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.

HIGH DIMENSIONAL COVARIANCE MATRIX ESTIMATION IN APPROXIMATE FACTOR MODELS.

PubMed

Fan, Jianqing; Liao, Yuan; Mincheva, Martina

2011-01-01

The variance covariance matrix plays a central role in the inferential theories of high dimensional factor models in finance and economics. Popular regularization methods of directly exploiting sparsity are not directly applicable to many financial problems. Classical methods of estimating the covariance matrices are based on the strict factor models, assuming independent idiosyncratic components. This assumption, however, is restrictive in practical applications. By assuming sparse error covariance matrix, we allow the presence of the cross-sectional correlation even after taking out common factors, and it enables us to combine the merits of both methods. We estimate the sparse covariance using the adaptive thresholding technique as in Cai and Liu (2011), taking into account the fact that direct observations of the idiosyncratic components are unavailable. The impact of high dimensionality on the covariance matrix estimation based on the factor structure is then studied.

Covariance Matrix Estimation for Massive MIMO

NASA Astrophysics Data System (ADS)

Upadhya, Karthik; Vorobyov, Sergiy A.

2018-04-01

We propose a novel pilot structure for covariance matrix estimation in massive multiple-input multiple-output (MIMO) systems in which each user transmits two pilot sequences, with the second pilot sequence multiplied by a random phase-shift. The covariance matrix of a particular user is obtained by computing the sample cross-correlation of the channel estimates obtained from the two pilot sequences. This approach relaxes the requirement that all the users transmit their uplink pilots over the same set of symbols. We derive expressions for the achievable rate and the mean-squared error of the covariance matrix estimate when the proposed method is used with staggered pilots. The performance of the proposed method is compared with existing methods through simulations.

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.

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.

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.

New method for propagating the square root covariance matrix in triangular form. [using Kalman-Bucy filter

NASA Technical Reports Server (NTRS)

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

1975-01-01

A method proposed by Potter of applying the Kalman-Bucy filter to the problem of estimating the state of a dynamic system is described, in which the square root of the state error covariance matrix is used to process the observations. A new technique which propagates the covariance square root matrix in lower triangular form is given for the discrete observation case. The technique is faster than previously proposed algorithms and is well-adapted for use with the Carlson square root measurement algorithm.

HIGH DIMENSIONAL COVARIANCE MATRIX ESTIMATION IN APPROXIMATE FACTOR MODELS

PubMed Central

Fan, Jianqing; Liao, Yuan; Mincheva, Martina

2012-01-01

The variance covariance matrix plays a central role in the inferential theories of high dimensional factor models in finance and economics. Popular regularization methods of directly exploiting sparsity are not directly applicable to many financial problems. Classical methods of estimating the covariance matrices are based on the strict factor models, assuming independent idiosyncratic components. This assumption, however, is restrictive in practical applications. By assuming sparse error covariance matrix, we allow the presence of the cross-sectional correlation even after taking out common factors, and it enables us to combine the merits of both methods. We estimate the sparse covariance using the adaptive thresholding technique as in Cai and Liu (2011), taking into account the fact that direct observations of the idiosyncratic components are unavailable. The impact of high dimensionality on the covariance matrix estimation based on the factor structure is then studied. PMID:22661790

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.

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.

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.

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.

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).

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.

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.

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

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.

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

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

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

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.

On-Line Identification of Simulation Examples for Forgetting Methods to Track Time Varying Parameters Using the Alternative Covariance Matrix in Matlab

NASA Astrophysics Data System (ADS)

Vachálek, Ján

2011-12-01

The paper compares the abilities of forgetting methods to track time varying parameters of two different simulated models with different types of excitation. The observed parameters in the simulations are the integral sum of the Euclidean norm, deviation of the parameter estimates from their true values and a selected band prediction error count. As supplementary information, we observe the eigenvalues of the covariance matrix. In the paper we used a modified method of Regularized Exponential Forgetting with Alternative Covariance Matrix (REFACM) along with Directional Forgetting (DF) and three standard regularized methods.

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

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.

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.

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

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.

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.

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...

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

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

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.

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.

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.

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.

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.

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.

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

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.

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.

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…

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.

Accounting for spatial correlation errors in the assimilation of GRACE into hydrological models through localization

NASA Astrophysics Data System (ADS)

Khaki, M.; Schumacher, M.; Forootan, E.; Kuhn, M.; Awange, J. L.; van Dijk, A. I. J. M.

