recursive filters, and ensemble method such as EnKF). Prior to further development and application of these methods, the function of several B matrixes estimated by these methods in 3Dvar is worth studying and evaluating. For this reason, NCEP reanalysis data and forecast data are used to test the effectiveness of the several B matrixes with VAF (Huang, 1999) method. Here the NCEP analysis is treated as the truth and in this case the forecast error is known. The data from 2006 to 2007 is used as the samples to estimate B matrix and the data in 2008 is used to verify the assimilation effects. The 48h and 24h forecast valid at the same time is used to estimate B matrix with NMC method. B matrix can be represented by a correlation part (a non-diagonal matrix) and a variance part (a diagonal matrix of variances). Gaussian filter function as an approximate approach is used to represent the variation of correlation coefficients with distance in numerous 3DVar systems. On the basis of the assumption, the following several forms of B matrixes are designed and test with VAF in the comparative experiments: (1) error variance and the characteristic lengths are fixed and setted to their mean value averaged over the analysis domain; (2) similar to (1), but the mean characteristic lengths reduce to 50 percent for the height and 60 percent for the temperature of the original; (3) similar to (2), but error variance calculated directly by the historical data is space-dependent; (4) error variance and characteristic lengths are all calculated directly by the historical data; (5) B matrix is estimated directly by the historical data; (6) similar to (5), but a localization process is performed; (7) B matrix is estimated by NMC method but error variance is reduced by 1.7 times in order that the value is close to that calculated from the true forecast error samples; (8) similar to (7), but the localization similar to (6) is performed. Experimental results with the different B matrixes show that for the Gaussian-type B matrix the characteristic lengths calculated from the true error samples don't bring a good analysis results. However, the reduced characteristic lengths (about half of the original one) can lead to a good analysis. If the B matrix estimated directly from the historical data is used in 3DVar, the assimilation effect can not reach to the best. The better assimilation results are generated with the application of reduced characteristic length and localization. Even so, it hasn't obvious advantage compared with Gaussian-type B matrix with the optimal characteristic length. It implies that the Gaussian-type B matrix, widely used for operational 3DVar system, can get a good analysis with the appropriate characteristic lengths. The crucial problem is how to determine the appropriate characteristic lengths. (This work is supported by the National Natural Science Foundation of China (41275102, 40875063), and the Fundamental Research Funds for the Central Universities (lzujbky-2010-9) )

Combinatorial invariants and covariants as tools for conical intersections.

PubMed

Ryb, Itai; Baer, Roi

2004-12-01

The combinatorial invariant and covariant are introduced as practical tools for analysis of conical intersections in molecules. The combinatorial invariant is a quantity depending on adiabatic electronic states taken at discrete nuclear configuration points. It is invariant to the phase choice (gauge) of these states. In the limit that the points trace a loop in nuclear configuration space, the value of the invariant approaches the corresponding Berry phase factor. The Berry phase indicates the presence of an odd or even number of conical intersections on surfaces bounded by these loops. Based on the combinatorial invariant, we develop a computationally simple and efficient method for locating conical intersections. The method is robust due to its use of gauge invariant nature. It does not rely on the landscape of intersecting potential energy surfaces nor does it require the computation of nonadiabatic couplings. We generalize the concept to open paths and combinatorial covariants for higher dimensions obtaining a technique for the construction of the gauge-covariant adiabatic-diabatic transformation matrix. This too does not make use of nonadiabatic couplings. The importance of using gauge-covariant expressions is underlined throughout. These techniques can be readily implemented by standard quantum chemistry codes. (c) 2004 American Institute of Physics.

Levy Matrices and Financial Covariances

NASA Astrophysics Data System (ADS)

Burda, Zdzislaw; Jurkiewicz, Jerzy; Nowak, Maciej A.; Papp, Gabor; Zahed, Ismail

2003-10-01

In a given market, financial covariances capture the intra-stock correlations and can be used to address statistically the bulk nature of the market as a complex system. We provide a statistical analysis of three SP500 covariances with evidence for raw tail distributions. We study the stability of these tails against reshuffling for the SP500 data and show that the covariance with the strongest tails is robust, with a spectral density in remarkable agreement with random Lévy matrix theory. We study the inverse participation ratio for the three covariances. The strong localization observed at both ends of the spectral density is analogous to the localization exhibited in the random Lévy matrix ensemble. We discuss two competitive mechanisms responsible for the occurrence of an extensive and delocalized eigenvalue at the edge of the spectrum: (a) the Lévy character of the entries of the correlation matrix and (b) a sort of off-diagonal order induced by underlying inter-stock correlations. (b) can be destroyed by reshuffling, while (a) cannot. We show that the stocks with the largest scattering are the least susceptible to correlations, and likely candidates for the localized states. We introduce a simple model for price fluctuations which captures behavior of the SP500 covariances. It may be of importance for assets diversification.

A new method for determining the optimal lagged ensemble

PubMed Central

DelSole, T.; Tippett, M. K.; Pegion, K.

2017-01-01

Abstract We propose a general methodology for determining the lagged ensemble that minimizes the mean square forecast error. The MSE of a lagged ensemble is shown to depend only on a quantity called the cross‐lead error covariance matrix, which can be estimated from a short hindcast data set and parameterized in terms of analytic functions of time. The resulting parameterization allows the skill of forecasts to be evaluated for an arbitrary ensemble size and initialization frequency. Remarkably, the parameterization also can estimate the MSE of a burst ensemble simply by taking the limit of an infinitely small interval between initialization times. This methodology is applied to forecasts of the Madden Julian Oscillation (MJO) from version 2 of the Climate Forecast System version 2 (CFSv2). For leads greater than a week, little improvement is found in the MJO forecast skill when ensembles larger than 5 days are used or initializations greater than 4 times per day. We find that if the initialization frequency is too infrequent, important structures of the lagged error covariance matrix are lost. Lastly, we demonstrate that the forecast error at leads ≥10 days can be reduced by optimally weighting the lagged ensemble members. The weights are shown to depend only on the cross‐lead error covariance matrix. While the methodology developed here is applied to CFSv2, the technique can be easily adapted to other forecast systems. PMID:28580050

Why Might Relative Fit Indices Differ between Estimators?

ERIC Educational Resources Information Center

Weng, Li-Jen; Cheng, Chung-Ping

1997-01-01

Relative fit indices using the null model as the reference point in computation may differ across estimation methods, as this article illustrates by comparing maximum likelihood, ordinary least squares, and generalized least squares estimation in structural equation modeling. The illustration uses a covariance matrix for six observed variables…

Sparsistency and Rates of Convergence in Large Covariance Matrix Estimation.

PubMed

Lam, Clifford; Fan, Jianqing

2009-01-01

This paper studies the sparsistency and rates of convergence for estimating sparse covariance and precision matrices based on penalized likelihood with nonconvex penalty functions. Here, sparsistency refers to the property that all parameters that are zero are actually estimated as zero with probability tending to one. Depending on the case of applications, sparsity priori may occur on the covariance matrix, its inverse or its Cholesky decomposition. We study these three sparsity exploration problems under a unified framework with a general penalty function. We show that the rates of convergence for these problems under the Frobenius norm are of order (s(n) log p(n)/n)(1/2), where s(n) is the number of nonzero elements, p(n) is the size of the covariance matrix and n is the sample size. This explicitly spells out the contribution of high-dimensionality is merely of a logarithmic factor. The conditions on the rate with which the tuning parameter λ(n) goes to 0 have been made explicit and compared under different penalties. As a result, for the L(1)-penalty, to guarantee the sparsistency and optimal rate of convergence, the number of nonzero elements should be small: sn'=O(pn) at most, among O(pn2) parameters, for estimating sparse covariance or correlation matrix, sparse precision or inverse correlation matrix or sparse Cholesky factor, where sn' is the number of the nonzero elements on the off-diagonal entries. On the other hand, using the SCAD or hard-thresholding penalty functions, there is no such a restriction.

Regression Models for the Analysis of Longitudinal Gaussian Data from Multiple Sources

PubMed Central

O’Brien, Liam M.; Fitzmaurice, Garrett M.

2006-01-01

We present a regression model for the joint analysis of longitudinal multiple source Gaussian data. Longitudinal multiple source data arise when repeated measurements are taken from two or more sources, and each source provides a measure of the same underlying variable and on the same scale. This type of data generally produces a relatively large number of observations per subject; thus estimation of an unstructured covariance matrix often may not be possible. We consider two methods by which parsimonious models for the covariance can be obtained for longitudinal multiple source data. The methods are illustrated with an example of multiple informant data arising from a longitudinal interventional trial in psychiatry. PMID:15726666

Estimation of parameters of dose volume models and their confidence limits

NASA Astrophysics Data System (ADS)

van Luijk, P.; Delvigne, T. C.; Schilstra, C.; Schippers, J. M.

2003-07-01

Predictions of the normal-tissue complication probability (NTCP) for the ranking of treatment plans are based on fits of dose-volume models to clinical and/or experimental data. In the literature several different fit methods are used. In this work frequently used methods and techniques to fit NTCP models to dose response data for establishing dose-volume effects, are discussed. The techniques are tested for their usability with dose-volume data and NTCP models. Different methods to estimate the confidence intervals of the model parameters are part of this study. From a critical-volume (CV) model with biologically realistic parameters a primary dataset was generated, serving as the reference for this study and describable by the NTCP model. The CV model was fitted to this dataset. From the resulting parameters and the CV model, 1000 secondary datasets were generated by Monte Carlo simulation. All secondary datasets were fitted to obtain 1000 parameter sets of the CV model. Thus the 'real' spread in fit results due to statistical spreading in the data is obtained and has been compared with estimates of the confidence intervals obtained by different methods applied to the primary dataset. The confidence limits of the parameters of one dataset were estimated using the methods, employing the covariance matrix, the jackknife method and directly from the likelihood landscape. These results were compared with the spread of the parameters, obtained from the secondary parameter sets. For the estimation of confidence intervals on NTCP predictions, three methods were tested. Firstly, propagation of errors using the covariance matrix was used. Secondly, the meaning of the width of a bundle of curves that resulted from parameters that were within the one standard deviation region in the likelihood space was investigated. Thirdly, many parameter sets and their likelihood were used to create a likelihood-weighted probability distribution of the NTCP. It is concluded that for the type of dose response data used here, only a full likelihood analysis will produce reliable results. The often-used approximations, such as the usage of the covariance matrix, produce inconsistent confidence limits on both the parameter sets and the resulting NTCP values.

BAO from Angular Clustering: Optimization and Mitigation of Theoretical Systematics

DOE Office of Scientific and Technical Information (OSTI.GOV)

Crocce, M.; et al.

We study the theoretical systematics and optimize the methodology in Baryon Acoustic Oscillations (BAO) detections using the angular correlation function with tomographic bins. We calibrate and optimize the pipeline for the Dark Energy Survey Year 1 dataset using 1800 mocks. We compare the BAO fitting results obtained with three estimators: the Maximum Likelihood Estimator (MLE), Profile Likelihood, and Markov Chain Monte Carlo. The MLE method yields the least bias in the fit results (bias/spreadmore » $$\\sim 0.02$$) and the error bar derived is the closest to the Gaussian results (1% from 68% Gaussian expectation). When there is mismatch between the template and the data either due to incorrect fiducial cosmology or photo-$z$ error, the MLE again gives the least-biased results. The BAO angular shift that is estimated based on the sound horizon and the angular diameter distance agree with the numerical fit. Various analysis choices are further tested: the number of redshift bins, cross-correlations, and angular binning. We propose two methods to correct the mock covariance when the final sample properties are slightly different from those used to create the mock. We show that the sample changes can be accommodated with the help of the Gaussian covariance matrix or more effectively using the eigenmode expansion of the mock covariance. The eigenmode expansion is significantly less susceptible to statistical fluctuations relative to the direct measurements of the covariance matrix because the number of free parameters is substantially reduced [$p$ parameters versus $p(p+1)/2$ from direct measurement].« less

A LISREL Model for the Analysis of Repeated Measures with a Patterned Covariance Matrix.

ERIC Educational Resources Information Center

Rovine, Michael J.; Molenaar, Peter C. M.

1998-01-01

Presents a LISREL model for the estimation of the repeated measures analysis of variance (ANOVA) with a patterned covariance matrix. The model is demonstrated for a 5 x 2 (Time x Group) ANOVA in which the data are assumed to be serially correlated. Similarities with the Statistical Analysis System PROC MIXED model are discussed. (SLD)

An Algorithm for the Hierarchical Organization of Path Diagrams and Calculation of Components of Expected Covariance.

ERIC Educational Resources Information Center

Boker, Steven M.; McArdle, J. J.; Neale, Michael

2002-01-01

Presents an algorithm for the production of a graphical diagram from a matrix formula in such a way that its components are logically and hierarchically arranged. The algorithm, which relies on the matrix equations of J. McArdle and R. McDonald (1984), calculates the individual path components of expected covariance between variables and…

Efficient estimation of three-dimensional covariance and its application in the analysis of heterogeneous samples in cryo-electron microscopy

PubMed Central

Liao, Hstau Y.; Hashem, Yaser; Frank, Joachim

2015-01-01

Summary Single-particle cryogenic electron microscopy (cryo-EM) is a powerful tool for the study of macromolecular structures at high resolution. Classification allows multiple structural states to be extracted and reconstructed from the same sample. One classification approach is via the covariance matrix, which captures the correlation between every pair of voxels. Earlier approaches employ computing-intensive resampling and estimate only the eigenvectors of the matrix, which are then used in a separate fast classification step. We propose an iterative scheme to explicitly estimate the covariance matrix in its entirety. In our approach, the flexibility in choosing the solution domain allows us to examine a part of the molecule in greater detail. 3D covariance maps obtained in this way from experimental data (cryo-EM images of the eukaryotic pre-initiation complex) prove to be in excellent agreement with conclusions derived by using traditional approaches, revealing in addition the interdependencies of ligand bindings and structural changes. PMID:25982529

Efficient estimation of three-dimensional covariance and its application in the analysis of heterogeneous samples in cryo-electron microscopy.

PubMed

Liao, Hstau Y; Hashem, Yaser; Frank, Joachim

2015-06-02

Single-particle cryogenic electron microscopy (cryo-EM) is a powerful tool for the study of macromolecular structures at high resolution. Classification allows multiple structural states to be extracted and reconstructed from the same sample. One classification approach is via the covariance matrix, which captures the correlation between every pair of voxels. Earlier approaches employ computing-intensive resampling and estimate only the eigenvectors of the matrix, which are then used in a separate fast classification step. We propose an iterative scheme to explicitly estimate the covariance matrix in its entirety. In our approach, the flexibility in choosing the solution domain allows us to examine a part of the molecule in greater detail. Three-dimensional covariance maps obtained in this way from experimental data (cryo-EM images of the eukaryotic pre-initiation complex) prove to be in excellent agreement with conclusions derived by using traditional approaches, revealing in addition the interdependencies of ligand bindings and structural changes. Copyright © 2015 Elsevier Ltd. All rights reserved.

On the Singularity in the Estimation of the Quaternion-of-Rotation

NASA Technical Reports Server (NTRS)

Bar-Itzhack, Itzhack Y.; Thienel, Julie K.; Bauer, Frank (Technical Monitor)

2002-01-01

It has been claimed in the archival literature that the covariance matrix of a Kalman filter, which is designed to estimate the quaternion-of-rotation, is necessarily rank, deficient because the normality constraint of the quaternion produces dependence between the quaternion elements. In reality, though, this phenomenon does not occur. The covariance matrix is not singular, and the filter is well behaved. Several simple examples are presented th at demonstrate the regularity of the covariance matrix. First, a Kalman filter is designed to estimate variables subject to a functional relationship. Then the particular problem of quaternion estimation is analyzed. It is shown that the discrepancy stems from the fact that the functional relationship exists between the elements of the quaternion but not between its estimate elements.

Accelerated optimization and automated discovery with covariance matrix adaptation for experimental quantum control

NASA Astrophysics Data System (ADS)

Roslund, Jonathan; Shir, Ofer M.; Bäck, Thomas; Rabitz, Herschel

2009-10-01

Optimization of quantum systems by closed-loop adaptive pulse shaping offers a rich domain for the development and application of specialized evolutionary algorithms. Derandomized evolution strategies (DESs) are presented here as a robust class of optimizers for experimental quantum control. The combination of stochastic and quasi-local search embodied by these algorithms is especially amenable to the inherent topology of quantum control landscapes. Implementation of DES in the laboratory results in efficiency gains of up to ˜9 times that of the standard genetic algorithm, and thus is a promising tool for optimization of unstable or fragile systems. The statistical learning upon which these algorithms are predicated also provide the means for obtaining a control problem’s Hessian matrix with no additional experimental overhead. The forced optimal covariance adaptive learning (FOCAL) method is introduced to enable retrieval of the Hessian matrix, which can reveal information about the landscape’s local structure and dynamic mechanism. Exploitation of such algorithms in quantum control experiments should enhance their efficiency and provide additional fundamental insights.

Advancing X-ray scattering metrology using inverse genetic algorithms.

PubMed

Hannon, Adam F; Sunday, Daniel F; Windover, Donald; Kline, R Joseph

2016-01-01

We compare the speed and effectiveness of two genetic optimization algorithms to the results of statistical sampling via a Markov chain Monte Carlo algorithm to find which is the most robust method for determining real space structure in periodic gratings measured using critical dimension small angle X-ray scattering. Both a covariance matrix adaptation evolutionary strategy and differential evolution algorithm are implemented and compared using various objective functions. The algorithms and objective functions are used to minimize differences between diffraction simulations and measured diffraction data. These simulations are parameterized with an electron density model known to roughly correspond to the real space structure of our nanogratings. The study shows that for X-ray scattering data, the covariance matrix adaptation coupled with a mean-absolute error log objective function is the most efficient combination of algorithm and goodness of fit criterion for finding structures with little foreknowledge about the underlying fine scale structure features of the nanograting.

Sparse Covariance Matrix Estimation by DCA-Based Algorithms.

PubMed

Phan, Duy Nhat; Le Thi, Hoai An; Dinh, Tao Pham

2017-11-01

This letter proposes a novel approach using the [Formula: see text]-norm regularization for the sparse covariance matrix estimation (SCME) problem. The objective function of SCME problem is composed of a nonconvex part and the [Formula: see text] term, which is discontinuous and difficult to tackle. Appropriate DC (difference of convex functions) approximations of [Formula: see text]-norm are used that result in approximation SCME problems that are still nonconvex. DC programming and DCA (DC algorithm), powerful tools in nonconvex programming framework, are investigated. Two DC formulations are proposed and corresponding DCA schemes developed. Two applications of the SCME problem that are considered are classification via sparse quadratic discriminant analysis and portfolio optimization. A careful empirical experiment is performed through simulated and real data sets to study the performance of the proposed algorithms. Numerical results showed their efficiency and their superiority compared with seven state-of-the-art methods.

ILIAD Testing; and a Kalman Filter for 3-D Pose Estimation

NASA Technical Reports Server (NTRS)

Richardson, A. O.

1996-01-01

This report presents the results of a two-part project. The first part presents results of performance assessment tests on an Internet Library Information Assembly Data Base (ILIAD). It was found that ILLAD performed best when queries were short (one-to-three keywords), and were made up of rare, unambiguous words. In such cases as many as 64% of the typically 25 returned documents were found to be relevant. It was also found that a query format that was not so rigid with respect to spelling errors and punctuation marks would be more user-friendly. The second part of the report shows the design of a Kalman Filter for estimating motion parameters of a three dimensional object from sequences of noisy data derived from two-dimensional pictures. Given six measured deviation values represendng X, Y, Z, pitch, yaw, and roll, twelve parameters were estimated comprising the six deviations and their time rate of change. Values for the state transiton matrix, the observation matrix, the system noise covariance matrix, and the observation noise covariance matrix were determined. A simple way of initilizing the error covariance matrix was pointed out.

Using an EM Covariance Matrix to Estimate Structural Equation Models with Missing Data: Choosing an Adjusted Sample Size to Improve the Accuracy of Inferences

ERIC Educational Resources Information Center

Enders, Craig K.; Peugh, James L.

2004-01-01

Two methods, direct maximum likelihood (ML) and the expectation maximization (EM) algorithm, can be used to obtain ML parameter estimates for structural equation models with missing data (MD). Although the 2 methods frequently produce identical parameter estimates, it may be easier to satisfy missing at random assumptions using EM. However, no…

Statistical image reconstruction from correlated data with applications to PET

PubMed Central

Alessio, Adam; Sauer, Ken; Kinahan, Paul

2008-01-01

Most statistical reconstruction methods for emission tomography are designed for data modeled as conditionally independent Poisson variates. In reality, due to scanner detectors, electronics and data processing, correlations are introduced into the data resulting in dependent variates. In general, these correlations are ignored because they are difficult to measure and lead to computationally challenging statistical reconstruction algorithms. This work addresses the second concern, seeking to simplify the reconstruction of correlated data and provide a more precise image estimate than the conventional independent methods. In general, correlated variates have a large non-diagonal covariance matrix that is computationally challenging to use as a weighting term in a reconstruction algorithm. This work proposes two methods to simplify the use of a non-diagonal covariance matrix as the weighting term by (a) limiting the number of dimensions in which the correlations are modeled and (b) adopting flexible, yet computationally tractable, models for correlation structure. We apply and test these methods with simple simulated PET data and data processed with the Fourier rebinning algorithm which include the one-dimensional correlations in the axial direction and the two-dimensional correlations in the transaxial directions. The methods are incorporated into a penalized weighted least-squares 2D reconstruction and compared with a conventional maximum a posteriori approach. PMID:17921576

ANL Critical Assembly Covariance Matrix Generation

DOE Office of Scientific and Technical Information (OSTI.GOV)

McKnight, Richard D.; Grimm, Karl N.

2014-01-15

This report discusses the generation of a covariance matrix for selected critical assemblies that were carried out by Argonne National Laboratory (ANL) using four critical facilities-all of which are now decommissioned. The four different ANL critical facilities are: ZPR-3 located at ANL-West (now Idaho National Laboratory- INL), ZPR-6 and ZPR-9 located at ANL-East (Illinois) and ZPPr located at ANL-West.

M-estimator for the 3D symmetric Helmert coordinate transformation

NASA Astrophysics Data System (ADS)

Chang, Guobin; Xu, Tianhe; Wang, Qianxin

2018-01-01

The M-estimator for the 3D symmetric Helmert coordinate transformation problem is developed. Small-angle rotation assumption is abandoned. The direction cosine matrix or the quaternion is used to represent the rotation. The 3 × 1 multiplicative error vector is defined to represent the rotation estimation error. An analytical solution can be employed to provide the initial approximate for iteration, if the outliers are not large. The iteration is carried out using the iterative reweighted least-squares scheme. In each iteration after the first one, the measurement equation is linearized using the available parameter estimates, the reweighting matrix is constructed using the residuals obtained in the previous iteration, and then the parameter estimates with their variance-covariance matrix are calculated. The influence functions of a single pseudo-measurement on the least-squares estimator and on the M-estimator are derived to theoretically show the robustness. In the solution process, the parameter is rescaled in order to improve the numerical stability. Monte Carlo experiments are conducted to check the developed method. Different cases to investigate whether the assumed stochastic model is correct are considered. The results with the simulated data slightly deviating from the true model are used to show the developed method's statistical efficacy at the assumed stochastic model, its robustness against the deviations from the assumed stochastic model, and the validity of the estimated variance-covariance matrix no matter whether the assumed stochastic model is correct or not.

Subsurface characterization with localized ensemble Kalman filter employing adaptive thresholding

NASA Astrophysics Data System (ADS)

Delijani, Ebrahim Biniaz; Pishvaie, Mahmoud Reza; Boozarjomehry, Ramin Bozorgmehry

2014-07-01

Ensemble Kalman filter, EnKF, as a Monte Carlo sequential data assimilation method has emerged promisingly for subsurface media characterization during past decade. Due to high computational cost of large ensemble size, EnKF is limited to small ensemble set in practice. This results in appearance of spurious correlation in covariance structure leading to incorrect or probable divergence of updated realizations. In this paper, a universal/adaptive thresholding method is presented to remove and/or mitigate spurious correlation problem in the forecast covariance matrix. This method is, then, extended to regularize Kalman gain directly. Four different thresholding functions have been considered to threshold forecast covariance and gain matrices. These include hard, soft, lasso and Smoothly Clipped Absolute Deviation (SCAD) functions. Three benchmarks are used to evaluate the performances of these methods. These benchmarks include a small 1D linear model and two 2D water flooding (in petroleum reservoirs) cases whose levels of heterogeneity/nonlinearity are different. It should be noted that beside the adaptive thresholding, the standard distance dependant localization and bootstrap Kalman gain are also implemented for comparison purposes. We assessed each setup with different ensemble sets to investigate the sensitivity of each method on ensemble size. The results indicate that thresholding of forecast covariance yields more reliable performance than Kalman gain. Among thresholding function, SCAD is more robust for both covariance and gain estimation. Our analyses emphasize that not all assimilation cycles do require thresholding and it should be performed wisely during the early assimilation cycles. The proposed scheme of adaptive thresholding outperforms other methods for subsurface characterization of underlying benchmarks.

Efficient Implementation of an Optimal Interpolator for Large Spatial Data Sets

NASA Technical Reports Server (NTRS)

Memarsadeghi, Nargess; Mount, David M.

2007-01-01

Scattered data interpolation is a problem of interest in numerous areas such as electronic imaging, smooth surface modeling, and computational geometry. Our motivation arises from applications in geology and mining, which often involve large scattered data sets and a demand for high accuracy. The method of choice is ordinary kriging. This is because it is a best unbiased estimator. Unfortunately, this interpolant is computationally very expensive to compute exactly. For n scattered data points, computing the value of a single interpolant involves solving a dense linear system of size roughly n x n. This is infeasible for large n. In practice, kriging is solved approximately by local approaches that are based on considering only a relatively small'number of points that lie close to the query point. There are many problems with this local approach, however. The first is that determining the proper neighborhood size is tricky, and is usually solved by ad hoc methods such as selecting a fixed number of nearest neighbors or all the points lying within a fixed radius. Such fixed neighborhood sizes may not work well for all query points, depending on local density of the point distribution. Local methods also suffer from the problem that the resulting interpolant is not continuous. Meyer showed that while kriging produces smooth continues surfaces, it has zero order continuity along its borders. Thus, at interface boundaries where the neighborhood changes, the interpolant behaves discontinuously. Therefore, it is important to consider and solve the global system for each interpolant. However, solving such large dense systems for each query point is impractical. Recently a more principled approach to approximating kriging has been proposed based on a technique called covariance tapering. The problems arise from the fact that the covariance functions that are used in kriging have global support. Our implementations combine, utilize, and enhance a number of different approaches that have been introduced in literature for solving large linear systems for interpolation of scattered data points. For very large systems, exact methods such as Gaussian elimination are impractical since they require 0(n(exp 3)) time and 0(n(exp 2)) storage. As Billings et al. suggested, we use an iterative approach. In particular, we use the SYMMLQ method, for solving the large but sparse ordinary kriging systems that result from tapering. The main technical issue that need to be overcome in our algorithmic solution is that the points' covariance matrix for kriging should be symmetric positive definite. The goal of tapering is to obtain a sparse approximate representation of the covariance matrix while maintaining its positive definiteness. Furrer et al. used tapering to obtain a sparse linear system of the form Ax = b, where A is the tapered symmetric positive definite covariance matrix. Thus, Cholesky factorization could be used to solve their linear systems. They implemented an efficient sparse Cholesky decomposition method. They also showed if these tapers are used for a limited class of covariance models, the solution of the system converges to the solution of the original system. Matrix A in the ordinary kriging system, while symmetric, is not positive definite. Thus, their approach is not applicable to the ordinary kriging system. Therefore, we use tapering only to obtain a sparse linear system. Then, we use SYMMLQ to solve the ordinary kriging system. We show that solving large kriging systems becomes practical via tapering and iterative methods, and results in lower estimation errors compared to traditional local approaches, and significant memory savings compared to the original global system. We also developed a more efficient variant of the sparse SYMMLQ method for large ordinary kriging systems. This approach adaptively finds the correct local neighborhood for each query point in the interpolation process.

Covariance expressions for eigenvalue and eigenvector problems

NASA Astrophysics Data System (ADS)

Liounis, Andrew J.

There are a number of important scientific and engineering problems whose solutions take the form of an eigenvalue--eigenvector problem. Some notable examples include solutions to linear systems of ordinary differential equations, controllability of linear systems, finite element analysis, chemical kinetics, fitting ellipses to noisy data, and optimal estimation of attitude from unit vectors. In many of these problems, having knowledge of the eigenvalue and eigenvector Jacobians is either necessary or is nearly as important as having the solution itself. For instance, Jacobians are necessary to find the uncertainty in a computed eigenvalue or eigenvector estimate. This uncertainty, which is usually represented as a covariance matrix, has been well studied for problems similar to the eigenvalue and eigenvector problem, such as singular value decomposition. There has been substantially less research on the covariance of an optimal estimate originating from an eigenvalue-eigenvector problem. In this thesis we develop two general expressions for the Jacobians of eigenvalues and eigenvectors with respect to the elements of their parent matrix. The expressions developed make use of only the parent matrix and the eigenvalue and eigenvector pair under consideration. In addition, they are applicable to any general matrix (including complex valued matrices, eigenvalues, and eigenvectors) as long as the eigenvalues are simple. Alongside this, we develop expressions that determine the uncertainty in a vector estimate obtained from an eigenvalue-eigenvector problem given the uncertainty of the terms of the matrix. The Jacobian expressions developed are numerically validated with forward finite, differencing and the covariance expressions are validated using Monte Carlo analysis. Finally, the results from this work are used to determine covariance expressions for a variety of estimation problem examples and are also applied to the design of a dynamical system.

Broad-band Lg Attenuation Tomography in Eastern Eurasia and The Resolution, Uncertainty and Data Predication

NASA Astrophysics Data System (ADS)

Chen, Y.; Xu, X.

2017-12-01

The broad band Lg 1/Q tomographic models in eastern Eurasia are inverted from source- and site-corrected path 1/Q data. The path 1/Q are measured between stations (or events) by the two-station (TS), reverse two-station (RTS) and reverse two-event (RTE) methods, respectively. Because path 1/Q are computed using logarithm of the product of observed spectral ratios and simplified 1D geometrical spreading correction, they are subject to "modeling errors" dominated by uncompensated 3D structural effects. We have found in Chen and Xie [2017] that these errors closely follow normal distribution after the long-tailed outliers are screened out (similar to teleseismic travel time residuals). We thus rigorously analyze the statistics of these errors collected from repeated samplings of station (and event) pairs from 1.0 to 10.0Hz and reject about 15% outliers at each frequency band. The resultant variance of Δ/Q decreases with frequency as 1/f2. The 1/Q tomography using screened data is now a stochastic inverse problem with solutions approximate the means of Gaussian random variables and the model covariance matrix is that of Gaussian variables with well-known statistical behavior. We adopt a new SVD based tomographic method to solve for 2D Q image together with its resolution and covariance matrices. The RTS and RTE yield the most reliable 1/Q data free of source and site effects, but the path coverage is rather sparse due to very strict recording geometry. The TS absorbs the effects of non-unit site response ratios into 1/Q data. The RTS also yields site responses, which can then be corrected from the path 1/Q of TS to make them also free of site effect. The site corrected TS data substantially improve path coverage, allowing able to solve for 1/Q tomography up to 6.0Hz. The model resolution and uncertainty are first quantitively accessed by spread functions (fulfilled by resolution matrix) and covariance matrix. The reliably retrieved Q models correlate well with the distinct tectonic blocks featured by the most recent major deformations and vary with frequencies. With the 1/Q tomographic model and its covariance matrix, we can formally estimate the uncertainty of any path-specific Lg 1/Q prediction. This new capability significantly benefits source estimation for which reliable uncertainty estimate is especially important.

Fuzzy Adaptive Cubature Kalman Filter for Integrated Navigation Systems.

PubMed

Tseng, Chien-Hao; Lin, Sheng-Fuu; Jwo, Dah-Jing

2016-07-26

This paper presents a sensor fusion method based on the combination of cubature Kalman filter (CKF) and fuzzy logic adaptive system (FLAS) for the integrated navigation systems, such as the GPS/INS (Global Positioning System/inertial navigation system) integration. The third-degree spherical-radial cubature rule applied in the CKF has been employed to avoid the numerically instability in the system model. In processing navigation integration, the performance of nonlinear filter based estimation of the position and velocity states may severely degrade caused by modeling errors due to dynamics uncertainties of the vehicle. In order to resolve the shortcoming for selecting the process noise covariance through personal experience or numerical simulation, a scheme called the fuzzy adaptive cubature Kalman filter (FACKF) is presented by introducing the FLAS to adjust the weighting factor of the process noise covariance matrix. The FLAS is incorporated into the CKF framework as a mechanism for timely implementing the tuning of process noise covariance matrix based on the information of degree of divergence (DOD) parameter. The proposed FACKF algorithm shows promising accuracy improvement as compared to the extended Kalman filter (EKF), unscented Kalman filter (UKF), and CKF approaches.

Fuzzy Adaptive Cubature Kalman Filter for Integrated Navigation Systems

PubMed Central

Tseng, Chien-Hao; Lin, Sheng-Fuu; Jwo, Dah-Jing

2016-01-01

This paper presents a sensor fusion method based on the combination of cubature Kalman filter (CKF) and fuzzy logic adaptive system (FLAS) for the integrated navigation systems, such as the GPS/INS (Global Positioning System/inertial navigation system) integration. The third-degree spherical-radial cubature rule applied in the CKF has been employed to avoid the numerically instability in the system model. In processing navigation integration, the performance of nonlinear filter based estimation of the position and velocity states may severely degrade caused by modeling errors due to dynamics uncertainties of the vehicle. In order to resolve the shortcoming for selecting the process noise covariance through personal experience or numerical simulation, a scheme called the fuzzy adaptive cubature Kalman filter (FACKF) is presented by introducing the FLAS to adjust the weighting factor of the process noise covariance matrix. The FLAS is incorporated into the CKF framework as a mechanism for timely implementing the tuning of process noise covariance matrix based on the information of degree of divergence (DOD) parameter. The proposed FACKF algorithm shows promising accuracy improvement as compared to the extended Kalman filter (EKF), unscented Kalman filter (UKF), and CKF approaches. PMID:27472336

A comparison of likelihood ratio tests and Rao's score test for three separable covariance matrix structures.

PubMed

Filipiak, Katarzyna; Klein, Daniel; Roy, Anuradha

2017-01-01

The problem of testing the separability of a covariance matrix against an unstructured variance-covariance matrix is studied in the context of multivariate repeated measures data using Rao's score test (RST). The RST statistic is developed with the first component of the separable structure as a first-order autoregressive (AR(1)) correlation matrix or an unstructured (UN) covariance matrix under the assumption of multivariate normality. It is shown that the distribution of the RST statistic under the null hypothesis of any separability does not depend on the true values of the mean or the unstructured components of the separable structure. A significant advantage of the RST is that it can be performed for small samples, even smaller than the dimension of the data, where the likelihood ratio test (LRT) cannot be used, and it outperforms the standard LRT in a number of contexts. Monte Carlo simulations are then used to study the comparative behavior of the null distribution of the RST statistic, as well as that of the LRT statistic, in terms of sample size considerations, and for the estimation of the empirical percentiles. Our findings are compared with existing results where the first component of the separable structure is a compound symmetry (CS) correlation matrix. It is also shown by simulations that the empirical null distribution of the RST statistic converges faster than the empirical null distribution of the LRT statistic to the limiting χ 2 distribution. The tests are implemented on a real dataset from medical studies. © 2016 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

Minimum number of measurements for evaluating soursop (Annona muricata L.) yield.

PubMed

Sánchez, C F B; Teodoro, P E; Londoño, S; Silva, L A; Peixoto, L A; Bhering, L L

2017-05-31

Repeatability studies on fruit species are of great importance to identify the minimum number of measurements necessary to accurately select superior genotypes. This study aimed to identify the most efficient method to estimate the repeatability coefficient (r) and predict the minimum number of measurements needed for a more accurate evaluation of soursop (Annona muricata L.) genotypes based on fruit yield. Sixteen measurements of fruit yield from 71 soursop genotypes were carried out between 2000 and 2016. In order to estimate r with the best accuracy, four procedures were used: analysis of variance, principal component analysis based on the correlation matrix, principal component analysis based on the phenotypic variance and covariance matrix, and structural analysis based on the correlation matrix. The minimum number of measurements needed to predict the actual value of individuals was estimated. Principal component analysis using the phenotypic variance and covariance matrix provided the most accurate estimates of both r and the number of measurements required for accurate evaluation of fruit yield in soursop. Our results indicate that selection of soursop genotypes with high fruit yield can be performed based on the third and fourth measurements in the early years and/or based on the eighth and ninth measurements at more advanced stages.

A Simple Simulation Technique for Nonnormal Data with Prespecified Skewness, Kurtosis, and Covariance Matrix.

PubMed

Foldnes, Njål; Olsson, Ulf Henning

2016-01-01

We present and investigate a simple way to generate nonnormal data using linear combinations of independent generator (IG) variables. The simulated data have prespecified univariate skewness and kurtosis and a given covariance matrix. In contrast to the widely used Vale-Maurelli (VM) transform, the obtained data are shown to have a non-Gaussian copula. We analytically obtain asymptotic robustness conditions for the IG distribution. We show empirically that popular test statistics in covariance analysis tend to reject true models more often under the IG transform than under the VM transform. This implies that overly optimistic evaluations of estimators and fit statistics in covariance structure analysis may be tempered by including the IG transform for nonnormal data generation. We provide an implementation of the IG transform in the R environment.

Predicting the required number of training samples. [for remotely sensed image data based on covariance matrix estimate quality criterion of normal distribution

NASA Technical Reports Server (NTRS)

Kalayeh, H. M.; Landgrebe, D. A.

1983-01-01

A criterion which measures the quality of the estimate of the covariance matrix of a multivariate normal distribution is developed. Based on this criterion, the necessary number of training samples is predicted. Experimental results which are used as a guide for determining the number of training samples are included. Previously announced in STAR as N82-28109

Statistical classification techniques for engineering and climatic data samples

NASA Technical Reports Server (NTRS)

Temple, E. C.; Shipman, J. R.

1981-01-01

Fisher's sample linear discriminant function is modified through an appropriate alteration of the common sample variance-covariance matrix. The alteration consists of adding nonnegative values to the eigenvalues of the sample variance covariance matrix. The desired results of this modification is to increase the number of correct classifications by the new linear discriminant function over Fisher's function. This study is limited to the two-group discriminant problem.

Spiked Models of Large Dimensional Random Matrices Applied to Wireless Communications and Array Signal Processing

DTIC Science & Technology

2013-12-14

population covariance matrix with application to array signal processing; and 5) a sample covariance matrix for which a CLT is studied on linear...Applications , (01 2012): 1150004. doi: Walid Hachem, Malika Kharouf, Jamal Najim, Jack W. Silverstein. A CLT FOR INFORMATION- THEORETIC STATISTICS...for Multi-source Power Estimation, (04 2010) Malika Kharouf, Jamal Najim, Jack W. Silverstein, Walid Hachem. A CLT FOR INFORMATION- THEORETIC

Fault Detection of a Roller-Bearing System through the EMD of a Wavelet Denoised Signal

PubMed Central

Ahn, Jong-Hyo; Kwak, Dae-Ho; Koh, Bong-Hwan

2014-01-01

This paper investigates fault detection of a roller bearing system using a wavelet denoising scheme and proper orthogonal value (POV) of an intrinsic mode function (IMF) covariance matrix. The IMF of the bearing vibration signal is obtained through empirical mode decomposition (EMD). The signal screening process in the wavelet domain eliminates noise-corrupted portions that may lead to inaccurate prognosis of bearing conditions. We segmented the denoised bearing signal into several intervals, and decomposed each of them into IMFs. The first IMF of each segment is collected to become a covariance matrix for calculating the POV. We show that covariance matrices from healthy and damaged bearings exhibit different POV profiles, which can be a damage-sensitive feature. We also illustrate the conventional approach of feature extraction, of observing the kurtosis value of the measured signal, to compare the functionality of the proposed technique. The study demonstrates the feasibility of wavelet-based de-noising, and shows through laboratory experiments that tracking the proper orthogonal values of the covariance matrix of the IMF can be an effective and reliable measure for monitoring bearing fault. PMID:25196008

Local-aggregate modeling for big data via distributed optimization: Applications to neuroimaging.

PubMed

Hu, Yue; Allen, Genevera I

2015-12-01

Technological advances have led to a proliferation of structured big data that have matrix-valued covariates. We are specifically motivated to build predictive models for multi-subject neuroimaging data based on each subject's brain imaging scans. This is an ultra-high-dimensional problem that consists of a matrix of covariates (brain locations by time points) for each subject; few methods currently exist to fit supervised models directly to this tensor data. We propose a novel modeling and algorithmic strategy to apply generalized linear models (GLMs) to this massive tensor data in which one set of variables is associated with locations. Our method begins by fitting GLMs to each location separately, and then builds an ensemble by blending information across locations through regularization with what we term an aggregating penalty. Our so called, Local-Aggregate Model, can be fit in a completely distributed manner over the locations using an Alternating Direction Method of Multipliers (ADMM) strategy, and thus greatly reduces the computational burden. Furthermore, we propose to select the appropriate model through a novel sequence of faster algorithmic solutions that is similar to regularization paths. We will demonstrate both the computational and predictive modeling advantages of our methods via simulations and an EEG classification problem. © 2015, The International Biometric Society.

Robust and sparse correlation matrix estimation for the analysis of high-dimensional genomics data.

PubMed

Serra, Angela; Coretto, Pietro; Fratello, Michele; Tagliaferri, Roberto; Stegle, Oliver

2018-02-15

Microarray technology can be used to study the expression of thousands of genes across a number of different experimental conditions, usually hundreds. The underlying principle is that genes sharing similar expression patterns, across different samples, can be part of the same co-expression system, or they may share the same biological functions. Groups of genes are usually identified based on cluster analysis. Clustering methods rely on the similarity matrix between genes. A common choice to measure similarity is to compute the sample correlation matrix. Dimensionality reduction is another popular data analysis task which is also based on covariance/correlation matrix estimates. Unfortunately, covariance/correlation matrix estimation suffers from the intrinsic noise present in high-dimensional data. Sources of noise are: sampling variations, presents of outlying sample units, and the fact that in most cases the number of units is much larger than the number of genes. In this paper, we propose a robust correlation matrix estimator that is regularized based on adaptive thresholding. The resulting method jointly tames the effects of the high-dimensionality, and data contamination. Computations are easy to implement and do not require hand tunings. Both simulated and real data are analyzed. A Monte Carlo experiment shows that the proposed method is capable of remarkable performances. Our correlation metric is more robust to outliers compared with the existing alternatives in two gene expression datasets. It is also shown how the regularization allows to automatically detect and filter spurious correlations. The same regularization is also extended to other less robust correlation measures. Finally, we apply the ARACNE algorithm on the SyNTreN gene expression data. Sensitivity and specificity of the reconstructed network is compared with the gold standard. We show that ARACNE performs better when it takes the proposed correlation matrix estimator as input. The R software is available at https://github.com/angy89/RobustSparseCorrelation. aserra@unisa.it or robtag@unisa.it. Supplementary data are available at Bioinformatics online. © The Author (2017). Published by Oxford University Press. All rights reserved. For Permissions, please email: journals.permissions@oup.com

Development of GPS Receiver Kalman Filter Algorithms for Stationary, Low-Dynamics, and High-Dynamics Applications

DTIC Science & Technology

2016-06-01

index. The covariance matrix associated with the disctrete-time process noise vector [ ωdφ(k) ωdf (k) ]T is Qdt (k) = [ SφT + T 3 3 Sf T 2 2 Sf T 2 2 Sf...time process noise covariance matrix , scaled to metres, is shown on page 153 of [1]. It is Qd (k) = c 2Qdt (k) = [ 0.0114 0.0019 0.0019 0.0039 ] (8...somewhat, a shorthand notation is used where appropriate; viz., consider an m × n matrix A, with elements aij (k) , i = 1, ..,m, j = 1, .., n, then

An experimental SMI adaptive antenna array simulator for weak interfering signals

NASA Technical Reports Server (NTRS)

Dilsavor, Ronald S.; Gupta, Inder J.

1991-01-01

An experimental sample matrix inversion (SMI) adaptive antenna array for suppressing weak interfering signals is described. The experimental adaptive array uses a modified SMI algorithm to increase the interference suppression. In the modified SMI algorithm, the sample covariance matrix is redefined to reduce the effect of thermal noise on the weights of an adaptive array. This is accomplished by subtracting a fraction of the smallest eigenvalue of the original covariance matrix from its diagonal entries. The test results obtained using the experimental system are compared with theoretical results. The two show a good agreement.

Incorporating structure from motion uncertainty into image-based pose estimation

NASA Astrophysics Data System (ADS)

Ludington, Ben T.; Brown, Andrew P.; Sheffler, Michael J.; Taylor, Clark N.; Berardi, Stephen

2015-05-01

A method for generating and utilizing structure from motion (SfM) uncertainty estimates within image-based pose estimation is presented. The method is applied to a class of problems in which SfM algorithms are utilized to form a geo-registered reference model of a particular ground area using imagery gathered during flight by a small unmanned aircraft. The model is then used to form camera pose estimates in near real-time from imagery gathered later. The resulting pose estimates can be utilized by any of the other onboard systems (e.g. as a replacement for GPS data) or downstream exploitation systems, e.g., image-based object trackers. However, many of the consumers of pose estimates require an assessment of the pose accuracy. The method for generating the accuracy assessment is presented. First, the uncertainty in the reference model is estimated. Bundle Adjustment (BA) is utilized for model generation. While the high-level approach for generating a covariance matrix of the BA parameters is straightforward, typical computing hardware is not able to support the required operations due to the scale of the optimization problem within BA. Therefore, a series of sparse matrix operations is utilized to form an exact covariance matrix for only the parameters that are needed at a particular moment. Once the uncertainty in the model has been determined, it is used to augment Perspective-n-Point pose estimation algorithms to improve the pose accuracy and to estimate the resulting pose uncertainty. The implementation of the described method is presented along with results including results gathered from flight test data.

Two-stage sparse coding of region covariance via Log-Euclidean kernels to detect saliency.

PubMed

Zhang, Ying-Ying; Yang, Cai; Zhang, Ping

2017-05-01

In this paper, we present a novel bottom-up saliency detection algorithm from the perspective of covariance matrices on a Riemannian manifold. Each superpixel is described by a region covariance matrix on Riemannian Manifolds. We carry out a two-stage sparse coding scheme via Log-Euclidean kernels to extract salient objects efficiently. In the first stage, given background dictionary on image borders, sparse coding of each region covariance via Log-Euclidean kernels is performed. The reconstruction error on the background dictionary is regarded as the initial saliency of each superpixel. In the second stage, an improvement of the initial result is achieved by calculating reconstruction errors of the superpixels on foreground dictionary, which is extracted from the first stage saliency map. The sparse coding in the second stage is similar to the first stage, but is able to effectively highlight the salient objects uniformly from the background. Finally, three post-processing methods-highlight-inhibition function, context-based saliency weighting, and the graph cut-are adopted to further refine the saliency map. Experiments on four public benchmark datasets show that the proposed algorithm outperforms the state-of-the-art methods in terms of precision, recall and mean absolute error, and demonstrate the robustness and efficiency of the proposed method. Copyright © 2017 Elsevier Ltd. All rights reserved.

A Semiparametric Approach to Simultaneous Covariance Estimation for Bivariate Sparse Longitudinal Data

PubMed Central

Das, Kiranmoy; Daniels, Michael J.

2014-01-01

Summary Estimation of the covariance structure for irregular sparse longitudinal data has been studied by many authors in recent years but typically using fully parametric specifications. In addition, when data are collected from several groups over time, it is known that assuming the same or completely different covariance matrices over groups can lead to loss of efficiency and/or bias. Nonparametric approaches have been proposed for estimating the covariance matrix for regular univariate longitudinal data by sharing information across the groups under study. For the irregular case, with longitudinal measurements that are bivariate or multivariate, modeling becomes more difficult. In this article, to model bivariate sparse longitudinal data from several groups, we propose a flexible covariance structure via a novel matrix stick-breaking process for the residual covariance structure and a Dirichlet process mixture of normals for the random effects. Simulation studies are performed to investigate the effectiveness of the proposed approach over more traditional approaches. We also analyze a subset of Framingham Heart Study data to examine how the blood pressure trajectories and covariance structures differ for the patients from different BMI groups (high, medium and low) at baseline. PMID:24400941

Zero-inflated count models for longitudinal measurements with heterogeneous random effects.

PubMed

Zhu, Huirong; Luo, Sheng; DeSantis, Stacia M

2017-08-01

Longitudinal zero-inflated count data arise frequently in substance use research when assessing the effects of behavioral and pharmacological interventions. Zero-inflated count models (e.g. zero-inflated Poisson or zero-inflated negative binomial) with random effects have been developed to analyze this type of data. In random effects zero-inflated count models, the random effects covariance matrix is typically assumed to be homogeneous (constant across subjects). However, in many situations this matrix may be heterogeneous (differ by measured covariates). In this paper, we extend zero-inflated count models to account for random effects heterogeneity by modeling their variance as a function of covariates. We show via simulation that ignoring intervention and covariate-specific heterogeneity can produce biased estimates of covariate and random effect estimates. Moreover, those biased estimates can be rectified by correctly modeling the random effects covariance structure. The methodological development is motivated by and applied to the Combined Pharmacotherapies and Behavioral Interventions for Alcohol Dependence (COMBINE) study, the largest clinical trial of alcohol dependence performed in United States with 1383 individuals.

Using Least Squares for Error Propagation

ERIC Educational Resources Information Center

Tellinghuisen, Joel

2015-01-01

The method of least-squares (LS) has a built-in procedure for estimating the standard errors (SEs) of the adjustable parameters in the fit model: They are the square roots of the diagonal elements of the covariance matrix. This means that one can use least-squares to obtain numerical values of propagated errors by defining the target quantities as…

Random Weighting, Strong Tracking, and Unscented Kalman Filter for Soft Tissue Characterization.

PubMed

Shin, Jaehyun; Zhong, Yongmin; Oetomo, Denny; Gu, Chengfan

2018-05-21

This paper presents a new nonlinear filtering method based on the Hunt-Crossley model for online nonlinear soft tissue characterization. This method overcomes the problem of performance degradation in the unscented Kalman filter due to contact model error. It adopts the concept of Mahalanobis distance to identify contact model error, and further incorporates a scaling factor in predicted state covariance to compensate identified model error. This scaling factor is determined according to the principle of innovation orthogonality to avoid the cumbersome computation of Jacobian matrix, where the random weighting concept is adopted to improve the estimation accuracy of innovation covariance. A master-slave robotic indentation system is developed to validate the performance of the proposed method. Simulation and experimental results as well as comparison analyses demonstrate that the efficacy of the proposed method for online characterization of soft tissue parameters in the presence of contact model error.

A Monte Carlo simulation based inverse propagation method for stochastic model updating

NASA Astrophysics Data System (ADS)

Bao, Nuo; Wang, Chunjie

2015-08-01

This paper presents an efficient stochastic model updating method based on statistical theory. Significant parameters have been selected implementing the F-test evaluation and design of experiments, and then the incomplete fourth-order polynomial response surface model (RSM) has been developed. Exploiting of the RSM combined with Monte Carlo simulation (MCS), reduces the calculation amount and the rapid random sampling becomes possible. The inverse uncertainty propagation is given by the equally weighted sum of mean and covariance matrix objective functions. The mean and covariance of parameters are estimated synchronously by minimizing the weighted objective function through hybrid of particle-swarm and Nelder-Mead simplex optimization method, thus the better correlation between simulation and test is achieved. Numerical examples of a three degree-of-freedom mass-spring system under different conditions and GARTEUR assembly structure validated the feasibility and effectiveness of the proposed method.

Iterative image-domain decomposition for dual-energy CT

DOE Office of Scientific and Technical Information (OSTI.GOV)

Niu, Tianye; Dong, Xue; Petrongolo, Michael

2014-04-15

Purpose: Dual energy CT (DECT) imaging plays an important role in advanced imaging applications due to its capability of material decomposition. Direct decomposition via matrix inversion suffers from significant degradation of image signal-to-noise ratios, which reduces clinical values of DECT. Existing denoising algorithms achieve suboptimal performance since they suppress image noise either before or after the decomposition and do not fully explore the noise statistical properties of the decomposition process. In this work, the authors propose an iterative image-domain decomposition method for noise suppression in DECT, using the full variance-covariance matrix of the decomposed images. Methods: The proposed algorithm ismore » formulated in the form of least-square estimation with smoothness regularization. Based on the design principles of a best linear unbiased estimator, the authors include the inverse of the estimated variance-covariance matrix of the decomposed images as the penalty weight in the least-square term. The regularization term enforces the image smoothness by calculating the square sum of neighboring pixel value differences. To retain the boundary sharpness of the decomposed images, the authors detect the edges in the CT images before decomposition. These edge pixels have small weights in the calculation of the regularization term. Distinct from the existing denoising algorithms applied on the images before or after decomposition, the method has an iterative process for noise suppression, with decomposition performed in each iteration. The authors implement the proposed algorithm using a standard conjugate gradient algorithm. The method performance is evaluated using an evaluation phantom (Catphan©600) and an anthropomorphic head phantom. The results are compared with those generated using direct matrix inversion with no noise suppression, a denoising method applied on the decomposed images, and an existing algorithm with similar formulation as the proposed method but with an edge-preserving regularization term. Results: On the Catphan phantom, the method maintains the same spatial resolution on the decomposed images as that of the CT images before decomposition (8 pairs/cm) while significantly reducing their noise standard deviation. Compared to that obtained by the direct matrix inversion, the noise standard deviation in the images decomposed by the proposed algorithm is reduced by over 98%. Without considering the noise correlation properties in the formulation, the denoising scheme degrades the spatial resolution to 6 pairs/cm for the same level of noise suppression. Compared to the edge-preserving algorithm, the method achieves better low-contrast detectability. A quantitative study is performed on the contrast-rod slice of Catphan phantom. The proposed method achieves lower electron density measurement error as compared to that by the direct matrix inversion, and significantly reduces the error variation by over 97%. On the head phantom, the method reduces the noise standard deviation of decomposed images by over 97% without blurring the sinus structures. Conclusions: The authors propose an iterative image-domain decomposition method for DECT. The method combines noise suppression and material decomposition into an iterative process and achieves both goals simultaneously. By exploring the full variance-covariance properties of the decomposed images and utilizing the edge predetection, the proposed algorithm shows superior performance on noise suppression with high image spatial resolution and low-contrast detectability.« less

Partial covariance based functional connectivity computation using Ledoit-Wolf covariance regularization.

PubMed

Brier, Matthew R; Mitra, Anish; McCarthy, John E; Ances, Beau M; Snyder, Abraham Z

2015-11-01

Functional connectivity refers to shared signals among brain regions and is typically assessed in a task free state. Functional connectivity commonly is quantified between signal pairs using Pearson correlation. However, resting-state fMRI is a multivariate process exhibiting a complicated covariance structure. Partial covariance assesses the unique variance shared between two brain regions excluding any widely shared variance, hence is appropriate for the analysis of multivariate fMRI datasets. However, calculation of partial covariance requires inversion of the covariance matrix, which, in most functional connectivity studies, is not invertible owing to rank deficiency. Here we apply Ledoit-Wolf shrinkage (L2 regularization) to invert the high dimensional BOLD covariance matrix. We investigate the network organization and brain-state dependence of partial covariance-based functional connectivity. Although RSNs are conventionally defined in terms of shared variance, removal of widely shared variance, surprisingly, improved the separation of RSNs in a spring embedded graphical model. This result suggests that pair-wise unique shared variance plays a heretofore unrecognized role in RSN covariance organization. In addition, application of partial correlation to fMRI data acquired in the eyes open vs. eyes closed states revealed focal changes in uniquely shared variance between the thalamus and visual cortices. This result suggests that partial correlation of resting state BOLD time series reflect functional processes in addition to structural connectivity. Copyright © 2015 Elsevier Inc. All rights reserved.

Partial covariance based functional connectivity computation using Ledoit-Wolf covariance regularization

PubMed Central

Brier, Matthew R.; Mitra, Anish; McCarthy, John E.; Ances, Beau M.; Snyder, Abraham Z.

2015-01-01

Functional connectivity refers to shared signals among brain regions and is typically assessed in a task free state. Functional connectivity commonly is quantified between signal pairs using Pearson correlation. However, resting-state fMRI is a multivariate process exhibiting a complicated covariance structure. Partial covariance assesses the unique variance shared between two brain regions excluding any widely shared variance, hence is appropriate for the analysis of multivariate fMRI datasets. However, calculation of partial covariance requires inversion of the covariance matrix, which, in most functional connectivity studies, is not invertible owing to rank deficiency. Here we apply Ledoit-Wolf shrinkage (L2 regularization) to invert the high dimensional BOLD covariance matrix. We investigate the network organization and brain-state dependence of partial covariance-based functional connectivity. Although RSNs are conventionally defined in terms of shared variance, removal of widely shared variance, surprisingly, improved the separation of RSNs in a spring embedded graphical model. This result suggests that pair-wise unique shared variance plays a heretofore unrecognized role in RSN covariance organization. In addition, application of partial correlation to fMRI data acquired in the eyes open vs. eyes closed states revealed focal changes in uniquely shared variance between the thalamus and visual cortices. This result suggests that partial correlation of resting state BOLD time series reflect functional processes in addition to structural connectivity. PMID:26208872

An adaptive filter method for spacecraft using gravity assist

NASA Astrophysics Data System (ADS)

Ning, Xiaolin; Huang, Panpan; Fang, Jiancheng; Liu, Gang; Ge, Shuzhi Sam

2015-04-01

Celestial navigation (CeleNav) has been successfully used during gravity assist (GA) flyby for orbit determination in many deep space missions. Due to spacecraft attitude errors, ephemeris errors, the camera center-finding bias, and the frequency of the images before and after the GA flyby, the statistics of measurement noise cannot be accurately determined, and yet have time-varying characteristics, which may introduce large estimation error and even cause filter divergence. In this paper, an unscented Kalman filter (UKF) with adaptive measurement noise covariance, called ARUKF, is proposed to deal with this problem. ARUKF scales the measurement noise covariance according to the changes in innovation and residual sequences. Simulations demonstrate that ARUKF is robust to the inaccurate initial measurement noise covariance matrix and time-varying measurement noise. The impact factors in the ARUKF are also investigated.

A bias correction for covariance estimators to improve inference with generalized estimating equations that use an unstructured correlation matrix.

PubMed

Westgate, Philip M

2013-07-20

Generalized estimating equations (GEEs) are routinely used for the marginal analysis of correlated data. The efficiency of GEE depends on how closely the working covariance structure resembles the true structure, and therefore accurate modeling of the working correlation of the data is important. A popular approach is the use of an unstructured working correlation matrix, as it is not as restrictive as simpler structures such as exchangeable and AR-1 and thus can theoretically improve efficiency. However, because of the potential for having to estimate a large number of correlation parameters, variances of regression parameter estimates can be larger than theoretically expected when utilizing the unstructured working correlation matrix. Therefore, standard error estimates can be negatively biased. To account for this additional finite-sample variability, we derive a bias correction that can be applied to typical estimators of the covariance matrix of parameter estimates. Via simulation and in application to a longitudinal study, we show that our proposed correction improves standard error estimation and statistical inference. Copyright © 2012 John Wiley & Sons, Ltd.

Modeling PSInSAR time series without phase unwrapping

USGS Publications Warehouse

Zhang, L.; Ding, X.; Lu, Z.

2011-01-01

In this paper, we propose a least-squares-based method for multitemporal synthetic aperture radar interferometry that allows one to estimate deformations without the need of phase unwrapping. The method utilizes a series of multimaster wrapped differential interferograms with short baselines and focuses on arcs at which there are no phase ambiguities. An outlier detector is used to identify and remove the arcs with phase ambiguities, and a pseudoinverse of the variance-covariance matrix is used as the weight matrix of the correlated observations. The deformation rates at coherent points are estimated with a least squares model constrained by reference points. The proposed approach is verified with a set of simulated data.

Pairwise registration of TLS point clouds using covariance descriptors and a non-cooperative game

NASA Astrophysics Data System (ADS)

Zai, Dawei; Li, Jonathan; Guo, Yulan; Cheng, Ming; Huang, Pengdi; Cao, Xiaofei; Wang, Cheng

2017-12-01

It is challenging to automatically register TLS point clouds with noise, outliers and varying overlap. In this paper, we propose a new method for pairwise registration of TLS point clouds. We first generate covariance matrix descriptors with an adaptive neighborhood size from point clouds to find candidate correspondences, we then construct a non-cooperative game to isolate mutual compatible correspondences, which are considered as true positives. The method was tested on three models acquired by two different TLS systems. Experimental results demonstrate that our proposed adaptive covariance (ACOV) descriptor is invariant to rigid transformation and robust to noise and varying resolutions. The average registration errors achieved on three models are 0.46 cm, 0.32 cm and 1.73 cm, respectively. The computational times cost on these models are about 288 s, 184 s and 903 s, respectively. Besides, our registration framework using ACOV descriptors and a game theoretic method is superior to the state-of-the-art methods in terms of both registration error and computational time. The experiment on a large outdoor scene further demonstrates the feasibility and effectiveness of our proposed pairwise registration framework.

Spectral Approaches to Learning Predictive Representations

DTIC Science & Technology

2012-09-01

conclusions contained in this document are those of the author and should not be interpreted as representing the official policies, either expressed...to the mean to form an initial prediction of x̂(ht). Similarly, Equation 2.3b can be interpreted as using the dynamics matrix A and error covarianceQ...in the sense of Lyapunov if its dynamics matrix A is. Thus, the Lyapunov criterion can be interpreted as holding for an LDS if, for a given covariance

Preconditioning of the background error covariance matrix in data assimilation for the Caspian Sea

NASA Astrophysics Data System (ADS)

Arcucci, Rossella; D'Amore, Luisa; Toumi, Ralf

2017-06-01

Data Assimilation (DA) is an uncertainty quantification technique used for improving numerical forecasted results by incorporating observed data into prediction models. As a crucial point into DA models is the ill conditioning of the covariance matrices involved, it is mandatory to introduce, in a DA software, preconditioning methods. Here we present first studies concerning the introduction of two different preconditioning methods in a DA software we are developing (we named S3DVAR) which implements a Scalable Three Dimensional Variational Data Assimilation model for assimilating sea surface temperature (SST) values collected into the Caspian Sea by using the Regional Ocean Modeling System (ROMS) with observations provided by the Group of High resolution sea surface temperature (GHRSST). We also present the algorithmic strategies we employ.

Non-linear matter power spectrum covariance matrix errors and cosmological parameter uncertainties

NASA Astrophysics Data System (ADS)

Blot, L.; Corasaniti, P. S.; Amendola, L.; Kitching, T. D.

2016-06-01

The covariance of the matter power spectrum is a key element of the analysis of galaxy clustering data. Independent realizations of observational measurements can be used to sample the covariance, nevertheless statistical sampling errors will propagate into the cosmological parameter inference potentially limiting the capabilities of the upcoming generation of galaxy surveys. The impact of these errors as function of the number of realizations has been previously evaluated for Gaussian distributed data. However, non-linearities in the late-time clustering of matter cause departures from Gaussian statistics. Here, we address the impact of non-Gaussian errors on the sample covariance and precision matrix errors using a large ensemble of N-body simulations. In the range of modes where finite volume effects are negligible (0.1 ≲ k [h Mpc-1] ≲ 1.2), we find deviations of the variance of the sample covariance with respect to Gaussian predictions above ˜10 per cent at k > 0.3 h Mpc-1. Over the entire range these reduce to about ˜5 per cent for the precision matrix. Finally, we perform a Fisher analysis to estimate the effect of covariance errors on the cosmological parameter constraints. In particular, assuming Euclid-like survey characteristics we find that a number of independent realizations larger than 5000 is necessary to reduce the contribution of sampling errors to the cosmological parameter uncertainties at subpercent level. We also show that restricting the analysis to large scales k ≲ 0.2 h Mpc-1 results in a considerable loss in constraining power, while using the linear covariance to include smaller scales leads to an underestimation of the errors on the cosmological parameters.

A Note on the Factor Analysis of Partial Covariance Matrices

ERIC Educational Resources Information Center

McDonald, Roderick P.

1978-01-01

The relationship between the factor structure of a convariance matrix and the factor structure of a partial convariance matrix when one or more variables are partialled out of the original matrix is given in this brief note. (JKS)

Covariance Matrix Adaptation Evolutionary Strategy for Drift Correction of Electronic Nose Data

NASA Astrophysics Data System (ADS)

Di Carlo, S.; Falasconi, M.; Sanchez, E.; Sberveglieri, G.; Scionti, A.; Squillero, G.; Tonda, A.

2011-09-01

Electronic Noses (ENs) might represent a simple, fast, high sample throughput and economic alternative to conventional analytical instruments [1]. However, gas sensors drift still limits the EN adoption in real industrial setups due to high recalibration effort and cost [2]. In fact, pattern recognition (PaRC) models built in the training phase become useless after a period of time, in some cases a few weeks. Although algorithms to mitigate the drift date back to the early 90 this is still a challenging issue for the chemical sensor community [3]. Among other approaches, adaptive drift correction methods adjust the PaRC model in parallel with data acquisition without need of periodic calibration. Self-Organizing Maps (SOMs) [4] and Adaptive Resonance Theory (ART) networks [5] have been already tested in the past with fair success. This paper presents and discusses an original methodology based on a Covariance Matrix Adaptation Evolution Strategy (CMA-ES) [6], suited for stochastic optimization of complex problems.

AMA- and RWE- Based Adaptive Kalman Filter for Denoising Fiber Optic Gyroscope Drift Signal

PubMed Central

Yang, Gongliu; Liu, Yuanyuan; Li, Ming; Song, Shunguang

2015-01-01

An improved double-factor adaptive Kalman filter called AMA-RWE-DFAKF is proposed to denoise fiber optic gyroscope (FOG) drift signal in both static and dynamic conditions. The first factor is Kalman gain updated by random weighting estimation (RWE) of the covariance matrix of innovation sequence at any time to ensure the lowest noise level of output, but the inertia of KF response increases in dynamic condition. To decrease the inertia, the second factor is the covariance matrix of predicted state vector adjusted by RWE only when discontinuities are detected by adaptive moving average (AMA).The AMA-RWE-DFAKF is applied for denoising FOG static and dynamic signals, its performance is compared with conventional KF (CKF), RWE-based adaptive KF with gain correction (RWE-AKFG), AMA- and RWE- based dual mode adaptive KF (AMA-RWE-DMAKF). Results of Allan variance on static signal and root mean square error (RMSE) on dynamic signal show that this proposed algorithm outperforms all the considered methods in denoising FOG signal. PMID:26512665

Maximum Correntropy Unscented Kalman Filter for Spacecraft Relative State Estimation.

PubMed

Liu, Xi; Qu, Hua; Zhao, Jihong; Yue, Pengcheng; Wang, Meng

2016-09-20

A new algorithm called maximum correntropy unscented Kalman filter (MCUKF) is proposed and applied to relative state estimation in space communication networks. As is well known, the unscented Kalman filter (UKF) provides an efficient tool to solve the non-linear state estimate problem. However, the UKF usually plays well in Gaussian noises. Its performance may deteriorate substantially in the presence of non-Gaussian noises, especially when the measurements are disturbed by some heavy-tailed impulsive noises. By making use of the maximum correntropy criterion (MCC), the proposed algorithm can enhance the robustness of UKF against impulsive noises. In the MCUKF, the unscented transformation (UT) is applied to obtain a predicted state estimation and covariance matrix, and a nonlinear regression method with the MCC cost is then used to reformulate the measurement information. Finally, the UT is adopted to the measurement equation to obtain the filter state and covariance matrix. Illustrative examples demonstrate the superior performance of the new algorithm.

AMA- and RWE- Based Adaptive Kalman Filter for Denoising Fiber Optic Gyroscope Drift Signal.

PubMed

Yang, Gongliu; Liu, Yuanyuan; Li, Ming; Song, Shunguang

2015-10-23

An improved double-factor adaptive Kalman filter called AMA-RWE-DFAKF is proposed to denoise fiber optic gyroscope (FOG) drift signal in both static and dynamic conditions. The first factor is Kalman gain updated by random weighting estimation (RWE) of the covariance matrix of innovation sequence at any time to ensure the lowest noise level of output, but the inertia of KF response increases in dynamic condition. To decrease the inertia, the second factor is the covariance matrix of predicted state vector adjusted by RWE only when discontinuities are detected by adaptive moving average (AMA).The AMA-RWE-DFAKF is applied for denoising FOG static and dynamic signals, its performance is compared with conventional KF (CKF), RWE-based adaptive KF with gain correction (RWE-AKFG), AMA- and RWE- based dual mode adaptive KF (AMA-RWE-DMAKF). Results of Allan variance on static signal and root mean square error (RMSE) on dynamic signal show that this proposed algorithm outperforms all the considered methods in denoising FOG signal.

Maximum Correntropy Unscented Kalman Filter for Spacecraft Relative State Estimation

PubMed Central

Liu, Xi; Qu, Hua; Zhao, Jihong; Yue, Pengcheng; Wang, Meng

2016-01-01

A new algorithm called maximum correntropy unscented Kalman filter (MCUKF) is proposed and applied to relative state estimation in space communication networks. As is well known, the unscented Kalman filter (UKF) provides an efficient tool to solve the non-linear state estimate problem. However, the UKF usually plays well in Gaussian noises. Its performance may deteriorate substantially in the presence of non-Gaussian noises, especially when the measurements are disturbed by some heavy-tailed impulsive noises. By making use of the maximum correntropy criterion (MCC), the proposed algorithm can enhance the robustness of UKF against impulsive noises. In the MCUKF, the unscented transformation (UT) is applied to obtain a predicted state estimation and covariance matrix, and a nonlinear regression method with the MCC cost is then used to reformulate the measurement information. Finally, the UT is adopted to the measurement equation to obtain the filter state and covariance matrix. Illustrative examples demonstrate the superior performance of the new algorithm. PMID:27657069

Covariance structure in the skull of Catarrhini: a case of pattern stasis and magnitude evolution.

PubMed

de Oliveira, Felipe Bandoni; Porto, Arthur; Marroig, Gabriel

2009-04-01

The study of the genetic variance/covariance matrix (G-matrix) is a recent and fruitful approach in evolutionary biology, providing a window of investigating for the evolution of complex characters. Although G-matrix studies were originally conducted for microevolutionary timescales, they could be extrapolated to macroevolution as long as the G-matrix remains relatively constant, or proportional, along the period of interest. A promising approach to investigating the constancy of G-matrices is to compare their phenotypic counterparts (P-matrices) in a large group of related species; if significant similarity is found among several taxa, it is very likely that the underlying G-matrices are also equivalent. Here we study the similarity of covariance and correlation structure in a broad sample of Old World monkeys and apes (Catarrhini). We made phylogenetically structured comparisons of correlation and covariance matrices derived from 39 skull traits, ranging from between species to the superfamily level. We also compared the overall magnitude of integration between skull traits (r2) for all Catarrhini genera. Our results show that P-matrices were not strictly constant among catarrhines, but the amount of divergence observed among taxa was generally low. There was significant and positive correlation between the amount of divergence in correlation and covariance patterns among the 30 genera and their phylogenetic distances derived from a recently proposed phylogenetic hypothesis. Our data demonstrate that the P-matrices remained relatively similar along the evolutionary history of catarrhines, and comparisons with the G-matrix available for a New World monkey genus (Saguinus) suggests that the same holds for all anthropoids. The magnitude of integration, in contrast, varied considerably among genera, indicating that evolution of the magnitude, rather than the pattern of inter-trait correlations, might have played an important role in the diversification of the catarrhine skull.

Computer Aided Multi-Data Fusion Dismount Modeling

DTIC Science & Technology

2012-03-22

The ability of geometric morphometric methods to estimate a known covariance matrix., volume 49. Systematic Biology, 2000. [39] Wang C., Yuen M...the use of human shape descriptors like landmarks, body composition, body segmentation, skeletonisation, body representation using geometrical shapes...Springer. [10] Bookstein, F. L. “ Morphometric Tools for Landmark Data: Geometry and Biology.” Cambridge University Press, 1991. [11] Borengasser, M

Covariance of dynamic strain responses for structural damage detection

NASA Astrophysics Data System (ADS)

Li, X. Y.; Wang, L. X.; Law, S. S.; Nie, Z. H.

2017-10-01

A new approach to address the practical problems with condition evaluation/damage detection of structures is proposed based on the distinct features of a new damage index. The covariance of strain response function (CoS) is a function of modal parameters of the structure. A local stiffness reduction in structure would cause monotonous increase in the CoS. Its sensitivity matrix with respect to local damages of structure is negative and narrow-banded. The damage extent can be estimated with an approximation to the sensitivity matrix to decouple the identification equations. The CoS sensitivity can be calibrated in practice from two previous states of measurements to estimate approximately the damage extent of a structure. A seven-storey plane frame structure is numerically studied to illustrate the features of the CoS index and the proposed method. A steel circular arch in the laboratory is tested. Natural frequencies changed due to damage in the arch and the damage occurrence can be judged. However, the proposed CoS method can identify not only damage happening but also location, even damage extent without need of an analytical model. It is promising for structural condition evaluation of selected components.

Noise sensitivity of portfolio selection in constant conditional correlation GARCH models

NASA Astrophysics Data System (ADS)

Varga-Haszonits, I.; Kondor, I.

2007-11-01

This paper investigates the efficiency of minimum variance portfolio optimization for stock price movements following the Constant Conditional Correlation GARCH process proposed by Bollerslev. Simulations show that the quality of portfolio selection can be improved substantially by computing optimal portfolio weights from conditional covariances instead of unconditional ones. Measurement noise can be further reduced by applying some filtering method on the conditional correlation matrix (such as Random Matrix Theory based filtering). As an empirical support for the simulation results, the analysis is also carried out for a time series of S&P500 stock prices.

Effects of error covariance structure on estimation of model averaging weights and predictive performance

USGS Publications Warehouse

Lu, Dan; Ye, Ming; Meyer, Philip D.; Curtis, Gary P.; Shi, Xiaoqing; Niu, Xu-Feng; Yabusaki, Steve B.

2013-01-01

When conducting model averaging for assessing groundwater conceptual model uncertainty, the averaging weights are often evaluated using model selection criteria such as AIC, AICc, BIC, and KIC (Akaike Information Criterion, Corrected Akaike Information Criterion, Bayesian Information Criterion, and Kashyap Information Criterion, respectively). However, this method often leads to an unrealistic situation in which the best model receives overwhelmingly large averaging weight (close to 100%), which cannot be justified by available data and knowledge. It was found in this study that this problem was caused by using the covariance matrix, CE, of measurement errors for estimating the negative log likelihood function common to all the model selection criteria. This problem can be resolved by using the covariance matrix, Cek, of total errors (including model errors and measurement errors) to account for the correlation between the total errors. An iterative two-stage method was developed in the context of maximum likelihood inverse modeling to iteratively infer the unknown Cek from the residuals during model calibration. The inferred Cek was then used in the evaluation of model selection criteria and model averaging weights. While this method was limited to serial data using time series techniques in this study, it can be extended to spatial data using geostatistical techniques. The method was first evaluated in a synthetic study and then applied to an experimental study, in which alternative surface complexation models were developed to simulate column experiments of uranium reactive transport. It was found that the total errors of the alternative models were temporally correlated due to the model errors. The iterative two-stage method using Cekresolved the problem that the best model receives 100% model averaging weight, and the resulting model averaging weights were supported by the calibration results and physical understanding of the alternative models. Using Cek obtained from the iterative two-stage method also improved predictive performance of the individual models and model averaging in both synthetic and experimental studies.

Thinking outside the box: effects of modes larger than the survey on matter power spectrum covariance

DOE Office of Scientific and Technical Information (OSTI.GOV)

Putter, Roland de; Wagner, Christian; Verde, Licia

2012-04-01

Accurate power spectrum (or correlation function) covariance matrices are a crucial requirement for cosmological parameter estimation from large scale structure surveys. In order to minimize reliance on computationally expensive mock catalogs, it is important to have a solid analytic understanding of the different components that make up a covariance matrix. Considering the matter power spectrum covariance matrix, it has recently been found that there is a potentially dominant effect on mildly non-linear scales due to power in modes of size equal to and larger than the survey volume. This beat coupling effect has been derived analytically in perturbation theory andmore » while it has been tested with simulations, some questions remain unanswered. Moreover, there is an additional effect of these large modes, which has so far not been included in analytic studies, namely the effect on the estimated average density which enters the power spectrum estimate. In this article, we work out analytic, perturbation theory based expressions including both the beat coupling and this local average effect and we show that while, when isolated, beat coupling indeed causes large excess covariance in agreement with the literature, in a realistic scenario this is compensated almost entirely by the local average effect, leaving only ∼ 10% of the excess. We test our analytic expressions by comparison to a suite of large N-body simulations, using both full simulation boxes and subboxes thereof to study cases without beat coupling, with beat coupling and with both beat coupling and the local average effect. For the variances, we find excellent agreement with the analytic expressions for k < 0.2 hMpc{sup −1} at z = 0.5, while the correlation coefficients agree to beyond k = 0.4 hMpc{sup −1}. As expected, the range of agreement increases towards higher redshift and decreases slightly towards z = 0. We finish by including the large-mode effects in a full covariance matrix description for arbitrary survey geometry and confirming its validity using simulations. This may be useful as a stepping stone towards building an actual galaxy (or other tracer's) power spectrum covariance matrix.« less

A Framework for Propagation of Uncertainties in the Kepler Data Analysis Pipeline

NASA Technical Reports Server (NTRS)

Clarke, Bruce D.; Allen, Christopher; Bryson, Stephen T.; Caldwell, Douglas A.; Chandrasekaran, Hema; Cote, Miles T.; Girouard, Forrest; Jenkins, Jon M.; Klaus, Todd C.; Li, Jie;

Position Error Covariance Matrix Validation and Correction

NASA Technical Reports Server (NTRS)

Frisbee, Joe, Jr.

2016-01-01

In order to calculate operationally accurate collision probabilities, the position error covariance matrices predicted at times of closest approach must be sufficiently accurate representations of the position uncertainties. This presentation will discuss why the Gaussian distribution is a reasonable expectation for the position uncertainty and how this assumed distribution type is used in the validation and correction of position error covariance matrices.

An Efficient Local Correlation Matrix Decomposition Approach for the Localization Implementation of Ensemble-Based Assimilation Methods

NASA Astrophysics Data System (ADS)

Zhang, Hongqin; Tian, Xiangjun

2018-04-01

Ensemble-based data assimilation methods often use the so-called localization scheme to improve the representation of the ensemble background error covariance (Be). Extensive research has been undertaken to reduce the computational cost of these methods by using the localized ensemble samples to localize Be by means of a direct decomposition of the local correlation matrix C. However, the computational costs of the direct decomposition of the local correlation matrix C are still extremely high due to its high dimension. In this paper, we propose an efficient local correlation matrix decomposition approach based on the concept of alternating directions. This approach is intended to avoid direct decomposition of the correlation matrix. Instead, we first decompose the correlation matrix into 1-D correlation matrices in the three coordinate directions, then construct their empirical orthogonal function decomposition at low resolution. This procedure is followed by the 1-D spline interpolation process to transform the above decompositions to the high-resolution grid. Finally, an efficient correlation matrix decomposition is achieved by computing the very similar Kronecker product. We conducted a series of comparison experiments to illustrate the validity and accuracy of the proposed local correlation matrix decomposition approach. The effectiveness of the proposed correlation matrix decomposition approach and its efficient localization implementation of the nonlinear least-squares four-dimensional variational assimilation are further demonstrated by several groups of numerical experiments based on the Advanced Research Weather Research and Forecasting model.

Supernova Cosmology Project

Science.gov Websites

(note that the arXiv.org version lacks the full-resolution figures) The SCP "Union" SN Ia Matrix Description Covariance Matrix with Systematics Description Full Table of All SNe Description

A physiologically motivated sparse, compact, and smooth (SCS) approach to EEG source localization.

PubMed

Cao, Cheng; Akalin Acar, Zeynep; Kreutz-Delgado, Kenneth; Makeig, Scott

2012-01-01

Here, we introduce a novel approach to the EEG inverse problem based on the assumption that principal cortical sources of multi-channel EEG recordings may be assumed to be spatially sparse, compact, and smooth (SCS). To enforce these characteristics of solutions to the EEG inverse problem, we propose a correlation-variance model which factors a cortical source space covariance matrix into the multiplication of a pre-given correlation coefficient matrix and the square root of the diagonal variance matrix learned from the data under a Bayesian learning framework. We tested the SCS method using simulated EEG data with various SNR and applied it to a real ECOG data set. We compare the results of SCS to those of an established SBL algorithm.

The impact of covariance misspecification in group-based trajectory models for longitudinal data with non-stationary covariance structure.