2017-10-01

Assimilation of terrestrial water storage (TWS) information from the Gravity Recovery And Climate Experiment (GRACE) satellite mission can provide significant improvements in hydrological modelling. However, the rather coarse spatial resolution of GRACE TWS and its spatially correlated errors pose considerable challenges for achieving realistic assimilation results. Consequently, successful data assimilation depends on rigorous modelling of the full error covariance matrix of the GRACE TWS estimates, as well as realistic error behavior for hydrological model simulations. In this study, we assess the application of local analysis (LA) to maximize the contribution of GRACE TWS in hydrological data assimilation. For this, we assimilate GRACE TWS into the World-Wide Water Resources Assessment system (W3RA) over the Australian continent while applying LA and accounting for existing spatial correlations using the full error covariance matrix. GRACE TWS data is applied with different spatial resolutions including 1° to 5° grids, as well as basin averages. The ensemble-based sequential filtering technique of the Square Root Analysis (SQRA) is applied to assimilate TWS data into W3RA. For each spatial scale, the performance of the data assimilation is assessed through comparison with independent in-situ ground water and soil moisture observations. Overall, the results demonstrate that LA is able to stabilize the inversion process (within the implementation of the SQRA filter) leading to less errors for all spatial scales considered with an average RMSE improvement of 54% (e.g., 52.23 mm down to 26.80 mm) for all the cases with respect to groundwater in-situ measurements. Validating the assimilated results with groundwater observations indicates that LA leads to 13% better (in terms of RMSE) assimilation results compared to the cases with Gaussian errors assumptions. This highlights the great potential of LA and the use of the full error covariance matrix of GRACE TWS estimates for improved data assimilation results.

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.

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.

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.

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.

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.

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.

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.

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.

Statistical learning from nonrecurrent experience with discrete input variables and recursive-error-minimization equations

NASA Astrophysics Data System (ADS)

Carter, Jeffrey R.; Simon, Wayne E.

1990-08-01

Neural networks are trained using Recursive Error Minimization (REM) equations to perform statistical classification. Using REM equations with continuous input variables reduces the required number of training experiences by factors of one to two orders of magnitude over standard back propagation. Replacing the continuous input variables with discrete binary representations reduces the number of connections by a factor proportional to the number of variables reducing the required number of experiences by another order of magnitude. Undesirable effects of using recurrent experience to train neural networks for statistical classification problems are demonstrated and nonrecurrent experience used to avoid these undesirable effects. 1. THE 1-41 PROBLEM The statistical classification problem which we address is is that of assigning points in ddimensional space to one of two classes. The first class has a covariance matrix of I (the identity matrix) the covariance matrix of the second class is 41. For this reason the problem is known as the 1-41 problem. Both classes have equal probability of occurrence and samples from both classes may appear anywhere throughout the ddimensional space. Most samples near the origin of the coordinate system will be from the first class while most samples away from the origin will be from the second class. Since the two classes completely overlap it is impossible to have a classifier with zero error. The minimum possible error is known as the Bayes error and

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.

Adapting Covariance Propagation to Account for the Presence of Modeled and Unmodeled Maneuvers

NASA Technical Reports Server (NTRS)

Schiff, Conrad

2006-01-01

This paper explores techniques that can be used to adapt the standard linearized propagation of an orbital covariance matrix to the case where there is a maneuver and an associated execution uncertainty. A Monte Carlo technique is used to construct a final orbital covariance matrix for a 'prop-burn-prop' process that takes into account initial state uncertainty and execution uncertainties in the maneuver magnitude. This final orbital covariance matrix is regarded as 'truth' and comparisons are made with three methods using modified linearized covariance propagation. The first method accounts for the maneuver by modeling its nominal effect within the state transition matrix but excludes the execution uncertainty by omitting a process noise matrix from the computation. The second method does not model the maneuver but includes a process noise matrix to account for the uncertainty in its magnitude. The third method, which is essentially a hybrid of the first two, includes the nominal portion of the maneuver via the state transition matrix and uses a process noise matrix to account for the magnitude uncertainty. The first method is unable to produce the final orbit covariance except in the case of zero maneuver uncertainty. The second method yields good accuracy for the final covariance matrix but fails to model the final orbital state accurately. Agreement between the simulated covariance data produced by this method and the Monte Carlo truth data fell within 0.5-2.5 percent over a range of maneuver sizes that span two orders of magnitude (0.1-20 m/s). The third method, which yields a combination of good accuracy in the computation of the final covariance matrix and correct accounting for the presence of the maneuver in the nominal orbit, is the best method for applications involving the computation of times of closest approach and the corresponding probability of collision, PC. However, applications for the two other methods exist and are briefly discussed. Although the process model ("prop-burn-prop") that was studied is very simple - point-mass gravitational effects due to the Earth combined with an impulsive delta-V in the velocity direction for the maneuver - generalizations to more complex scenarios, including high fidelity force models, finite duration maneuvers, and maneuver pointing errors, are straightforward and are discussed in the conclusion.

A Reduced Dimension Static, Linearized Kalman Filter and Smoother

NASA Technical Reports Server (NTRS)

Fukumori, I.