PubMed

Davies, Christopher E; Glonek, Gary Fv; Giles, Lynne C

2017-08-01

One purpose of a longitudinal study is to gain a better understanding of how an outcome of interest changes among a given population over time. In what follows, a trajectory will be taken to mean the series of measurements of the outcome variable for an individual. Group-based trajectory modelling methods seek to identify subgroups of trajectories within a population, such that trajectories that are grouped together are more similar to each other than to trajectories in distinct groups. Group-based trajectory models generally assume a certain structure in the covariances between measurements, for example conditional independence, homogeneous variance between groups or stationary variance over time. Violations of these assumptions could be expected to result in poor model performance. We used simulation to investigate the effect of covariance misspecification on misclassification of trajectories in commonly used models under a range of scenarios. To do this we defined a measure of performance relative to the ideal Bayesian correct classification rate. We found that the more complex models generally performed better over a range of scenarios. In particular, incorrectly specified covariance matrices could significantly bias the results but using models with a correct but more complicated than necessary covariance matrix incurred little cost.

Sensitivity analysis for missing dichotomous outcome data in multi-visit randomized clinical trial with randomization-based covariance adjustment.

PubMed

Li, Siying; Koch, Gary G; Preisser, John S; Lam, Diana; Sanchez-Kam, Matilde

2017-01-01

Dichotomous endpoints in clinical trials have only two possible outcomes, either directly or via categorization of an ordinal or continuous observation. It is common to have missing data for one or more visits during a multi-visit study. This paper presents a closed form method for sensitivity analysis of a randomized multi-visit clinical trial that possibly has missing not at random (MNAR) dichotomous data. Counts of missing data are redistributed to the favorable and unfavorable outcomes mathematically to address possibly informative missing data. Adjusted proportion estimates and their closed form covariance matrix estimates are provided. Treatment comparisons over time are addressed with Mantel-Haenszel adjustment for a stratification factor and/or randomization-based adjustment for baseline covariables. The application of such sensitivity analyses is illustrated with an example. An appendix outlines an extension of the methodology to ordinal endpoints.

Assessment of the Gaussian Covariance Approximation over an Earth-Asteroid Encounter Period

NASA Technical Reports Server (NTRS)

Mattern, Daniel

2017-01-01

In assessing the risk an asteroid may pose to the Earth, the asteroids state is often predicted for many years, often decades. Only by accounting for the asteroids initial state uncertainty can a measure of the risk be calculated. With the asteroids state uncertainty growing as a function of the initial velocity uncertainty, orbit velocity at the last state update, and the time from the last update to the epoch of interest, the asteroids position uncertainties can grow to many times the size of the Earth when propagated to the encounter risk corridor. This paper examines the merits of propagating the asteroids state covariance as an analytical matrix. The results of this study help to bound the efficacy of applying different metrics for assessing the risk an asteroid poses to the Earth. Additionally, this work identifies a criterion for when different covariance propagation methods are needed to continue predictions after an Earth-encounter period.

Matrix partitioning and EOF/principal component analysis of Antarctic Sea ice brightness temperatures

NASA Technical Reports Server (NTRS)

Murray, C. W., Jr.; Mueller, J. L.; Zwally, H. J.

1984-01-01

A field of measured anomalies of some physical variable relative to their time averages, is partitioned in either the space domain or the time domain. Eigenvectors and corresponding principal components of the smaller dimensioned covariance matrices associated with the partitioned data sets are calculated independently, then joined to approximate the eigenstructure of the larger covariance matrix associated with the unpartitioned data set. The accuracy of the approximation (fraction of the total variance in the field) and the magnitudes of the largest eigenvalues from the partitioned covariance matrices together determine the number of local EOF's and principal components to be joined by any particular level. The space-time distribution of Nimbus-5 ESMR sea ice measurement is analyzed.

Dispersion curve estimation via a spatial covariance method with ultrasonic wavefield imaging.

PubMed

Chong, See Yenn; Todd, Michael D

2018-05-01

Numerous Lamb wave dispersion curve estimation methods have been developed to support damage detection and localization strategies in non-destructive evaluation/structural health monitoring (NDE/SHM) applications. In this paper, the covariance matrix is used to extract features from an ultrasonic wavefield imaging (UWI) scan in order to estimate the phase and group velocities of S0 and A0 modes. A laser ultrasonic interrogation method based on a Q-switched laser scanning system was used to interrogate full-field ultrasonic signals in a 2-mm aluminum plate at five different frequencies. These full-field ultrasonic signals were processed in three-dimensional space-time domain. Then, the time-dependent covariance matrices of the UWI were obtained based on the vector variables in Cartesian and polar coordinate spaces for all time samples. A spatial covariance map was constructed to show spatial correlations within the full wavefield. It was observed that the variances may be used as a feature for S0 and A0 mode properties. The phase velocity and the group velocity were found using a variance map and an enveloped variance map, respectively, at five different frequencies. This facilitated the estimation of Lamb wave dispersion curves. The estimated dispersion curves of the S0 and A0 modes showed good agreement with the theoretical dispersion curves. Copyright © 2018 Elsevier B.V. All rights reserved.

Reprint of "Two-stage sparse coding of region covariance via Log-Euclidean kernels to detect saliency".

PubMed

Zhang, Ying-Ying; Yang, Cai; Zhang, Ping

2017-08-01

In this paper, we present a novel bottom-up saliency detection algorithm from the perspective of covariance matrices on a Riemannian manifold. Each superpixel is described by a region covariance matrix on Riemannian Manifolds. We carry out a two-stage sparse coding scheme via Log-Euclidean kernels to extract salient objects efficiently. In the first stage, given background dictionary on image borders, sparse coding of each region covariance via Log-Euclidean kernels is performed. The reconstruction error on the background dictionary is regarded as the initial saliency of each superpixel. In the second stage, an improvement of the initial result is achieved by calculating reconstruction errors of the superpixels on foreground dictionary, which is extracted from the first stage saliency map. The sparse coding in the second stage is similar to the first stage, but is able to effectively highlight the salient objects uniformly from the background. Finally, three post-processing methods-highlight-inhibition function, context-based saliency weighting, and the graph cut-are adopted to further refine the saliency map. Experiments on four public benchmark datasets show that the proposed algorithm outperforms the state-of-the-art methods in terms of precision, recall and mean absolute error, and demonstrate the robustness and efficiency of the proposed method. Copyright © 2017 Elsevier Ltd. All rights reserved.

Quantitative PET Imaging in Drug Development: Estimation of Target Occupancy.

PubMed

Naganawa, Mika; Gallezot, Jean-Dominique; Rossano, Samantha; Carson, Richard E

2017-12-11

Positron emission tomography, an imaging tool using radiolabeled tracers in humans and preclinical species, has been widely used in recent years in drug development, particularly in the central nervous system. One important goal of PET in drug development is assessing the occupancy of various molecular targets (e.g., receptors, transporters, enzymes) by exogenous drugs. The current linear mathematical approaches used to determine occupancy using PET imaging experiments are presented. These algorithms use results from multiple regions with different target content in two scans, a baseline (pre-drug) scan and a post-drug scan. New mathematical estimation approaches to determine target occupancy, using maximum likelihood, are presented. A major challenge in these methods is the proper definition of the covariance matrix of the regional binding measures, accounting for different variance of the individual regional measures and their nonzero covariance, factors that have been ignored by conventional methods. The novel methods are compared to standard methods using simulation and real human occupancy data. The simulation data showed the expected reduction in variance and bias using the proper maximum likelihood methods, when the assumptions of the estimation method matched those in simulation. Between-method differences for data from human occupancy studies were less obvious, in part due to small dataset sizes. These maximum likelihood methods form the basis for development of improved PET covariance models, in order to minimize bias and variance in PET occupancy studies.

A covariance correction that accounts for correlation estimation to improve finite-sample inference with generalized estimating equations: A study on its applicability with structured correlation matrices

PubMed Central

Westgate, Philip M.

2016-01-01

When generalized estimating equations (GEE) incorporate an unstructured working correlation matrix, the variances of regression parameter estimates can inflate due to the estimation of the correlation parameters. In previous work, an approximation for this inflation that results in a corrected version of the sandwich formula for the covariance matrix of regression parameter estimates was derived. Use of this correction for correlation structure selection also reduces the over-selection of the unstructured working correlation matrix. In this manuscript, we conduct a simulation study to demonstrate that an increase in variances of regression parameter estimates can occur when GEE incorporates structured working correlation matrices as well. Correspondingly, we show the ability of the corrected version of the sandwich formula to improve the validity of inference and correlation structure selection. We also study the relative influences of two popular corrections to a different source of bias in the empirical sandwich covariance estimator. PMID:27818539

A covariance correction that accounts for correlation estimation to improve finite-sample inference with generalized estimating equations: A study on its applicability with structured correlation matrices.

PubMed

Westgate, Philip M

2016-01-01

When generalized estimating equations (GEE) incorporate an unstructured working correlation matrix, the variances of regression parameter estimates can inflate due to the estimation of the correlation parameters. In previous work, an approximation for this inflation that results in a corrected version of the sandwich formula for the covariance matrix of regression parameter estimates was derived. Use of this correction for correlation structure selection also reduces the over-selection of the unstructured working correlation matrix. In this manuscript, we conduct a simulation study to demonstrate that an increase in variances of regression parameter estimates can occur when GEE incorporates structured working correlation matrices as well. Correspondingly, we show the ability of the corrected version of the sandwich formula to improve the validity of inference and correlation structure selection. We also study the relative influences of two popular corrections to a different source of bias in the empirical sandwich covariance estimator.

Phenotypic Covariation and Morphological Diversification in the Ruminant Skull.

PubMed

Haber, Annat

2016-05-01

Differences among clades in their diversification patterns result from a combination of extrinsic and intrinsic factors. In this study, I examined the role of intrinsic factors in the morphological diversification of ruminants, in general, and in the differences between bovids and cervids, in particular. Using skull morphology, which embodies many of the adaptations that distinguish bovids and cervids, I examined 132 of the 200 extant ruminant species. As a proxy for intrinsic constraints, I quantified different aspects of the phenotypic covariation structure within species and compared them with the among-species divergence patterns, using phylogenetic comparative methods. My results show that for most species, divergence is well aligned with their phenotypic covariance matrix and that those that are better aligned have diverged further away from their ancestor. Bovids have dispersed into a wider range of directions in morphospace than cervids, and their overall disparity is higher. This difference is best explained by the lower eccentricity of bovids' within-species covariance matrices. These results are consistent with the role of intrinsic constraints in determining amount, range, and direction of dispersion and demonstrate that intrinsic constraints can influence macroevolutionary patterns even as the covariance structure evolves.

One-loop matching and running with covariant derivative expansion

DOE PAGES

Henning, Brian; Lu, Xiaochuan; Murayama, Hitoshi

2018-01-24

We develop tools for performing effective field theory (EFT) calculations in a manifestly gauge-covariant fashion. We clarify how functional methods account for one-loop diagrams resulting from the exchange of both heavy and light fields, as some confusion has recently arisen in the literature. To efficiently evaluate functional traces containing these “mixed” one-loop terms, we develop a new covariant derivative expansion (CDE) technique that is capable of evaluating a much wider class of traces than previous methods. The technique is detailed in an appendix, so that it can be read independently from the rest of this work. We review the well-knownmore » matching procedure to one-loop order with functional methods. What we add to this story is showing how to isolate one-loop terms coming from diagrams involving only heavy propagators from diagrams with mixed heavy and light propagators. This is done using a non-local effective action, which physically connects to the notion of “integrating out” heavy fields. Lastly, we show how to use a CDE to do running analyses in EFTs, i.e. to obtain the anomalous dimension matrix. We demonstrate the methodologies by several explicit example calculations.« less

One-loop matching and running with covariant derivative expansion

DOE Office of Scientific and Technical Information (OSTI.GOV)

Henning, Brian; Lu, Xiaochuan; Murayama, Hitoshi

We develop tools for performing effective field theory (EFT) calculations in a manifestly gauge-covariant fashion. We clarify how functional methods account for one-loop diagrams resulting from the exchange of both heavy and light fields, as some confusion has recently arisen in the literature. To efficiently evaluate functional traces containing these “mixed” one-loop terms, we develop a new covariant derivative expansion (CDE) technique that is capable of evaluating a much wider class of traces than previous methods. The technique is detailed in an appendix, so that it can be read independently from the rest of this work. We review the well-knownmore » matching procedure to one-loop order with functional methods. What we add to this story is showing how to isolate one-loop terms coming from diagrams involving only heavy propagators from diagrams with mixed heavy and light propagators. This is done using a non-local effective action, which physically connects to the notion of “integrating out” heavy fields. Lastly, we show how to use a CDE to do running analyses in EFTs, i.e. to obtain the anomalous dimension matrix. We demonstrate the methodologies by several explicit example calculations.« less

One-loop matching and running with covariant derivative expansion

NASA Astrophysics Data System (ADS)

Henning, Brian; Lu, Xiaochuan; Murayama, Hitoshi

2018-01-01

We develop tools for performing effective field theory (EFT) calculations in a manifestly gauge-covariant fashion. We clarify how functional methods account for one-loop diagrams resulting from the exchange of both heavy and light fields, as some confusion has recently arisen in the literature. To efficiently evaluate functional traces containing these "mixed" one-loop terms, we develop a new covariant derivative expansion (CDE) technique that is capable of evaluating a much wider class of traces than previous methods. The technique is detailed in an appendix, so that it can be read independently from the rest of this work. We review the well-known matching procedure to one-loop order with functional methods. What we add to this story is showing how to isolate one-loop terms coming from diagrams involving only heavy propagators from diagrams with mixed heavy and light propagators. This is done using a non-local effective action, which physically connects to the notion of "integrating out" heavy fields. Lastly, we show how to use a CDE to do running analyses in EFTs, i.e. to obtain the anomalous dimension matrix. We demonstrate the methodologies by several explicit example calculations.

Simulating the effect of non-linear mode coupling in cosmological parameter estimation

NASA Astrophysics Data System (ADS)

Kiessling, A.; Taylor, A. N.; Heavens, A. F.

2011-09-01

Fisher Information Matrix methods are commonly used in cosmology to estimate the accuracy that cosmological parameters can be measured with a given experiment and to optimize the design of experiments. However, the standard approach usually assumes both data and parameter estimates are Gaussian-distributed. Further, for survey forecasts and optimization it is usually assumed that the power-spectrum covariance matrix is diagonal in Fourier space. However, in the low-redshift Universe, non-linear mode coupling will tend to correlate small-scale power, moving information from lower to higher order moments of the field. This movement of information will change the predictions of cosmological parameter accuracy. In this paper we quantify this loss of information by comparing naïve Gaussian Fisher matrix forecasts with a maximum likelihood parameter estimation analysis of a suite of mock weak lensing catalogues derived from N-body simulations, based on the SUNGLASS pipeline, for a 2D and tomographic shear analysis of a Euclid-like survey. In both cases, we find that the 68 per cent confidence area of the Ωm-σ8 plane increases by a factor of 5. However, the marginal errors increase by just 20-40 per cent. We propose a new method to model the effects of non-linear shear-power mode coupling in the Fisher matrix by approximating the shear-power distribution as a multivariate Gaussian with a covariance matrix derived from the mock weak lensing survey. We find that this approximation can reproduce the 68 per cent confidence regions of the full maximum likelihood analysis in the Ωm-σ8 plane to high accuracy for both 2D and tomographic weak lensing surveys. Finally, we perform a multiparameter analysis of Ωm, σ8, h, ns, w0 and wa to compare the Gaussian and non-linear mode-coupled Fisher matrix contours. The 6D volume of the 1σ error contours for the non-linear Fisher analysis is a factor of 3 larger than for the Gaussian case, and the shape of the 68 per cent confidence volume is modified. We propose that future Fisher matrix estimates of cosmological parameter accuracies should include mode-coupling effects.

On using smoothing spline and residual correction to fuse rain gauge observations and remote sensing data

NASA Astrophysics Data System (ADS)

Huang, Chengcheng; Zheng, Xiaogu; Tait, Andrew; Dai, Yongjiu; Yang, Chi; Chen, Zhuoqi; Li, Tao; Wang, Zhonglei

2014-01-01

Partial thin-plate smoothing spline model is used to construct the trend surface.Correction of the spline estimated trend surface is often necessary in practice.Cressman weight is modified and applied in residual correction.The modified Cressman weight performs better than Cressman weight.A method for estimating the error covariance matrix of gridded field is provided.

On the Assessment of Psychometric Adequacy in Correlation Matrices.

ERIC Educational Resources Information Center

Dziuban, Charles D.; Shirkey, Edwin C.

Three techniques for assessing the adequacy of correlation matrices for factor analysis were applied to four examples from the literature. The methods compared were: (1) inspection of the off diagonal elements of the anti-image covariance matrix S(to the 2nd) R(to the -1) and S(to the 2nd); (2) the Measure of Sampling Adequacy (M.S.A.), and (3)…

The genetic variance but not the genetic covariance of life-history traits changes towards the north in a time-constrained insect.

PubMed

Sniegula, Szymon; Golab, Maria J; Drobniak, Szymon M; Johansson, Frank

2018-06-01

Seasonal time constraints are usually stronger at higher than lower latitudes and can exert strong selection on life-history traits and the correlations among these traits. To predict the response of life-history traits to environmental change along a latitudinal gradient, information must be obtained about genetic variance in traits and also genetic correlation between traits, that is the genetic variance-covariance matrix, G. Here, we estimated G for key life-history traits in an obligate univoltine damselfly that faces seasonal time constraints. We exposed populations to simulated native temperatures and photoperiods and common garden environmental conditions in a laboratory set-up. Despite differences in genetic variance in these traits between populations (lower variance at northern latitudes), there was no evidence for latitude-specific covariance of the life-history traits. At simulated native conditions, all populations showed strong genetic and phenotypic correlations between traits that shaped growth and development. The variance-covariance matrix changed considerably when populations were exposed to common garden conditions compared with the simulated natural conditions, showing the importance of environmentally induced changes in multivariate genetic structure. Our results highlight the importance of estimating variance-covariance matrixes in environments that mimic selection pressures and not only trait variances or mean trait values in common garden conditions for understanding the trait evolution across populations and environments. © 2018 European Society For Evolutionary Biology. Journal of Evolutionary Biology © 2018 European Society For Evolutionary Biology.

Monte Carlo Calculation of Thermal Neutron Inelastic Scattering Cross Section Uncertainties by Sampling Perturbed Phonon Spectra

NASA Astrophysics Data System (ADS)

Holmes, Jesse Curtis

Nuclear data libraries provide fundamental reaction information required by nuclear system simulation codes. The inclusion of data covariances in these libraries allows the user to assess uncertainties in system response parameters as a function of uncertainties in the nuclear data. Formats and procedures are currently established for representing covariances for various types of reaction data in ENDF libraries. This covariance data is typically generated utilizing experimental measurements and empirical models, consistent with the method of parent data production. However, ENDF File 7 thermal neutron scattering library data is, by convention, produced theoretically through fundamental scattering physics model calculations. Currently, there is no published covariance data for ENDF File 7 thermal libraries. Furthermore, no accepted methodology exists for quantifying or representing uncertainty information associated with this thermal library data. The quality of thermal neutron inelastic scattering cross section data can be of high importance in reactor analysis and criticality safety applications. These cross sections depend on the material's structure and dynamics. The double-differential scattering law, S(alpha, beta), tabulated in ENDF File 7 libraries contains this information. For crystalline solids, S(alpha, beta) is primarily a function of the material's phonon density of states (DOS). Published ENDF File 7 libraries are commonly produced by calculation and processing codes, such as the LEAPR module of NJOY, which utilize the phonon DOS as the fundamental input for inelastic scattering calculations to directly output an S(alpha, beta) matrix. To determine covariances for the S(alpha, beta) data generated by this process, information about uncertainties in the DOS is required. The phonon DOS may be viewed as a probability density function of atomic vibrational energy states that exist in a material. Probable variation in the shape of this spectrum may be established that depends on uncertainties in the physics models and methodology employed to produce the DOS. Through Monte Carlo sampling of perturbations from the reference phonon spectrum, an S(alpha, beta) covariance matrix may be generated. In this work, density functional theory and lattice dynamics in the harmonic approximation are used to calculate the phonon DOS for hexagonal crystalline graphite. This form of graphite is used as an example material for the purpose of demonstrating procedures for analyzing, calculating and processing thermal neutron inelastic scattering uncertainty information. Several sources of uncertainty in thermal neutron inelastic scattering calculations are examined, including sources which cannot be directly characterized through a description of the phonon DOS uncertainty, and their impacts are evaluated. Covariances for hexagonal crystalline graphite S(alpha, beta) data are quantified by coupling the standard methodology of LEAPR with a Monte Carlo sampling process. The mechanics of efficiently representing and processing this covariance information is also examined. Finally, with appropriate sensitivity information, it is shown that an S(alpha, beta) covariance matrix can be propagated to generate covariance data for integrated cross sections, secondary energy distributions, and coupled energy-angle distributions. This approach enables a complete description of thermal neutron inelastic scattering cross section uncertainties which may be employed to improve the simulation of nuclear systems.

Exploratory graphical models of functional and structural connectivity patterns for Alzheimer's Disease diagnosis.

PubMed

Ortiz, Andrés; Munilla, Jorge; Álvarez-Illán, Ignacio; Górriz, Juan M; Ramírez, Javier

2015-01-01

Alzheimer's Disease (AD) is the most common neurodegenerative disease in elderly people. Its development has been shown to be closely related to changes in the brain connectivity network and in the brain activation patterns along with structural changes caused by the neurodegenerative process. Methods to infer dependence between brain regions are usually derived from the analysis of covariance between activation levels in the different areas. However, these covariance-based methods are not able to estimate conditional independence between variables to factor out the influence of other regions. Conversely, models based on the inverse covariance, or precision matrix, such as Sparse Gaussian Graphical Models allow revealing conditional independence between regions by estimating the covariance between two variables given the rest as constant. This paper uses Sparse Inverse Covariance Estimation (SICE) methods to learn undirected graphs in order to derive functional and structural connectivity patterns from Fludeoxyglucose (18F-FDG) Position Emission Tomography (PET) data and segmented Magnetic Resonance images (MRI), drawn from the ADNI database, for Control, MCI (Mild Cognitive Impairment Subjects), and AD subjects. Sparse computation fits perfectly here as brain regions usually only interact with a few other areas. The models clearly show different metabolic covariation patters between subject groups, revealing the loss of strong connections in AD and MCI subjects when compared to Controls. Similarly, the variance between GM (Gray Matter) densities of different regions reveals different structural covariation patterns between the different groups. Thus, the different connectivity patterns for controls and AD are used in this paper to select regions of interest in PET and GM images with discriminative power for early AD diagnosis. Finally, functional an structural models are combined to leverage the classification accuracy. The results obtained in this work show the usefulness of the Sparse Gaussian Graphical models to reveal functional and structural connectivity patterns. This information provided by the sparse inverse covariance matrices is not only used in an exploratory way but we also propose a method to use it in a discriminative way. Regression coefficients are used to compute reconstruction errors for the different classes that are then introduced in a SVM for classification. Classification experiments performed using 68 Controls, 70 AD, and 111 MCI images and assessed by cross-validation show the effectiveness of the proposed method.

Accounting for Sampling Error in Genetic Eigenvalues Using Random Matrix Theory.

PubMed

Sztepanacz, Jacqueline L; Blows, Mark W

2017-07-01

The distribution of genetic variance in multivariate phenotypes is characterized by the empirical spectral distribution of the eigenvalues of the genetic covariance matrix. Empirical estimates of genetic eigenvalues from random effects linear models are known to be overdispersed by sampling error, where large eigenvalues are biased upward, and small eigenvalues are biased downward. The overdispersion of the leading eigenvalues of sample covariance matrices have been demonstrated to conform to the Tracy-Widom (TW) distribution. Here we show that genetic eigenvalues estimated using restricted maximum likelihood (REML) in a multivariate random effects model with an unconstrained genetic covariance structure will also conform to the TW distribution after empirical scaling and centering. However, where estimation procedures using either REML or MCMC impose boundary constraints, the resulting genetic eigenvalues tend not be TW distributed. We show how using confidence intervals from sampling distributions of genetic eigenvalues without reference to the TW distribution is insufficient protection against mistaking sampling error as genetic variance, particularly when eigenvalues are small. By scaling such sampling distributions to the appropriate TW distribution, the critical value of the TW statistic can be used to determine if the magnitude of a genetic eigenvalue exceeds the sampling error for each eigenvalue in the spectral distribution of a given genetic covariance matrix. Copyright © 2017 by the Genetics Society of America.

Combining cluster number counts and galaxy clustering

NASA Astrophysics Data System (ADS)

Lacasa, Fabien; Rosenfeld, Rogerio

2016-08-01

The abundance of clusters and the clustering of galaxies are two of the important cosmological probes for current and future large scale surveys of galaxies, such as the Dark Energy Survey. In order to combine them one has to account for the fact that they are not independent quantities, since they probe the same density field. It is important to develop a good understanding of their correlation in order to extract parameter constraints. We present a detailed modelling of the joint covariance matrix between cluster number counts and the galaxy angular power spectrum. We employ the framework of the halo model complemented by a Halo Occupation Distribution model (HOD). We demonstrate the importance of accounting for non-Gaussianity to produce accurate covariance predictions. Indeed, we show that the non-Gaussian covariance becomes dominant at small scales, low redshifts or high cluster masses. We discuss in particular the case of the super-sample covariance (SSC), including the effects of galaxy shot-noise, halo second order bias and non-local bias. We demonstrate that the SSC obeys mathematical inequalities and positivity. Using the joint covariance matrix and a Fisher matrix methodology, we examine the prospects of combining these two probes to constrain cosmological and HOD parameters. We find that the combination indeed results in noticeably better constraints, with improvements of order 20% on cosmological parameters compared to the best single probe, and even greater improvement on HOD parameters, with reduction of error bars by a factor 1.4-4.8. This happens in particular because the cross-covariance introduces a synergy between the probes on small scales. We conclude that accounting for non-Gaussian effects is required for the joint analysis of these observables in galaxy surveys.

More efficient parameter estimates for factor analysis of ordinal variables by ridge generalized least squares.

PubMed

Yuan, Ke-Hai; Jiang, Ge; Cheng, Ying

2017-11-01

Data in psychology are often collected using Likert-type scales, and it has been shown that factor analysis of Likert-type data is better performed on the polychoric correlation matrix than on the product-moment covariance matrix, especially when the distributions of the observed variables are skewed. In theory, factor analysis of the polychoric correlation matrix is best conducted using generalized least squares with an asymptotically correct weight matrix (AGLS). However, simulation studies showed that both least squares (LS) and diagonally weighted least squares (DWLS) perform better than AGLS, and thus LS or DWLS is routinely used in practice. In either LS or DWLS, the associations among the polychoric correlation coefficients are completely ignored. To mend such a gap between statistical theory and empirical work, this paper proposes new methods, called ridge GLS, for factor analysis of ordinal data. Monte Carlo results show that, for a wide range of sample sizes, ridge GLS methods yield uniformly more accurate parameter estimates than existing methods (LS, DWLS, AGLS). A real-data example indicates that estimates by ridge GLS are 9-20% more efficient than those by existing methods. Rescaled and adjusted test statistics as well as sandwich-type standard errors following the ridge GLS methods also perform reasonably well. © 2017 The British Psychological Society.

A trade-off solution between model resolution and covariance in surface-wave inversion

USGS Publications Warehouse

Xia, J.; Xu, Y.; Miller, R.D.; Zeng, C.

2010-01-01

Regularization is necessary for inversion of ill-posed geophysical problems. Appraisal of inverse models is essential for meaningful interpretation of these models. Because uncertainties are associated with regularization parameters, extra conditions are usually required to determine proper parameters for assessing inverse models. Commonly used techniques for assessment of a geophysical inverse model derived (generally iteratively) from a linear system are based on calculating the model resolution and the model covariance matrices. Because the model resolution and the model covariance matrices of the regularized solutions are controlled by the regularization parameter, direct assessment of inverse models using only the covariance matrix may provide incorrect results. To assess an inverted model, we use the concept of a trade-off between model resolution and covariance to find a proper regularization parameter with singular values calculated in the last iteration. We plot the singular values from large to small to form a singular value plot. A proper regularization parameter is normally the first singular value that approaches zero in the plot. With this regularization parameter, we obtain a trade-off solution between model resolution and model covariance in the vicinity of a regularized solution. The unit covariance matrix can then be used to calculate error bars of the inverse model at a resolution level determined by the regularization parameter. We demonstrate this approach with both synthetic and real surface-wave data. ?? 2010 Birkh??user / Springer Basel AG.

W-phase estimation of first-order rupture distribution for megathrust earthquakes

NASA Astrophysics Data System (ADS)

Benavente, Roberto; Cummins, Phil; Dettmer, Jan

2014-05-01

Estimating the rupture pattern for large earthquakes during the first hour after the origin time can be crucial for rapid impact assessment and tsunami warning. However, the estimation of coseismic slip distribution models generally involves complex methodologies that are difficult to implement rapidly. Further, while model parameter uncertainty can be crucial for meaningful estimation, they are often ignored. In this work we develop a finite fault inversion for megathrust earthquakes which rapidly generates good first order estimates and uncertainties of spatial slip distributions. The algorithm uses W-phase waveforms and a linear automated regularization approach to invert for rupture models of some recent megathrust earthquakes. The W phase is a long period (100-1000 s) wave which arrives together with the P wave. Because it is fast, has small amplitude and a long-period character, the W phase is regularly used to estimate point source moment tensors by the NEIC and PTWC, among others, within an hour of earthquake occurrence. We use W-phase waveforms processed in a manner similar to that used for such point-source solutions. The inversion makes use of 3 component W-phase records retrieved from the Global Seismic Network. The inverse problem is formulated by a multiple time window method, resulting in a linear over-parametrized problem. The over-parametrization is addressed by Tikhonov regularization and regularization parameters are chosen according to the discrepancy principle by grid search. Noise on the data is addressed by estimating the data covariance matrix from data residuals. The matrix is obtained by starting with an a priori covariance matrix and then iteratively updating the matrix based on the residual errors of consecutive inversions. Then, a covariance matrix for the parameters is computed using a Bayesian approach. The application of this approach to recent megathrust earthquakes produces models which capture the most significant features of their slip distributions. Also, reliable solutions are generally obtained with data in a 30-minute window following the origin time, suggesting that a real-time system could obtain solutions in less than one hour following the origin time.

Generation of Stationary Non-Gaussian Time Histories with a Specified Cross-spectral Density

DOE PAGES

Smallwood, David O.

1997-01-01

The paper reviews several methods for the generation of stationary realizations of sampled time histories with non-Gaussian distributions and introduces a new method which can be used to control the cross-spectral density matrix and the probability density functions (pdfs) of the multiple input problem. Discussed first are two methods for the specialized case of matching the auto (power) spectrum, the skewness, and kurtosis using generalized shot noise and using polynomial functions. It is then shown that the skewness and kurtosis can also be controlled by the phase of a complex frequency domain description of the random process. The general casemore » of matching a target probability density function using a zero memory nonlinear (ZMNL) function is then covered. Next methods for generating vectors of random variables with a specified covariance matrix for a class of spherically invariant random vectors (SIRV) are discussed. Finally the general case of matching the cross-spectral density matrix of a vector of inputs with non-Gaussian marginal distributions is presented.« less

A covariant multiple scattering series for elastic projectile-target scattering

NASA Technical Reports Server (NTRS)

Gross, Franz; Maung-Maung, Khin

1989-01-01

A covariant formulation of the multiple scattering series for the optical potential is presented. The case of a scalar nucleon interacting with a spin zero isospin zero A-body target through meson exchange, is considered. It is shown that a covariant equation for the projectile-target t-matrix can be obtained which sums the ladder and crossed ladder diagrams efficiently. From this equation, a multiple scattering series for the optical potential is derived, and it is shown that in the impulse approximation, the two-body t-matrix associated with the first order optical potential is the one in which one particle is kept on mass-shell. The meaning of various terms in the multiple scattering series is given. The construction of the first-order optical potential for elastic scattering calculations is described.

Covariance Recovery from a Square Root Information Matrix for Data Association

DTIC Science & Technology

2009-07-02

association is one of the core problems of simultaneous localization and mapping (SLAM), and it requires knowledge about the uncertainties of the...association is one of the core problems of simultaneous localization and mapping (SLAM), and it requires knowledge about the uncertainties of the...back-substitution as well as efficient access to marginal covariances, which is described next. 2.2. Recovering Marginal Covariances Knowledge of the

Approximations of noise covariance in multi-slice helical CT scans: impact on lung nodule size estimation.

PubMed

Zeng, Rongping; Petrick, Nicholas; Gavrielides, Marios A; Myers, Kyle J

2011-10-07

Multi-slice computed tomography (MSCT) scanners have become popular volumetric imaging tools. Deterministic and random properties of the resulting CT scans have been studied in the literature. Due to the large number of voxels in the three-dimensional (3D) volumetric dataset, full characterization of the noise covariance in MSCT scans is difficult to tackle. However, as usage of such datasets for quantitative disease diagnosis grows, so does the importance of understanding the noise properties because of their effect on the accuracy of the clinical outcome. The goal of this work is to study noise covariance in the helical MSCT volumetric dataset. We explore possible approximations to the noise covariance matrix with reduced degrees of freedom, including voxel-based variance, one-dimensional (1D) correlation, two-dimensional (2D) in-plane correlation and the noise power spectrum (NPS). We further examine the effect of various noise covariance models on the accuracy of a prewhitening matched filter nodule size estimation strategy. Our simulation results suggest that the 1D longitudinal, 2D in-plane and NPS prewhitening approaches can improve the performance of nodule size estimation algorithms. When taking into account computational costs in determining noise characterizations, the NPS model may be the most efficient approximation to the MSCT noise covariance matrix.

Quantum channels irreducibly covariant with respect to the finite group generated by the Weyl operators

NASA Astrophysics Data System (ADS)

Siudzińska, Katarzyna; Chruściński, Dariusz

2018-03-01

In matrix algebras, we introduce a class of linear maps that are irreducibly covariant with respect to the finite group generated by the Weyl operators. In particular, we analyze the irreducibly covariant quantum channels, that is, the completely positive and trace-preserving linear maps. Interestingly, imposing additional symmetries leads to the so-called generalized Pauli channels, which were recently considered in the context of the non-Markovian quantum evolution. Finally, we provide examples of irreducibly covariant positive but not necessarily completely positive maps.

Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection*

PubMed Central

Fan, Jianqing; Li, Yingying; Yu, Ke

2012-01-01

Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of portfolios selection among a vast pool of assets, as demonstrated in Fan et al. (2011). The required high-dimensional volatility matrix can be estimated by using high frequency financial data. This enables us to better adapt to the local volatilities and local correlations among vast number of assets and to increase significantly the sample size for estimating the volatility matrix. This paper studies the volatility matrix estimation using high-dimensional high-frequency data from the perspective of portfolio selection. Specifically, we propose the use of “pairwise-refresh time” and “all-refresh time” methods based on the concept of “refresh time” proposed by Barndorff-Nielsen et al. (2008) for estimation of vast covariance matrix and compare their merits in the portfolio selection. We establish the concentration inequalities of the estimates, which guarantee desirable properties of the estimated volatility matrix in vast asset allocation with gross exposure constraints. Extensive numerical studies are made via carefully designed simulations. Comparing with the methods based on low frequency daily data, our methods can capture the most recent trend of the time varying volatility and correlation, hence provide more accurate guidance for the portfolio allocation in the next time period. The advantage of using high-frequency data is significant in our simulation and empirical studies, which consist of 50 simulated assets and 30 constituent stocks of Dow Jones Industrial Average index. PMID:23264708

A fully redundant double difference algorithm for obtaining minimum variance estimates from GPS observations

NASA Technical Reports Server (NTRS)

Melbourne, William G.

1986-01-01

In double differencing a regression system obtained from concurrent Global Positioning System (GPS) observation sequences, one either undersamples the system to avoid introducing colored measurement statistics, or one fully samples the system incurring the resulting non-diagonal covariance matrix for the differenced measurement errors. A suboptimal estimation result will be obtained in the undersampling case and will also be obtained in the fully sampled case unless the color noise statistics are taken into account. The latter approach requires a least squares weighting matrix derived from inversion of a non-diagonal covariance matrix for the differenced measurement errors instead of inversion of the customary diagonal one associated with white noise processes. Presented is the so-called fully redundant double differencing algorithm for generating a weighted double differenced regression system that yields equivalent estimation results, but features for certain cases a diagonal weighting matrix even though the differenced measurement error statistics are highly colored.

Energetic Consistency and Coupling of the Mean and Covariance Dynamics

NASA Technical Reports Server (NTRS)

Cohn, Stephen E.

2008-01-01

The dynamical state of the ocean and atmosphere is taken to be a large dimensional random vector in a range of large-scale computational applications, including data assimilation, ensemble prediction, sensitivity analysis, and predictability studies. In each of these applications, numerical evolution of the covariance matrix of the random state plays a central role, because this matrix is used to quantify uncertainty in the state of the dynamical system. Since atmospheric and ocean dynamics are nonlinear, there is no closed evolution equation for the covariance matrix, nor for the mean state. Therefore approximate evolution equations must be used. This article studies theoretical properties of the evolution equations for the mean state and covariance matrix that arise in the second-moment closure approximation (third- and higher-order moment discard). This approximation was introduced by EPSTEIN [1969] in an early effort to introduce a stochastic element into deterministic weather forecasting, and was studied further by FLEMING [1971a,b], EPSTEIN and PITCHER [1972], and PITCHER [1977], also in the context of atmospheric predictability. It has since fallen into disuse, with a simpler one being used in current large-scale applications. The theoretical results of this article make a case that this approximation should be reconsidered for use in large-scale applications, however, because the second moment closure equations possess a property of energetic consistency that the approximate equations now in common use do not possess. A number of properties of solutions of the second-moment closure equations that result from this energetic consistency will be established.

Confounder Detection in High-Dimensional Linear Models Using First Moments of Spectral Measures.

PubMed

Liu, Furui; Chan, Laiwan

2018-06-12

In this letter, we study the confounder detection problem in the linear model, where the target variable [Formula: see text] is predicted using its [Formula: see text] potential causes [Formula: see text]. Based on an assumption of a rotation-invariant generating process of the model, recent study shows that the spectral measure induced by the regression coefficient vector with respect to the covariance matrix of [Formula: see text] is close to a uniform measure in purely causal cases, but it differs from a uniform measure characteristically in the presence of a scalar confounder. Analyzing spectral measure patterns could help to detect confounding. In this letter, we propose to use the first moment of the spectral measure for confounder detection. We calculate the first moment of the regression vector-induced spectral measure and compare it with the first moment of a uniform spectral measure, both defined with respect to the covariance matrix of [Formula: see text]. The two moments coincide in nonconfounding cases and differ from each other in the presence of confounding. This statistical causal-confounding asymmetry can be used for confounder detection. Without the need to analyze the spectral measure pattern, our method avoids the difficulty of metric choice and multiple parameter optimization. Experiments on synthetic and real data show the performance of this method.

Dielectric properties of proteins from simulations: tools and techniques

NASA Astrophysics Data System (ADS)

Simonson, Thomas; Perahia, David

1995-09-01

Tools and techniques to analyze the dielectric properties of proteins are described. Microscopic dielectric properties are determined by a susceptibility tensor of order 3 n, where n is the number of protein atoms. For perturbing charges not too close to the protein, the dielectric relaxation free energy is directly related to the dipole-dipole correlation matrix of the unperturbed protein, or equivalently to the covariance matrix of its atomic displacements. These are straightforward to obtain from existing molecular dynamics packages such as CHARMM or X- PLOR. Macroscopic dielectric properties can be derived from the dipolar fluctuations of the protein, by idealizing the protein as one or more spherical media. The dipolar fluctuations are again directly related to the covariance matrix of the atomic displacements. An interesting consequence is that the quasiharmonic approximation, which by definition exactly reproduces this covariance matrix, gives the protein dielectric constant exactly. Finally a technique is reviewed to obtain normal or quasinormal modes of vibration of symmetric protein assemblies. Using elementary group theory, and eliminating the high-frequency modes of vibration of each monomer, the limiting step in terms of memory and computation is finding the normal modes of a single monomer, with the other monomers held fixed. This technique was used to study the dielectric properties of the Tobacco Mosaic Virus protein disk.

A way around the Nyquist lag

NASA Astrophysics Data System (ADS)

Penland, C.

2017-12-01

One way to test for the linearity of a multivariate system is to perform Linear Inverse Modeling (LIM) to a multivariate time series. LIM yields an estimated operator by combining a lagged covariance matrix with the contemporaneous covariance matrix. If the underlying dynamics is linear, the resulting dynamical description should not depend on the particular lag at which the lagged covariance matrix is estimated. This test is known as the "tau test." The tau test will be severely compromised if the lag at which the analysis is performed is approximately half the period of an internal oscillation frequency. In this case, the tau test will fail even though the dynamics are actually linear. Thus, until now, the tau test has only been possible for lags smaller than this "Nyquist lag." In this poster, we investigate the use of Hilbert transforms as a way to avoid the problems associated with Nyquist lags. By augmenting the data with dimensions orthogonal to those spanning the original system, information that would be inaccessible to LIM in its original form may be sampled.

Estimates of genetic and environmental (co)variances for first lactation on milk yield, survival, and calving interval.

PubMed

Dong, M C; van Vleck, L D

1989-03-01

Variance and covariance components for milk yield, survival to second freshening, calving interval in first lactation were estimated by REML with the expectation and maximization algorithm for an animal model which included herd-year-season effects. Cows without calving interval but with milk yield were included. Each of the four data sets of 15 herds included about 3000 Holstein cows. Relationships across herds were ignored to enable inversion of the coefficient matrix of mixed model equations. Quadratics and their expectations were accumulated herd by herd. Heritability of milk yield (.32) agrees with reports by same methods. Heritabilities of survival (.11) and calving interval(.15) are slightly larger and genetic correlations smaller than results from different methods of estimation. Genetic correlation between milk yield and calving interval (.09) indicates genetic ability to produce more milk is lightly associated with decreased fertility.

Gene set analysis using variance component tests.

PubMed

Huang, Yen-Tsung; Lin, Xihong

2013-06-28

Gene set analyses have become increasingly important in genomic research, as many complex diseases are contributed jointly by alterations of numerous genes. Genes often coordinate together as a functional repertoire, e.g., a biological pathway/network and are highly correlated. However, most of the existing gene set analysis methods do not fully account for the correlation among the genes. Here we propose to tackle this important feature of a gene set to improve statistical power in gene set analyses. We propose to model the effects of an independent variable, e.g., exposure/biological status (yes/no), on multiple gene expression values in a gene set using a multivariate linear regression model, where the correlation among the genes is explicitly modeled using a working covariance matrix. We develop TEGS (Test for the Effect of a Gene Set), a variance component test for the gene set effects by assuming a common distribution for regression coefficients in multivariate linear regression models, and calculate the p-values using permutation and a scaled chi-square approximation. We show using simulations that type I error is protected under different choices of working covariance matrices and power is improved as the working covariance approaches the true covariance. The global test is a special case of TEGS when correlation among genes in a gene set is ignored. Using both simulation data and a published diabetes dataset, we show that our test outperforms the commonly used approaches, the global test and gene set enrichment analysis (GSEA). We develop a gene set analyses method (TEGS) under the multivariate regression framework, which directly models the interdependence of the expression values in a gene set using a working covariance. TEGS outperforms two widely used methods, GSEA and global test in both simulation and a diabetes microarray data.

Accuracy limitations of hyperbolic multilateration systems

DOT National Transportation Integrated Search

1973-03-22

The report is an analysis of the accuracy limitations of hyperbolic multilateration systems. A central result is a demonstration that the inverse of the covariance matrix for positional errors corresponds to the moment of inertia matrix of a simple m...

Bayesian estimation of a source term of radiation release with approximately known nuclide ratios

NASA Astrophysics Data System (ADS)

Tichý, Ondřej; Šmídl, Václav; Hofman, Radek

2016-04-01

We are concerned with estimation of a source term in case of an accidental release from a known location, e.g. a power plant. Usually, the source term of an accidental release of radiation comprises of a mixture of nuclide. The gamma dose rate measurements do not provide a direct information on the source term composition. However, physical properties of respective nuclide (deposition properties, decay half-life) can be used when uncertain information on nuclide ratios is available, e.g. from known reactor inventory. The proposed method is based on linear inverse model where the observation vector y arise as a linear combination y = Mx of a source-receptor-sensitivity (SRS) matrix M and the source term x. The task is to estimate the unknown source term x. The problem is ill-conditioned and further regularization is needed to obtain a reasonable solution. In this contribution, we assume that nuclide ratios of the release is known with some degree of uncertainty. This knowledge is used to form the prior covariance matrix of the source term x. Due to uncertainty in the ratios the diagonal elements of the covariance matrix are considered to be unknown. Positivity of the source term estimate is guaranteed by using multivariate truncated Gaussian distribution. Following Bayesian approach, we estimate all parameters of the model from the data so that y, M, and known ratios are the only inputs of the method. Since the inference of the model is intractable, we follow the Variational Bayes method yielding an iterative algorithm for estimation of all model parameters. Performance of the method is studied on simulated 6 hour power plant release where 3 nuclide are released and 2 nuclide ratios are approximately known. The comparison with method with unknown nuclide ratios will be given to prove the usefulness of the proposed approach. This research is supported by EEA/Norwegian Financial Mechanism under project MSMT-28477/2014 Source-Term Determination of Radionuclide Releases by Inverse Atmospheric Dispersion Modelling (STRADI).

Detection of fungal damaged popcorn using image property covariance features

USDA-ARS?s Scientific Manuscript database

Covariance-matrix-based features were applied to the detection of popcorn infected by a fungus that cause a symptom called “blue-eye.” This infection of popcorn kernels causes economic losses because of their poor appearance and the frequently disagreeable flavor of the popped kernels. Images of ker...

Some Properties of Estimated Scale Invariant Covariance Structures.

ERIC Educational Resources Information Center

Dijkstra, T. K.

1990-01-01

An example of scale invariance is provided via the LISREL model that is subject only to classical normalizations and zero constraints on the parameters. Scale invariance implies that the estimated covariance matrix must satisfy certain equations, and the nature of these equations depends on the fitting function used. (TJH)

An adaptive angle-doppler compensation method for airborne bistatic radar based on PAST

NASA Astrophysics Data System (ADS)

Hang, Xu; Jun, Zhao

2018-05-01

Adaptive angle-Doppler compensation method extract the requisite information based on the data itself adaptively, thus avoiding the problem of performance degradation caused by inertia system error. However, this method requires estimation and egiendecomposition of sample covariance matrix, which has a high computational complexity and limits its real-time application. In this paper, an adaptive angle Doppler compensation method based on projection approximation subspace tracking (PAST) is studied. The method uses cyclic iterative processing to quickly estimate the positions of the spectral center of the maximum eigenvector of each range cell, and the computational burden of matrix estimation and eigen-decompositon is avoided, and then the spectral centers of all range cells is overlapped by two dimensional compensation. Simulation results show the proposed method can effectively reduce the no homogeneity of airborne bistatic radar, and its performance is similar to that of egien-decomposition algorithms, but the computation load is obviously reduced and easy to be realized.

Multivariate Phylogenetic Comparative Methods: Evaluations, Comparisons, and Recommendations.

PubMed

Adams, Dean C; Collyer, Michael L

2018-01-01

Recent years have seen increased interest in phylogenetic comparative analyses of multivariate data sets, but to date the varied proposed approaches have not been extensively examined. Here we review the mathematical properties required of any multivariate method, and specifically evaluate existing multivariate phylogenetic comparative methods in this context. Phylogenetic comparative methods based on the full multivariate likelihood are robust to levels of covariation among trait dimensions and are insensitive to the orientation of the data set, but display increasing model misspecification as the number of trait dimensions increases. This is because the expected evolutionary covariance matrix (V) used in the likelihood calculations becomes more ill-conditioned as trait dimensionality increases, and as evolutionary models become more complex. Thus, these approaches are only appropriate for data sets with few traits and many species. Methods that summarize patterns across trait dimensions treated separately (e.g., SURFACE) incorrectly assume independence among trait dimensions, resulting in nearly a 100% model misspecification rate. Methods using pairwise composite likelihood are highly sensitive to levels of trait covariation, the orientation of the data set, and the number of trait dimensions. The consequences of these debilitating deficiencies are that a user can arrive at differing statistical conclusions, and therefore biological inferences, simply from a dataspace rotation, like principal component analysis. By contrast, algebraic generalizations of the standard phylogenetic comparative toolkit that use the trace of covariance matrices are insensitive to levels of trait covariation, the number of trait dimensions, and the orientation of the data set. Further, when appropriate permutation tests are used, these approaches display acceptable Type I error and statistical power. We conclude that methods summarizing information across trait dimensions, as well as pairwise composite likelihood methods should be avoided, whereas algebraic generalizations of the phylogenetic comparative toolkit provide a useful means of assessing macroevolutionary patterns in multivariate data. Finally, we discuss areas in which multivariate phylogenetic comparative methods are still in need of future development; namely highly multivariate Ornstein-Uhlenbeck models and approaches for multivariate evolutionary model comparisons. © The Author(s) 2017. Published by Oxford University Press on behalf of the Systematic Biology. All rights reserved. For Permissions, please email: journals.permissions@oup.com.

Large-region acoustic source mapping using a movable array and sparse covariance fitting.

PubMed

Zhao, Shengkui; Tuna, Cagdas; Nguyen, Thi Ngoc Tho; Jones, Douglas L

2017-01-01

Large-region acoustic source mapping is important for city-scale noise monitoring. Approaches using a single-position measurement scheme to scan large regions using small arrays cannot provide clean acoustic source maps, while deploying large arrays spanning the entire region of interest is prohibitively expensive. A multiple-position measurement scheme is applied to scan large regions at multiple spatial positions using a movable array of small size. Based on the multiple-position measurement scheme, a sparse-constrained multiple-position vectorized covariance matrix fitting approach is presented. In the proposed approach, the overall sample covariance matrix of the incoherent virtual array is first estimated using the multiple-position array data and then vectorized using the Khatri-Rao (KR) product. A linear model is then constructed for fitting the vectorized covariance matrix and a sparse-constrained reconstruction algorithm is proposed for recovering source powers from the model. The user parameter settings are discussed. The proposed approach is tested on a 30 m × 40 m region and a 60 m × 40 m region using simulated and measured data. Much cleaner acoustic source maps and lower sound pressure level errors are obtained compared to the beamforming approaches and the previous sparse approach [Zhao, Tuna, Nguyen, and Jones, Proc. IEEE Intl. Conf. on Acoustics, Speech and Signal Processing (ICASSP) (2016)].

Preconditioner-free Wiener filtering with a dense noise matrix

NASA Astrophysics Data System (ADS)

Huffenberger, Kevin M.

2018-05-01

This work extends the Elsner & Wandelt (2013) iterative method for efficient, preconditioner-free Wiener filtering to cases in which the noise covariance matrix is dense, but can be decomposed into a sum whose parts are sparse in convenient bases. The new method, which uses multiple messenger fields, reproduces Wiener-filter solutions for test problems, and we apply it to a case beyond the reach of the Elsner & Wandelt (2013) method. We compute the Wiener-filter solution for a simulated Cosmic Microwave Background (CMB) map that contains spatially varying, uncorrelated noise, isotropic 1/f noise, and large-scale horizontal stripes (like those caused by atmospheric noise). We discuss simple extensions that can filter contaminated modes or inverse-noise-filter the data. These techniques help to address complications in the noise properties of maps from current and future generations of ground-based Microwave Background experiments, like Advanced ACTPol, Simons Observatory, and CMB-S4.

A study of autonomous satellite navigation methods using the global positioning satellite system

NASA Technical Reports Server (NTRS)

Tapley, B. D.

1980-01-01

Special orbit determination algorithms were developed to accommodate the size and speed limitations of on-board computer systems of the NAVSTAR Global Positioning System. The algorithms use square root sequential filtering methods. A new method for the time update of the square root covariance matrix was also developed. In addition, the time update method was compared with another square root convariance propagation method to determine relative performance characteristics. Comparisions were based on the results of computer simulations of the LANDSAT-D satellite processing pseudo range and pseudo range-rate measurements from the phase one GPS. A summary of the comparison results is presented.

Estimation of the ARNO model baseflow parameters using daily streamflow data

NASA Astrophysics Data System (ADS)

Abdulla, F. A.; Lettenmaier, D. P.; Liang, Xu

1999-09-01

An approach is described for estimation of baseflow parameters of the ARNO model, using historical baseflow recession sequences extracted from daily streamflow records. This approach allows four of the model parameters to be estimated without rainfall data, and effectively facilitates partitioning of the parameter estimation procedure so that parsimonious search procedures can be used to estimate the remaining storm response parameters separately. Three methods of optimization are evaluated for estimation of four baseflow parameters. These methods are the downhill Simplex (S), Simulated Annealing combined with the Simplex method (SA) and Shuffled Complex Evolution (SCE). These estimation procedures are explored in conjunction with four objective functions: (1) ordinary least squares; (2) ordinary least squares with Box-Cox transformation; (3) ordinary least squares on prewhitened residuals; (4) ordinary least squares applied to prewhitened with Box-Cox transformation of residuals. The effects of changing the seed random generator for both SA and SCE methods are also explored, as are the effects of the bounds of the parameters. Although all schemes converge to the same values of the objective function, SCE method was found to be less sensitive to these issues than both the SA and the Simplex schemes. Parameter uncertainty and interactions are investigated through estimation of the variance-covariance matrix and confidence intervals. As expected the parameters were found to be correlated and the covariance matrix was found to be not diagonal. Furthermore, the linearized confidence interval theory failed for about one-fourth of the catchments while the maximum likelihood theory did not fail for any of the catchments.

New subspace methods for ATR

NASA Astrophysics Data System (ADS)

Zhang, Peng; Peng, Jing; Sims, S. Richard F.

2005-05-01

In ATR applications, each feature is a convolution of an image with a filter. It is important to use most discriminant features to produce compact representations. We propose two novel subspace methods for dimension reduction to address limitations associated with Fukunaga-Koontz Transform (FKT). The first method, Scatter-FKT, assumes that target is more homogeneous, while clutter can be anything other than target and anywhere. Thus, instead of estimating a clutter covariance matrix, Scatter-FKT computes a clutter scatter matrix that measures the spread of clutter from the target mean. We choose dimensions along which the difference in variation between target and clutter is most pronounced. When the target follows a Gaussian distribution, Scatter-FKT can be viewed as a generalization of FKT. The second method, Optimal Bayesian Subspace, is derived from the optimal Bayesian classifier. It selects dimensions such that the minimum Bayes error rate can be achieved. When both target and clutter follow Gaussian distributions, OBS computes optimal subspace representations. We compare our methods against FKT using character image as well as IR data.

Evolutions of fluctuation modes and inner structures of global stock markets

NASA Astrophysics Data System (ADS)

Yan, Yan; Wang, Lei; Liu, Maoxin; Chen, Xiaosong

2016-09-01

The paper uses empirical data, including 42 globally main stock indices in the period 1996-2014, to systematically study the evolution of fluctuation modes and inner structures of global stock markets. The data are large in scale considering both time and space. A covariance matrix-based principle fluctuation mode analysis (PFMA) is used to explore the properties of the global stock markets. It has been ignored by previous studies that covariance matrix is more suitable than the correlation matrix to be the basis of PFMA. It is found that the principle fluctuation modes of global stock markets are in the same directions, and global stock markets are divided into three clusters, which are found to be closely related to the countries’ locations with exceptions of China, Russia and Czech Republic. A time-stable correlation network constructing method is proposed to solve the problem of high-level statistical uncertainty when the estimated periods are very short, and the complex dynamic network (CDN) is constructed to investigate the evolution of inner structures. The results show when the clusters emerge and how long the clusters exist. When the 2008 financial crisis broke out, the indices form one cluster. After these crises, only the European cluster still exists. These findings complement the previous studies, and can help investors and regulators to understand the global stock markets.

A fast Monte Carlo EM algorithm for estimation in latent class model analysis with an application to assess diagnostic accuracy for cervical neoplasia in women with AGC

PubMed Central

Kang, Le; Carter, Randy; Darcy, Kathleen; Kauderer, James; Liao, Shu-Yuan

2013-01-01

In this article we use a latent class model (LCM) with prevalence modeled as a function of covariates to assess diagnostic test accuracy in situations where the true disease status is not observed, but observations on three or more conditionally independent diagnostic tests are available. A fast Monte Carlo EM (MCEM) algorithm with binary (disease) diagnostic data is implemented to estimate parameters of interest; namely, sensitivity, specificity, and prevalence of the disease as a function of covariates. To obtain standard errors for confidence interval construction of estimated parameters, the missing information principle is applied to adjust information matrix estimates. We compare the adjusted information matrix based standard error estimates with the bootstrap standard error estimates both obtained using the fast MCEM algorithm through an extensive Monte Carlo study. Simulation demonstrates that the adjusted information matrix approach estimates the standard error similarly with the bootstrap methods under certain scenarios. The bootstrap percentile intervals have satisfactory coverage probabilities. We then apply the LCM analysis to a real data set of 122 subjects from a Gynecologic Oncology Group (GOG) study of significant cervical lesion (S-CL) diagnosis in women with atypical glandular cells of undetermined significance (AGC) to compare the diagnostic accuracy of a histology-based evaluation, a CA-IX biomarker-based test and a human papillomavirus (HPV) DNA test. PMID:24163493

Geometry of Lax pairs: Particle motion and Killing-Yano tensors

NASA Astrophysics Data System (ADS)

Cariglia, Marco; Frolov, Valeri P.; Krtouš, Pavel; Kubizňák, David

2013-01-01

A geometric formulation of the Lax pair equation on a curved manifold is studied using the phase-space formalism. The corresponding (covariantly conserved) Lax tensor is defined and the method of generation of constants of motion from it is discussed. It is shown that when the Hamilton equations of motion are used, the conservation of the Lax tensor translates directly to the well-known Lax pair equation, with one matrix identified with components of the Lax tensor and the other matrix constructed from the (metric) connection. A generalization to Clifford objects is also discussed. Nontrivial examples of Lax tensors for geodesic and charged particle motion are found in spacetimes admitting a hidden symmetry of Killing-Yano tensors.

On Theoretical Limits of Dynamic Model Updating Using a Sensitivity-Based Approach

NASA Astrophysics Data System (ADS)

GOLA, M. M.; SOMÀ, A.; BOTTO, D.

2001-07-01

The present work deals with the determination of the newly discovered conditions necessary for model updating with the eigensensitivity approach. The treatment concerns the maximum number of identifiable parameters regarding the structure of the eigenvectors derivatives. A mathematical demonstration is based on the evaluation of the rank of the least-squares matrix and produces the algebraic limiting conditions. Numerical application to a lumped parameter structure is employed to validate the mathematical limits taking into account different subsets of mode shapes. The demonstration is extended to the calculation of the eigenvector derivatives with both the Fox and Kapoor, and Nelson methods. III conditioning of the least-squares sensitivity matrix is revealed through the covariance jump.

Random-Effects Models for Meta-Analytic Structural Equation Modeling: Review, Issues, and Illustrations

ERIC Educational Resources Information Center

Cheung, Mike W.-L.; Cheung, Shu Fai

2016-01-01

Meta-analytic structural equation modeling (MASEM) combines the techniques of meta-analysis and structural equation modeling for the purpose of synthesizing correlation or covariance matrices and fitting structural equation models on the pooled correlation or covariance matrix. Both fixed-effects and random-effects models can be defined in MASEM.…

Weakly Informative Prior for Point Estimation of Covariance Matrices in Hierarchical Models

ERIC Educational Resources Information Center

Chung, Yeojin; Gelman, Andrew; Rabe-Hesketh, Sophia; Liu, Jingchen; Dorie, Vincent

2015-01-01

When fitting hierarchical regression models, maximum likelihood (ML) estimation has computational (and, for some users, philosophical) advantages compared to full Bayesian inference, but when the number of groups is small, estimates of the covariance matrix (S) of group-level varying coefficients are often degenerate. One can do better, even from…

Gaussian covariance graph models accounting for correlated marker effects in genome-wide prediction.

PubMed

Martínez, C A; Khare, K; Rahman, S; Elzo, M A

2017-10-01

Several statistical models used in genome-wide prediction assume uncorrelated marker allele substitution effects, but it is known that these effects may be correlated. In statistics, graphical models have been identified as a useful tool for covariance estimation in high-dimensional problems and it is an area that has recently experienced a great expansion. In Gaussian covariance graph models (GCovGM), the joint distribution of a set of random variables is assumed to be Gaussian and the pattern of zeros of the covariance matrix is encoded in terms of an undirected graph G. In this study, methods adapting the theory of GCovGM to genome-wide prediction were developed (Bayes GCov, Bayes GCov-KR and Bayes GCov-H). In simulated data sets, improvements in correlation between phenotypes and predicted breeding values and accuracies of predicted breeding values were found. Our models account for correlation of marker effects and permit to accommodate general structures as opposed to models proposed in previous studies, which consider spatial correlation only. In addition, they allow incorporation of biological information in the prediction process through its use when constructing graph G, and their extension to the multi-allelic loci case is straightforward. © 2017 Blackwell Verlag GmbH.

Neopolyploidy and diversification in Heuchera grossulariifolia

PubMed Central

Oswald, Benjamin P.; Nuismer, Scott L.

2013-01-01

Newly formed polyploid lineages must contend with several obstacles to avoid extinction, including minority cytotype exclusion, competition, and inbreeding depression. If polyploidization results in immediate divergence of phenotypic characters these hurdles may be reduced and establishment made more likely. In addition, if polyploidization alters the phenotypic and genotypic associations between traits, i.e. the P and G matrices, polyploids may be able to explore novel evolutionary paths, facilitating their divergence and successful establishment. Here we report results from a study of the perennial plant Heuchera grossulariifolia in which the phenotypic divergence and changes in phenotypic and genotypic covariance matrices caused by neopolyploidization have been estimated. Our results reveal that polyploidization causes immediate divergence for traits relevant to establishment and results in significant changes in the structure of the phenotypic covariance matrix. In contrast, our results do not provide evidence that polyploidization results in immediate and substantial shifts in the genetic covariance matrix. PMID:21143472

A mesoscale hybrid data assimilation system based on the JMA nonhydrostatic model

NASA Astrophysics Data System (ADS)

Ito, K.; Kunii, M.; Kawabata, T. T.; Saito, K. K.; Duc, L. L.

2015-12-01

This work evaluates the potential of a hybrid ensemble Kalman filter and four-dimensional variational (4D-Var) data assimilation system for predicting severe weather events from a deterministic point of view. This hybrid system is an adjoint-based 4D-Var system using a background error covariance matrix constructed from the mixture of a so-called NMC method and perturbations in a local ensemble transform Kalman filter data assimilation system, both of which are based on the Japan Meteorological Agency nonhydrostatic model. To construct the background error covariance matrix, we investigated two types of schemes. One is a spatial localization scheme and the other is neighboring ensemble approach, which regards the result at a horizontally spatially shifted point in each ensemble member as that obtained from a different realization of ensemble simulation. An assimilation of a pseudo single-observation located to the north of a tropical cyclone (TC) yielded an analysis increment of wind and temperature physically consistent with what is expected for a mature TC in both hybrid systems, whereas an analysis increment in a 4D-Var system using a static background error covariance distorted a structure of the mature TC. Real data assimilation experiments applied to 4 TCs and 3 local heavy rainfall events showed that hybrid systems and EnKF provided better initial conditions than the NMC-based 4D-Var, both for predicting the intensity and track forecast of TCs and for the location and amount of local heavy rainfall events.

Covariant n/sup 2/-plet mass formulas

DOE Office of Scientific and Technical Information (OSTI.GOV)

Davidson, A.

Using a generalized internal symmetry group analogous to the Lorentz group, we have constructed a covariant n/sup 2/-plet mass operator. This operator is built as a scalar matrix in the (n;n*) representation, and its SU(n) breaking parameters are identified as intrinsic boost ones. Its basic properties are: covariance, Hermiticity, positivity, charge conjugation, quark contents, and a self-consistent n/sup 2/-1, 1 mixing. The GMO and the Okubo formulas are obtained by considering two different limits of the same generalized mass formula.

The evolutionary stability of cross-sex, cross-trait genetic covariances.

PubMed

Gosden, Thomas P; Chenoweth, Stephen F

2014-06-01

Although knowledge of the selective agents behind the evolution of sexual dimorphism has advanced considerably in recent years, we still lack a clear understanding of the evolutionary durability of cross-sex genetic covariances that often constrain its evolution. We tested the relative stability of cross-sex genetic covariances for a suite of homologous contact pheromones of the fruit fly Drosophila serrata, along a latitudinal gradient where these traits have diverged in mean. Using a Bayesian framework, which allowed us to account for uncertainty in all parameter estimates, we compared divergence in the total amount and orientation of genetic variance across populations, finding divergence in orientation but not total variance. We then statistically compared orientation divergence of within-sex (G) to cross-sex (B) covariance matrices. In line with a previous theoretical prediction, we find that the cross-sex covariance matrix, B, is more variable than either within-sex G matrix. Decomposition of B matrices into their symmetrical and nonsymmetrical components revealed that instability is linked to the degree of asymmetry. We also find that the degree of asymmetry correlates with latitude suggesting a role for spatially varying natural selection in shaping genetic constraints on the evolution of sexual dimorphism. © 2014 The Author(s). Evolution © 2014 The Society for the Study of Evolution.

Condition Number Regularized Covariance Estimation*

PubMed Central

Won, Joong-Ho; Lim, Johan; Kim, Seung-Jean; Rajaratnam, Bala

2012-01-01

Estimation of high-dimensional covariance matrices is known to be a difficult problem, has many applications, and is of current interest to the larger statistics community. In many applications including so-called the “large p small n” setting, the estimate of the covariance matrix is required to be not only invertible, but also well-conditioned. Although many regularization schemes attempt to do this, none of them address the ill-conditioning problem directly. In this paper, we propose a maximum likelihood approach, with the direct goal of obtaining a well-conditioned estimator. No sparsity assumption on either the covariance matrix or its inverse are are imposed, thus making our procedure more widely applicable. We demonstrate that the proposed regularization scheme is computationally efficient, yields a type of Steinian shrinkage estimator, and has a natural Bayesian interpretation. We investigate the theoretical properties of the regularized covariance estimator comprehensively, including its regularization path, and proceed to develop an approach that adaptively determines the level of regularization that is required. Finally, we demonstrate the performance of the regularized estimator in decision-theoretic comparisons and in the financial portfolio optimization setting. The proposed approach has desirable properties, and can serve as a competitive procedure, especially when the sample size is small and when a well-conditioned estimator is required. PMID:23730197

Condition Number Regularized Covariance Estimation.

PubMed

Won, Joong-Ho; Lim, Johan; Kim, Seung-Jean; Rajaratnam, Bala

2013-06-01

Estimation of high-dimensional covariance matrices is known to be a difficult problem, has many applications, and is of current interest to the larger statistics community. In many applications including so-called the "large p small n " setting, the estimate of the covariance matrix is required to be not only invertible, but also well-conditioned. Although many regularization schemes attempt to do this, none of them address the ill-conditioning problem directly. In this paper, we propose a maximum likelihood approach, with the direct goal of obtaining a well-conditioned estimator. No sparsity assumption on either the covariance matrix or its inverse are are imposed, thus making our procedure more widely applicable. We demonstrate that the proposed regularization scheme is computationally efficient, yields a type of Steinian shrinkage estimator, and has a natural Bayesian interpretation. We investigate the theoretical properties of the regularized covariance estimator comprehensively, including its regularization path, and proceed to develop an approach that adaptively determines the level of regularization that is required. Finally, we demonstrate the performance of the regularized estimator in decision-theoretic comparisons and in the financial portfolio optimization setting. The proposed approach has desirable properties, and can serve as a competitive procedure, especially when the sample size is small and when a well-conditioned estimator is required.

NON-GAUSSIANITIES IN THE LOCAL CURVATURE OF THE FIVE-YEAR WMAP DATA

DOE Office of Scientific and Technical Information (OSTI.GOV)

Rudjord, Oeystein; Groeneboom, Nicolaas E.; Hansen, Frode K.

Using the five-year WMAP data, we re-investigate claims of non-Gaussianities and asymmetries detected in local curvature statistics of the one-year WMAP data. In Hansen et al., it was found that the northern ecliptic hemisphere was non-Gaussian at the {approx}1% level testing the densities of hill, lake, and saddle points based on the second derivatives of the cosmic microwave background temperature map. The five-year WMAP data have a much lower noise level and better control of systematics. Using these, we find that the anomalies are still present at a consistent level. Also the direction of maximum non-Gaussianity remains. Due to limitedmore » availability of computer resources, Hansen et al. were unable to calculate the full covariance matrix for the {chi}{sup 2}-test used. Here, we apply the full covariance matrix instead of the diagonal approximation and find that the non-Gaussianities disappear and there is no preferred non-Gaussian direction. We compare with simulations of weak lensing to see if this may cause the observed non-Gaussianity when using a diagonal covariance matrix. We conclude that weak lensing does not produce non-Gaussianity in the local curvature statistics at the scales investigated in this paper. The cause of the non-Gaussian detection in the case of a diagonal matrix remains unclear.« less

Non-Gaussian Methods for Causal Structure Learning.

PubMed

Shimizu, Shohei

2018-05-22

Causal structure learning is one of the most exciting new topics in the fields of machine learning and statistics. In many empirical sciences including prevention science, the causal mechanisms underlying various phenomena need to be studied. Nevertheless, in many cases, classical methods for causal structure learning are not capable of estimating the causal structure of variables. This is because it explicitly or implicitly assumes Gaussianity of data and typically utilizes only the covariance structure. In many applications, however, non-Gaussian data are often obtained, which means that more information may be contained in the data distribution than the covariance matrix is capable of containing. Thus, many new methods have recently been proposed for using the non-Gaussian structure of data and inferring the causal structure of variables. This paper introduces prevention scientists to such causal structure learning methods, particularly those based on the linear, non-Gaussian, acyclic model known as LiNGAM. These non-Gaussian data analysis tools can fully estimate the underlying causal structures of variables under assumptions even in the presence of unobserved common causes. This feature is in contrast to other approaches. A simulated example is also provided.

Bilinear modeling and nonlinear estimation

NASA Technical Reports Server (NTRS)

Dwyer, Thomas A. W., III; Karray, Fakhreddine; Bennett, William H.

1989-01-01

New methods are illustrated for online nonlinear estimation applied to the lateral deflection of an elastic beam on board measurements of angular rates and angular accelerations. The development of the filter equations, together with practical issues of their numerical solution as developed from global linearization by nonlinear output injection are contrasted with the usual method of the extended Kalman filter (EKF). It is shown how nonlinear estimation due to gyroscopic coupling can be implemented as an adaptive covariance filter using off-the-shelf Kalman filter algorithms. The effect of the global linearization by nonlinear output injection is to introduce a change of coordinates in which only the process noise covariance is to be updated in online implementation. This is in contrast to the computational approach which arises in EKF methods arising by local linearization with respect to the current conditional mean. Processing refinements for nonlinear estimation based on optimal, nonlinear interpolation between observations are also highlighted. In these methods the extrapolation of the process dynamics between measurement updates is obtained by replacing a transition matrix with an operator spline that is optimized off-line from responses to selected test inputs.

A comparison of phenotypic variation and covariation patterns and the role of phylogeny, ecology, and ontogeny during cranial evolution of new world monkeys.

PubMed

Marroig, G; Cheverud, J M

2001-12-01

Similarity of genetic and phenotypic variation patterns among populations is important for making quantitative inferences about past evolutionary forces acting to differentiate populations and for evaluating the evolution of relationships among traits in response to new functional and developmental relationships. Here, phenotypic co variance and correlation structure is compared among Platyrrhine Neotropical primates. Comparisons range from among species within a genus to the superfamily level. Matrix correlation followed by Mantel's test and vector correlation among responses to random natural selection vectors (random skewers) were used to compare correlation and variance/covariance matrices of 39 skull traits. Sampling errors involved in matrix estimates were taken into account in comparisons using matrix repeatability to set upper limits for each pairwise comparison. Results indicate that covariance structure is not strictly constant but that the amount of variance pattern divergence observed among taxa is generally low and not associated with taxonomic distance. Specific instances of divergence are identified. There is no correlation between the amount of divergence in covariance patterns among the 16 genera and their phylogenetic distance derived from a conjoint analysis of four already published nuclear gene datasets. In contrast, there is a significant correlation between phylogenetic distance and morphological distance (Mahalanobis distance among genus centroids). This result indicates that while the phenotypic means were evolving during the last 30 millions years of New World monkey evolution, phenotypic covariance structures of Neotropical primate skulls have remained relatively consistent. Neotropical primates can be divided into four major groups based on their feeding habits (fruit-leaves, seed-fruits, insect-fruits, and gum-insect-fruits). Differences in phenotypic covariance structure are correlated with differences in feeding habits, indicating that to some extent changes in interrelationships among skull traits are associated with changes in feeding habits. Finally, common patterns and levels of morphological integration are found among Platyrrhine primates, suggesting that functional/developmental integration could be one major factor keeping covariance structure relatively stable during evolutionary diversification of South American monkeys.

A Systematic Comparison of Linear Regression-Based Statistical Methods to Assess Exposome-Health Associations.

PubMed

Agier, Lydiane; Portengen, Lützen; Chadeau-Hyam, Marc; Basagaña, Xavier; Giorgis-Allemand, Lise; Siroux, Valérie; Robinson, Oliver; Vlaanderen, Jelle; González, Juan R; Nieuwenhuijsen, Mark J; Vineis, Paolo; Vrijheid, Martine; Slama, Rémy; Vermeulen, Roel

2016-12-01

The exposome constitutes a promising framework to improve understanding of the effects of environmental exposures on health by explicitly considering multiple testing and avoiding selective reporting. However, exposome studies are challenged by the simultaneous consideration of many correlated exposures. We compared the performances of linear regression-based statistical methods in assessing exposome-health associations. In a simulation study, we generated 237 exposure covariates with a realistic correlation structure and with a health outcome linearly related to 0 to 25 of these covariates. Statistical methods were compared primarily in terms of false discovery proportion (FDP) and sensitivity. On average over all simulation settings, the elastic net and sparse partial least-squares regression showed a sensitivity of 76% and an FDP of 44%; Graphical Unit Evolutionary Stochastic Search (GUESS) and the deletion/substitution/addition (DSA) algorithm revealed a sensitivity of 81% and an FDP of 34%. The environment-wide association study (EWAS) underperformed these methods in terms of FDP (average FDP, 86%) despite a higher sensitivity. Performances decreased considerably when assuming an exposome exposure matrix with high levels of correlation between covariates. Correlation between exposures is a challenge for exposome research, and the statistical methods investigated in this study were limited in their ability to efficiently differentiate true predictors from correlated covariates in a realistic exposome context. Although GUESS and DSA provided a marginally better balance between sensitivity and FDP, they did not outperform the other multivariate methods across all scenarios and properties examined, and computational complexity and flexibility should also be considered when choosing between these methods. Citation: Agier L, Portengen L, Chadeau-Hyam M, Basagaña X, Giorgis-Allemand L, Siroux V, Robinson O, Vlaanderen J, González JR, Nieuwenhuijsen MJ, Vineis P, Vrijheid M, Slama R, Vermeulen R. 2016. A systematic comparison of linear regression-based statistical methods to assess exposome-health associations. Environ Health Perspect 124:1848-1856; http://dx.doi.org/10.1289/EHP172.

Evolution of the additive genetic variance–covariance matrix under continuous directional selection on a complex behavioural phenotype

PubMed Central

Careau, Vincent; Wolak, Matthew E.; Carter, Patrick A.; Garland, Theodore

2015-01-01

Given the pace at which human-induced environmental changes occur, a pressing challenge is to determine the speed with which selection can drive evolutionary change. A key determinant of adaptive response to multivariate phenotypic selection is the additive genetic variance–covariance matrix (G). Yet knowledge of G in a population experiencing new or altered selection is not sufficient to predict selection response because G itself evolves in ways that are poorly understood. We experimentally evaluated changes in G when closely related behavioural traits experience continuous directional selection. We applied the genetic covariance tensor approach to a large dataset (n = 17 328 individuals) from a replicated, 31-generation artificial selection experiment that bred mice for voluntary wheel running on days 5 and 6 of a 6-day test. Selection on this subset of G induced proportional changes across the matrix for all 6 days of running behaviour within the first four generations. The changes in G induced by selection resulted in a fourfold slower-than-predicted rate of response to selection. Thus, selection exacerbated constraints within G and limited future adaptive response, a phenomenon that could have profound consequences for populations facing rapid environmental change. PMID:26582016

Robust Adaptive Beamforming with Sensor Position Errors Using Weighted Subspace Fitting-Based Covariance Matrix Reconstruction.

PubMed

Chen, Peng; Yang, Yixin; Wang, Yong; Ma, Yuanliang

2018-05-08

When sensor position errors exist, the performance of recently proposed interference-plus-noise covariance matrix (INCM)-based adaptive beamformers may be severely degraded. In this paper, we propose a weighted subspace fitting-based INCM reconstruction algorithm to overcome sensor displacement for linear arrays. By estimating the rough signal directions, we construct a novel possible mismatched steering vector (SV) set. We analyze the proximity of the signal subspace from the sample covariance matrix (SCM) and the space spanned by the possible mismatched SV set. After solving an iterative optimization problem, we reconstruct the INCM using the estimated sensor position errors. Then we estimate the SV of the desired signal by solving an optimization problem with the reconstructed INCM. The main advantage of the proposed algorithm is its robustness against SV mismatches dominated by unknown sensor position errors. Numerical examples show that even if the position errors are up to half of the assumed sensor spacing, the output signal-to-interference-plus-noise ratio is only reduced by 4 dB. Beam patterns plotted using experiment data show that the interference suppression capability of the proposed beamformer outperforms other tested beamformers.

Spike Triggered Covariance in Strongly Correlated Gaussian Stimuli

PubMed Central

Aljadeff, Johnatan; Segev, Ronen; Berry, Michael J.; Sharpee, Tatyana O.

2013-01-01

Many biological systems perform computations on inputs that have very large dimensionality. Determining the relevant input combinations for a particular computation is often key to understanding its function. A common way to find the relevant input dimensions is to examine the difference in variance between the input distribution and the distribution of inputs associated with certain outputs. In systems neuroscience, the corresponding method is known as spike-triggered covariance (STC). This method has been highly successful in characterizing relevant input dimensions for neurons in a variety of sensory systems. So far, most studies used the STC method with weakly correlated Gaussian inputs. However, it is also important to use this method with inputs that have long range correlations typical of the natural sensory environment. In such cases, the stimulus covariance matrix has one (or more) outstanding eigenvalues that cannot be easily equalized because of sampling variability. Such outstanding modes interfere with analyses of statistical significance of candidate input dimensions that modulate neuronal outputs. In many cases, these modes obscure the significant dimensions. We show that the sensitivity of the STC method in the regime of strongly correlated inputs can be improved by an order of magnitude or more. This can be done by evaluating the significance of dimensions in the subspace orthogonal to the outstanding mode(s). Analyzing the responses of retinal ganglion cells probed with Gaussian noise, we find that taking into account outstanding modes is crucial for recovering relevant input dimensions for these neurons. PMID:24039563

Practical Implementation of Multiple Model Adaptive Estimation Using Neyman-Pearson Based Hypothesis Testing and Spectral Estimation Tools

DTIC Science & Technology

1996-09-01

Generalized Likelihood Ratio (GLR) and voting techniques. The third class consisted of multiple hypothesis filter detectors, specifically the MMAE. The...vector version, versus a tensor if we use the matrix version of the power spectral density estimate. Using this notation, we will derive an...as MATLAB , have an intrinsic sample covariance computation available, which makes this method quite easy to implement. In practice, the mean for the

Estimating the instabilities of N clocks by means of comparison measurements

NASA Technical Reports Server (NTRS)

Premoli, Amedeo; Tavella, Patrizia

1993-01-01

The estimation of individual instabilities of N clocks, compared by measuring the differences of their readings, is considered without assuming a priori any hypotheses on their uncorrelation. Instabilities of the N clocks are described by a complete (non-diagonal) N x N covariance matrix R. Only differences of clock readings are available in order to estimate R. Statistical processing of these data allows one to calculate the (N-1)x(N-l) covariance matrix S of the differences relative to the N-th(reference) clock. By analyzing the relationships tying R and S, several pieces of information can be inferred and, in particular, the conditions for the validity of the uncorrelation hypothesis are established. The estimation of R from S is not unique: in any case R must be positive definite. A theorem states that R is positive definite if and only if its determinant is positive. Nevertheless infinitely many acceptable choices of R still fulfill the condition of positive definiteness. This paper shows that, by increasing the number N of compared clocks, the amount of arbitrariness in estimating R is reduced. The analysis of some experimental data illustrates the capability of the method.

WAIS-IV subtest covariance structure: conceptual and statistical considerations.