1995-01-01

An approximate Kalman filter and smoother, based on approximations of the state estimation error covariance matrix, is described. Approximations include a reduction of the effective state dimension, use of a static asymptotic error limit, and a time-invariant linearization of the dynamic model for error integration. The approximations lead to dramatic computational savings in applying estimation theory to large complex systems. Examples of use come from TOPEX/POSEIDON.

A New Test of Linear Hypotheses in OLS Regression under Heteroscedasticity of Unknown Form

ERIC Educational Resources Information Center

Cai, Li; Hayes, Andrew F.

2008-01-01

When the errors in an ordinary least squares (OLS) regression model are heteroscedastic, hypothesis tests involving the regression coefficients can have Type I error rates that are far from the nominal significance level. Asymptotically, this problem can be rectified with the use of a heteroscedasticity-consistent covariance matrix (HCCM)…

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

Simplified Estimation and Testing in Unbalanced Repeated Measures Designs.

PubMed

Spiess, Martin; Jordan, Pascal; Wendt, Mike

2018-05-07

In this paper we propose a simple estimator for unbalanced repeated measures design models where each unit is observed at least once in each cell of the experimental design. The estimator does not require a model of the error covariance structure. Thus, circularity of the error covariance matrix and estimation of correlation parameters and variances are not necessary. Together with a weak assumption about the reason for the varying number of observations, the proposed estimator and its variance estimator are unbiased. As an alternative to confidence intervals based on the normality assumption, a bias-corrected and accelerated bootstrap technique is considered. We also propose the naive percentile bootstrap for Wald-type tests where the standard Wald test may break down when the number of observations is small relative to the number of parameters to be estimated. In a simulation study we illustrate the properties of the estimator and the bootstrap techniques to calculate confidence intervals and conduct hypothesis tests in small and large samples under normality and non-normality of the errors. The results imply that the simple estimator is only slightly less efficient than an estimator that correctly assumes a block structure of the error correlation matrix, a special case of which is an equi-correlation matrix. Application of the estimator and the bootstrap technique is illustrated using data from a task switch experiment based on an experimental within design with 32 cells and 33 participants.

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

The Importance of Semi-Major Axis Knowledge in the Determination of Near-Circular Orbits

NASA Technical Reports Server (NTRS)

Carpenter, J. Russell; Schiesser, Emil R.

1998-01-01

Modem orbit determination has mostly been accomplished using Cartesian coordinates. This usage has carried over in recent years to the use of GPS for satellite orbit determination. The unprecedented positioning accuracy of GPS has tended to focus attention more on the system's capability to locate the spacecraft's location at a particular epoch than on its accuracy in determination of the orbit, per se. As is well-known, the latter depends on a coordinated knowledge of position, velocity, and the correlation between their errors. Failure to determine a properly coordinated position/velocity state vector at a given epoch can lead to an epoch state that does not propagate well, and/or may not be usable for the execution of orbit adjustment maneuvers. For the quite common case of near-circular orbits, the degree to which position and velocity estimates are properly coordinated is largely captured by the error in semi-major axis (SMA) they jointly produce. Figure 1 depicts the relationships among radius error, speed error, and their correlation which exist for a typical low altitude Earth orbit. Two familiar consequences are the relationship Figure 1 shows are the following: (1) downrange position error grows at the per orbit rate of 3(pi) times the SMA error; (2) a velocity change imparted to the orbit will have an error of (pi) divided by the orbit period times the SMA error. A less familiar consequence occurs in the problem of initializing the covariance matrix for a sequential orbit determination filter. An initial covariance consistent with orbital dynamics should be used if the covariance is to propagate well. Properly accounting for the SMA error of the initial state in the construction of the initial covariance accomplishes half of this objective, by specifying the partition of the covariance corresponding to down-track position and radial velocity errors. The remainder of the in-plane covariance partition may be specified in terms of the flight path angle error of the initial state. Figure 2 illustrates the effect of properly and not properly initializing a covariance. This figure was produced by propagating the covariance shown on the plot, without process noise, in a circular low Earth orbit whose period is 5828.5 seconds. The upper subplot, in which the proper relationships among position, velocity, and their correlation has been used, shows overall error growth, in terms of the standard deviations of the inertial position coordinates, of about half of the lower subplot, whose initial covariance was based on other considerations.

Comparison of Kalman filter and optimal smoother estimates of spacecraft attitude

NASA Technical Reports Server (NTRS)

Sedlak, J.

1994-01-01

Given a valid system model and adequate observability, a Kalman filter will converge toward the true system state with error statistics given by the estimated error covariance matrix. The errors generally do not continue to decrease. Rather, a balance is reached between the gain of information from new measurements and the loss of information during propagation. The errors can be further reduced, however, by a second pass through the data with an optimal smoother. This algorithm obtains the optimally weighted average of forward and backward propagating Kalman filters. It roughly halves the error covariance by including future as well as past measurements in each estimate. This paper investigates whether such benefits actually accrue in the application of an optimal smoother to spacecraft attitude determination. Tests are performed both with actual spacecraft data from the Extreme Ultraviolet Explorer (EUVE) and with simulated data for which the true state vector and noise statistics are exactly known.

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.

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.

Galaxy–galaxy lensing estimators and their covariance properties

DOE PAGES

Singh, Sukhdeep; Mandelbaum, Rachel; Seljak, Uros; ...

2017-07-21

Here, we study the covariance properties of real space correlation function estimators – primarily galaxy–shear correlations, or galaxy–galaxy lensing – using SDSS data for both shear catalogues and lenses (specifically the BOSS LOWZ sample). Using mock catalogues of lenses and sources, we disentangle the various contributions to the covariance matrix and compare them with a simple analytical model. We show that not subtracting the lensing measurement around random points from the measurement around the lens sample is equivalent to performing the measurement using the lens density field instead of the lens overdensity field. While the measurement using the lens densitymore » field is unbiased (in the absence of systematics), its error is significantly larger due to an additional term in the covariance. Therefore, this subtraction should be performed regardless of its beneficial effects on systematics. Comparing the error estimates from data and mocks for estimators that involve the overdensity, we find that the errors are dominated by the shape noise and lens clustering, which empirically estimated covariances (jackknife and standard deviation across mocks) that are consistent with theoretical estimates, and that both the connected parts of the four-point function and the supersample covariance can be neglected for the current levels of noise. While the trade-off between different terms in the covariance depends on the survey configuration (area, source number density), the diagnostics that we use in this work should be useful for future works to test their empirically determined covariances.« less

Galaxy–galaxy lensing estimators and their covariance properties

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

Singh, Sukhdeep; Mandelbaum, Rachel; Seljak, Uros

Here, we study the covariance properties of real space correlation function estimators – primarily galaxy–shear correlations, or galaxy–galaxy lensing – using SDSS data for both shear catalogues and lenses (specifically the BOSS LOWZ sample). Using mock catalogues of lenses and sources, we disentangle the various contributions to the covariance matrix and compare them with a simple analytical model. We show that not subtracting the lensing measurement around random points from the measurement around the lens sample is equivalent to performing the measurement using the lens density field instead of the lens overdensity field. While the measurement using the lens densitymore » field is unbiased (in the absence of systematics), its error is significantly larger due to an additional term in the covariance. Therefore, this subtraction should be performed regardless of its beneficial effects on systematics. Comparing the error estimates from data and mocks for estimators that involve the overdensity, we find that the errors are dominated by the shape noise and lens clustering, which empirically estimated covariances (jackknife and standard deviation across mocks) that are consistent with theoretical estimates, and that both the connected parts of the four-point function and the supersample covariance can be neglected for the current levels of noise. While the trade-off between different terms in the covariance depends on the survey configuration (area, source number density), the diagnostics that we use in this work should be useful for future works to test their empirically determined covariances.« less

Galaxy-galaxy lensing estimators and their covariance properties

NASA Astrophysics Data System (ADS)

Singh, Sukhdeep; Mandelbaum, Rachel; Seljak, Uroš; Slosar, Anže; Vazquez Gonzalez, Jose

2017-11-01

We study the covariance properties of real space correlation function estimators - primarily galaxy-shear correlations, or galaxy-galaxy lensing - using SDSS data for both shear catalogues and lenses (specifically the BOSS LOWZ sample). Using mock catalogues of lenses and sources, we disentangle the various contributions to the covariance matrix and compare them with a simple analytical model. We show that not subtracting the lensing measurement around random points from the measurement around the lens sample is equivalent to performing the measurement using the lens density field instead of the lens overdensity field. While the measurement using the lens density field is unbiased (in the absence of systematics), its error is significantly larger due to an additional term in the covariance. Therefore, this subtraction should be performed regardless of its beneficial effects on systematics. Comparing the error estimates from data and mocks for estimators that involve the overdensity, we find that the errors are dominated by the shape noise and lens clustering, which empirically estimated covariances (jackknife and standard deviation across mocks) that are consistent with theoretical estimates, and that both the connected parts of the four-point function and the supersample covariance can be neglected for the current levels of noise. While the trade-off between different terms in the covariance depends on the survey configuration (area, source number density), the diagnostics that we use in this work should be useful for future works to test their empirically determined covariances.

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) )

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.

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.

The epoch state navigation filter. [for maximum likelihood estimates of position and velocity vectors

NASA Technical Reports Server (NTRS)

Battin, R. H.; Croopnick, S. R.; Edwards, J. A.