PubMed

Ward, L Charles; Bergman, Maria A; Hebert, Katina R

2012-06-01

D. Wechsler (2008b) reported confirmatory factor analyses (CFAs) with standardization data (ages 16-69 years) for 10 core and 5 supplemental subtests from the Wechsler Adult Intelligence Scale-Fourth Edition (WAIS-IV). Analyses of the 15 subtests supported 4 hypothesized oblique factors (Verbal Comprehension, Working Memory, Perceptual Reasoning, and Processing Speed) but also revealed unexplained covariance between Block Design and Visual Puzzles (Perceptual Reasoning subtests). That covariance was not included in the final models. Instead, a path was added from Working Memory to Figure Weights (Perceptual Reasoning subtest) to improve fit and achieve a desired factor pattern. The present research with the same data (N = 1,800) showed that the path from Working Memory to Figure Weights increases the association between Working Memory and Matrix Reasoning. Specifying both paths improves model fit and largely eliminates unexplained covariance between Block Design and Visual Puzzles but with the undesirable consequence that Figure Weights and Matrix Reasoning are equally determined by Perceptual Reasoning and Working Memory. An alternative 4-factor model was proposed that explained theory-implied covariance between Block Design and Visual Puzzles and between Arithmetic and Figure Weights while maintaining compatibility with WAIS-IV Index structure. The proposed model compared favorably with a 5-factor model based on Cattell-Horn-Carroll theory. The present findings emphasize that covariance model comparisons should involve considerations of conceptual coherence and theoretical adherence in addition to statistical fit. (c) 2012 APA, all rights reserved

Fast Generation of Ensembles of Cosmological N-Body Simulations via Mode-Resampling

DOE Office of Scientific and Technical Information (OSTI.GOV)

Schneider, M D; Cole, S; Frenk, C S

2011-02-14

We present an algorithm for quickly generating multiple realizations of N-body simulations to be used, for example, for cosmological parameter estimation from surveys of large-scale structure. Our algorithm uses a new method to resample the large-scale (Gaussian-distributed) Fourier modes in a periodic N-body simulation box in a manner that properly accounts for the nonlinear mode-coupling between large and small scales. We find that our method for adding new large-scale mode realizations recovers the nonlinear power spectrum to sub-percent accuracy on scales larger than about half the Nyquist frequency of the simulation box. Using 20 N-body simulations, we obtain a powermore » spectrum covariance matrix estimate that matches the estimator from Takahashi et al. (from 5000 simulations) with < 20% errors in all matrix elements. Comparing the rates of convergence, we determine that our algorithm requires {approx}8 times fewer simulations to achieve a given error tolerance in estimates of the power spectrum covariance matrix. The degree of success of our algorithm indicates that we understand the main physical processes that give rise to the correlations in the matter power spectrum. Namely, the large-scale Fourier modes modulate both the degree of structure growth through the variation in the effective local matter density and also the spatial frequency of small-scale perturbations through large-scale displacements. We expect our algorithm to be useful for noise modeling when constraining cosmological parameters from weak lensing (cosmic shear) and galaxy surveys, rescaling summary statistics of N-body simulations for new cosmological parameter values, and any applications where the influence of Fourier modes larger than the simulation size must be accounted for.« less

Generalized Background Error covariance matrix model (GEN_BE v2.0)

NASA Astrophysics Data System (ADS)

Descombes, G.; Auligné, T.; Vandenberghe, F.; Barker, D. M.

2014-07-01

The specification of state background error statistics is a key component of data assimilation since it affects the impact observations will have on the analysis. In the variational data assimilation approach, applied in geophysical sciences, the dimensions of the background error covariance matrix (B) are usually too large to be explicitly determined and B needs to be modeled. Recent efforts to include new variables in the analysis such as cloud parameters and chemical species have required the development of the code to GENerate the Background Errors (GEN_BE) version 2.0 for the Weather Research and Forecasting (WRF) community model to allow for a simpler, flexible, robust, and community-oriented framework that gathers methods used by meteorological operational centers and researchers. We present the advantages of this new design for the data assimilation community by performing benchmarks and showing some of the new features on data assimilation test cases. As data assimilation for clouds remains a challenge, we present a multivariate approach that includes hydrometeors in the control variables and new correlated errors. In addition, the GEN_BE v2.0 code is employed to diagnose error parameter statistics for chemical species, which shows that it is a tool flexible enough to involve new control variables. While the generation of the background errors statistics code has been first developed for atmospheric research, the new version (GEN_BE v2.0) can be easily extended to other domains of science and be chosen as a testbed for diagnostic and new modeling of B. Initially developed for variational data assimilation, the model of the B matrix may be useful for variational ensemble hybrid methods as well.

Generalized background error covariance matrix model (GEN_BE v2.0)

NASA Astrophysics Data System (ADS)

Descombes, G.; Auligné, T.; Vandenberghe, F.; Barker, D. M.; Barré, J.

2015-03-01

The specification of state background error statistics is a key component of data assimilation since it affects the impact observations will have on the analysis. In the variational data assimilation approach, applied in geophysical sciences, the dimensions of the background error covariance matrix (B) are usually too large to be explicitly determined and B needs to be modeled. Recent efforts to include new variables in the analysis such as cloud parameters and chemical species have required the development of the code to GENerate the Background Errors (GEN_BE) version 2.0 for the Weather Research and Forecasting (WRF) community model. GEN_BE allows for a simpler, flexible, robust, and community-oriented framework that gathers methods used by some meteorological operational centers and researchers. We present the advantages of this new design for the data assimilation community by performing benchmarks of different modeling of B and showing some of the new features in data assimilation test cases. As data assimilation for clouds remains a challenge, we present a multivariate approach that includes hydrometeors in the control variables and new correlated errors. In addition, the GEN_BE v2.0 code is employed to diagnose error parameter statistics for chemical species, which shows that it is a tool flexible enough to implement new control variables. While the generation of the background errors statistics code was first developed for atmospheric research, the new version (GEN_BE v2.0) can be easily applied to other domains of science and chosen to diagnose and model B. Initially developed for variational data assimilation, the model of the B matrix may be useful for variational ensemble hybrid methods as well.

Identification and classification of transient pulses observed in magnetometer array data by time-domain principal component analysis filtering

NASA Astrophysics Data System (ADS)

Kappler, Karl N.; Schneider, Daniel D.; MacLean, Laura S.; Bleier, Thomas E.

2017-08-01

A method for identification of pulsations in time series of magnetic field data which are simultaneously present in multiple channels of data at one or more sensor locations is described. Candidate pulsations of interest are first identified in geomagnetic time series by inspection. Time series of these "training events" are represented in matrix form and transpose-multiplied to generate time-domain covariance matrices. The ranked eigenvectors of this matrix are stored as a feature of the pulsation. In the second stage of the algorithm, a sliding window (approximately the width of the training event) is moved across the vector-valued time-series comprising the channels on which the training event was observed. At each window position, the data covariance matrix and associated eigenvectors are calculated. We compare the orientation of the dominant eigenvectors of the training data to those from the windowed data and flag windows where the dominant eigenvectors directions are similar. This was successful in automatically identifying pulses which share polarization and appear to be from the same source process. We apply the method to a case study of continuously sampled (50 Hz) data from six observatories, each equipped with three-component induction coil magnetometers. We examine a 90-day interval of data associated with a cluster of four observatories located within 50 km of Napa, California, together with two remote reference stations-one 100 km to the north of the cluster and the other 350 km south. When the training data contains signals present in the remote reference observatories, we are reliably able to identify and extract global geomagnetic signals such as solar-generated noise. When training data contains pulsations only observed in the cluster of local observatories, we identify several types of non-plane wave signals having similar polarization.

Factor Analysis by Generalized Least Squares.

ERIC Educational Resources Information Center

Joreskog, Karl G.; Goldberger, Arthur S.

Aitkin's generalized least squares (GLS) principle, with the inverse of the observed variance-covariance matrix as a weight matrix, is applied to estimate the factor analysis model in the exploratory (unrestricted) case. It is shown that the GLS estimates are scale free and asymptotically efficient. The estimates are computed by a rapidly…

Ice Cores Dating With a New Inverse Method Taking Account of the Flow Modeling Errors

NASA Astrophysics Data System (ADS)

Lemieux-Dudon, B.; Parrenin, F.; Blayo, E.

2007-12-01

Deep ice cores extracted from Antarctica or Greenland recorded a wide range of past climatic events. In order to contribute to the Quaternary climate system understanding, the calculation of an accurate depth-age relationship is a crucial point. Up to now ice chronologies for deep ice cores estimated with inverse approaches are based on quite simplified ice-flow models that fail to reproduce flow irregularities and consequently to respect all available set of age markers. We describe in this paper, a new inverse method that takes into account the model uncertainty in order to circumvent the restrictions linked to the use of simplified flow models. This method uses first guesses on two flow physical entities, the ice thinning function and the accumulation rate and then identifies correction functions on both flow entities. We highlight two major benefits brought by this new method: first of all the ability to respect large set of observations and as a consequence, the feasibility to estimate a synchronized common ice chronology for several cores at the same time. This inverse approach relies on a bayesian framework. To respect the positive constraint on the searched correction functions, we assume lognormal probability distribution on one hand for the background errors, but also for one particular set of the observation errors. We test this new inversion method on three cores simultaneously (the two EPICA cores : DC and DML and the Vostok core) and we assimilate more than 150 observations (e.g.: age markers, stratigraphic links,...). We analyze the sensitivity of the solution with respect to the background information, especially the prior error covariance matrix. The confidence intervals based on the posterior covariance matrix calculation, are estimated on the correction functions and for the first time on the overall output chronologies.

Combining 1D and 2D linear discriminant analysis for palmprint recognition

NASA Astrophysics Data System (ADS)

Zhang, Jian; Ji, Hongbing; Wang, Lei; Lin, Lin

2011-11-01

In this paper, a novel feature extraction method for palmprint recognition termed as Two-dimensional Combined Discriminant Analysis (2DCDA) is proposed. By connecting the adjacent rows of a image sequentially, the obtained new covariance matrices contain the useful information among local geometry structures in the image, which is eliminated by 2DLDA. In this way, 2DCDA combines LDA and 2DLDA for a promising recognition accuracy, but the number of coefficients of its projection matrix is lower than that of other two-dimensional methods. Experimental results on the CASIA palmprint database demonstrate the effectiveness of the proposed method.

SEPARABLE FACTOR ANALYSIS WITH APPLICATIONS TO MORTALITY DATA

PubMed Central

Fosdick, Bailey K.; Hoff, Peter D.

2014-01-01

Human mortality data sets can be expressed as multiway data arrays, the dimensions of which correspond to categories by which mortality rates are reported, such as age, sex, country and year. Regression models for such data typically assume an independent error distribution or an error model that allows for dependence along at most one or two dimensions of the data array. However, failing to account for other dependencies can lead to inefficient estimates of regression parameters, inaccurate standard errors and poor predictions. An alternative to assuming independent errors is to allow for dependence along each dimension of the array using a separable covariance model. However, the number of parameters in this model increases rapidly with the dimensions of the array and, for many arrays, maximum likelihood estimates of the covariance parameters do not exist. In this paper, we propose a submodel of the separable covariance model that estimates the covariance matrix for each dimension as having factor analytic structure. This model can be viewed as an extension of factor analysis to array-valued data, as it uses a factor model to estimate the covariance along each dimension of the array. We discuss properties of this model as they relate to ordinary factor analysis, describe maximum likelihood and Bayesian estimation methods, and provide a likelihood ratio testing procedure for selecting the factor model ranks. We apply this methodology to the analysis of data from the Human Mortality Database, and show in a cross-validation experiment how it outperforms simpler methods. Additionally, we use this model to impute mortality rates for countries that have no mortality data for several years. Unlike other approaches, our methodology is able to estimate similarities between the mortality rates of countries, time periods and sexes, and use this information to assist with the imputations. PMID:25489353

Terminal altitude maximization for Mars entry considering uncertainties

NASA Astrophysics Data System (ADS)

Cui, Pingyuan; Zhao, Zeduan; Yu, Zhengshi; Dai, Juan

2018-04-01

Uncertainties present in the Mars atmospheric entry process may cause state deviations from the nominal designed values, which will lead to unexpected performance degradation if the trajectory is designed merely based on the deterministic dynamic model. In this paper, a linear covariance based entry trajectory optimization method is proposed considering the uncertainties presenting in the initial states and parameters. By extending the elements of the state covariance matrix as augmented states, the statistical behavior of the trajectory is captured to reformulate the performance metrics and path constraints. The optimization problem is solved by the GPOPS-II toolbox in MATLAB environment. Monte Carlo simulations are also conducted to demonstrate the capability of the proposed method. Primary trading performances between the nominal deployment altitude and its dispersion can be observed by modulating the weights on the dispersion penalty, and a compromised result referring to maximizing the 3σ lower bound of the terminal altitude is achieved. The resulting path constraints also show better satisfaction in a disturbed environment compared with the nominal situation.

Might "Unique" Factors Be "Common"? On the Possibility of Indeterminate Common-Unique Covariances

ERIC Educational Resources Information Center

Grayson, Dave

2006-01-01

The present paper shows that the usual factor analytic structured data dispersion matrix lambda psi lambda' + delta can readily arise from a set of scores y = lambda eta + epsilon, shere the "common" (eta) and "unique" (epsilon) factors have nonzero covariance: gamma = Cov epsilon,eta) is not equal to 0. Implications of this finding are discussed…

Nambu-Poisson gauge theory

NASA Astrophysics Data System (ADS)

Jurčo, Branislav; Schupp, Peter; Vysoký, Jan

2014-06-01

We generalize noncommutative gauge theory using Nambu-Poisson structures to obtain a new type of gauge theory with higher brackets and gauge fields. The approach is based on covariant coordinates and higher versions of the Seiberg-Witten map. We construct a covariant Nambu-Poisson gauge theory action, give its first order expansion in the Nambu-Poisson tensor and relate it to a Nambu-Poisson matrix model.

Modified multiblock partial least squares path modeling algorithm with backpropagation neural networks approach

NASA Astrophysics Data System (ADS)

Yuniarto, Budi; Kurniawan, Robert

2017-03-01

PLS Path Modeling (PLS-PM) is different from covariance based SEM, where PLS-PM use an approach based on variance or component, therefore, PLS-PM is also known as a component based SEM. Multiblock Partial Least Squares (MBPLS) is a method in PLS regression which can be used in PLS Path Modeling which known as Multiblock PLS Path Modeling (MBPLS-PM). This method uses an iterative procedure in its algorithm. This research aims to modify MBPLS-PM with Back Propagation Neural Network approach. The result is MBPLS-PM algorithm can be modified using the Back Propagation Neural Network approach to replace the iterative process in backward and forward step to get the matrix t and the matrix u in the algorithm. By modifying the MBPLS-PM algorithm using Back Propagation Neural Network approach, the model parameters obtained are relatively not significantly different compared to model parameters obtained by original MBPLS-PM algorithm.

ORNL Resolved Resonance Covariance Generation for ENDF/B-VII.1

DOE Office of Scientific and Technical Information (OSTI.GOV)

Leal, Luiz C.; Guber, Klaus H.; Wiarda, Dorothea

2012-12-01

Resonance-parameter covariance matrix (RPCM) evaluations in the resolved resonance regionwere done at the Oak Ridge National Laboratory (ORNL) for the chromium isotopes, titanium isotopes, 19F, 58Ni, 60Ni, 35Cl, 37Cl, 39K, 41K, 55Mn, 233U, 235U, 238U, and 239Pu using the computer code SAMMY. The retroactive approach of the code SAMMY was used to generate the RPCMs for 233U. For 235U, the approach used for covariance generation was similar to the retroactive approach with the distinction that real experimental data were used as opposed to data generated from the resonance parameters. RPCMs for 238U and 239Pu were generated together with the resonancemore » parameter evaluations. The RPCMs were then converted in the ENDF format using the FILE32 representation. Alternatively, for computer storage reasons, the FILE32 was converted in the FILE33 cross section covariance matrix (CSCM). Both representations were processed using the computer code PUFF-IV. This paper describes the procedures used to generate the RPCM and CSCM in the resonance region for ENDF/B-VII.1. The impact of data uncertainty in nuclear reactor benchmark calculations is also presented.« less

Computing Nash equilibria through computational intelligence methods

NASA Astrophysics Data System (ADS)

Pavlidis, N. G.; Parsopoulos, K. E.; Vrahatis, M. N.

2005-03-01

Nash equilibrium constitutes a central solution concept in game theory. The task of detecting the Nash equilibria of a finite strategic game remains a challenging problem up-to-date. This paper investigates the effectiveness of three computational intelligence techniques, namely, covariance matrix adaptation evolution strategies, particle swarm optimization, as well as, differential evolution, to compute Nash equilibria of finite strategic games, as global minima of a real-valued, nonnegative function. An issue of particular interest is to detect more than one Nash equilibria of a game. The performance of the considered computational intelligence methods on this problem is investigated using multistart and deflection.

BONNSAI: correlated stellar observables in Bayesian methods

NASA Astrophysics Data System (ADS)

Schneider, F. R. N.; Castro, N.; Fossati, L.; Langer, N.; de Koter, A.

2017-02-01

In an era of large spectroscopic surveys of stars and big data, sophisticated statistical methods become more and more important in order to infer fundamental stellar parameters such as mass and age. Bayesian techniques are powerful methods because they can match all available observables simultaneously to stellar models while taking prior knowledge properly into account. However, in most cases it is assumed that observables are uncorrelated which is generally not the case. Here, we include correlations in the Bayesian code Bonnsai by incorporating the covariance matrix in the likelihood function. We derive a parametrisation of the covariance matrix that, in addition to classical uncertainties, only requires the specification of a correlation parameter that describes how observables co-vary. Our correlation parameter depends purely on the method with which observables have been determined and can be analytically derived in some cases. This approach therefore has the advantage that correlations can be accounted for even if information for them are not available in specific cases but are known in general. Because the new likelihood model is a better approximation of the data, the reliability and robustness of the inferred parameters are improved. We find that neglecting correlations biases the most likely values of inferred stellar parameters and affects the precision with which these parameters can be determined. The importance of these biases depends on the strength of the correlations and the uncertainties. For example, we apply our technique to massive OB stars, but emphasise that it is valid for any type of stars. For effective temperatures and surface gravities determined from atmosphere modelling, we find that masses can be underestimated on average by 0.5σ and mass uncertainties overestimated by a factor of about 2 when neglecting correlations. At the same time, the age precisions are underestimated over a wide range of stellar parameters. We conclude that accounting for correlations is essential in order to derive reliable stellar parameters including robust uncertainties and will be vital when entering an era of precision stellar astrophysics thanks to the Gaia satellite.

Inference of reactive transport model parameters using a Bayesian multivariate approach

NASA Astrophysics Data System (ADS)

Carniato, Luca; Schoups, Gerrit; van de Giesen, Nick

2014-08-01

Parameter estimation of subsurface transport models from multispecies data requires the definition of an objective function that includes different types of measurements. Common approaches are weighted least squares (WLS), where weights are specified a priori for each measurement, and weighted least squares with weight estimation (WLS(we)) where weights are estimated from the data together with the parameters. In this study, we formulate the parameter estimation task as a multivariate Bayesian inference problem. The WLS and WLS(we) methods are special cases in this framework, corresponding to specific prior assumptions about the residual covariance matrix. The Bayesian perspective allows for generalizations to cases where residual correlation is important and for efficient inference by analytically integrating out the variances (weights) and selected covariances from the joint posterior. Specifically, the WLS and WLS(we) methods are compared to a multivariate (MV) approach that accounts for specific residual correlations without the need for explicit estimation of the error parameters. When applied to inference of reactive transport model parameters from column-scale data on dissolved species concentrations, the following results were obtained: (1) accounting for residual correlation between species provides more accurate parameter estimation for high residual correlation levels whereas its influence for predictive uncertainty is negligible, (2) integrating out the (co)variances leads to an efficient estimation of the full joint posterior with a reduced computational effort compared to the WLS(we) method, and (3) in the presence of model structural errors, none of the methods is able to identify the correct parameter values.

A multi-pixel InSAR time series analysis method: Simultaneous estimation of atmospheric noise, orbital errors and deformation

NASA Astrophysics Data System (ADS)

Jolivet, R.; Simons, M.

2016-12-01

InSAR time series analysis allows reconstruction of ground deformation with meter-scale spatial resolution and high temporal sampling. For instance, the ESA Sentinel-1 Constellation is capable of providing 6-day temporal sampling, thereby opening a new window on the spatio-temporal behavior of tectonic processes. However, due to computational limitations, most time series methods rely on a pixel-by-pixel approach. This limitation is a concern because (1) accounting for orbital errors requires referencing all interferograms to a common set of pixels before reconstruction of the time series and (2) spatially correlated atmospheric noise due to tropospheric turbulence is ignored. Decomposing interferograms into statistically independent wavelets will mitigate issues of correlated noise, but prior estimation of orbital uncertainties will still be required. Here, we explore a method that considers all pixels simultaneously when solving for the spatio-temporal evolution of interferometric phase Our method is based on a massively parallel implementation of a conjugate direction solver. We consider an interferogram as the sum of the phase difference between 2 SAR acquisitions and the corresponding orbital errors. In addition, we fit the temporal evolution with a physically parameterized function while accounting for spatially correlated noise in the data covariance. We assume noise is isotropic for any given InSAR pair with a covariance described by an exponential function that decays with increasing separation distance between pixels. We regularize our solution in space using a similar exponential function as model covariance. Given the problem size, we avoid matrix multiplications of the full covariances by computing convolutions in the Fourier domain. We first solve the unregularized least squares problem using the LSQR algorithm to approach the final solution, then run our conjugate direction solver to account for data and model covariances. We present synthetic tests showing the efficiency of our method. We then reconstruct a 20-year continuous time series covering Northern Chile. Without input from any additional GNSS data, we recover the secular deformation rate, seasonal oscillations and the deformation fields from the 2005 Mw 7.8 Tarapaca and 2007 Mw 7.7 Tocopilla earthquakes.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Dong, X; Petrongolo, M; Wang, T

Purpose: A general problem of dual-energy CT (DECT) is that the decomposition is sensitive to noise in the two sets of dual-energy projection data, resulting in severely degraded qualities of decomposed images. We have previously proposed an iterative denoising method for DECT. Using a linear decomposition function, the method does not gain the full benefits of DECT on beam-hardening correction. In this work, we expand the framework of our iterative method to include non-linear decomposition models for noise suppression in DECT. Methods: We first obtain decomposed projections, which are free of beam-hardening artifacts, using a lookup table pre-measured on amore » calibration phantom. First-pass material images with high noise are reconstructed from the decomposed projections using standard filter-backprojection reconstruction. Noise on the decomposed images is then suppressed by an iterative method, which is formulated in the form of least-square estimation with smoothness regularization. Based on the design principles of a best linear unbiased estimator, we include the inverse of the estimated variance-covariance matrix of the decomposed images as the penalty weight in the least-square term. Analytical formulae are derived to compute the variance-covariance matrix from the measured decomposition lookup table. Results: We have evaluated the proposed method via phantom studies. Using non-linear decomposition, our method effectively suppresses the streaking artifacts of beam-hardening and obtains more uniform images than our previous approach based on a linear model. The proposed method reduces the average noise standard deviation of two basis materials by one order of magnitude without sacrificing the spatial resolution. Conclusion: We propose a general framework of iterative denoising for material decomposition of DECT. Preliminary phantom studies have shown the proposed method improves the image uniformity and reduces noise level without resolution loss. In the future, we will perform more phantom studies to further validate the performance of the purposed method. This work is supported by a Varian MRA grant.« less

Singularity and Nonnormality in the Classification of Compositional Data

USGS Publications Warehouse

Bohling, Geoffrey C.; Davis, J.C.; Olea, R.A.; Harff, Jan

1998-01-01

Geologists may want to classify compositional data and express the classification as a map. Regionalized classification is a tool that can be used for this purpose, but it incorporates discriminant analysis, which requires the computation and inversion of a covariance matrix. Covariance matrices of compositional data always will be singular (noninvertible) because of the unit-sum constraint. Fortunately, discriminant analyses can be calculated using a pseudo-inverse of the singular covariance matrix; this is done automatically by some statistical packages such as SAS. Granulometric data from the Darss Sill region of the Baltic Sea is used to explore how the pseudo-inversion procedure influences discriminant analysis results, comparing the algorithm used by SAS to the more conventional Moore-Penrose algorithm. Logratio transforms have been recommended to overcome problems associated with analysis of compositional data, including singularity. A regionalized classification of the Darss Sill data after logratio transformation is different only slightly from one based on raw granulometric data, suggesting that closure problems do not influence severely regionalized classification of compositional data.

Neopolyploidy and diversification in Heuchera grossulariifolia.

PubMed

Oswald, Benjamin P; Nuismer, Scott L

2011-06-01

Newly formed polyploid lineages must contend with several obstacles to avoid extinction, including minority cytotype exclusion, competition, and inbreeding depression. If polyploidization results in immediate divergence of phenotypic characters these hurdles may be reduced and establishment made more likely. In addition, if polyploidization alters the phenotypic and genotypic associations between traits, that is, the P and G matrices, polyploids may be able to explore novel evolutionary paths, facilitating their divergence and successful establishment. Here, we report results from a study of the perennial plant Heuchera grossulariifolia in which the phenotypic divergence and changes in phenotypic and genotypic covariance matrices caused by neopolyploidization have been estimated. Our results reveal that polyploidization causes immediate divergence for traits relevant to establishment and results in significant changes in the structure of the phenotypic covariance matrix. In contrast, our results do not provide evidence that polyploidization results in immediate and substantial shifts in the genetic covariance matrix. © 2010 The Author(s). Evolution© 2010 The Society for the Study of Evolution.

Using Covariance Matrix for Change Detection of Polarimetric SAR Data

NASA Astrophysics Data System (ADS)

Esmaeilzade, M.; Jahani, F.; Amini, J.

2017-09-01

Nowadays change detection is an important role in civil and military fields. The Synthetic Aperture Radar (SAR) images due to its independent of atmospheric conditions and cloud cover, have attracted much attention in the change detection applications. When the SAR data are used, one of the appropriate ways to display the backscattered signal is using covariance matrix that follows the Wishart distribution. Based on this distribution a statistical test for equality of two complex variance-covariance matrices can be used. In this study, two full polarization data in band L from UAVSAR are used for change detection in agricultural fields and urban areas in the region of United States which the first image belong to 2014 and the second one is from 2017. To investigate the effect of polarization on the rate of change, full polarization data and dual polarization data were used and the results were compared. According to the results, full polarization shows more changes than dual polarization.

Examination of various roles for covariance matrices in the development, evaluation, and application of nuclear data

DOE Office of Scientific and Technical Information (OSTI.GOV)

Smith, D.L.

The last decade has been a period of rapid development in the implementation of covariance-matrix methodology in nuclear data research. This paper offers some perspective on the progress which has been made, on some of the unresolved problems, and on the potential yet to be realized. These discussions address a variety of issues related to the development of nuclear data. Topics examined are: the importance of designing and conducting experiments so that error information is conveniently generated; the procedures for identifying error sources and quantifying their magnitudes and correlations; the combination of errors; the importance of consistent and well-characterized measurementmore » standards; the role of covariances in data parameterization (fitting); the estimation of covariances for values calculated from mathematical models; the identification of abnormalities in covariance matrices and the analysis of their consequences; the problems encountered in representing covariance information in evaluated files; the role of covariances in the weighting of diverse data sets; the comparison of various evaluations; the influence of primary-data covariance in the analysis of covariances for derived quantities (sensitivity); and the role of covariances in the merging of the diverse nuclear data information. 226 refs., 2 tabs.« less

Automated vessel segmentation using cross-correlation and pooled covariance matrix analysis.

PubMed

Du, Jiang; Karimi, Afshin; Wu, Yijing; Korosec, Frank R; Grist, Thomas M; Mistretta, Charles A

2011-04-01

Time-resolved contrast-enhanced magnetic resonance angiography (CE-MRA) provides contrast dynamics in the vasculature and allows vessel segmentation based on temporal correlation analysis. Here we present an automated vessel segmentation algorithm including automated generation of regions of interest (ROIs), cross-correlation and pooled sample covariance matrix analysis. The dynamic images are divided into multiple equal-sized regions. In each region, ROIs for artery, vein and background are generated using an iterative thresholding algorithm based on the contrast arrival time map and contrast enhancement map. Region-specific multi-feature cross-correlation analysis and pooled covariance matrix analysis are performed to calculate the Mahalanobis distances (MDs), which are used to automatically separate arteries from veins. This segmentation algorithm is applied to a dual-phase dynamic imaging acquisition scheme where low-resolution time-resolved images are acquired during the dynamic phase followed by high-frequency data acquisition at the steady-state phase. The segmented low-resolution arterial and venous images are then combined with the high-frequency data in k-space and inverse Fourier transformed to form the final segmented arterial and venous images. Results from volunteer and patient studies demonstrate the advantages of this automated vessel segmentation and dual phase data acquisition technique. Copyright © 2011 Elsevier Inc. All rights reserved.

Evolution of the additive genetic variance-covariance matrix under continuous directional selection on a complex behavioural phenotype.

PubMed

Careau, Vincent; Wolak, Matthew E; Carter, Patrick A; Garland, Theodore

2015-11-22

Given the pace at which human-induced environmental changes occur, a pressing challenge is to determine the speed with which selection can drive evolutionary change. A key determinant of adaptive response to multivariate phenotypic selection is the additive genetic variance-covariance matrix ( G: ). Yet knowledge of G: in a population experiencing new or altered selection is not sufficient to predict selection response because G: itself evolves in ways that are poorly understood. We experimentally evaluated changes in G: when closely related behavioural traits experience continuous directional selection. We applied the genetic covariance tensor approach to a large dataset (n = 17 328 individuals) from a replicated, 31-generation artificial selection experiment that bred mice for voluntary wheel running on days 5 and 6 of a 6-day test. Selection on this subset of G: induced proportional changes across the matrix for all 6 days of running behaviour within the first four generations. The changes in G: induced by selection resulted in a fourfold slower-than-predicted rate of response to selection. Thus, selection exacerbated constraints within G: and limited future adaptive response, a phenomenon that could have profound consequences for populations facing rapid environmental change. © 2015 The Author(s).

Saliency Detection of Stereoscopic 3D Images with Application to Visual Discomfort Prediction

NASA Astrophysics Data System (ADS)

Li, Hong; Luo, Ting; Xu, Haiyong

2017-06-01

Visual saliency detection is potentially useful for a wide range of applications in image processing and computer vision fields. This paper proposes a novel bottom-up saliency detection approach for stereoscopic 3D (S3D) images based on regional covariance matrix. As for S3D saliency detection, besides the traditional 2D low-level visual features, additional 3D depth features should also be considered. However, only limited efforts have been made to investigate how different features (e.g. 2D and 3D features) contribute to the overall saliency of S3D images. The main contribution of this paper is that we introduce a nonlinear feature integration descriptor, i.e., regional covariance matrix, to fuse both 2D and 3D features for S3D saliency detection. The regional covariance matrix is shown to be effective for nonlinear feature integration by modelling the inter-correlation of different feature dimensions. Experimental results demonstrate that the proposed approach outperforms several existing relevant models including 2D extended and pure 3D saliency models. In addition, we also experimentally verified that the proposed S3D saliency map can significantly improve the prediction accuracy of experienced visual discomfort when viewing S3D images.

Uncertainty Propagation for Terrestrial Mobile Laser Scanner

NASA Astrophysics Data System (ADS)

Mezian, c.; Vallet, Bruno; Soheilian, Bahman; Paparoditis, Nicolas

2016-06-01

Laser scanners are used more and more in mobile mapping systems. They provide 3D point clouds that are used for object reconstruction and registration of the system. For both of those applications, uncertainty analysis of 3D points is of great interest but rarely investigated in the literature. In this paper we present a complete pipeline that takes into account all the sources of uncertainties and allows to compute a covariance matrix per 3D point. The sources of uncertainties are laser scanner, calibration of the scanner in relation to the vehicle and direct georeferencing system. We suppose that all the uncertainties follow the Gaussian law. The variances of the laser scanner measurements (two angles and one distance) are usually evaluated by the constructors. This is also the case for integrated direct georeferencing devices. Residuals of the calibration process were used to estimate the covariance matrix of the 6D transformation between scanner laser and the vehicle system. Knowing the variances of all sources of uncertainties, we applied uncertainty propagation technique to compute the variance-covariance matrix of every obtained 3D point. Such an uncertainty analysis enables to estimate the impact of different laser scanners and georeferencing devices on the quality of obtained 3D points. The obtained uncertainty values were illustrated using error ellipsoids on different datasets.

Extracting factors for interest rate scenarios

NASA Astrophysics Data System (ADS)

Molgedey, L.; Galic, E.

2001-04-01

Factor based interest rate models are widely used for risk managing purposes, for option pricing and for identifying and capturing yield curve anomalies. The movements of a term structure of interest rates are commonly assumed to be driven by a small number of orthogonal factors such as SHIFT, TWIST and BUTTERFLY (BOW). These factors are usually obtained by a Principal Component Analysis (PCA) of historical bond prices (interest rates). Although PCA diagonalizes the covariance matrix of either the interest rates or the interest rate changes, it does not use both covariance matrices simultaneously. Furthermore higher linear and nonlinear correlations are neglected. These correlations as well as the mean reverting properties of the interest rates become crucial, if one is interested in a longer time horizon (infrequent hedging or trading). We will show that Independent Component Analysis (ICA) is a more appropriate tool than PCA, since ICA uses the covariance matrix of the interest rates as well as the covariance matrix of the interest rate changes simultaneously. Additionally higher linear and nonlinear correlations may be easily incorporated. The resulting factors are uncorrelated for various time delays, approximately independent but nonorthogonal. This is in contrast to the factors obtained from the PCA, which are orthogonal and uncorrelated for identical times only. Although factors from the ICA are nonorthogonal, it is sufficient to consider only a few factors in order to explain most of the variation in the original data. Finally we will present examples that ICA based hedges outperforms PCA based hedges specifically if the portfolio is sensitive to structural changes of the yield curve.

Eigenvector dynamics: General theory and some applications

NASA Astrophysics Data System (ADS)

Allez, Romain; Bouchaud, Jean-Philippe

2012-10-01

We propose a general framework to study the stability of the subspace spanned by P consecutive eigenvectors of a generic symmetric matrix H0 when a small perturbation is added. This problem is relevant in various contexts, including quantum dissipation (H0 is then the Hamiltonian) and financial risk control (in which case H0 is the assets' return covariance matrix). We argue that the problem can be formulated in terms of the singular values of an overlap matrix, which allows one to define an overlap distance. We specialize our results for the case of a Gaussian orthogonal H0, for which the full spectrum of singular values can be explicitly computed. We also consider the case when H0 is a covariance matrix and illustrate the usefulness of our results using financial data. The special case where the top eigenvalue is much larger than all the other ones can be investigated in full detail. In particular, the dynamics of the angle made by the top eigenvector and its true direction defines an interesting class of random processes.

Fast Kalman Filter for Random Walk Forecast model

NASA Astrophysics Data System (ADS)

Saibaba, A.; Kitanidis, P. K.

2013-12-01

Kalman filtering is a fundamental tool in statistical time series analysis to understand the dynamics of large systems for which limited, noisy observations are available. However, standard implementations of the Kalman filter are prohibitive because they require O(N^2) in memory and O(N^3) in computational cost, where N is the dimension of the state variable. In this work, we focus our attention on the Random walk forecast model which assumes the state transition matrix to be the identity matrix. This model is frequently adopted when the data is acquired at a timescale that is faster than the dynamics of the state variables and there is considerable uncertainty as to the physics governing the state evolution. We derive an efficient representation for the a priori and a posteriori estimate covariance matrices as a weighted sum of two contributions - the process noise covariance matrix and a low rank term which contains eigenvectors from a generalized eigenvalue problem, which combines information from the noise covariance matrix and the data. We describe an efficient algorithm to update the weights of the above terms and the computation of eigenmodes of the generalized eigenvalue problem (GEP). The resulting algorithm for the Kalman filter with Random walk forecast model scales as O(N) or O(N log N), both in memory and computational cost. This opens up the possibility of real-time adaptive experimental design and optimal control in systems of much larger dimension than was previously feasible. For a small number of measurements (~ 300 - 400), this procedure can be made numerically exact. However, as the number of measurements increase, for several choices of measurement operators and noise covariance matrices, the spectrum of the (GEP) decays rapidly and we are justified in only retaining the dominant eigenmodes. We discuss tradeoffs between accuracy and computational cost. The resulting algorithms are applied to an example application from ray-based travel time tomography.

High-dimensional statistical inference: From vector to matrix

NASA Astrophysics Data System (ADS)

Zhang, Anru

Statistical inference for sparse signals or low-rank matrices in high-dimensional settings is of significant interest in a range of contemporary applications. It has attracted significant recent attention in many fields including statistics, applied mathematics and electrical engineering. In this thesis, we consider several problems in including sparse signal recovery (compressed sensing under restricted isometry) and low-rank matrix recovery (matrix recovery via rank-one projections and structured matrix completion). The first part of the thesis discusses compressed sensing and affine rank minimization in both noiseless and noisy cases and establishes sharp restricted isometry conditions for sparse signal and low-rank matrix recovery. The analysis relies on a key technical tool which represents points in a polytope by convex combinations of sparse vectors. The technique is elementary while leads to sharp results. It is shown that, in compressed sensing, delta kA < 1/3, deltak A+ thetak,kA < 1, or deltatkA < √( t - 1)/t for any given constant t ≥ 4/3 guarantee the exact recovery of all k sparse signals in the noiseless case through the constrained ℓ1 minimization, and similarly in affine rank minimization delta rM < 1/3, deltar M + thetar, rM < 1, or deltatrM< √( t - 1)/t ensure the exact reconstruction of all matrices with rank at most r in the noiseless case via the constrained nuclear norm minimization. Moreover, for any epsilon > 0, delta kA < 1/3 + epsilon, deltak A + thetak,kA < 1 + epsilon, or deltatkA< √(t - 1) / t + epsilon are not sufficient to guarantee the exact recovery of all k-sparse signals for large k. Similar result also holds for matrix recovery. In addition, the conditions delta kA<1/3, deltak A+ thetak,kA<1, delta tkA < √(t - 1)/t and deltarM<1/3, delta rM+ thetar,rM<1, delta trM< √(t - 1)/ t are also shown to be sufficient respectively for stable recovery of approximately sparse signals and low-rank matrices in the noisy case. For the second part of the thesis, we introduce a rank-one projection model for low-rank matrix recovery and propose a constrained nuclear norm minimization method for stable recovery of low-rank matrices in the noisy case. The procedure is adaptive to the rank and robust against small perturbations. Both upper and lower bounds for the estimation accuracy under the Frobenius norm loss are obtained. The proposed estimator is shown to be rate-optimal under certain conditions. The estimator is easy to implement via convex programming and performs well numerically. The techniques and main results developed in the chapter also have implications to other related statistical problems. An application to estimation of spiked covariance matrices from one-dimensional random projections is considered. The results demonstrate that it is still possible to accurately estimate the covariance matrix of a high-dimensional distribution based only on one-dimensional projections. For the third part of the thesis, we consider another setting of low-rank matrix completion. Current literature on matrix completion focuses primarily on independent sampling models under which the individual observed entries are sampled independently. Motivated by applications in genomic data integration, we propose a new framework of structured matrix completion (SMC) to treat structured missingness by design. Specifically, our proposed method aims at efficient matrix recovery when a subset of the rows and columns of an approximately low-rank matrix are observed. We provide theoretical justification for the proposed SMC method and derive lower bound for the estimation errors, which together establish the optimal rate of recovery over certain classes of approximately low-rank matrices. Simulation studies show that the method performs well in finite sample under a variety of configurations. The method is applied to integrate several ovarian cancer genomic studies with different extent of genomic measurements, which enables us to construct more accurate prediction rules for ovarian cancer survival.

Generalized Least Squares Estimators in the Analysis of Covariance Structures.

ERIC Educational Resources Information Center

Browne, Michael W.

This paper concerns situations in which a p x p covariance matrix is a function of an unknown q x 1 parameter vector y-sub-o. Notation is defined in the second section, and some algebraic results used in subsequent sections are given. Section 3 deals with asymptotic properties of generalized least squares (G.L.S.) estimators of y-sub-o. Section 4…

Principal component analysis on a torus: Theory and application to protein dynamics.

PubMed

Sittel, Florian; Filk, Thomas; Stock, Gerhard

2017-12-28

A dimensionality reduction method for high-dimensional circular data is developed, which is based on a principal component analysis (PCA) of data points on a torus. Adopting a geometrical view of PCA, various distance measures on a torus are introduced and the associated problem of projecting data onto the principal subspaces is discussed. The main idea is that the (periodicity-induced) projection error can be minimized by transforming the data such that the maximal gap of the sampling is shifted to the periodic boundary. In a second step, the covariance matrix and its eigendecomposition can be computed in a standard manner. Adopting molecular dynamics simulations of two well-established biomolecular systems (Aib 9 and villin headpiece), the potential of the method to analyze the dynamics of backbone dihedral angles is demonstrated. The new approach allows for a robust and well-defined construction of metastable states and provides low-dimensional reaction coordinates that accurately describe the free energy landscape. Moreover, it offers a direct interpretation of covariances and principal components in terms of the angular variables. Apart from its application to PCA, the method of maximal gap shifting is general and can be applied to any other dimensionality reduction method for circular data.

Principal component analysis on a torus: Theory and application to protein dynamics

NASA Astrophysics Data System (ADS)

Sittel, Florian; Filk, Thomas; Stock, Gerhard

2017-12-01

A dimensionality reduction method for high-dimensional circular data is developed, which is based on a principal component analysis (PCA) of data points on a torus. Adopting a geometrical view of PCA, various distance measures on a torus are introduced and the associated problem of projecting data onto the principal subspaces is discussed. The main idea is that the (periodicity-induced) projection error can be minimized by transforming the data such that the maximal gap of the sampling is shifted to the periodic boundary. In a second step, the covariance matrix and its eigendecomposition can be computed in a standard manner. Adopting molecular dynamics simulations of two well-established biomolecular systems (Aib9 and villin headpiece), the potential of the method to analyze the dynamics of backbone dihedral angles is demonstrated. The new approach allows for a robust and well-defined construction of metastable states and provides low-dimensional reaction coordinates that accurately describe the free energy landscape. Moreover, it offers a direct interpretation of covariances and principal components in terms of the angular variables. Apart from its application to PCA, the method of maximal gap shifting is general and can be applied to any other dimensionality reduction method for circular data.

True covariance simulation of the EUVE update filter

NASA Technical Reports Server (NTRS)

Bar-Itzhack, Itzhack Y.; Harman, R. R.

1989-01-01

A covariance analysis of the performance and sensitivity of the attitude determination Extended Kalman Filter (EKF) used by the On Board Computer (OBC) of the Extreme Ultra Violet Explorer (EUVE) spacecraft is presented. The linearized dynamics and measurement equations of the error states are derived which constitute the truth model describing the real behavior of the systems involved. The design model used by the OBC EKF is then obtained by reducing the order of the truth model. The covariance matrix of the EKF which uses the reduced order model is not the correct covariance of the EKF estimation error. A true covariance analysis has to be carried out in order to evaluate the correct accuracy of the OBC generated estimates. The results of such analysis are presented which indicate both the performance and the sensitivity of the OBC EKF.

Inverse modeling of the terrestrial carbon flux in China with flux covariance among inverted regions

NASA Astrophysics Data System (ADS)

Wang, H.; Jiang, F.; Chen, J. M.; Ju, W.; Wang, H.

2011-12-01

Quantitative understanding of the role of ocean and terrestrial biosphere in the global carbon cycle, their response and feedback to climate change is required for the future projection of the global climate. China has the largest amount of anthropogenic CO2 emission, diverse terrestrial ecosystems and an unprecedented rate of urbanization. Thus information on spatial and temporal distributions of the terrestrial carbon flux in China is of great importance in understanding the global carbon cycle. We developed a nested inversion with focus in China. Based on Transcom 22 regions for the globe, we divide China and its neighboring countries into 17 regions, making 39 regions in total for the globe. A Bayesian synthesis inversion is made to estimate the terrestrial carbon flux based on GlobalView CO2 data. In the inversion, GEOS-Chem is used as the transport model to develop the transport matrix. A terrestrial ecosystem model named BEPS is used to produce the prior surface flux to constrain the inversion. However, the sparseness of available observation stations in Asia poses a challenge to the inversion for the 17 small regions. To obtain additional constraint on the inversion, a prior flux covariance matrix is constructed using the BEPS model through analyzing the correlation in the net carbon flux among regions under variable climate conditions. The use of the covariance among different regions in the inversion effectively extends the information content of CO2 observations to more regions. The carbon flux over the 39 land and ocean regions are inverted for the period from 2004 to 2009. In order to investigate the impact of introducing the covariance matrix with non-zero off-diagonal values to the inversion, the inverted terrestrial carbon flux over China is evaluated against ChinaFlux eddy-covariance observations after applying an upscaling methodology.

Non-stationary pre-envelope covariances of non-classically damped systems

NASA Astrophysics Data System (ADS)

Muscolino, G.

1991-08-01

A new formulation is given to evaluate the stationary and non-stationary response of linear non-classically damped systems subjected to multi-correlated non-separable Gaussian input processes. This formulation is based on a new and more suitable definition of the impulse response function matrix for such systems. It is shown that, when using this definition, the stochastic response of non-classically damped systems involves the evaluation of quantities similar to those of classically damped ones. Furthermore, considerations about non-stationary cross-covariances, spectral moments and pre-envelope cross-covariances are presented for a monocorrelated input process.

Locating sources within a dense sensor array using graph clustering

NASA Astrophysics Data System (ADS)

Gerstoft, P.; Riahi, N.

2017-12-01

We develop a model-free technique to identify weak sources within dense sensor arrays using graph clustering. No knowledge about the propagation medium is needed except that signal strengths decay to insignificant levels within a scale that is shorter than the aperture. We then reinterpret the spatial coherence matrix of a wave field as a matrix whose support is a connectivity matrix of a graph with sensors as vertices. In a dense network, well-separated sources induce clusters in this graph. The geographic spread of these clusters can serve to localize the sources. The support of the covariance matrix is estimated from limited-time data using a hypothesis test with a robust phase-only coherence test statistic combined with a physical distance criterion. The latter criterion ensures graph sparsity and thus prevents clusters from forming by chance. We verify the approach and quantify its reliability on a simulated dataset. The method is then applied to data from a dense 5200 element geophone array that blanketed of the city of Long Beach (CA). The analysis exposes a helicopter traversing the array and oil production facilities.

Examination of the Chayes-Kruskal procedure for testing correlations between proportions

USGS Publications Warehouse

Kork, J.O.

1977-01-01

The Chayes-Kruskal procedure for testing correlations between proportions uses a linear approximation to the actual closure transformation to provide a null value, pij, against which an observed closed correlation coefficient, rij, can be tested. It has been suggested that a significant difference between pij and rij would indicate a nonzero covariance relationship between the ith and jth open variables. In this paper, the linear approximation to the closure transformation is described in terms of a matrix equation. Examination of the solution set of this equation shows that estimation of, or even the identification of, significant nonzero open correlations is essentially impossible even if the number of variables and the sample size are large. The method of solving the matrix equation is described in the appendix. ?? 1977 Plenum Publishing Corporation.

Log-Linear Modeling of Agreement among Expert Exposure Assessors

PubMed Central

Hunt, Phillip R.; Friesen, Melissa C.; Sama, Susan; Ryan, Louise; Milton, Donald

2015-01-01

Background: Evaluation of expert assessment of exposure depends, in the absence of a validation measurement, upon measures of agreement among the expert raters. Agreement is typically measured using Cohen’s Kappa statistic, however, there are some well-known limitations to this approach. We demonstrate an alternate method that uses log-linear models designed to model agreement. These models contain parameters that distinguish between exact agreement (diagonals of agreement matrix) and non-exact associations (off-diagonals). In addition, they can incorporate covariates to examine whether agreement differs across strata. Methods: We applied these models to evaluate agreement among expert ratings of exposure to sensitizers (none, likely, high) in a study of occupational asthma. Results: Traditional analyses using weighted kappa suggested potential differences in agreement by blue/white collar jobs and office/non-office jobs, but not case/control status. However, the evaluation of the covariates and their interaction terms in log-linear models found no differences in agreement with these covariates and provided evidence that the differences observed using kappa were the result of marginal differences in the distribution of ratings rather than differences in agreement. Differences in agreement were predicted across the exposure scale, with the likely moderately exposed category more difficult for the experts to differentiate from the highly exposed category than from the unexposed category. Conclusions: The log-linear models provided valuable information about patterns of agreement and the structure of the data that were not revealed in analyses using kappa. The models’ lack of dependence on marginal distributions and the ease of evaluating covariates allow reliable detection of observational bias in exposure data. PMID:25748517

Reconstruction of interatomic vectors by principle component analysis of nuclear magnetic resonance data in multiple alignments

NASA Astrophysics Data System (ADS)

Hus, Jean-Christophe; Bruschweiler, Rafael

2002-07-01

A general method is presented for the reconstruction of interatomic vector orientations from nuclear magnetic resonance (NMR) spectroscopic data of tensor interactions of rank 2, such as dipolar coupling and chemical shielding anisotropy interactions, in solids and partially aligned liquid-state systems. The method, called PRIMA, is based on a principal component analysis of the covariance matrix of the NMR parameters collected for multiple alignments. The five nonzero eigenvalues and their eigenvectors efficiently allow the approximate reconstruction of the vector orientations of the underlying interactions. The method is demonstrated for an isotropic distribution of sample orientations as well as for finite sets of orientations and internuclear vectors encountered in protein systems.

An Adaptive Altitude Information Fusion Method for Autonomous Landing Processes of Small Unmanned Aerial Rotorcraft

PubMed Central

Lei, Xusheng; Li, Jingjing

2012-01-01

This paper presents an adaptive information fusion method to improve the accuracy and reliability of the altitude measurement information for small unmanned aerial rotorcraft during the landing process. Focusing on the low measurement performance of sensors mounted on small unmanned aerial rotorcraft, a wavelet filter is applied as a pre-filter to attenuate the high frequency noises in the sensor output. Furthermore, to improve altitude information, an adaptive extended Kalman filter based on a maximum a posteriori criterion is proposed to estimate measurement noise covariance matrix in real time. Finally, the effectiveness of the proposed method is proved by static tests, hovering flight and autonomous landing flight tests. PMID:23201993

Identification and Small Sample Estimation of Thurstone's Unrestricted Model for Paired Comparisons Data

ERIC Educational Resources Information Center

Maydeu-Olivares, Alberto; Hernandez, Adolfo

2007-01-01

The interpretation of a Thurstonian model for paired comparisons where the utilities' covariance matrix is unrestricted proved to be difficult due to the comparative nature of the data. We show that under a suitable constraint the utilities' correlation matrix can be estimated, yielding a readily interpretable solution. This set of identification…

Exploiting the Spatio-Temporal Coherence of Ocean Ambient Noise for Passive Tomography

DTIC Science & Technology

2012-09-30

ˆ kfCij and corresponds to the entry (i,j) of cross-covariance matrix for the selected horizontal triangular array, denoted );( ˆ kfC at the...diagonal elements );( ˆ kfCii (i=1..3) of the matrix );( ˆ kfC were set to zero to mitigate the bias due to electronic noise and the large

Assessing factorial invariance of two-way rating designs using three-way methods

PubMed Central

Kroonenberg, Pieter M.

2015-01-01

Assessing the factorial invariance of two-way rating designs such as ratings of concepts on several scales by different groups can be carried out with three-way models such as the Parafac and Tucker models. By their definitions these models are double-metric factorially invariant. The differences between these models lie in their handling of the links between the concept and scale spaces. These links may consist of unrestricted linking (Tucker2 model), invariant component covariances but variable variances per group and per component (Parafac model), zero covariances and variances different per group but not per component (Replicated Tucker3 model) and strict invariance (Component analysis on the average matrix). This hierarchy of invariant models, and the procedures by which to evaluate the models against each other, is illustrated in some detail with an international data set from attachment theory. PMID:25620936

Perspective: Structural fluctuation of protein and Anfinsen's thermodynamic hypothesis

NASA Astrophysics Data System (ADS)

Hirata, Fumio; Sugita, Masatake; Yoshida, Masasuke; Akasaka, Kazuyuki

2018-01-01

The thermodynamics hypothesis, casually referred to as "Anfinsen's dogma," is described theoretically in terms of a concept of the structural fluctuation of protein or the first moment (average structure) and the second moment (variance and covariance) of the structural distribution. The new theoretical concept views the unfolding and refolding processes of protein as a shift of the structural distribution induced by a thermodynamic perturbation, with the variance-covariance matrix varying. Based on the theoretical concept, a method to characterize the mechanism of folding (or unfolding) is proposed. The transition state, if any, between two stable states is interpreted as a gap in the distribution, which is created due to an extensive reorganization of hydrogen bonds among back-bone atoms of protein and with water molecules in the course of conformational change. Further perspective to applying the theory to the computer-aided drug design, and to the material science, is briefly discussed.

Data Selection for Within-Class Covariance Estimation

DTIC Science & Technology

2016-09-08

NIST evaluations to train the within- class and across-class covariance matrices required by these techniques, little attention has been paid to the...multiple utterances from a large population of speakers. Fortunately, participants in NIST evaluations have access to a repository of legacy data from...utterances chosen from previous NIST evaluations. Training data for the UBM and T-matrix was obtained from the NIST Switchboard 2 phases 2-5 and

Covariance Partition Priors: A Bayesian Approach to Simultaneous Covariance Estimation for Longitudinal Data.

PubMed

Gaskins, J T; Daniels, M J

2016-01-02

The estimation of the covariance matrix is a key concern in the analysis of longitudinal data. When data consists of multiple groups, it is often assumed the covariance matrices are either equal across groups or are completely distinct. We seek methodology to allow borrowing of strength across potentially similar groups to improve estimation. To that end, we introduce a covariance partition prior which proposes a partition of the groups at each measurement time. Groups in the same set of the partition share dependence parameters for the distribution of the current measurement given the preceding ones, and the sequence of partitions is modeled as a Markov chain to encourage similar structure at nearby measurement times. This approach additionally encourages a lower-dimensional structure of the covariance matrices by shrinking the parameters of the Cholesky decomposition toward zero. We demonstrate the performance of our model through two simulation studies and the analysis of data from a depression study. This article includes Supplementary Material available online.

A prefiltering version of the Kalman filter with new numerical integration formulas for Riccati equations

NASA Technical Reports Server (NTRS)

Womble, M. E.; Potter, J. E.

1975-01-01

A prefiltering version of the Kalman filter is derived for both discrete and continuous measurements. The derivation consists of determining a single discrete measurement that is equivalent to either a time segment of continuous measurements or a set of discrete measurements. This prefiltering version of the Kalman filter easily handles numerical problems associated with rapid transients and ill-conditioned Riccati matrices. Therefore, the derived technique for extrapolating the Riccati matrix from one time to the next constitutes a new set of integration formulas which alleviate ill-conditioning problems associated with continuous Riccati equations. Furthermore, since a time segment of continuous measurements is converted into a single discrete measurement, Potter's square root formulas can be used to update the state estimate and its error covariance matrix. Therefore, if having the state estimate and its error covariance matrix at discrete times is acceptable, the prefilter extends square root filtering with all its advantages, to continuous measurement problems.

Status of the R-matrix Code AMUR toward a consistent cross-section evaluation and covariance analysis for the light nuclei

NASA Astrophysics Data System (ADS)

Kunieda, Satoshi

2017-09-01

We report the status of the R-matrix code AMUR toward consistent cross-section evaluation and covariance analysis for the light-mass nuclei. The applicable limit of the code is extended by including computational capability for the charged-particle elastic scattering cross-sections and the neutron capture cross-sections as example results are shown in the main texts. A simultaneous analysis is performed on the 17O compound system including the 16O(n,tot) and 13C(α,n)16O reactions together with the 16O(n,n) and 13C(α,α) scattering cross-sections. It is found that a large theoretical background is required for each reaction process to obtain a simultaneous fit with all the experimental cross-sections we analyzed. Also, the hard-sphere radii should be assumed to be different from the channel radii. Although these are technical approaches, we could learn roles and sources of the theoretical background in the standard R-matrix.

Super-sample covariance approximations and partial sky coverage

NASA Astrophysics Data System (ADS)

Lacasa, Fabien; Lima, Marcos; Aguena, Michel

2018-04-01

Super-sample covariance (SSC) is the dominant source of statistical error on large scale structure (LSS) observables for both current and future galaxy surveys. In this work, we concentrate on the SSC of cluster counts, also known as sample variance, which is particularly useful for the self-calibration of the cluster observable-mass relation; our approach can similarly be applied to other observables, such as galaxy clustering and lensing shear. We first examined the accuracy of two analytical approximations proposed in the literature for the flat sky limit, finding that they are accurate at the 15% and 30-35% level, respectively, for covariances of counts in the same redshift bin. We then developed a harmonic expansion formalism that allows for the prediction of SSC in an arbitrary survey mask geometry, such as large sky areas of current and future surveys. We show analytically and numerically that this formalism recovers the full sky and flat sky limits present in the literature. We then present an efficient numerical implementation of the formalism, which allows fast and easy runs of covariance predictions when the survey mask is modified. We applied our method to a mask that is broadly similar to the Dark Energy Survey footprint, finding a non-negligible negative cross-z covariance, i.e. redshift bins are anti-correlated. We also examined the case of data removal from holes due to, for example bright stars, quality cuts, or systematic removals, and find that this does not have noticeable effects on the structure of the SSC matrix, only rescaling its amplitude by the effective survey area. These advances enable analytical covariances of LSS observables to be computed for current and future galaxy surveys, which cover large areas of the sky where the flat sky approximation fails.

Real-time probabilistic covariance tracking with efficient model update.

PubMed

Wu, Yi; Cheng, Jian; Wang, Jinqiao; Lu, Hanqing; Wang, Jun; Ling, Haibin; Blasch, Erik; Bai, Li

2012-05-01

The recently proposed covariance region descriptor has been proven robust and versatile for a modest computational cost. The covariance matrix enables efficient fusion of different types of features, where the spatial and statistical properties, as well as their correlation, are characterized. The similarity between two covariance descriptors is measured on Riemannian manifolds. Based on the same metric but with a probabilistic framework, we propose a novel tracking approach on Riemannian manifolds with a novel incremental covariance tensor learning (ICTL). To address the appearance variations, ICTL incrementally learns a low-dimensional covariance tensor representation and efficiently adapts online to appearance changes of the target with only O(1) computational complexity, resulting in a real-time performance. The covariance-based representation and the ICTL are then combined with the particle filter framework to allow better handling of background clutter, as well as the temporary occlusions. We test the proposed probabilistic ICTL tracker on numerous benchmark sequences involving different types of challenges including occlusions and variations in illumination, scale, and pose. The proposed approach demonstrates excellent real-time performance, both qualitatively and quantitatively, in comparison with several previously proposed trackers.

The number of measurements needed to obtain high reliability for traits related to enzymatic activities and photosynthetic compounds in soybean plants infected with Phakopsora pachyrhizi.

PubMed

Oliveira, Tássia Boeno de; Azevedo Peixoto, Leonardo de; Teodoro, Paulo Eduardo; Alvarenga, Amauri Alves de; Bhering, Leonardo Lopes; Campo, Clara Beatriz Hoffmann

2018-01-01

Asian rust affects the physiology of soybean plants and causes losses in yield. Repeatability coefficients may help breeders to know how many measurements are needed to obtain a suitable reliability for a target trait. Therefore, the objectives of this study were to determine the repeatability coefficients of 14 traits in soybean plants inoculated with Phakopsora pachyrhizi and to establish the minimum number of measurements needed to predict the breeding value with high accuracy. Experiments were performed in a 3x2 factorial arrangement with three treatments and two inoculations in a random block design. Repeatability coefficients, coefficients of determination and number of measurements needed to obtain a certain reliability were estimated using ANOVA, principal component analysis based on the covariance matrix and the correlation matrix, structural analysis and mixed model. It was observed that the principal component analysis based on the covariance matrix out-performed other methods for almost all traits. Significant differences were observed for all traits except internal CO2 concentration for the treatment effects. For the measurement effects, all traits were significantly different. In addition, significant differences were found for all Treatment x Measurement interaction traits except coumestrol, chitinase and chlorophyll content. Six measurements were suitable to obtain a coefficient of determination higher than 0.7 for all traits based on principal component analysis. The information obtained from this research will help breeders and physiologists determine exactly how many measurements are needed to evaluate each trait in soybean plants infected by P. pachyrhizi with a desirable reliability.

The number of measurements needed to obtain high reliability for traits related to enzymatic activities and photosynthetic compounds in soybean plants infected with Phakopsora pachyrhizi

PubMed Central

de Oliveira, Tássia Boeno; Teodoro, Paulo Eduardo; de Alvarenga, Amauri Alves; Bhering, Leonardo Lopes; Campo, Clara Beatriz Hoffmann

2018-01-01

Asian rust affects the physiology of soybean plants and causes losses in yield. Repeatability coefficients may help breeders to know how many measurements are needed to obtain a suitable reliability for a target trait. Therefore, the objectives of this study were to determine the repeatability coefficients of 14 traits in soybean plants inoculated with Phakopsora pachyrhizi and to establish the minimum number of measurements needed to predict the breeding value with high accuracy. Experiments were performed in a 3x2 factorial arrangement with three treatments and two inoculations in a random block design. Repeatability coefficients, coefficients of determination and number of measurements needed to obtain a certain reliability were estimated using ANOVA, principal component analysis based on the covariance matrix and the correlation matrix, structural analysis and mixed model. It was observed that the principal component analysis based on the covariance matrix out-performed other methods for almost all traits. Significant differences were observed for all traits except internal CO2 concentration for the treatment effects. For the measurement effects, all traits were significantly different. In addition, significant differences were found for all Treatment x Measurement interaction traits except coumestrol, chitinase and chlorophyll content. Six measurements were suitable to obtain a coefficient of determination higher than 0.7 for all traits based on principal component analysis. The information obtained from this research will help breeders and physiologists determine exactly how many measurements are needed to evaluate each trait in soybean plants infected by P. pachyrhizi with a desirable reliability. PMID:29438380

CoCoa: a software tool for estimating the coefficient of coancestry from multilocus genotype data.

PubMed

Maenhout, Steven; De Baets, Bernard; Haesaert, Geert

2009-10-15

Phenotypic data collected in breeding programs and marker-trait association studies are often analyzed by means of linear mixed models. In these models, the covariance between the genetic background effects of all genotypes under study is modeled by means of pairwise coefficients of coancestry. Several marker-based coancestry estimation procedures allow to estimate this covariance matrix, but generally introduce a certain amount of bias when the examined genotypes are part of a breeding program. CoCoa implements the most commonly used marker-based coancestry estimation procedures and as such, allows to select the best fitting covariance structure for the phenotypic data at hand. This better model fit translates into an increased power and improved type I error control in association studies and an improved accuracy in phenotypic prediction studies. The presented software package also provides an implementation of the new Weighted Alikeness in State (WAIS) estimator for use in hybrid breeding programs. Besides several matrix manipulation tools, CoCoa implements two different bending heuristics, in case the inverse of an ill-conditioned coancestry matrix estimate is needed. The software package CoCoa is freely available at http://webs.hogent.be/cocoa. Source code, manual, binaries for 32 and 64-bit Linux systems and an installer for Microsoft Windows are provided. The core components of CoCoa are written in C++, while the graphical user interface is written in Java.

Bayesian inference for unidirectional misclassification of a binary response trait.

PubMed

Xia, Michelle; Gustafson, Paul

2018-03-15

When assessing association between a binary trait and some covariates, the binary response may be subject to unidirectional misclassification. Unidirectional misclassification can occur when revealing a particular level of the trait is associated with a type of cost, such as a social desirability or financial cost. The feasibility of addressing misclassification is commonly obscured by model identification issues. The current paper attempts to study the efficacy of inference when the binary response variable is subject to unidirectional misclassification. From a theoretical perspective, we demonstrate that the key model parameters possess identifiability, except for the case with a single binary covariate. From a practical standpoint, the logistic model with quantitative covariates can be weakly identified, in the sense that the Fisher information matrix may be near singular. This can make learning some parameters difficult under certain parameter settings, even with quite large samples. In other cases, the stronger identification enables the model to provide more effective adjustment for unidirectional misclassification. An extension to the Poisson approximation of the binomial model reveals the identifiability of the Poisson and zero-inflated Poisson models. For fully identified models, the proposed method adjusts for misclassification based on learning from data. For binary models where there is difficulty in identification, the method is useful for sensitivity analyses on the potential impact from unidirectional misclassification. Copyright © 2017 John Wiley & Sons, Ltd.

3D Riesz-wavelet based Covariance descriptors for texture classification of lung nodule tissue in CT.

PubMed

Cirujeda, Pol; Muller, Henning; Rubin, Daniel; Aguilera, Todd A; Loo, Billy W; Diehn, Maximilian; Binefa, Xavier; Depeursinge, Adrien

2015-01-01

In this paper we present a novel technique for characterizing and classifying 3D textured volumes belonging to different lung tissue types in 3D CT images. We build a volume-based 3D descriptor, robust to changes of size, rigid spatial transformations and texture variability, thanks to the integration of Riesz-wavelet features within a Covariance-based descriptor formulation. 3D Riesz features characterize the morphology of tissue density due to their response to changes in intensity in CT images. These features are encoded in a Covariance-based descriptor formulation: this provides a compact and flexible representation thanks to the use of feature variations rather than dense features themselves and adds robustness to spatial changes. Furthermore, the particular symmetric definite positive matrix form of these descriptors causes them to lay in a Riemannian manifold. Thus, descriptors can be compared with analytical measures, and accurate techniques from machine learning and clustering can be adapted to their spatial domain. Additionally we present a classification model following a "Bag of Covariance Descriptors" paradigm in order to distinguish three different nodule tissue types in CT: solid, ground-glass opacity, and healthy lung. The method is evaluated on top of an acquired dataset of 95 patients with manually delineated ground truth by radiation oncology specialists in 3D, and quantitative sensitivity and specificity values are presented.

Concurrent MR-NIR Imaging for Breast Cancer Diagnosis

DTIC Science & Technology

2008-06-01

the extended Kalman filtering (EKF) framework. Note that both the fluorophore concentrations in different compartments, C(rj , k), and the system...r1 − r2)δ(k1 − k2)Z1. 10) Estimation of Pharmacokinetic-Rate Images by Extended Kalman Filtering: Our objective is to estimate the fluorophore...covariance update at time k. Hk is the recursive Kalman gain matrix at time k and I is the identity matrix. Jk−1 is the Jacobian matrix due to iterative

Investigating the role of background and observation error correlations in improving a model forecast of forest carbon balance using four dimensional variational data assimilation.

NASA Astrophysics Data System (ADS)

Pinnington, Ewan; Casella, Eric; Dance, Sarah; Lawless, Amos; Morison, James; Nichols, Nancy; Wilkinson, Matthew; Quaife, Tristan

2016-04-01

Forest ecosystems play an important role in sequestering human emitted carbon-dioxide from the atmosphere and therefore greatly reduce the effect of anthropogenic induced climate change. For that reason understanding their response to climate change is of great importance. Efforts to implement variational data assimilation routines with functional ecology models and land surface models have been limited, with sequential and Markov chain Monte Carlo data assimilation methods being prevalent. When data assimilation has been used with models of carbon balance, background "prior" errors and observation errors have largely been treated as independent and uncorrelated. Correlations between background errors have long been known to be a key aspect of data assimilation in numerical weather prediction. More recently, it has been shown that accounting for correlated observation errors in the assimilation algorithm can considerably improve data assimilation results and forecasts. In this paper we implement a 4D-Var scheme with a simple model of forest carbon balance, for joint parameter and state estimation and assimilate daily observations of Net Ecosystem CO2 Exchange (NEE) taken at the Alice Holt forest CO2 flux site in Hampshire, UK. We then investigate the effect of specifying correlations between parameter and state variables in background error statistics and the effect of specifying correlations in time between observation error statistics. The idea of including these correlations in time is new and has not been previously explored in carbon balance model data assimilation. In data assimilation, background and observation error statistics are often described by the background error covariance matrix and the observation error covariance matrix. We outline novel methods for creating correlated versions of these matrices, using a set of previously postulated dynamical constraints to include correlations in the background error statistics and a Gaussian correlation function to include time correlations in the observation error statistics. The methods used in this paper will allow the inclusion of time correlations between many different observation types in the assimilation algorithm, meaning that previously neglected information can be accounted for. In our experiments we compared the results using our new correlated background and observation error covariance matrices and those using diagonal covariance matrices. We found that using the new correlated matrices reduced the root mean square error in the 14 year forecast of daily NEE by 44 % decreasing from 4.22 g C m-2 day-1 to 2.38 g C m-2 day-1.

A Closed-Form Error Model of Straight Lines for Improved Data Association and Sensor Fusing

PubMed Central

2018-01-01

Linear regression is a basic tool in mobile robotics, since it enables accurate estimation of straight lines from range-bearing scans or in digital images, which is a prerequisite for reliable data association and sensor fusing in the context of feature-based SLAM. This paper discusses, extends and compares existing algorithms for line fitting applicable also in the case of strong covariances between the coordinates at each single data point, which must not be neglected if range-bearing sensors are used. Besides, in particular, the determination of the covariance matrix is considered, which is required for stochastic modeling. The main contribution is a new error model of straight lines in closed form for calculating quickly and reliably the covariance matrix dependent on just a few comprehensible and easily-obtainable parameters. The model can be applied widely in any case when a line is fitted from a number of distinct points also without a priori knowledge of the specific measurement noise. By means of extensive simulations, the performance and robustness of the new model in comparison to existing approaches is shown. PMID:29673205

The Impact of Misspecifying the Within-Subject Covariance Structure in Multiwave Longitudinal Multilevel Models: A Monte Carlo Study

ERIC Educational Resources Information Center

Kwok, Oi-man; West, Stephen G.; Green, Samuel B.

2007-01-01

This Monte Carlo study examined the impact of misspecifying the [big sum] matrix in longitudinal data analysis under both the multilevel model and mixed model frameworks. Under the multilevel model approach, under-specification and general-misspecification of the [big sum] matrix usually resulted in overestimation of the variances of the random…

Logistic regression of family data from retrospective study designs.

PubMed

Whittemore, Alice S; Halpern, Jerry

2003-11-01

We wish to study the effects of genetic and environmental factors on disease risk, using data from families ascertained because they contain multiple cases of the disease. To do so, we must account for the way participants were ascertained, and for within-family correlations in both disease occurrences and covariates. We model the joint probability distribution of the covariates of ascertained family members, given family disease occurrence and pedigree structure. We describe two such covariate models: the random effects model and the marginal model. Both models assume a logistic form for the distribution of one person's covariates that involves a vector beta of regression parameters. The components of beta in the two models have different interpretations, and they differ in magnitude when the covariates are correlated within families. We describe ascertainment assumptions needed to estimate consistently the parameters beta(RE) in the random effects model and the parameters beta(M) in the marginal model. Under the ascertainment assumptions for the random effects model, we show that conditional logistic regression (CLR) of matched family data gives a consistent estimate beta(RE) for beta(RE) and a consistent estimate for the covariance matrix of beta(RE). Under the ascertainment assumptions for the marginal model, we show that unconditional logistic regression (ULR) gives a consistent estimate for beta(M), and we give a consistent estimator for its covariance matrix. The random effects/CLR approach is simple to use and to interpret, but it can use data only from families containing both affected and unaffected members. The marginal/ULR approach uses data from all individuals, but its variance estimates require special computations. A C program to compute these variance estimates is available at http://www.stanford.edu/dept/HRP/epidemiology. We illustrate these pros and cons by application to data on the effects of parity on ovarian cancer risk in mother/daughter pairs, and use simulations to study the performance of the estimates. Copyright 2003 Wiley-Liss, Inc.

MODFLOW 2000 Head Uncertainty, a First-Order Second Moment Method

USGS Publications Warehouse

Glasgow, H.S.; Fortney, M.D.; Lee, J.; Graettinger, A.J.; Reeves, H.W.

2003-01-01

A computationally efficient method to estimate the variance and covariance in piezometric head results computed through MODFLOW 2000 using a first-order second moment (FOSM) approach is presented. This methodology employs a first-order Taylor series expansion to combine model sensitivity with uncertainty in geologic data. MODFLOW 2000 is used to calculate both the ground water head and the sensitivity of head to changes in input data. From a limited number of samples, geologic data are extrapolated and their associated uncertainties are computed through a conditional probability calculation. Combining the spatially related sensitivity and input uncertainty produces the variance-covariance matrix, the diagonal of which is used to yield the standard deviation in MODFLOW 2000 head. The variance in piezometric head can be used for calibrating the model, estimating confidence intervals, directing exploration, and evaluating the reliability of a design. A case study illustrates the approach, where aquifer transmissivity is the spatially related uncertain geologic input data. The FOSM methodology is shown to be applicable for calculating output uncertainty for (1) spatially related input and output data, and (2) multiple input parameters (transmissivity and recharge).

Bayesian statistical ionospheric tomography improved by incorporating ionosonde measurements

NASA Astrophysics Data System (ADS)

Norberg, Johannes; Virtanen, Ilkka I.; Roininen, Lassi; Vierinen, Juha; Orispää, Mikko; Kauristie, Kirsti; Lehtinen, Markku S.

2016-04-01

We validate two-dimensional ionospheric tomography reconstructions against EISCAT incoherent scatter radar measurements. Our tomography method is based on Bayesian statistical inversion with prior distribution given by its mean and covariance. We employ ionosonde measurements for the choice of the prior mean and covariance parameters and use the Gaussian Markov random fields as a sparse matrix approximation for the numerical computations. This results in a computationally efficient tomographic inversion algorithm with clear probabilistic interpretation. We demonstrate how this method works with simultaneous beacon satellite and ionosonde measurements obtained in northern Scandinavia. The performance is compared with results obtained with a zero-mean prior and with the prior mean taken from the International Reference Ionosphere 2007 model. In validating the results, we use EISCAT ultra-high-frequency incoherent scatter radar measurements as the ground truth for the ionization profile shape. We find that in comparison to the alternative prior information sources, ionosonde measurements improve the reconstruction by adding accurate information about the absolute value and the altitude distribution of electron density. With an ionosonde at continuous disposal, the presented method enhances stand-alone near-real-time ionospheric tomography for the given conditions significantly.

Stochastic modeling for time series InSAR: with emphasis on atmospheric effects

NASA Astrophysics Data System (ADS)

Cao, Yunmeng; Li, Zhiwei; Wei, Jianchao; Hu, Jun; Duan, Meng; Feng, Guangcai

2018-02-01

Despite the many applications of time series interferometric synthetic aperture radar (TS-InSAR) techniques in geophysical problems, error analysis and assessment have been largely overlooked. Tropospheric propagation error is still the dominant error source of InSAR observations. However, the spatiotemporal variation of atmospheric effects is seldom considered in the present standard TS-InSAR techniques, such as persistent scatterer interferometry and small baseline subset interferometry. The failure to consider the stochastic properties of atmospheric effects not only affects the accuracy of the estimators, but also makes it difficult to assess the uncertainty of the final geophysical results. To address this issue, this paper proposes a network-based variance-covariance estimation method to model the spatiotemporal variation of tropospheric signals, and to estimate the temporal variance-covariance matrix of TS-InSAR observations. The constructed stochastic model is then incorporated into the TS-InSAR estimators both for parameters (e.g., deformation velocity, topography residual) estimation and uncertainty assessment. It is an incremental and positive improvement to the traditional weighted least squares methods to solve the multitemporal InSAR time series. The performance of the proposed method is validated by using both simulated and real datasets.

Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes

NASA Astrophysics Data System (ADS)

Barucca, Paolo

2014-12-01

We define a random-matrix ensemble given by the infinite-time covariance matrices of Ornstein-Uhlenbeck processes at different temperatures coupled by a Gaussian symmetric matrix. The spectral properties of this ensemble are shown to be in qualitative agreement with some stylized facts of financial markets. Through the presented model formulas are given for the analysis of heterogeneous time series. Furthermore evidence for a localization transition in eigenvectors related to small and large eigenvalues in cross-correlations analysis of this model is found, and a simple explanation of localization phenomena in financial time series is provided. Finally we identify both in our model and in real financial data an inverted-bell effect in correlation between localized components and their local temperature: high- and low-temperature components are the most localized ones.

Bayesian meta-analytical methods to incorporate multiple surrogate endpoints in drug development process.

PubMed

Bujkiewicz, Sylwia; Thompson, John R; Riley, Richard D; Abrams, Keith R

2016-03-30

A number of meta-analytical methods have been proposed that aim to evaluate surrogate endpoints. Bivariate meta-analytical methods can be used to predict the treatment effect for the final outcome from the treatment effect estimate measured on the surrogate endpoint while taking into account the uncertainty around the effect estimate for the surrogate endpoint. In this paper, extensions to multivariate models are developed aiming to include multiple surrogate endpoints with the potential benefit of reducing the uncertainty when making predictions. In this Bayesian multivariate meta-analytic framework, the between-study variability is modelled in a formulation of a product of normal univariate distributions. This formulation is particularly convenient for including multiple surrogate endpoints and flexible for modelling the outcomes which can be surrogate endpoints to the final outcome and potentially to one another. Two models are proposed, first, using an unstructured between-study covariance matrix by assuming the treatment effects on all outcomes are correlated and second, using a structured between-study covariance matrix by assuming treatment effects on some of the outcomes are conditionally independent. While the two models are developed for the summary data on a study level, the individual-level association is taken into account by the use of the Prentice's criteria (obtained from individual patient data) to inform the within study correlations in the models. The modelling techniques are investigated using an example in relapsing remitting multiple sclerosis where the disability worsening is the final outcome, while relapse rate and MRI lesions are potential surrogates to the disability progression. © 2015 The Authors. Statistics in Medicine Published by John Wiley & Sons Ltd.

Characterization of Perovskite Oxide/Semiconductor Heterostructures

NASA Astrophysics Data System (ADS)

Walker, Phillip

The tools developed for the use of investigating dynamical systems have provided critical understanding to a wide range of physical phenomena. Here these tools are used to gain further insight into scalar transport, and how it is affected by mixing. The aim of this research is to investigate the efficiency of several different partitioning methods which demarcate flow fields into dynamically distinct regions, and the correlation of finite-time statistics from the advection-diffusion equation to these regions. For autonomous systems, invariant manifold theory can be used to separate the system into dynamically distinct regions. Despite there being no equivalent method for nonautonomous systems, a similar analysis can be done. Systems with general time dependencies must resort to using finite-time transport barriers for partitioning; these barriers are the edges of Lagrangian coherent structures (LCS), the analog to the stable and unstable manifolds of invariant manifold theory. Using the coherent structures of a flow to analyze the statistics of trapping, flight, and residence times, the signature of anomalous diffusion are obtained. This research also investigates the use of linear models for approximating the elements of the covariance matrix of nonlinear flows, and then applying the covariance matrix approximation over coherent regions. The first and second-order moments can be used to fully describe an ensemble evolution in linear systems, however there is no direct method for nonlinear systems. The problem is only compounded by the fact that the moments for nonlinear flows typically don't have analytic representations, therefore direct numerical simulations would be needed to obtain the moments throughout the domain. To circumvent these many computations, the nonlinear system is approximated as many linear systems for which analytic expressions for the moments exist. The parameters introduced in the linear models are obtained locally from the nonlinear deformation tensor.

Solution of the weighted symmetric similarity transformations based on quaternions

NASA Astrophysics Data System (ADS)

Mercan, H.; Akyilmaz, O.; Aydin, C.

2017-12-01

A new method through Gauss-Helmert model of adjustment is presented for the solution of the similarity transformations, either 3D or 2D, in the frame of errors-in-variables (EIV) model. EIV model assumes that all the variables in the mathematical model are contaminated by random errors. Total least squares estimation technique may be used to solve the EIV model. Accounting for the heteroscedastic uncertainty both in the target and the source coordinates, that is the more common and general case in practice, leads to a more realistic estimation of the transformation parameters. The presented algorithm can handle the heteroscedastic transformation problems, i.e., positions of the both target and the source points may have full covariance matrices. Therefore, there is no limitation such as the isotropic or the homogenous accuracy for the reference point coordinates. The developed algorithm takes the advantage of the quaternion definition which uniquely represents a 3D rotation matrix. The transformation parameters: scale, translations, and the quaternion (so that the rotation matrix) along with their covariances, are iteratively estimated with rapid convergence. Moreover, prior least squares (LS) estimation of the unknown transformation parameters is not required to start the iterations. We also show that the developed method can also be used to estimate the 2D similarity transformation parameters by simply treating the problem as a 3D transformation problem with zero (0) values assigned for the z-components of both target and source points. The efficiency of the new algorithm is presented with the numerical examples and comparisons with the results of the previous studies which use the same data set. Simulation experiments for the evaluation and comparison of the proposed and the conventional weighted LS (WLS) method is also presented.

Comparison of hemostatic matrix and standard hemostasis in patients undergoing primary TKA.