1977-01-01

The formulation of a recursive maximum likelihood navigation system employing reference position and velocity vectors as state variables is presented. Convenient forms of the required variational equations of motion are developed together with an explicit form of the associated state transition matrix needed to refer measurement data from the measurement time to the epoch time. Computational advantages accrue from this design in that the usual forward extrapolation of the covariance matrix of estimation errors can be avoided without incurring unacceptable system errors. Simulation data for earth orbiting satellites are provided to substantiate this assertion.

Real-time prediction and gating of respiratory motion in 3D space using extended Kalman filters and Gaussian process regression network

NASA Astrophysics Data System (ADS)

Bukhari, W.; Hong, S.-M.

2016-03-01

The prediction as well as the gating of respiratory motion have received much attention over the last two decades for reducing the targeting error of the radiation treatment beam due to respiratory motion. In this article, we present a real-time algorithm for predicting respiratory motion in 3D space and realizing a gating function without pre-specifying a particular phase of the patient’s breathing cycle. The algorithm, named EKF-GPRN+ , first employs an extended Kalman filter (EKF) independently along each coordinate to predict the respiratory motion and then uses a Gaussian process regression network (GPRN) to correct the prediction error of the EKF in 3D space. The GPRN is a nonparametric Bayesian algorithm for modeling input-dependent correlations between the output variables in multi-output regression. Inference in GPRN is intractable and we employ variational inference with mean field approximation to compute an approximate predictive mean and predictive covariance matrix. The approximate predictive mean is used to correct the prediction error of the EKF. The trace of the approximate predictive covariance matrix is utilized to capture the uncertainty in EKF-GPRN+ prediction error and systematically identify breathing points with a higher probability of large prediction error in advance. This identification enables us to pause the treatment beam over such instances. EKF-GPRN+ implements a gating function by using simple calculations based on the trace of the predictive covariance matrix. Extensive numerical experiments are performed based on a large database of 304 respiratory motion traces to evaluate EKF-GPRN+ . The experimental results show that the EKF-GPRN+ algorithm reduces the patient-wise prediction error to 38%, 40% and 40% in root-mean-square, compared to no prediction, at lookahead lengths of 192 ms, 384 ms and 576 ms, respectively. The EKF-GPRN+ algorithm can further reduce the prediction error by employing the gating function, albeit at the cost of reduced duty cycle. The error reduction allows the clinical target volume to planning target volume (CTV-PTV) margin to be reduced, leading to decreased normal-tissue toxicity and possible dose escalation. The CTV-PTV margin is also evaluated to quantify clinical benefits of EKF-GPRN+ prediction.

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).

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.

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.

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

Discrete-time state estimation for stochastic polynomial systems over polynomial observations

NASA Astrophysics Data System (ADS)

Hernandez-Gonzalez, M.; Basin, M.; Stepanov, O.

2018-07-01

This paper presents a solution to the mean-square state estimation problem for stochastic nonlinear polynomial systems over polynomial observations confused with additive white Gaussian noises. The solution is given in two steps: (a) computing the time-update equations and (b) computing the measurement-update equations for the state estimate and error covariance matrix. A closed form of this filter is obtained by expressing conditional expectations of polynomial terms as functions of the state estimate and error covariance. As a particular case, the mean-square filtering equations are derived for a third-degree polynomial system with second-degree polynomial measurements. Numerical simulations show effectiveness of the proposed filter compared to the extended Kalman filter.

Improved characterisation of measurement errors in electrical resistivity tomography (ERT) surveys

NASA Astrophysics Data System (ADS)

Tso, C. H. M.; Binley, A. M.; Kuras, O.; Graham, J.

2016-12-01

Measurement errors can play a pivotal role in geophysical inversion. Most inverse models require users to prescribe a statistical model of data errors before inversion. Wrongly prescribed error levels can lead to over- or under-fitting of data, yet commonly used models of measurement error are relatively simplistic. With the heightening interests in uncertainty estimation across hydrogeophysics, better characterisation and treatment of measurement errors is needed to provide more reliable estimates of uncertainty. We have analysed two time-lapse electrical resistivity tomography (ERT) datasets; one contains 96 sets of direct and reciprocal data collected from a surface ERT line within a 24h timeframe, while the other is a year-long cross-borehole survey at a UK nuclear site with over 50,000 daily measurements. Our study included the characterisation of the spatial and temporal behaviour of measurement errors using autocorrelation and covariance analysis. We find that, in addition to well-known proportionality effects, ERT measurements can also be sensitive to the combination of electrodes used. This agrees with reported speculation in previous literature that ERT errors could be somewhat correlated. Based on these findings, we develop a new error model that allows grouping based on electrode number in additional to fitting a linear model to transfer resistance. The new model fits the observed measurement errors better and shows superior inversion and uncertainty estimates in synthetic examples. It is robust, because it groups errors together based on the number of the four electrodes used to make each measurement. The new model can be readily applied to the diagonal data weighting matrix commonly used in classical inversion methods, as well as to the data covariance matrix in the Bayesian inversion framework. We demonstrate its application using extensive ERT monitoring datasets from the two aforementioned sites.