PubMed

Comadoll, James L; Comadoll, Shea; Hutchcraft, Audrey; Krishnan, Sangeeta; Farrell, Kelly; Kreuwel, Huub T C; Bechter, Mark

2012-06-01

Bleeding after total knee arthroplasty increases the risk of pain, delayed rehabilitation, blood transfusion, and transfusion-associated complications. The authors compared pre- and postoperative decreases in hemoglobin as a surrogate for blood loss in consecutive patients treated at a single institution by the same surgeon (J.L.C.) using conventional hemostatic methods (electrocautery, suturing, or manual compression) or a gelatin and thrombin-based hemostatic matrix during total knee arthroplasty. Data were collected retrospectively by chart review. The population comprised 165 controls and 184 patients treated with hemostatic matrix. Median age was 66 years (range, 28-89 years); 66% were women. The arithmetic mean ± SD for the maximal postoperative decrease in hemoglobin was 3.18 ± 0.94 g/dL for controls and 2.19 ± 0.83 g/dL for the hemostatic matrix group. Least squares means estimates of the group difference (controls-hemostatic matrix) in the maximal decrease in hemoglobin was 0.96 g/dL (95% confidence interval, 0.77-1.14 mg/dL; P<.0001). Statistically significant covariate effects were observed for preoperative hemoglobin level (P<.0001) and body mass index (P=.0029). Transfusions were infrequent in both groups. The frequency of acceptable range of motion was high (control, 88%; hemostatic matrix, 84%). In both groups, overall mean tourniquet time was approximately 1 hour, and the most common length of stay was 3 to 5 days. No serious complications related to the hemostatic agent were observed. These data demonstrate that the use of a flowable hemostatic matrix results in less reduction in hemoglobin than the use of conventional hemostatic methods in patient undergoing total knee arthroplasty. Copyright 2012, SLACK Incorporated.

Simultaneous stochastic inversion for geomagnetic main field and secular variation. I - A large-scale inverse problem

NASA Technical Reports Server (NTRS)

Bloxham, Jeremy

1987-01-01

The method of stochastic inversion is extended to the simultaneous inversion of both main field and secular variation. In the present method, the time dependency is represented by an expansion in Legendre polynomials, resulting in a simple diagonal form for the a priori covariance matrix. The efficient preconditioned Broyden-Fletcher-Goldfarb-Shanno algorithm is used to solve the large system of equations resulting from expansion of the field spatially to spherical harmonic degree 14 and temporally to degree 8. Application of the method to observatory data spanning the 1900-1980 period results in a data fit of better than 30 nT, while providing temporally and spatially smoothly varying models of the magnetic field at the core-mantle boundary.

Prediction of fatigue-related driver performance from EEG data by deep Riemannian model.

PubMed

Hajinoroozi, Mehdi; Jianqiu Zhang; Yufei Huang

2017-07-01

Prediction of the drivers' drowsy and alert states is important for safety purposes. The prediction of drivers' drowsy and alert states from electroencephalography (EEG) using shallow and deep Riemannian methods is presented. For shallow Riemannian methods, the minimum distance to Riemannian mean (mdm) and Log-Euclidian metric are investigated, where it is shown that Log-Euclidian metric outperforms the mdm algorithm. In addition the SPDNet, a deep Riemannian model, that takes the EEG covariance matrix as the input is investigated. It is shown that SPDNet outperforms all tested shallow and deep classification methods. Performance of SPDNet is 6.02% and 2.86% higher than the best performance by the conventional Euclidian classifiers and shallow Riemannian models, respectively.

Methods and Issues for the Combined Use of Integral Experiments and Covariance Data: Results of a NEA International Collaborative Study

DOE Office of Scientific and Technical Information (OSTI.GOV)

Palmiotti, Giuseppe; Salvatores, Massimo

2014-04-01

The Working Party on International Nuclear Data Evaluation Cooperation (WPEC) of the Nuclear Science Committee under the Nuclear Energy Agency (NEA/OECD) established a Subgroup (called “Subgroup 33”) in 2009 on “Methods and issues for the combined use of integral experiments and covariance data.” The first stage was devoted to producing the description of different adjustment methodologies and assessing their merits. A detailed document related to this first stage has been issued. Nine leading organizations (often with a long and recognized expertise in the field) have contributed: ANL, CEA, INL, IPPE, JAEA, JSI, NRG, IRSN and ORNL. In the second stagemore » a practical benchmark exercise was defined in order to test the reliability of the nuclear data adjustment methodology. A comparison of the results obtained by the participants and major lessons learned in the exercise are discussed in the present paper that summarizes individual contributions which often include several original developments not reported separately. The paper provides the analysis of the most important results of the adjustment of the main nuclear data of 11 major isotopes in a 33-group energy structure. This benchmark exercise was based on a set of 20 well defined integral parameters from 7 fast assembly experiments. The exercise showed that using a common shared set of integral experiments but different starting evaluated libraries and/or different covariance matrices, there is a good convergence of trends for adjustments. Moreover, a significant reduction of the original uncertainties is often observed. Using the a–posteriori covariance data, there is a strong reduction of the uncertainties of integral parameters for reference reactor designs, mainly due to the new correlations in the a–posteriori covariance matrix. Furthermore, criteria have been proposed and applied to verify the consistency of differential and integral data used in the adjustment. Finally, recommendations are given for an appropriate use of sensitivity analysis methods and indications for future work are provided.« less

Statistics for characterizing data on the periphery

DOE Office of Scientific and Technical Information (OSTI.GOV)

Theiler, James P; Hush, Donald R

2010-01-01

We introduce a class of statistics for characterizing the periphery of a distribution, and show that these statistics are particularly valuable for problems in target detection. Because so many detection algorithms are rooted in Gaussian statistics, we concentrate on ellipsoidal models of high-dimensional data distributions (that is to say: covariance matrices), but we recommend several alternatives to the sample covariance matrix that more efficiently model the periphery of a distribution, and can more effectively detect anomalous data samples.

On the analysis of very small samples of Gaussian repeated measurements: an alternative approach.

PubMed

Westgate, Philip M; Burchett, Woodrow W

2017-03-15

The analysis of very small samples of Gaussian repeated measurements can be challenging. First, due to a very small number of independent subjects contributing outcomes over time, statistical power can be quite small. Second, nuisance covariance parameters must be appropriately accounted for in the analysis in order to maintain the nominal test size. However, available statistical strategies that ensure valid statistical inference may lack power, whereas more powerful methods may have the potential for inflated test sizes. Therefore, we explore an alternative approach to the analysis of very small samples of Gaussian repeated measurements, with the goal of maintaining valid inference while also improving statistical power relative to other valid methods. This approach uses generalized estimating equations with a bias-corrected empirical covariance matrix that accounts for all small-sample aspects of nuisance correlation parameter estimation in order to maintain valid inference. Furthermore, the approach utilizes correlation selection strategies with the goal of choosing the working structure that will result in the greatest power. In our study, we show that when accurate modeling of the nuisance correlation structure impacts the efficiency of regression parameter estimation, this method can improve power relative to existing methods that yield valid inference. Copyright © 2017 John Wiley & Sons, Ltd. Copyright © 2017 John Wiley & Sons, Ltd.

Covariate adjustment of event histories estimated from Markov chains: the additive approach.

PubMed

Aalen, O O; Borgan, O; Fekjaer, H

2001-12-01

Markov chain models are frequently used for studying event histories that include transitions between several states. An empirical transition matrix for nonhomogeneous Markov chains has previously been developed, including a detailed statistical theory based on counting processes and martingales. In this article, we show how to estimate transition probabilities dependent on covariates. This technique may, e.g., be used for making estimates of individual prognosis in epidemiological or clinical studies. The covariates are included through nonparametric additive models on the transition intensities of the Markov chain. The additive model allows for estimation of covariate-dependent transition intensities, and again a detailed theory exists based on counting processes. The martingale setting now allows for a very natural combination of the empirical transition matrix and the additive model, resulting in estimates that can be expressed as stochastic integrals, and hence their properties are easily evaluated. Two medical examples will be given. In the first example, we study how the lung cancer mortality of uranium miners depends on smoking and radon exposure. In the second example, we study how the probability of being in response depends on patient group and prophylactic treatment for leukemia patients who have had a bone marrow transplantation. A program in R and S-PLUS that can carry out the analyses described here has been developed and is freely available on the Internet.

First Year Wilkinson Microwave Anisotropy Probe(WMAP) Observations: Data Processing Methods and Systematic Errors Limits

NASA Technical Reports Server (NTRS)

Hinshaw, G.; Barnes, C.; Bennett, C. L.; Greason, M. R.; Halpern, M.; Hill, R. S.; Jarosik, N.; Kogut, A.; Limon, M.; Meyer, S. S.

2003-01-01

We describe the calibration and data processing methods used to generate full-sky maps of the cosmic microwave background (CMB) from the first year of Wilkinson Microwave Anisotropy Probe (WMAP) observations. Detailed limits on residual systematic errors are assigned based largely on analyses of the flight data supplemented, where necessary, with results from ground tests. The data are calibrated in flight using the dipole modulation of the CMB due to the observatory's motion around the Sun. This constitutes a full-beam calibration source. An iterative algorithm simultaneously fits the time-ordered data to obtain calibration parameters and pixelized sky map temperatures. The noise properties are determined by analyzing the time-ordered data with this sky signal estimate subtracted. Based on this, we apply a pre-whitening filter to the time-ordered data to remove a low level of l/f noise. We infer and correct for a small (approx. 1 %) transmission imbalance between the two sky inputs to each differential radiometer, and we subtract a small sidelobe correction from the 23 GHz (K band) map prior to further analysis. No other systematic error corrections are applied to the data. Calibration and baseline artifacts, including the response to environmental perturbations, are negligible. Systematic uncertainties are comparable to statistical uncertainties in the characterization of the beam response. Both are accounted for in the covariance matrix of the window function and are propagated to uncertainties in the final power spectrum. We characterize the combined upper limits to residual systematic uncertainties through the pixel covariance matrix.

Optimal Design for the Precise Estimation of an Interaction Threshold: The Impact of Exposure to a Mixture of 18 Polyhalogenated Aromatic Hydrocarbons

PubMed Central

Yeatts, Sharon D.; Gennings, Chris; Crofton, Kevin M.

2014-01-01

Traditional additivity models provide little flexibility in modeling the dose–response relationships of the single agents in a mixture. While the flexible single chemical required (FSCR) methods allow greater flexibility, its implicit nature is an obstacle in the formation of the parameter covariance matrix, which forms the basis for many statistical optimality design criteria. The goal of this effort is to develop a method for constructing the parameter covariance matrix for the FSCR models, so that (local) alphabetic optimality criteria can be applied. Data from Crofton et al. are provided as motivation; in an experiment designed to determine the effect of 18 polyhalogenated aromatic hydrocarbons on serum total thyroxine (T4), the interaction among the chemicals was statistically significant. Gennings et al. fit the FSCR interaction threshold model to the data. The resulting estimate of the interaction threshold was positive and within the observed dose region, providing evidence of a dose-dependent interaction. However, the corresponding likelihood-ratio-based confidence interval was wide and included zero. In order to more precisely estimate the location of the interaction threshold, supplemental data are required. Using the available data as the first stage, the Ds-optimal second-stage design criterion was applied to minimize the variance of the hypothesized interaction threshold. Practical concerns associated with the resulting design are discussed and addressed using the penalized optimality criterion. Results demonstrate that the penalized Ds-optimal second-stage design can be used to more precisely define the interaction threshold while maintaining the characteristics deemed important in practice. PMID:22640366

Bayesian design criteria: computation, comparison, and application to a pharmacokinetic and a pharmacodynamic model.

PubMed

Merlé, Y; Mentré, F

1995-02-01

In this paper 3 criteria to design experiments for Bayesian estimation of the parameters of nonlinear models with respect to their parameters, when a prior distribution is available, are presented: the determinant of the Bayesian information matrix, the determinant of the pre-posterior covariance matrix, and the expected information provided by an experiment. A procedure to simplify the computation of these criteria is proposed in the case of continuous prior distributions and is compared with the criterion obtained from a linearization of the model about the mean of the prior distribution for the parameters. This procedure is applied to two models commonly encountered in the area of pharmacokinetics and pharmacodynamics: the one-compartment open model with bolus intravenous single-dose injection and the Emax model. They both involve two parameters. Additive as well as multiplicative gaussian measurement errors are considered with normal prior distributions. Various combinations of the variances of the prior distribution and of the measurement error are studied. Our attention is restricted to designs with limited numbers of measurements (1 or 2 measurements). This situation often occurs in practice when Bayesian estimation is performed. The optimal Bayesian designs that result vary with the variances of the parameter distribution and with the measurement error. The two-point optimal designs sometimes differ from the D-optimal designs for the mean of the prior distribution and may consist of replicating measurements. For the studied cases, the determinant of the Bayesian information matrix and its linearized form lead to the same optimal designs. In some cases, the pre-posterior covariance matrix can be far from its lower bound, namely, the inverse of the Bayesian information matrix, especially for the Emax model and a multiplicative measurement error. The expected information provided by the experiment and the determinant of the pre-posterior covariance matrix generally lead to the same designs except for the Emax model and the multiplicative measurement error. Results show that these criteria can be easily computed and that they could be incorporated in modules for designing experiments.

Formulas for Image Factor Scores

ERIC Educational Resources Information Center

Hakstian, A. Ralph

1973-01-01

Formulas are presented in this paper for computing scores associated with factors of G, the image covariance matrix, under three conditions. The subject of the paper is restricted to "pure" image analysis. (Author/NE)

On the Use of the Log-Normal Particle Size Distribution to Characterize Global Rain

NASA Technical Reports Server (NTRS)

Meneghini, Robert; Rincon, Rafael; Liao, Liang

2003-01-01

Although most parameterizations of the drop size distributions (DSD) use the gamma function, there are several advantages to the log-normal form, particularly if we want to characterize the large scale space-time variability of the DSD and rain rate. The advantages of the distribution are twofold: the logarithm of any moment can be expressed as a linear combination of the individual parameters of the distribution; the parameters of the distribution are approximately normally distributed. Since all radar and rainfall-related parameters can be written approximately as a moment of the DSD, the first property allows us to express the logarithm of any radar/rainfall variable as a linear combination of the individual DSD parameters. Another consequence is that any power law relationship between rain rate, reflectivity factor, specific attenuation or water content can be expressed in terms of the covariance matrix of the DSD parameters. The joint-normal property of the DSD parameters has applications to the description of the space-time variation of rainfall in the sense that any radar-rainfall quantity can be specified by the covariance matrix associated with the DSD parameters at two arbitrary space-time points. As such, the parameterization provides a means by which we can use the spaceborne radar-derived DSD parameters to specify in part the covariance matrices globally. However, since satellite observations have coarse temporal sampling, the specification of the temporal covariance must be derived from ancillary measurements and models. Work is presently underway to determine whether the use of instantaneous rain rate data from the TRMM Precipitation Radar can provide good estimates of the spatial correlation in rain rate from data collected in 5(sup 0)x 5(sup 0) x 1 month space-time boxes. To characterize the temporal characteristics of the DSD parameters, disdrometer data are being used from the Wallops Flight Facility site where as many as 4 disdrometers have been used to acquire data over a 2 km path. These data should help quantify the temporal form of the covariance matrix at this site.

Analysis of Interferometric Synthetic Aperture Radar Phase Data at Brady Hot Springs, Nevada, USA Using Prior Information

NASA Astrophysics Data System (ADS)

Reinisch, E. C.; Ali, S. T.; Cardiff, M. A.; Morency, C.; Kreemer, C.; Feigl, K. L.; Team, P.

2016-12-01

Time-dependent deformation has been observed at Brady Hot Springs using interferometric synthetic aperture radar (InSAR) [Ali et al. 2016, http://dx.doi.org/10.1016/j.geothermics.2016.01.008]. Our goal is to evaluate multiple competing hypotheses to explain the observed deformation at Brady. To do so requires statistical tests that account for uncertainty. Graph theory is useful for such an analysis of InSAR data [Reinisch, et al. 2016, http://dx.doi.org/10.1007/s00190-016-0934-5]. In particular, the normalized edge Laplacian matrix calculated from the edge-vertex incidence matrix of the graph of the pair-wise data set represents its correlation and leads to a full data covariance matrix in the weighted least squares problem. This formulation also leads to the covariance matrix of the epoch-wise measurements, representing their relative uncertainties. While the formulation in terms of incidence graphs applies to any quantity derived from pair-wise differences, the modulo-2π ambiguity of wrapped phase renders the problem non-linear. The conventional practice is to unwrap InSAR phase before modeling, which can introduce mistakes without increasing the corresponding measurement uncertainty. To address this issue, we are applying Bayesian inference. To build the likelihood, we use three different observables: (a) wrapped phase [e.g., Feigl and Thurber 2009, http://dx.doi.org/10.1111/j.1365-246X.2008.03881.x]; (b) range gradients, as defined by Ali and Feigl [2012, http://dx.doi.org/10.1029/2012GC004112]; and (c) unwrapped phase, i.e. range change in mm, which we validate using GPS data. We apply our method to InSAR data taken over Brady Hot Springs geothermal field in Nevada as part of a project entitled "Poroelastic Tomography by Adjoint Inverse Modeling of Data from Seismology, Geodesy, and Hydrology" (PoroTomo) [ http://geoscience.wisc.edu/feigl/porotomo].

A comparative study of covariance selection models for the inference of gene regulatory networks.

PubMed

Stifanelli, Patrizia F; Creanza, Teresa M; Anglani, Roberto; Liuzzi, Vania C; Mukherjee, Sayan; Schena, Francesco P; Ancona, Nicola

2013-10-01

The inference, or 'reverse-engineering', of gene regulatory networks from expression data and the description of the complex dependency structures among genes are open issues in modern molecular biology. In this paper we compared three regularized methods of covariance selection for the inference of gene regulatory networks, developed to circumvent the problems raising when the number of observations n is smaller than the number of genes p. The examined approaches provided three alternative estimates of the inverse covariance matrix: (a) the 'PINV' method is based on the Moore-Penrose pseudoinverse, (b) the 'RCM' method performs correlation between regression residuals and (c) 'ℓ(2C)' method maximizes a properly regularized log-likelihood function. Our extensive simulation studies showed that ℓ(2C) outperformed the other two methods having the most predictive partial correlation estimates and the highest values of sensitivity to infer conditional dependencies between genes even when a few number of observations was available. The application of this method for inferring gene networks of the isoprenoid biosynthesis pathways in Arabidopsis thaliana allowed to enlighten a negative partial correlation coefficient between the two hubs in the two isoprenoid pathways and, more importantly, provided an evidence of cross-talk between genes in the plastidial and the cytosolic pathways. When applied to gene expression data relative to a signature of HRAS oncogene in human cell cultures, the method revealed 9 genes (p-value<0.0005) directly interacting with HRAS, sharing the same Ras-responsive binding site for the transcription factor RREB1. This result suggests that the transcriptional activation of these genes is mediated by a common transcription factor downstream of Ras signaling. Software implementing the methods in the form of Matlab scripts are available at: http://users.ba.cnr.it/issia/iesina18/CovSelModelsCodes.zip. Copyright © 2013 The Authors. Published by Elsevier Inc. All rights reserved.

Quantum entropy and special relativity.

PubMed

Peres, Asher; Scudo, Petra F; Terno, Daniel R

2002-06-10

We consider a single free spin- 1 / 2 particle. The reduced density matrix for its spin is not covariant under Lorentz transformations. The spin entropy is not a relativistic scalar and has no invariant meaning.

Kalman Filter Estimation of Spinning Spacecraft Attitude using Markley Variables

NASA Technical Reports Server (NTRS)

Sedlak, Joseph E.; Harman, Richard

2004-01-01

There are several different ways to represent spacecraft attitude and its time rate of change. For spinning or momentum-biased spacecraft, one particular representation has been put forward as a superior parameterization for numerical integration. Markley has demonstrated that these new variables have fewer rapidly varying elements for spinning spacecraft than other commonly used representations and provide advantages when integrating the equations of motion. The current work demonstrates how a Kalman filter can be devised to estimate the attitude using these new variables. The seven Markley variables are subject to one constraint condition, making the error covariance matrix singular. The filter design presented here explicitly accounts for this constraint by using a six-component error state in the filter update step. The reduced dimension error state is unconstrained and its covariance matrix is nonsingular.

The Variability and Interpretation of Earthquake Source Mechanisms in The Geysers Geothermal Field From a Bayesian Standpoint Based on the Choice of a Noise Model

NASA Astrophysics Data System (ADS)

Mustać, Marija; Tkalčić, Hrvoje; Burky, Alexander L.

2018-01-01

Moment tensor (MT) inversion studies of events in The Geysers geothermal field mostly focused on microseismicity and found a large number of earthquakes with significant non-double-couple (non-DC) seismic radiation. Here we concentrate on the largest events in the area in recent years using a hierarchical Bayesian MT inversion. Initially, we show that the non-DC components of the MT can be reliably retrieved using regional waveform data from a small number of stations. Subsequently, we present results for a number of events and show that accounting for noise correlations can lead to retrieval of a lower isotropic (ISO) component and significantly different focal mechanisms. We compute the Bayesian evidence to compare solutions obtained with different assumptions of the noise covariance matrix. Although a diagonal covariance matrix produces a better waveform fit, inversions that account for noise correlations via an empirically estimated noise covariance matrix account for interdependences of data errors and are preferred from a Bayesian point of view. This implies that improper treatment of data noise in waveform inversions can result in fitting the noise and misinterpreting the non-DC components. Finally, one of the analyzed events is characterized as predominantly DC, while the others still have significant non-DC components, probably as a result of crack opening, which is a reasonable hypothesis for The Geysers geothermal field geological setting.

A seismic coherency method using spectral amplitudes

NASA Astrophysics Data System (ADS)

Sui, Jing-Kun; Zheng, Xiao-Dong; Li, Yan-Dong

2015-09-01

Seismic coherence is used to detect discontinuities in underground media. However, strata with steeply dipping structures often produce false low coherence estimates and thus incorrect discontinuity characterization results. It is important to eliminate or reduce the effect of dipping on coherence estimates. To solve this problem, time-domain dip scanning is typically used to improve estimation of coherence in areas with steeply dipping structures. However, the accuracy of the time-domain estimation of dip is limited by the sampling interval. In contrast, the spectrum amplitude is not affected by the time delays in adjacent seismic traces caused by dipping structures. We propose a coherency algorithm that uses the spectral amplitudes of seismic traces within a predefined analysis window to construct the covariance matrix. The coherency estimates with the proposed algorithm is defined as the ratio between the dominant eigenvalue and the sum of all eigenvalues of the constructed covariance matrix. Thus, we eliminate the effect of dipping structures on coherency estimates. In addition, because different frequency bands of spectral amplitudes are used to estimate coherency, the proposed algorithm has multiscale features. Low frequencies are effective for characterizing large-scale faults, whereas high frequencies are better in characterizing small-scale faults. Application to synthetic and real seismic data show that the proposed algorithm can eliminate the effect of dip and produce better coherence estimates than conventional coherency algorithms in areas with steeply dipping structures.

Problems with small area surveys: lensing covariance of supernova distance measurements.

PubMed

Cooray, Asantha; Huterer, Dragan; Holz, Daniel E

2006-01-20

While luminosity distances from type Ia supernovae (SNe) are a powerful probe of cosmology, the accuracy with which these distances can be measured is limited by cosmic magnification due to gravitational lensing by the intervening large-scale structure. Spatial clustering of foreground mass leads to correlated errors in SNe distances. By including the full covariance matrix of SNe, we show that future wide-field surveys will remain largely unaffected by lensing correlations. However, "pencil beam" surveys, and those with narrow (but possibly long) fields of view, can be strongly affected. For a survey with 30 arcmin mean separation between SNe, lensing covariance leads to a approximately 45% increase in the expected errors in dark energy parameters.

Transmitting Information by Propagation in an Ocean Waveguide: Computation of Acoustic Field Capacity

DTIC Science & Technology

2015-06-17

progress, Eq. (4) is evaluated in terms of the differential entropy h. The integrals can be identified as differential entropy terms by expanding the log...all ran- dom vectors p with a given covariance matrix, the entropy of p is maximized when p is ZMCSCG since a normal distribution maximizes the... entropy over all distributions with the same covariance [9, 18], implying that this is the optimal distribution on s as well. In addition, of all the

A Covariance Modeling Approach to Adaptive Beamforming and Detection

DTIC Science & Technology

1991-07-30

to achieve the main results of this report. I would especially like to thank Dr. E. J. Kelly for the support he has given me during the past years . His...direction of propagation A,, 0 S, Figure 4. Plane wace propagating through array. The array steering vector d(, E) is d~w d d2 ... dN]T (10) with...the covariance matrix to form a matched-filter beamformer that adapts to the interference environment. This was one of the first papers to propose using

Genome-Wide Association Studies with a Genomic Relationship Matrix: A Case Study with Wheat and Arabidopsis

PubMed Central

Gianola, Daniel; Fariello, Maria I.; Naya, Hugo; Schön, Chris-Carolin

2016-01-01

Standard genome-wide association studies (GWAS) scan for relationships between each of p molecular markers and a continuously distributed target trait. Typically, a marker-based matrix of genomic similarities among individuals (G) is constructed, to account more properly for the covariance structure in the linear regression model used. We show that the generalized least-squares estimator of the regression of phenotype on one or on m markers is invariant with respect to whether or not the marker(s) tested is(are) used for building G, provided variance components are unaffected by exclusion of such marker(s) from G. The result is arrived at by using a matrix expression such that one can find many inverses of genomic relationship, or of phenotypic covariance matrices, stemming from removing markers tested as fixed, but carrying out a single inversion. When eigenvectors of the genomic relationship matrix are used as regressors with fixed regression coefficients, e.g., to account for population stratification, their removal from G does matter. Removal of eigenvectors from G can have a noticeable effect on estimates of genomic and residual variances, so caution is needed. Concepts were illustrated using genomic data on 599 wheat inbred lines, with grain yield as target trait, and on close to 200 Arabidopsis thaliana accessions. PMID:27520956

Extremality of Gaussian quantum states.

PubMed

Wolf, Michael M; Giedke, Geza; Cirac, J Ignacio

2006-03-03

We investigate Gaussian quantum states in view of their exceptional role within the space of all continuous variables states. A general method for deriving extremality results is provided and applied to entanglement measures, secret key distillation and the classical capacity of bosonic quantum channels. We prove that for every given covariance matrix the distillable secret key rate and the entanglement, if measured appropriately, are minimized by Gaussian states. This result leads to a clearer picture of the validity of frequently made Gaussian approximations. Moreover, it implies that Gaussian encodings are optimal for the transmission of classical information through bosonic channels, if the capacity is additive.

Exact solution of matricial Φ23 quantum field theory

NASA Astrophysics Data System (ADS)

Grosse, Harald; Sako, Akifumi; Wulkenhaar, Raimar

2017-12-01

We apply a recently developed method to exactly solve the Φ3 matrix model with covariance of a two-dimensional theory, also known as regularised Kontsevich model. Its correlation functions collectively describe graphs on a multi-punctured 2-sphere. We show how Ward-Takahashi identities and Schwinger-Dyson equations lead in a special large- N limit to integral equations that we solve exactly for all correlation functions. The solved model arises from noncommutative field theory in a special limit of strong deformation parameter. The limit defines ordinary 2D Schwinger functions which, however, do not satisfy reflection positivity.

The choice of prior distribution for a covariance matrix in multivariate meta-analysis: a simulation study.

PubMed

Hurtado Rúa, Sandra M; Mazumdar, Madhu; Strawderman, Robert L

2015-12-30

Bayesian meta-analysis is an increasingly important component of clinical research, with multivariate meta-analysis a promising tool for studies with multiple endpoints. Model assumptions, including the choice of priors, are crucial aspects of multivariate Bayesian meta-analysis (MBMA) models. In a given model, two different prior distributions can lead to different inferences about a particular parameter. A simulation study was performed in which the impact of families of prior distributions for the covariance matrix of a multivariate normal random effects MBMA model was analyzed. Inferences about effect sizes were not particularly sensitive to prior choice, but the related covariance estimates were. A few families of prior distributions with small relative biases, tight mean squared errors, and close to nominal coverage for the effect size estimates were identified. Our results demonstrate the need for sensitivity analysis and suggest some guidelines for choosing prior distributions in this class of problems. The MBMA models proposed here are illustrated in a small meta-analysis example from the periodontal field and a medium meta-analysis from the study of stroke. Copyright © 2015 John Wiley & Sons, Ltd. Copyright © 2015 John Wiley & Sons, Ltd.

The Effects Of Dental Anxiety And Irregular Attendance On Referral For Dental Treatment Under Sedation Within The National Health Service In London

PubMed Central

Milgrom, Peter; Newton, J. T.; Boyle, Carole; Heaton, Lisa J.; Donaldson, Nora

2010-01-01

Objective To investigate whether the relationship between dental anxiety and referral for treatment under sedation is explained by attendance patterns and oral health. Methods Structural Equation Modeling was used on the covariance matrix of the covariates to test hypothesized inter-relationships. Subsequently, we modeled the probability of referral for treatment under sedation with a multiple logistic regression taking into account inter-relationships between the independent variables. Results A direct significant association of referral with dental anxiety and attendance patterns was detected but not with oral health status. However, oral health and anxiety were highly correlated. Also signaled were correlations between age and education and between gender and bad past experience. Conclusion Referral for treatment under sedation appears to be motivated by both fear and irregular patterns of attendance. Coupled with behavioral treatments to address dental fear and attendance, sedation can part of comprehensive care where curative treatments are long or unpleasant for patients. PMID:20545723

Constructing statistically unbiased cortical surface templates using feature-space covariance

NASA Astrophysics Data System (ADS)

Parvathaneni, Prasanna; Lyu, Ilwoo; Huo, Yuankai; Blaber, Justin; Hainline, Allison E.; Kang, Hakmook; Woodward, Neil D.; Landman, Bennett A.

2018-03-01

The choice of surface template plays an important role in cross-sectional subject analyses involving cortical brain surfaces because there is a tendency toward registration bias given variations in inter-individual and inter-group sulcal and gyral patterns. In order to account for the bias and spatial smoothing, we propose a feature-based unbiased average template surface. In contrast to prior approaches, we factor in the sample population covariance and assign weights based on feature information to minimize the influence of covariance in the sampled population. The mean surface is computed by applying the weights obtained from an inverse covariance matrix, which guarantees that multiple representations from similar groups (e.g., involving imaging, demographic, diagnosis information) are down-weighted to yield an unbiased mean in feature space. Results are validated by applying this approach in two different applications. For evaluation, the proposed unbiased weighted surface mean is compared with un-weighted means both qualitatively and quantitatively (mean squared error and absolute relative distance of both the means with baseline). In first application, we validated the stability of the proposed optimal mean on a scan-rescan reproducibility dataset by incrementally adding duplicate subjects. In the second application, we used clinical research data to evaluate the difference between the weighted and unweighted mean when different number of subjects were included in control versus schizophrenia groups. In both cases, the proposed method achieved greater stability that indicated reduced impacts of sampling bias. The weighted mean is built based on covariance information in feature space as opposed to spatial location, thus making this a generic approach to be applicable to any feature of interest.

lme4qtl: linear mixed models with flexible covariance structure for genetic studies of related individuals.

PubMed

Ziyatdinov, Andrey; Vázquez-Santiago, Miquel; Brunel, Helena; Martinez-Perez, Angel; Aschard, Hugues; Soria, Jose Manuel

2018-02-27

Quantitative trait locus (QTL) mapping in genetic data often involves analysis of correlated observations, which need to be accounted for to avoid false association signals. This is commonly performed by modeling such correlations as random effects in linear mixed models (LMMs). The R package lme4 is a well-established tool that implements major LMM features using sparse matrix methods; however, it is not fully adapted for QTL mapping association and linkage studies. In particular, two LMM features are lacking in the base version of lme4: the definition of random effects by custom covariance matrices; and parameter constraints, which are essential in advanced QTL models. Apart from applications in linkage studies of related individuals, such functionalities are of high interest for association studies in situations where multiple covariance matrices need to be modeled, a scenario not covered by many genome-wide association study (GWAS) software. To address the aforementioned limitations, we developed a new R package lme4qtl as an extension of lme4. First, lme4qtl contributes new models for genetic studies within a single tool integrated with lme4 and its companion packages. Second, lme4qtl offers a flexible framework for scenarios with multiple levels of relatedness and becomes efficient when covariance matrices are sparse. We showed the value of our package using real family-based data in the Genetic Analysis of Idiopathic Thrombophilia 2 (GAIT2) project. Our software lme4qtl enables QTL mapping models with a versatile structure of random effects and efficient computation for sparse covariances. lme4qtl is available at https://github.com/variani/lme4qtl .

Accuracy of whole-genome prediction using a genetic architecture-enhanced variance-covariance matrix.

PubMed

Zhang, Zhe; Erbe, Malena; He, Jinlong; Ober, Ulrike; Gao, Ning; Zhang, Hao; Simianer, Henner; Li, Jiaqi

2015-02-09

Obtaining accurate predictions of unobserved genetic or phenotypic values for complex traits in animal, plant, and human populations is possible through whole-genome prediction (WGP), a combined analysis of genotypic and phenotypic data. Because the underlying genetic architecture of the trait of interest is an important factor affecting model selection, we propose a new strategy, termed BLUP|GA (BLUP-given genetic architecture), which can use genetic architecture information within the dataset at hand rather than from public sources. This is achieved by using a trait-specific covariance matrix ( T: ), which is a weighted sum of a genetic architecture part ( S: matrix) and the realized relationship matrix ( G: ). The algorithm of BLUP|GA (BLUP-given genetic architecture) is provided and illustrated with real and simulated datasets. Predictive ability of BLUP|GA was validated with three model traits in a dairy cattle dataset and 11 traits in three public datasets with a variety of genetic architectures and compared with GBLUP and other approaches. Results show that BLUP|GA outperformed GBLUP in 20 of 21 scenarios in the dairy cattle dataset and outperformed GBLUP, BayesA, and BayesB in 12 of 13 traits in the analyzed public datasets. Further analyses showed that the difference of accuracies for BLUP|GA and GBLUP significantly correlate with the distance between the T: and G: matrices. The new strategy applied in BLUP|GA is a favorable and flexible alternative to the standard GBLUP model, allowing to account for the genetic architecture of the quantitative trait under consideration when necessary. This feature is mainly due to the increased similarity between the trait-specific relationship matrix ( T: matrix) and the genetic relationship matrix at unobserved causal loci. Applying BLUP|GA in WGP would ease the burden of model selection. Copyright © 2015 Zhang et al.

Measuring attitude with a gradiometer

NASA Technical Reports Server (NTRS)

Sonnabend, David; Gardner, Thomas G.

1994-01-01

This paper explores using a gravity gradiometer to measure the attitude of a satellite, given that the gravity field is accurately known. Since gradiometers actually measure a combination of the gradient and attitude rate and acceleration terms, the answer is far from obvious. The paper demonstrates that it can be done and at microradian accuracy. The technique employed is dynamic estimation, based on the momentum biased Euler equations. The satellite is assumed nominally planet pointed, and subject to control, gravity gradient, and partly radom drag torques. The attitude estimator is unusual. While the standard method of feeding back measurement residuals is used, the feedback gain matrix isn't derived from Kalman theory. instead, it's chosen to minimize a measure of the terminal covariance of the error in the estimate. This depends on the gain matrix and the power spectra of all the process and measurement noises. An integration is required over multiple solutions of Lyapunov equations.

Asymptotic Linear Spectral Statistics for Spiked Hermitian Random Matrices

NASA Astrophysics Data System (ADS)

Passemier, Damien; McKay, Matthew R.; Chen, Yang

2015-07-01

Using the Coulomb Fluid method, this paper derives central limit theorems (CLTs) for linear spectral statistics of three "spiked" Hermitian random matrix ensembles. These include Johnstone's spiked model (i.e., central Wishart with spiked correlation), non-central Wishart with rank-one non-centrality, and a related class of non-central matrices. For a generic linear statistic, we derive simple and explicit CLT expressions as the matrix dimensions grow large. For all three ensembles under consideration, we find that the primary effect of the spike is to introduce an correction term to the asymptotic mean of the linear spectral statistic, which we characterize with simple formulas. The utility of our proposed framework is demonstrated through application to three different linear statistics problems: the classical likelihood ratio test for a population covariance, the capacity analysis of multi-antenna wireless communication systems with a line-of-sight transmission path, and a classical multiple sample significance testing problem.

Realistic Covariance Prediction for the Earth Science Constellation

NASA Technical Reports Server (NTRS)

Duncan, Matthew; Long, Anne

2006-01-01

Routine satellite operations for the Earth Science Constellation (ESC) include collision risk assessment between members of the constellation and other orbiting space objects. One component of the risk assessment process is computing the collision probability between two space objects. The collision probability is computed using Monte Carlo techniques as well as by numerically integrating relative state probability density functions. Each algorithm takes as inputs state vector and state vector uncertainty information for both objects. The state vector uncertainty information is expressed in terms of a covariance matrix. The collision probability computation is only as good as the inputs. Therefore, to obtain a collision calculation that is a useful decision-making metric, realistic covariance matrices must be used as inputs to the calculation. This paper describes the process used by the NASA/Goddard Space Flight Center's Earth Science Mission Operations Project to generate realistic covariance predictions for three of the Earth Science Constellation satellites: Aqua, Aura and Terra.

Efficient geostatistical inversion of transient groundwater flow using preconditioned nonlinear conjugate gradients

NASA Astrophysics Data System (ADS)

Klein, Ole; Cirpka, Olaf A.; Bastian, Peter; Ippisch, Olaf

2017-04-01

In the geostatistical inverse problem of subsurface hydrology, continuous hydraulic parameter fields, in most cases hydraulic conductivity, are estimated from measurements of dependent variables, such as hydraulic heads, under the assumption that the parameter fields are autocorrelated random space functions. Upon discretization, the continuous fields become large parameter vectors with O (104 -107) elements. While cokriging-like inversion methods have been shown to be efficient for highly resolved parameter fields when the number of measurements is small, they require the calculation of the sensitivity of each measurement with respect to all parameters, which may become prohibitive with large sets of measured data such as those arising from transient groundwater flow. We present a Preconditioned Conjugate Gradient method for the geostatistical inverse problem, in which a single adjoint equation needs to be solved to obtain the gradient of the objective function. Using the autocovariance matrix of the parameters as preconditioning matrix, expensive multiplications with its inverse can be avoided, and the number of iterations is significantly reduced. We use a randomized spectral decomposition of the posterior covariance matrix of the parameters to perform a linearized uncertainty quantification of the parameter estimate. The feasibility of the method is tested by virtual examples of head observations in steady-state and transient groundwater flow. These synthetic tests demonstrate that transient data can reduce both parameter uncertainty and time spent conducting experiments, while the presented methods are able to handle the resulting large number of measurements.

A Bayesian method for detecting pairwise associations in compositional data

PubMed Central

Ventz, Steffen; Huttenhower, Curtis

2017-01-01

Compositional data consist of vectors of proportions normalized to a constant sum from a basis of unobserved counts. The sum constraint makes inference on correlations between unconstrained features challenging due to the information loss from normalization. However, such correlations are of long-standing interest in fields including ecology. We propose a novel Bayesian framework (BAnOCC: Bayesian Analysis of Compositional Covariance) to estimate a sparse precision matrix through a LASSO prior. The resulting posterior, generated by MCMC sampling, allows uncertainty quantification of any function of the precision matrix, including the correlation matrix. We also use a first-order Taylor expansion to approximate the transformation from the unobserved counts to the composition in order to investigate what characteristics of the unobserved counts can make the correlations more or less difficult to infer. On simulated datasets, we show that BAnOCC infers the true network as well as previous methods while offering the advantage of posterior inference. Larger and more realistic simulated datasets further showed that BAnOCC performs well as measured by type I and type II error rates. Finally, we apply BAnOCC to a microbial ecology dataset from the Human Microbiome Project, which in addition to reproducing established ecological results revealed unique, competition-based roles for Proteobacteria in multiple distinct habitats. PMID:29140991

Automatic Trading Agent. RMT Based Portfolio Theory and Portfolio Selection

NASA Astrophysics Data System (ADS)

Snarska, M.; Krzych, J.

2006-11-01

Portfolio theory is a very powerful tool in the modern investment theory. It is helpful in estimating risk of an investor's portfolio, arosen from lack of information, uncertainty and incomplete knowledge of reality, which forbids a perfect prediction of future price changes. Despite of many advantages this tool is not known and not widely used among investors on Warsaw Stock Exchange. The main reason for abandoning this method is a high level of complexity and immense calculations. The aim of this paper is to introduce an automatic decision-making system, which allows a single investor to use complex methods of Modern Portfolio Theory (MPT). The key tool in MPT is an analysis of an empirical covariance matrix. This matrix, obtained from historical data, biased by such a high amount of statistical uncertainty, that it can be seen as random. By bringing into practice the ideas of Random Matrix Theory (RMT), the noise is removed or significantly reduced, so the future risk and return are better estimated and controlled. These concepts are applied to the Warsaw Stock Exchange Simulator {http://gra.onet.pl}. The result of the simulation is 18% level of gains in comparison with respective 10% loss of the Warsaw Stock Exchange main index WIG.