Space shuttle launch era spacecraft injection errors and DSN initial acquisition

NASA Technical Reports Server (NTRS)

Khatib, A. R.; Berman, A. L.; Wackley, J. A.

1981-01-01

The initial acquisition of a spacecraft by the Deep Space Network (DSN) is a critical mission event. This results from the importance of rapidly evaluating the health and trajectory of a spacecraft in the event that immediate corrective action might be required. Further, the DSN initial acquisition is always complicated by the most extreme tracking rates of the mission. The DSN initial acquisition characteristics will change considerably in the upcoming space shuttle launch era. How given injection errors at spacecraft separation from the upper stage launch vehicle (carried into orbit by the space shuttle) impact the DSN initial acquisition, and how this information can be factored into injection accuracy requirements to be levied on the Space Transportation System (STS) is addressed. The approach developed begins with the DSN initial acquisition parameters, generates a covariance matrix, and maps this covariance matrix backward to the spacecraft injection, thereby greatly simplifying the task of levying accuracy requirements on the STS, by providing such requirements in a format both familiar and convenient to STS.

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.

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.

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.

Application Of Multi-grid Method On China Seas' Temperature Forecast

NASA Astrophysics Data System (ADS)

Li, W.; Xie, Y.; He, Z.; Liu, K.; Han, G.; Ma, J.; Li, D.

2006-12-01

Correlation scales have been used in traditional scheme of 3-dimensional variational (3D-Var) data assimilation to estimate the background error covariance for the numerical forecast and reanalysis of atmosphere and ocean for decades. However there are still some drawbacks of this scheme. First, the correlation scales are difficult to be determined accurately. Second, the positive definition of the first-guess error covariance matrix cannot be guaranteed unless the correlation scales are sufficiently small. Xie et al. (2005) indicated that a traditional 3D-Var only corrects some certain wavelength errors and its accuracy depends on the accuracy of the first-guess covariance. And in general, short wavelength error can not be well corrected until long one is corrected and then inaccurate first-guess covariance may mistakenly take long wave error as short wave ones and result in erroneous analysis. For the purpose of quickly minimizing the errors of long and short waves successively, a new 3D-Var data assimilation scheme, called multi-grid data assimilation scheme, is proposed in this paper. By assimilating the shipboard SST and temperature profiles data into a numerical model of China Seas, we applied this scheme in two-month data assimilation and forecast experiment which ended in a favorable result. Comparing with the traditional scheme of 3D-Var, the new scheme has higher forecast accuracy and a lower forecast Root-Mean-Square (RMS) error. Furthermore, this scheme was applied to assimilate the SST of shipboard, AVHRR Pathfinder Version 5.0 SST and temperature profiles at the same time, and a ten-month forecast experiment on sea temperature of China Seas was carried out, in which a successful forecast result was obtained. Particularly, the new scheme is demonstrated a great numerical efficiency in these analyses.

Effects of Employing Ridge Regression in Structural Equation Models.

ERIC Educational Resources Information Center

McQuitty, Shaun

1997-01-01

LISREL 8 invokes a ridge option when maximum likelihood or generalized least squares are used to estimate a structural equation model with a nonpositive definite covariance or correlation matrix. Implications of the ridge option for model fit, parameter estimates, and standard errors are explored through two examples. (SLD)

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.

Impact of Non-Gaussian Error Volumes on Conjunction Assessment Risk Analysis

NASA Technical Reports Server (NTRS)

Ghrist, Richard W.; Plakalovic, Dragan

2012-01-01

An understanding of how an initially Gaussian error volume becomes non-Gaussian over time is an important consideration for space-vehicle conjunction assessment. Traditional assumptions applied to the error volume artificially suppress the true non-Gaussian nature of the space-vehicle position uncertainties. For typical conjunction assessment objects, representation of the error volume by a state error covariance matrix in a Cartesian reference frame is a more significant limitation than is the assumption of linearized dynamics for propagating the error volume. In this study, the impact of each assumption is examined and isolated for each point in the volume. Limitations arising from representing the error volume in a Cartesian reference frame is corrected by employing a Monte Carlo approach to probability of collision (Pc), using equinoctial samples from the Cartesian position covariance at the time of closest approach (TCA) between the pair of space objects. A set of actual, higher risk (Pc >= 10 (exp -4)+) conjunction events in various low-Earth orbits using Monte Carlo methods are analyzed. The impact of non-Gaussian error volumes on Pc for these cases is minimal, even when the deviation from a Gaussian distribution is significant.

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 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.

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.

An optimal modification of a Kalman filter for time scales

NASA Technical Reports Server (NTRS)

Greenhall, C. A.

2003-01-01

The Kalman filter in question, which was implemented in the time scale algorithm TA(NIST), produces time scales with poor short-term stability. A simple modification of the error covariance matrix allows the filter to produce time scales with good stability at all averaging times, as verified by simulations of clock ensembles.

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.

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.

Scout trajectory error propagation computer program

NASA Technical Reports Server (NTRS)

Myler, T. R.

1982-01-01

Since 1969, flight experience has been used as the basis for predicting Scout orbital accuracy. The data used for calculating the accuracy consists of errors in the trajectory parameters (altitude, velocity, etc.) at stage burnout as observed on Scout flights. Approximately 50 sets of errors are used in Monte Carlo analysis to generate error statistics in the trajectory parameters. A covariance matrix is formed which may be propagated in time. The mechanization of this process resulted in computer program Scout Trajectory Error Propagation (STEP) and is described herein. Computer program STEP may be used in conjunction with the Statistical Orbital Analysis Routine to generate accuracy in the orbit parameters (apogee, perigee, inclination, etc.) based upon flight experience.

Systematic Error Study for ALICE charged-jet v2 Measurement

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

Heinz, M.; Soltz, R.

We study the treatment of systematic errors in the determination of v 2 for charged jets in √ sNN = 2:76 TeV Pb-Pb collisions by the ALICE Collaboration. Working with the reported values and errors for the 0-5% centrality data we evaluate the Χ 2 according to the formulas given for the statistical and systematic errors, where the latter are separated into correlated and shape contributions. We reproduce both the Χ 2 and p-values relative to a null (zero) result. We then re-cast the systematic errors into an equivalent co-variance matrix and obtain identical results, demonstrating that the two methodsmore » are equivalent.« less

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)].

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

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.

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

Kalman Filter for Spinning Spacecraft Attitude Estimation

NASA Technical Reports Server (NTRS)

Markley, F. Landis; Sedlak, Joseph E.

2008-01-01

This paper presents a Kalman filter using a seven-component attitude state vector comprising the angular momentum components in an inertial reference frame, the angular momentum components in the body frame, and a rotation angle. The relatively slow variation of these parameters makes this parameterization advantageous for spinning spacecraft attitude estimation. The filter accounts for the constraint that the magnitude of the angular momentum vector is the same in the inertial and body frames by employing a reduced six-component error state. Four variants of the filter, defined by different choices for the reduced error state, are tested against a quaternion-based filter using simulated data for the THEMIS mission. Three of these variants choose three of the components of the error state to be the infinitesimal attitude error angles, facilitating the computation of measurement sensitivity matrices and causing the usual 3x3 attitude covariance matrix to be a submatrix of the 6x6 covariance of the error state. These variants differ in their choice for the other three components of the error state. The variant employing the infinitesimal attitude error angles and the angular momentum components in an inertial reference frame as the error state shows the best combination of robustness and efficiency in the simulations. Attitude estimation results using THEMIS flight data are also presented.

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.

Development of a multi-data assimilation scheme to integrate Bio-Argo floats data with ocean colour satellite data into the CMEMS MFC-Biogeochemistry

NASA Astrophysics Data System (ADS)

Cossarini, Gianpiero; D'Ortenzio, Fabrizio; Mariotti, Laura; Mignot, Alexandre; Salon, Stefano

2017-04-01

The Mediterranean Sea is a very promising site to develop and test the assimilation of Bio-Argo data since 1) the Bio-Argo network is one of the densest of the global ocean, and 2) a consolidate data assimilation framework of biogeochemical variables (3DVAR-BIO, presently based on assimilation of satellite-estimated surface chlorophyll data) already exists within the CMEMS biogeochemical model system for Mediterranean Sea. The MASSIMILI project, granted by the CMEMS Service Evolution initiative, is aimed to develop the assimilation of Bio-Argo Floats data into the CMEMS biogeochemical model system of the Mediterranean Sea, by means of an upgrade of the 3DVAR-BIO scheme. Specific developments of the 3DVAR-BIO scheme focus on the estimate of new operators of the variational decomposition of the background error covariance matrix and on the implementation of the new observation operator specifically for the Bio-Argo float vertical profile data. In particular, a new horizontal covariance operator for chlorophyll, nitrate and oxygen is based on 3D fields of horizontal correlation radius calculated from a long-term reanalysis simulation. A new vertical covariance operator is built on monthly and spatial varying EOF decomposition to account for the spatiotemporal variability of vertical structure of the three variables error covariance. Further, the observation error covariance is a key factor for an effective assimilation of the Bio-Argo data into the model dynamics. The sensitivities of assimilation to the different factors are estimated. First results of the implementation of the new 3DVAR-BIO scheme show the impact of Bio-Argo data on the 3D fields of chlorophyll, nitrate and oxygen. Tuning the length scale factors of horizontal covariance, analysing the sensitivity of the observation error covariance, introducing non-diagonal biogeochemical covariance operator and non-diagonal multi-platform operator (i.e. Bio-Argo and satellite) are crucial future steps for the success of the MASSIMILI project. In our contribute, we will discuss the recent and promising advancements this strategic project has been having in the past year and its potential for the whole operational biogeochemical modelling community.