Survey geometry and the internal consistency of recent cosmic shear measurements

NASA Astrophysics Data System (ADS)

Troxel, M. A.; Krause, E.; Chang, C.; Eifler, T. F.; Friedrich, O.; Gruen, D.; MacCrann, N.; Chen, A.; Davis, C.; DeRose, J.; Dodelson, S.; Gatti, M.; Hoyle, B.; Huterer, D.; Jarvis, M.; Lacasa, F.; Lemos, P.; Peiris, H. V.; Prat, J.; Samuroff, S.; Sánchez, C.; Sheldon, E.; Vielzeuf, P.; Wang, M.; Zuntz, J.; Lahav, O.; Abdalla, F. B.; Allam, S.; Annis, J.; Avila, S.; Bertin, E.; Brooks, D.; Burke, D. L.; Rosell, A. Carnero; Kind, M. Carrasco; Carretero, J.; Crocce, M.; Cunha, C. E.; D'Andrea, C. B.; da Costa, L. N.; De Vicente, J.; Diehl, H. T.; Doel, P.; Evrard, A. E.; Flaugher, B.; Fosalba, P.; Frieman, J.; García-Bellido, J.; Gaztanaga, E.; Gerdes, D. W.; Gruendl, R. A.; Gschwend, J.; Gutierrez, G.; Hartley, W. G.; Hollowood, D. L.; Honscheid, K.; James, D. J.; Kirk, D.; Kuehn, K.; Kuropatkin, N.; Li, T. S.; Lima, M.; March, M.; Menanteau, F.; Miquel, R.; Mohr, J. J.; Ogando, R. L. C.; Plazas, A. A.; Roodman, A.; Sanchez, E.; Scarpine, V.; Schindler, R.; Sevilla-Noarbe, I.; Smith, M.; Soares-Santos, M.; Sobreira, F.; Suchyta, E.; Swanson, M. E. C.; Thomas, D.; Walker, A. R.; Wechsler, R. H.

2018-06-01

We explore the impact of an update to the typical approximation for the shape noise term in the analytic covariance matrix for cosmic shear experiments that assumes the absence of survey boundary and mask effects. We present an exact expression for the number of galaxy pairs in this term based on the survey mask, which leads to more than a factor of three increase in the shape noise on the largest measured scales for the Kilo-Degree Survey (KIDS-450) real-space cosmic shear data. We compare the result of this analytic expression to several alternative methods for measuring the shape noise from the data and find excellent agreement. This update to the covariance resolves any internal model tension evidenced by the previously large cosmological best-fit χ2 for the KiDS-450 cosmic shear data. The best-fit χ2 is reduced from 161 to 121 for 118 degrees of freedom. We also apply a correction to how the multiplicative shear calibration uncertainty is included in the covariance. This change shifts the inferred amplitude of the correlation function to higher values. We find that this improves agreement of the KiDS-450 cosmic shear results with Dark Energy Survey Year 1 and Planck results.

Reconstruction of the two-dimensional gravitational potential of galaxy clusters from X-ray and Sunyaev-Zel'dovich measurements

NASA Astrophysics Data System (ADS)

Tchernin, C.; Bartelmann, M.; Huber, K.; Dekel, A.; Hurier, G.; Majer, C. L.; Meyer, S.; Zinger, E.; Eckert, D.; Meneghetti, M.; Merten, J.

2018-06-01

Context. The mass of galaxy clusters is not a direct observable, nonetheless it is commonly used to probe cosmological models. Based on the combination of all main cluster observables, that is, the X-ray emission, the thermal Sunyaev-Zel'dovich (SZ) signal, the velocity dispersion of the cluster galaxies, and gravitational lensing, the gravitational potential of galaxy clusters can be jointly reconstructed. Aims: We derive the two main ingredients required for this joint reconstruction: the potentials individually reconstructed from the observables and their covariance matrices, which act as a weight in the joint reconstruction. We show here the method to derive these quantities. The result of the joint reconstruction applied to a real cluster will be discussed in a forthcoming paper. Methods: We apply the Richardson-Lucy deprojection algorithm to data on a two-dimensional (2D) grid. We first test the 2D deprojection algorithm on a β-profile. Assuming hydrostatic equilibrium, we further reconstruct the gravitational potential of a simulated galaxy cluster based on synthetic SZ and X-ray data. We then reconstruct the projected gravitational potential of the massive and dynamically active cluster Abell 2142, based on the X-ray observations collected with XMM-Newton and the SZ observations from the Planck satellite. Finally, we compute the covariance matrix of the projected reconstructed potential of the cluster Abell 2142 based on the X-ray measurements collected with XMM-Newton. Results: The gravitational potentials of the simulated cluster recovered from synthetic X-ray and SZ data are consistent, even though the potential reconstructed from X-rays shows larger deviations from the true potential. Regarding Abell 2142, the projected gravitational cluster potentials recovered from SZ and X-ray data reproduce well the projected potential inferred from gravitational-lensing observations. We also observe that the covariance matrix of the potential for Abell 2142 reconstructed from XMM-Newton data sensitively depends on the resolution of the deprojected grid and on the smoothing scale used in the deprojection. Conclusions: We show that the Richardson-Lucy deprojection method can be effectively applied on a grid and that the projected potential is well recovered from real and simulated data based on X-ray and SZ signal. The comparison between the reconstructed potentials from the different observables provides additional information on the validity of the assumptions as function of the projected radius.

Multi person detection and tracking based on hierarchical level-set method

NASA Astrophysics Data System (ADS)

Khraief, Chadia; Benzarti, Faouzi; Amiri, Hamid

2018-04-01

In this paper, we propose an efficient unsupervised method for mutli-person tracking based on hierarchical level-set approach. The proposed method uses both edge and region information in order to effectively detect objects. The persons are tracked on each frame of the sequence by minimizing an energy functional that combines color, texture and shape information. These features are enrolled in covariance matrix as region descriptor. The present method is fully automated without the need to manually specify the initial contour of Level-set. It is based on combined person detection and background subtraction methods. The edge-based is employed to maintain a stable evolution, guide the segmentation towards apparent boundaries and inhibit regions fusion. The computational cost of level-set is reduced by using narrow band technique. Many experimental results are performed on challenging video sequences and show the effectiveness of the proposed method.

Use of prior knowledge for the analysis of high-throughput transcriptomics and metabolomics data

PubMed Central

2014-01-01

Background High-throughput omics technologies have enabled the measurement of many genes or metabolites simultaneously. The resulting high dimensional experimental data poses significant challenges to transcriptomics and metabolomics data analysis methods, which may lead to spurious instead of biologically relevant results. One strategy to improve the results is the incorporation of prior biological knowledge in the analysis. This strategy is used to reduce the solution space and/or to focus the analysis on biological meaningful regions. In this article, we review a selection of these methods used in transcriptomics and metabolomics. We combine the reviewed methods in three groups based on the underlying mathematical model: exploratory methods, supervised methods and estimation of the covariance matrix. We discuss which prior knowledge has been used, how it is incorporated and how it modifies the mathematical properties of the underlying methods. PMID:25033193

Approximation-based common principal component for feature extraction in multi-class brain-computer interfaces.

PubMed

Hoang, Tuan; Tran, Dat; Huang, Xu

2013-01-01

Common Spatial Pattern (CSP) is a state-of-the-art method for feature extraction in Brain-Computer Interface (BCI) systems. However it is designed for 2-class BCI classification problems. Current extensions of this method to multiple classes based on subspace union and covariance matrix similarity do not provide a high performance. This paper presents a new approach to solving multi-class BCI classification problems by forming a subspace resembled from original subspaces and the proposed method for this approach is called Approximation-based Common Principal Component (ACPC). We perform experiments on Dataset 2a used in BCI Competition IV to evaluate the proposed method. This dataset was designed for motor imagery classification with 4 classes. Preliminary experiments show that the proposed ACPC feature extraction method when combining with Support Vector Machines outperforms CSP-based feature extraction methods on the experimental dataset.

"A space-time ensemble Kalman filter for state and parameter estimation of groundwater transport models"

NASA Astrophysics Data System (ADS)

Briseño, Jessica; Herrera, Graciela S.

2010-05-01

Herrera (1998) proposed a method for the optimal design of groundwater quality monitoring networks that involves space and time in a combined form. The method was applied later by Herrera et al (2001) and by Herrera and Pinder (2005). To get the estimates of the contaminant concentration being analyzed, this method uses a space-time ensemble Kalman filter, based on a stochastic flow and transport model. When the method is applied, it is important that the characteristics of the stochastic model be congruent with field data, but, in general, it is laborious to manually achieve a good match between them. For this reason, the main objective of this work is to extend the space-time ensemble Kalman filter proposed by Herrera, to estimate the hydraulic conductivity, together with hydraulic head and contaminant concentration, and its application in a synthetic example. The method has three steps: 1) Given the mean and the semivariogram of the natural logarithm of hydraulic conductivity (ln K), random realizations of this parameter are obtained through two alternatives: Gaussian simulation (SGSim) and Latin Hypercube Sampling method (LHC). 2) The stochastic model is used to produce hydraulic head (h) and contaminant (C) realizations, for each one of the conductivity realizations. With these realization the mean of ln K, h and C are obtained, for h and C, the mean is calculated in space and time, and also the cross covariance matrix h-ln K-C in space and time. The covariance matrix is obtained averaging products of the ln K, h and C realizations on the estimation points and times, and the positions and times with data of the analyzed variables. The estimation points are the positions at which estimates of ln K, h or C are gathered. In an analogous way, the estimation times are those at which estimates of any of the three variables are gathered. 3) Finally the ln K, h and C estimate are obtained using the space-time ensemble Kalman filter. The realization mean for each one of the variables is used as the prior space-time estimate for the Kalman filter, and the space-time cross-covariance matrix of h-ln K-C as the prior estimate-error covariance-matrix. The synthetic example has a modeling area of 700 x 700 square meters; a triangular mesh model with 702 nodes and 1306 elements is used. A pumping well located in the central part of the study area is considered. For the contaminant transport model, a contaminant source area is present in the western part of the study area. The estimation points for hydraulic conductivity, hydraulic head and contaminant concentrations are located on a submesh of the model mesh (same location for h, ln K and c), composed by 48 nodes spread throughout the study area, with an approximately separation of 90 meters between nodes. The results analysis was done through the mean error, root mean square error, initial and final estimation maps of h, ln K and C at each time, and the initial and final variance maps of h, ln K and C. To obtain model convergence, 3000 realizations of ln K were required using SGSim, and only 1000 with LHC. The results show that for both alternatives, the Kalman filter estimates for h, ln K and C using h and C data, have errors which magnitudes decrease as data is added. HERRERA, G. S.(1998), Cost Effective Groundwater Quality Sampling Network Design. Ph. D. thesis, University of Vermont, Burlington, Vermont, 172 pp. HERRERA G., GUARNACCIA J., PINDER G. Y SIMUTA R.(2001),"Diseño de redes de monitoreo de la calidad del agua subterránea eficientes", Proceedings of the 2001 International Symposium on Environmental Hydraulics, Arizona, U.S.A. HERRERA G. S. and PINDER G.F. (2005), Space-time optimization of groundwater quality sampling networks Water Resour. Res., Vol. 41, No. 12, W12407, 10.1029/2004WR003626.

Beyond Principal Component Analysis: A Trilinear Decomposition Model and Least Squares Estimation.

ERIC Educational Resources Information Center

Pham, Tuan Dinh; Mocks, Joachim

1992-01-01

Sufficient conditions are derived for the consistency and asymptotic normality of the least squares estimator of a trilinear decomposition model for multiway data analysis. The limiting covariance matrix is computed. (Author/SLD)

Time-Series INSAR: An Integer Least-Squares Approach For Distributed Scatterers

NASA Astrophysics Data System (ADS)

Samiei-Esfahany, Sami; Hanssen, Ramon F.

2012-01-01

The objective of this research is to extend the geode- tic mathematical model which was developed for persistent scatterers to a model which can exploit distributed scatterers (DS). The main focus is on the integer least- squares framework, and the main challenge is to include the decorrelation effect in the mathematical model. In order to adapt the integer least-squares mathematical model for DS we altered the model from a single master to a multi-master configuration and introduced the decorrelation effect stochastically. This effect is described in our model by a full covariance matrix. We propose to de- rive this covariance matrix by numerical integration of the (joint) probability distribution function (PDF) of interferometric phases. This PDF is a function of coherence values and can be directly computed from radar data. We show that the use of this model can improve the performance of temporal phase unwrapping of distributed scatterers.

Comment on ``Teleportation of two-mode squeezed states''

NASA Astrophysics Data System (ADS)

He, Guangqiang; Zhang, Jingtao

2011-10-01

We investigate the teleportation scheme of two-mode squeezed states proposed by Adhikari [S. Adhikari , Phys. Rev. APLRAAN1050-294710.1103/PhysRevA.77.012337 77, 012337 (2008)]. It uses four-mode entangled states to teleport two-mode squeezed states. The fidelity between the original two-mode squeezed states and teleported ones is calculated. The maximal fidelity value of Adhikari's protocol is 0.38, which is incompatible with the fidelity definition with the maximal value 1. In our opinion, one reason is that they calculate the fidelity for multimodes Gaussian states using the fidelity formula for single-mode ones. Another reason is that the covariance matrix of output states should be what is obtained after applying the linear unitary Bogoliubov operations (two cascaded Fourier transformations) on the covariance matrix given in Eq. (12) in their paper. These two reasons result in the incomparable results. In addition, Adhikari's protocol can be simplified to be easily implemented.

Comment on ''Teleportation of two-mode squeezed states''

DOE Office of Scientific and Technical Information (OSTI.GOV)

He Guangqiang; Zhang Jingtao

2011-10-15

We investigate the teleportation scheme of two-mode squeezed states proposed by Adhikari et al.[S. Adhikari et al., Phys. Rev. A 77, 012337 (2008)]. It uses four-mode entangled states to teleport two-mode squeezed states. The fidelity between the original two-mode squeezed states and teleported ones is calculated. The maximal fidelity value of Adhikari's protocol is 0.38, which is incompatible with the fidelity definition with the maximal value 1. In our opinion, one reason is that they calculate the fidelity for multimodes Gaussian states using the fidelity formula for single-mode ones. Another reason is that the covariance matrix of output states shouldmore » be what is obtained after applying the linear unitary Bogoliubov operations (two cascaded Fourier transformations) on the covariance matrix given in Eq. (12) in their paper. These two reasons result in the incomparable results. In addition, Adhikari's protocol can be simplified to be easily implemented.« less

Eigenvalue statistics for the sum of two complex Wishart matrices

NASA Astrophysics Data System (ADS)

Kumar, Santosh

2014-09-01

The sum of independent Wishart matrices, taken from distributions with unequal covariance matrices, plays a crucial role in multivariate statistics, and has applications in the fields of quantitative finance and telecommunication. However, analytical results concerning the corresponding eigenvalue statistics have remained unavailable, even for the sum of two Wishart matrices. This can be attributed to the complicated and rotationally noninvariant nature of the matrix distribution that makes extracting the information about eigenvalues a nontrivial task. Using a generalization of the Harish-Chandra-Itzykson-Zuber integral, we find exact solution to this problem for the complex Wishart case when one of the covariance matrices is proportional to the identity matrix, while the other is arbitrary. We derive exact and compact expressions for the joint probability density and marginal density of eigenvalues. The analytical results are compared with numerical simulations and we find perfect agreement.

An improved error assessment for the GEM-T1 gravitational model

NASA Technical Reports Server (NTRS)

Lerch, F. J.; Marsh, J. G.; Klosko, S. M.; Pavlis, E. C.; Patel, G. B.; Chinn, D. S.; Wagner, C. A.

1988-01-01

Several tests were designed to determine the correct error variances for the Goddard Earth Model (GEM)-T1 gravitational solution which was derived exclusively from satellite tracking data. The basic method employs both wholly independent and dependent subset data solutions and produces a full field coefficient estimate of the model uncertainties. The GEM-T1 errors were further analyzed using a method based upon eigenvalue-eigenvector analysis which calibrates the entire covariance matrix. Dependent satellite and independent altimetric and surface gravity data sets, as well as independent satellite deep resonance information, confirm essentially the same error assessment. These calibrations (utilizing each of the major data subsets within the solution) yield very stable calibration factors which vary by approximately 10 percent over the range of tests employed. Measurements of gravity anomalies obtained from altimetry were also used directly as observations to show that GEM-T1 is calibrated. The mathematical representation of the covariance error in the presence of unmodeled systematic error effects in the data is analyzed and an optimum weighting technique is developed for these conditions. This technique yields an internal self-calibration of the error model, a process which GEM-T1 is shown to approximate.

Commander and User Perceptions of the Army’s Intransit Visibility (ITV) Architecture

DTIC Science & Technology

2007-03-01

covariance matrix; (c) Bartlett’s test of Sphericity; and (d) Kaiser-Meyer- Olkin ( KMO ) measure of sampling adequacy. The inter-item correlation matrix...001), and all diagonal terms had a value of 1 while off-diagonal terms were 0. The KMO measure of sampling adequacy reflects the homogeneity...amongst the variables and serves as an index for comparing the magnitudes of correlation coefficients to partial correlation coefficients. KMO values at

Optimal trading strategies—a time series approach

NASA Astrophysics Data System (ADS)

Bebbington, Peter A.; Kühn, Reimer

2016-05-01

Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz’ mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to a single traded asset and allows an optimal trading strategy to be found which—for a given return—is minimally exposed to market price fluctuations. The model is initially investigated for a range of synthetic price processes, taken to be either second order stationary, or to exhibit second order stationary increments. Attention is paid to consequences of estimating auto-covariance matrices from small finite samples, and auto-covariance matrix cleaning strategies to mitigate against these are investigated. Finally we apply our framework to real world data.

Multi-population Genomic Relationships for Estimating Current Genetic Variances Within and Genetic Correlations Between Populations.

PubMed

Wientjes, Yvonne C J; Bijma, Piter; Vandenplas, Jérémie; Calus, Mario P L

2017-10-01

Different methods are available to calculate multi-population genomic relationship matrices. Since those matrices differ in base population, it is anticipated that the method used to calculate genomic relationships affects the estimate of genetic variances, covariances, and correlations. The aim of this article is to define the multi-population genomic relationship matrix to estimate current genetic variances within and genetic correlations between populations. The genomic relationship matrix containing two populations consists of four blocks, one block for population 1, one block for population 2, and two blocks for relationships between the populations. It is known, based on literature, that by using current allele frequencies to calculate genomic relationships within a population, current genetic variances are estimated. In this article, we theoretically derived the properties of the genomic relationship matrix to estimate genetic correlations between populations and validated it using simulations. When the scaling factor of across-population genomic relationships is equal to the product of the square roots of the scaling factors for within-population genomic relationships, the genetic correlation is estimated unbiasedly even though estimated genetic variances do not necessarily refer to the current population. When this property is not met, the correlation based on estimated variances should be multiplied by a correction factor based on the scaling factors. In this study, we present a genomic relationship matrix which directly estimates current genetic variances as well as genetic correlations between populations. Copyright © 2017 by the Genetics Society of America.

SMI adaptive antenna arrays for weak interfering signals. [Sample Matrix Inversion

NASA Technical Reports Server (NTRS)

Gupta, Inder J.

1986-01-01

The performance of adaptive antenna arrays in the presence of weak interfering signals (below thermal noise) is studied. It is shown that a conventional adaptive antenna array sample matrix inversion (SMI) algorithm is unable to suppress such interfering signals. To overcome this problem, the SMI algorithm is modified. In the modified algorithm, the covariance matrix is redefined such that the effect of thermal noise on the weights of adaptive arrays is reduced. Thus, the weights are dictated by relatively weak signals. It is shown that the modified algorithm provides the desired interference protection.

A Wavelet based Suboptimal Kalman Filter for Assimilation of Stratospheric Chemical Tracer Observations

NASA Technical Reports Server (NTRS)

Tangborn, Andrew; Auger, Ludovic

2003-01-01

A suboptimal Kalman filter system which evolves error covariances in terms of a truncated set of wavelet coefficients has been developed for the assimilation of chemical tracer observations of CH4. This scheme projects the discretized covariance propagation equations and covariance matrix onto an orthogonal set of compactly supported wavelets. Wavelet representation is localized in both location and scale, which allows for efficient representation of the inherently anisotropic structure of the error covariances. The truncation is carried out in such a way that the resolution of the error covariance is reduced only in the zonal direction, where gradients are smaller. Assimilation experiments which last 24 days, and used different degrees of truncation were carried out. These reduced the covariance size by 90, 97 and 99 % and the computational cost of covariance propagation by 80, 93 and 96 % respectively. The difference in both error covariance and the tracer field between the truncated and full systems over this period were found to be not growing in the first case, and growing relatively slowly in the later two cases. The largest errors in the tracer fields were found to occur in regions of largest zonal gradients in the constituent field. This results indicate that propagation of error covariances for a global two-dimensional data assimilation system are currently feasible. Recommendations for further reduction in computational cost are made with the goal of extending this technique to three-dimensional global assimilation systems.

Source localization in an ocean waveguide using supervised machine learning.

PubMed

Niu, Haiqiang; Reeves, Emma; Gerstoft, Peter

2017-09-01

Source localization in ocean acoustics is posed as a machine learning problem in which data-driven methods learn source ranges directly from observed acoustic data. The pressure received by a vertical linear array is preprocessed by constructing a normalized sample covariance matrix and used as the input for three machine learning methods: feed-forward neural networks (FNN), support vector machines (SVM), and random forests (RF). The range estimation problem is solved both as a classification problem and as a regression problem by these three machine learning algorithms. The results of range estimation for the Noise09 experiment are compared for FNN, SVM, RF, and conventional matched-field processing and demonstrate the potential of machine learning for underwater source localization.

Clustering high dimensional data using RIA

DOE Office of Scientific and Technical Information (OSTI.GOV)

Aziz, Nazrina

2015-05-15

Clustering may simply represent a convenient method for organizing a large data set so that it can easily be understood and information can efficiently be retrieved. However, identifying cluster in high dimensionality data sets is a difficult task because of the curse of dimensionality. Another challenge in clustering is some traditional functions cannot capture the pattern dissimilarity among objects. In this article, we used an alternative dissimilarity measurement called Robust Influence Angle (RIA) in the partitioning method. RIA is developed using eigenstructure of the covariance matrix and robust principal component score. We notice that, it can obtain cluster easily andmore » hence avoid the curse of dimensionality. It is also manage to cluster large data sets with mixed numeric and categorical value.« less

Generalized sidelobe canceller beamforming method for ultrasound imaging.

PubMed

Wang, Ping; Li, Na; Luo, Han-Wu; Zhu, Yong-Kun; Cui, Shi-Gang

2017-03-01

A modified generalized sidelobe canceller (IGSC) algorithm is proposed to enhance the resolution and robustness against the noise of the traditional generalized sidelobe canceller (GSC) and coherence factor combined method (GSC-CF). In the GSC algorithm, weighting vector is divided into adaptive and non-adaptive parts, while the non-adaptive part does not block all the desired signal. A modified steer vector of the IGSC algorithm is generated by the projection of the non-adaptive vector on the signal space constructed by the covariance matrix of received data. The blocking matrix is generated based on the orthogonal complementary space of the modified steer vector and the weighting vector is updated subsequently. The performance of IGSC was investigated by simulations and experiments. Through simulations, IGSC outperformed GSC-CF in terms of spatial resolution by 0.1 mm regardless there is noise or not, as well as the contrast ratio respect. The proposed IGSC can be further improved by combining with CF. The experimental results also validated the effectiveness of the proposed algorithm with dataset provided by the University of Michigan.

Recent Advances in Resonance Region Nuclear Data Measurements and Analyses for Supporting Nuclear Energy Applications

NASA Astrophysics Data System (ADS)

Dunn, Michael

2008-10-01

For over 30 years, the Oak Ridge National Laboratory (ORNL) has performed research and development to provide more accurate nuclear cross-section data in the resonance region. The ORNL Nuclear Data (ND) Program consists of four complementary areas of research: (1) cross-section measurements at the Oak Ridge Electron Linear Accelerator; (2) resonance analysis methods development with the SAMMY R-matrix analysis software; (3) cross-section evaluation development; and (4) cross-section processing methods development with the AMPX software system. The ND Program is tightly coupled with nuclear fuel cycle analyses and radiation transport methods development efforts at ORNL. Thus, nuclear data work is performed in concert with nuclear science and technology needs and requirements. Recent advances in each component of the ORNL ND Program have led to improvements in resonance region measurements, R-matrix analyses, cross-section evaluations, and processing capabilities that directly support radiation transport research and development. Of particular importance are the improvements in cross-section covariance data evaluation and processing capabilities. The benefit of these advances to nuclear science and technology research and development will be discussed during the symposium on Nuclear Physics Research Connections to Nuclear Energy.

Real-time Probabilistic Covariance Tracking with Efficient Model Update

DTIC Science & Technology

2012-05-01

NAME OF RESPONSIBLE PERSON a. REPORT unclassified b. ABSTRACT unclassified c . THIS PAGE unclassified Standard Form 298 (Rev. 8-98) Prescribed...feature points inside a given rectangular region R of F . The region R is represented by the d×d covariance matrix of the feature points C = 1 N − 1 N...i=1 (fi − µ)(fi − µ)T , where N is the number of pixels in the region R and µ is the mean of the feature points. The element (i, j) of C represents

Interpretation of the Precision Matrix and Its Application in Estimating Sparse Brain Connectivity during Sleep Spindles from Human Electrocorticography Recordings

PubMed Central

Das, Anup; Sampson, Aaron L.; Lainscsek, Claudia; Muller, Lyle; Lin, Wutu; Doyle, John C.; Cash, Sydney S.; Halgren, Eric; Sejnowski, Terrence J.

2017-01-01

The correlation method from brain imaging has been used to estimate functional connectivity in the human brain. However, brain regions might show very high correlation even when the two regions are not directly connected due to the strong interaction of the two regions with common input from a third region. One previously proposed solution to this problem is to use a sparse regularized inverse covariance matrix or precision matrix (SRPM) assuming that the connectivity structure is sparse. This method yields partial correlations to measure strong direct interactions between pairs of regions while simultaneously removing the influence of the rest of the regions, thus identifying regions that are conditionally independent. To test our methods, we first demonstrated conditions under which the SRPM method could indeed find the true physical connection between a pair of nodes for a spring-mass example and an RC circuit example. The recovery of the connectivity structure using the SRPM method can be explained by energy models using the Boltzmann distribution. We then demonstrated the application of the SRPM method for estimating brain connectivity during stage 2 sleep spindles from human electrocorticography (ECoG) recordings using an 8 × 8 electrode array. The ECoG recordings that we analyzed were from a 32-year-old male patient with long-standing pharmaco-resistant left temporal lobe complex partial epilepsy. Sleep spindles were automatically detected using delay differential analysis and then analyzed with SRPM and the Louvain method for community detection. We found spatially localized brain networks within and between neighboring cortical areas during spindles, in contrast to the case when sleep spindles were not present. PMID:28095202

Observability of satellite launcher navigation with INS, GPS, attitude sensors and reference trajectory

NASA Astrophysics Data System (ADS)

Beaudoin, Yanick; Desbiens, André; Gagnon, Eric; Landry, René

2018-01-01

The navigation system of a satellite launcher is of paramount importance. In order to correct the trajectory of the launcher, the position, velocity and attitude must be known with the best possible precision. In this paper, the observability of four navigation solutions is investigated. The first one is the INS/GPS couple. Then, attitude reference sensors, such as magnetometers, are added to the INS/GPS solution. The authors have already demonstrated that the reference trajectory could be used to improve the navigation performance. This approach is added to the two previously mentioned navigation systems. For each navigation solution, the observability is analyzed with different sensor error models. First, sensor biases are neglected. Then, sensor biases are modelled as random walks and as first order Markov processes. The observability is tested with the rank and condition number of the observability matrix, the time evolution of the covariance matrix and sensitivity to measurement outlier tests. The covariance matrix is exploited to evaluate the correlation between states in order to detect structural unobservability problems. Finally, when an unobservable subspace is detected, the result is verified with theoretical analysis of the navigation equations. The results show that evaluating only the observability of a model does not guarantee the ability of the aiding sensors to correct the INS estimates within the mission time. The analysis of the covariance matrix time evolution could be a powerful tool to detect this situation, however in some cases, the problem is only revealed with a sensitivity to measurement outlier test. None of the tested solutions provide GPS position bias observability. For the considered mission, the modelling of the sensor biases as random walks or Markov processes gives equivalent results. Relying on the reference trajectory can improve the precision of the roll estimates. But, in the context of a satellite launcher, the roll estimation error and gyroscope bias are only observable if attitude reference sensors are present.

Interspecific analysis of covariance structure in the masticatory apparatus of galagos.

PubMed

Vinyard, Christopher J

2007-01-01

The primate masticatory apparatus (MA) is a functionally integrated set of features, each of which performs important functions in biting, ingestive, and chewing behaviors. A comparison of morphological covariance structure among species for these MA features will help us to further understand the evolutionary history of this region. In this exploratory analysis, the covariance structure of the MA is compared across seven galago species to investigate 1) whether there are differences in covariance structure in this region, and 2) if so, how has this covariation changed with respect to size, MA form, diet, and/or phylogeny? Ten measurements of the MA functionally related to bite force production and load resistance were obtained from 218 adults of seven galago species. Correlation matrices were generated for these 10 dimensions and compared among species via matrix correlations and Mantel tests. Subsequently, pairwise covariance disparity in the MA was estimated as a measure of difference in covariance structure between species. Covariance disparity estimates were correlated with pairwise distances related to differences in body size, MA size and shape, genetic distance (based on cytochrome-b sequences) and percentage of dietary foods to determine whether one or more of these factors is linked to differences in covariance structure. Galagos differ in MA covariance structure. Body size appears to be a major factor correlated with differences in covariance structure among galagos. The largest galago species, Otolemur crassicaudatus, exhibits large differences in body mass and covariance structure relative to other galagos, and thus plays a primary role in creating this association. MA size and shape do not correlate with covariance structure when body mass is held constant. Diet also shows no association. Genetic distance is significantly negatively correlated with covariance disparity when body mass is held constant, but this correlation appears to be a function of the small body size and large genetic distance for Galagoides demidoff. These exploratory results indicate that changing body size may have been a key factor in the evolution of the galago MA.

Improved efficiency of maximum likelihood analysis of time series with temporally correlated errors

USGS Publications Warehouse

Langbein, John O.

2017-01-01

Most time series of geophysical phenomena have temporally correlated errors. From these measurements, various parameters are estimated. For instance, from geodetic measurements of positions, the rates and changes in rates are often estimated and are used to model tectonic processes. Along with the estimates of the size of the parameters, the error in these parameters needs to be assessed. If temporal correlations are not taken into account, or each observation is assumed to be independent, it is likely that any estimate of the error of these parameters will be too low and the estimated value of the parameter will be biased. Inclusion of better estimates of uncertainties is limited by several factors, including selection of the correct model for the background noise and the computational requirements to estimate the parameters of the selected noise model for cases where there are numerous observations. Here, I address the second problem of computational efficiency using maximum likelihood estimates (MLE). Most geophysical time series have background noise processes that can be represented as a combination of white and power-law noise, 1/fα">1/fα1/fα with frequency, f. With missing data, standard spectral techniques involving FFTs are not appropriate. Instead, time domain techniques involving construction and inversion of large data covariance matrices are employed. Bos et al. (J Geod, 2013. doi:10.1007/s00190-012-0605-0) demonstrate one technique that substantially increases the efficiency of the MLE methods, yet is only an approximate solution for power-law indices >1.0 since they require the data covariance matrix to be Toeplitz. That restriction can be removed by simply forming a data filter that adds noise processes rather than combining them in quadrature. Consequently, the inversion of the data covariance matrix is simplified yet provides robust results for a wider range of power-law indices.

A knowledge-based T2-statistic to perform pathway analysis for quantitative proteomic data

PubMed Central

Chen, Yi-Hau

2017-01-01

Approaches to identify significant pathways from high-throughput quantitative data have been developed in recent years. Still, the analysis of proteomic data stays difficult because of limited sample size. This limitation also leads to the practice of using a competitive null as common approach; which fundamentally implies genes or proteins as independent units. The independent assumption ignores the associations among biomolecules with similar functions or cellular localization, as well as the interactions among them manifested as changes in expression ratios. Consequently, these methods often underestimate the associations among biomolecules and cause false positives in practice. Some studies incorporate the sample covariance matrix into the calculation to address this issue. However, sample covariance may not be a precise estimation if the sample size is very limited, which is usually the case for the data produced by mass spectrometry. In this study, we introduce a multivariate test under a self-contained null to perform pathway analysis for quantitative proteomic data. The covariance matrix used in the test statistic is constructed by the confidence scores retrieved from the STRING database or the HitPredict database. We also design an integrating procedure to retain pathways of sufficient evidence as a pathway group. The performance of the proposed T2-statistic is demonstrated using five published experimental datasets: the T-cell activation, the cAMP/PKA signaling, the myoblast differentiation, and the effect of dasatinib on the BCR-ABL pathway are proteomic datasets produced by mass spectrometry; and the protective effect of myocilin via the MAPK signaling pathway is a gene expression dataset of limited sample size. Compared with other popular statistics, the proposed T2-statistic yields more accurate descriptions in agreement with the discussion of the original publication. We implemented the T2-statistic into an R package T2GA, which is available at https://github.com/roqe/T2GA. PMID:28622336

A knowledge-based T2-statistic to perform pathway analysis for quantitative proteomic data.

PubMed

Lai, En-Yu; Chen, Yi-Hau; Wu, Kun-Pin

2017-06-01

Approaches to identify significant pathways from high-throughput quantitative data have been developed in recent years. Still, the analysis of proteomic data stays difficult because of limited sample size. This limitation also leads to the practice of using a competitive null as common approach; which fundamentally implies genes or proteins as independent units. The independent assumption ignores the associations among biomolecules with similar functions or cellular localization, as well as the interactions among them manifested as changes in expression ratios. Consequently, these methods often underestimate the associations among biomolecules and cause false positives in practice. Some studies incorporate the sample covariance matrix into the calculation to address this issue. However, sample covariance may not be a precise estimation if the sample size is very limited, which is usually the case for the data produced by mass spectrometry. In this study, we introduce a multivariate test under a self-contained null to perform pathway analysis for quantitative proteomic data. The covariance matrix used in the test statistic is constructed by the confidence scores retrieved from the STRING database or the HitPredict database. We also design an integrating procedure to retain pathways of sufficient evidence as a pathway group. The performance of the proposed T2-statistic is demonstrated using five published experimental datasets: the T-cell activation, the cAMP/PKA signaling, the myoblast differentiation, and the effect of dasatinib on the BCR-ABL pathway are proteomic datasets produced by mass spectrometry; and the protective effect of myocilin via the MAPK signaling pathway is a gene expression dataset of limited sample size. Compared with other popular statistics, the proposed T2-statistic yields more accurate descriptions in agreement with the discussion of the original publication. We implemented the T2-statistic into an R package T2GA, which is available at https://github.com/roqe/T2GA.

Improved efficiency of maximum likelihood analysis of time series with temporally correlated errors

NASA Astrophysics Data System (ADS)

Langbein, John

2017-08-01

Most time series of geophysical phenomena have temporally correlated errors. From these measurements, various parameters are estimated. For instance, from geodetic measurements of positions, the rates and changes in rates are often estimated and are used to model tectonic processes. Along with the estimates of the size of the parameters, the error in these parameters needs to be assessed. If temporal correlations are not taken into account, or each observation is assumed to be independent, it is likely that any estimate of the error of these parameters will be too low and the estimated value of the parameter will be biased. Inclusion of better estimates of uncertainties is limited by several factors, including selection of the correct model for the background noise and the computational requirements to estimate the parameters of the selected noise model for cases where there are numerous observations. Here, I address the second problem of computational efficiency using maximum likelihood estimates (MLE). Most geophysical time series have background noise processes that can be represented as a combination of white and power-law noise, 1/f^{α } with frequency, f. With missing data, standard spectral techniques involving FFTs are not appropriate. Instead, time domain techniques involving construction and inversion of large data covariance matrices are employed. Bos et al. (J Geod, 2013. doi: 10.1007/s00190-012-0605-0) demonstrate one technique that substantially increases the efficiency of the MLE methods, yet is only an approximate solution for power-law indices >1.0 since they require the data covariance matrix to be Toeplitz. That restriction can be removed by simply forming a data filter that adds noise processes rather than combining them in quadrature. Consequently, the inversion of the data covariance matrix is simplified yet provides robust results for a wider range of power-law indices.

Sparse PCA with Oracle Property.

PubMed

Gu, Quanquan; Wang, Zhaoran; Liu, Han

In this paper, we study the estimation of the k -dimensional sparse principal subspace of covariance matrix Σ in the high-dimensional setting. We aim to recover the oracle principal subspace solution, i.e., the principal subspace estimator obtained assuming the true support is known a priori. To this end, we propose a family of estimators based on the semidefinite relaxation of sparse PCA with novel regularizations. In particular, under a weak assumption on the magnitude of the population projection matrix, one estimator within this family exactly recovers the true support with high probability, has exact rank- k , and attains a [Formula: see text] statistical rate of convergence with s being the subspace sparsity level and n the sample size. Compared to existing support recovery results for sparse PCA, our approach does not hinge on the spiked covariance model or the limited correlation condition. As a complement to the first estimator that enjoys the oracle property, we prove that, another estimator within the family achieves a sharper statistical rate of convergence than the standard semidefinite relaxation of sparse PCA, even when the previous assumption on the magnitude of the projection matrix is violated. We validate the theoretical results by numerical experiments on synthetic datasets.

Sparse PCA with Oracle Property

PubMed Central

Gu, Quanquan; Wang, Zhaoran; Liu, Han

2014-01-01

In this paper, we study the estimation of the k-dimensional sparse principal subspace of covariance matrix Σ in the high-dimensional setting. We aim to recover the oracle principal subspace solution, i.e., the principal subspace estimator obtained assuming the true support is known a priori. To this end, we propose a family of estimators based on the semidefinite relaxation of sparse PCA with novel regularizations. In particular, under a weak assumption on the magnitude of the population projection matrix, one estimator within this family exactly recovers the true support with high probability, has exact rank-k, and attains a s/n statistical rate of convergence with s being the subspace sparsity level and n the sample size. Compared to existing support recovery results for sparse PCA, our approach does not hinge on the spiked covariance model or the limited correlation condition. As a complement to the first estimator that enjoys the oracle property, we prove that, another estimator within the family achieves a sharper statistical rate of convergence than the standard semidefinite relaxation of sparse PCA, even when the previous assumption on the magnitude of the projection matrix is violated. We validate the theoretical results by numerical experiments on synthetic datasets. PMID:25684971

Quasiparticle random phase approximation uncertainties and their correlations in the analysis of 0{nu}{beta}{beta} decay

DOE Office of Scientific and Technical Information (OSTI.GOV)

Faessler, Amand; Rodin, V.; Fogli, G. L.

2009-03-01

The variances and covariances associated to the nuclear matrix elements of neutrinoless double beta decay (0{nu}{beta}{beta}) are estimated within the quasiparticle random phase approximation. It is shown that correlated nuclear matrix elements uncertainties play an important role in the comparison of 0{nu}{beta}{beta} decay rates for different nuclei, and that they are degenerate with the uncertainty in the reconstructed Majorana neutrino mass.

Estimated Satellite Cluster Elements in Near Circular Orbit

DTIC Science & Technology

1988-12-01

cluster is investigated. TheAon-board estimator is the U-D covariance factor’xzatiion’filter with dynamics based on the Clohessy - Wiltshire equations...Appropriate values for the velocity vector vi can be found irom the Clohessy - Wiltshire equations [9] (these equations will be explained in detail in the...explained in this text is the f matrix. The state transition matrix was developed from the Clohessy - Wiltshire equations of motion [9:page 3] as i - 2qý

Linear dimension reduction and Bayes classification

NASA Technical Reports Server (NTRS)

Decell, H. P., Jr.; Odell, P. L.; Coberly, W. A.

1978-01-01

An explicit expression for a compression matrix T of smallest possible left dimension K consistent with preserving the n variate normal Bayes assignment of X to a given one of a finite number of populations and the K variate Bayes assignment of TX to that population was developed. The Bayes population assignment of X and TX were shown to be equivalent for a compression matrix T explicitly calculated as a function of the means and covariances of the given populations.