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.

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.

Design and Implementation of a Parallel Multivariate Ensemble Kalman Filter for the Poseidon Ocean General Circulation Model

NASA Technical Reports Server (NTRS)

Keppenne, Christian L.; Rienecker, Michele M.; Koblinsky, Chester (Technical Monitor)

2001-01-01

A multivariate ensemble Kalman filter (MvEnKF) implemented on a massively parallel computer architecture has been implemented for the Poseidon ocean circulation model and tested with a Pacific Basin model configuration. There are about two million prognostic state-vector variables. Parallelism for the data assimilation step is achieved by regionalization of the background-error covariances that are calculated from the phase-space distribution of the ensemble. Each processing element (PE) collects elements of a matrix measurement functional from nearby PEs. To avoid the introduction of spurious long-range covariances associated with finite ensemble sizes, the background-error covariances are given compact support by means of a Hadamard (element by element) product with a three-dimensional canonical correlation function. The methodology and the MvEnKF configuration are discussed. It is shown that the regionalization of the background covariances; has a negligible impact on the quality of the analyses. The parallel algorithm is very efficient for large numbers of observations but does not scale well beyond 100 PEs at the current model resolution. On a platform with distributed memory, memory rather than speed is the limiting factor.

Identifying Bearing Rotodynamic Coefficients Using an Extended Kalman Filter

NASA Technical Reports Server (NTRS)

Miller, Brad A.; Howard, Samuel A.

2008-01-01

An Extended Kalman Filter is developed to estimate the linearized direct and indirect stiffness and damping force coefficients for bearings in rotor dynamic applications from noisy measurements of the shaft displacement in response to imbalance and impact excitation. The bearing properties are modeled as stochastic random variables using a Gauss-Markov model. Noise terms are introduced into the system model to account for all of the estimation error, including modeling errors and uncertainties and the propagation of measurement errors into the parameter estimates. The system model contains two user-defined parameters that can be tuned to improve the filter's performance; these parameters correspond to the covariance of the system and measurement noise variables. The filter is also strongly influenced by the initial values of the states and the error covariance matrix. The filter is demonstrated using numerically simulated data for a rotor bearing system with two identical bearings, which reduces the number of unknown linear dynamic coefficients to eight. The filter estimates for the direct damping coefficients and all four stiffness coefficients correlated well with actual values, whereas the estimates for the cross-coupled damping coefficients were the least accurate.

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.

VizieR Online Data Catalog: Vela Junior (RX J0852.0-4622) HESS image (HESS+, 2018)

NASA Astrophysics Data System (ADS)

H. E. S. S. Collaboration; Abdalla, H.; Abramowski, A.; Aharonian, F.; Ait Benkhali, F.; Akhperjanian, A. G.; Andersson, T.; Anguener, E. O.; Arakawa, M.; Arrieta, M.; Aubert, P.; Backes, M.; Balzer, A.; Barnard, M.; Becherini, Y.; Becker Tjus, J.; Berge, D.; Bernhard, S.; Bernloehr, K.; Blackwell, R.; Boettcher, M.; Boisson, C.; Bolmont, J.; Bordas, P.; Bregeon, J.; Brun, F.; Brun, P.; Bryan, M.; Buechele, M.; Bulik, T.; Capasso, M.; Carr, J.; Casanova, S.; Cerruti, M.; Chakraborty, N.; Chalme-Calvet, R.; Chaves, R. C. G.; Chen, A.; Chevalier, J.; Chretien, M.; Coffaro, M.; Colafrancesco, S.; Cologna, G.; Condon, B.; Conrad, J.; Cui, Y.; Davids, I. D.; Decock, J.; Degrange, B.; Deil, C.; Devin, J.; Dewilt, P.; Dirson, L.; Djannati-Atai, A.; Domainko, W.; Donath, A.; Drury, L. O'c.; Dutson, K.; Dyks, J.; Edwards, T.; Egberts, K.; Eger, P.; Ernenwein, J.-P.; Eschbach, S.; Farnier, C.; Fegan, S.; Fernandes, M. V.; Fiasson, A.; Fontaine, G.; Foerster, A.; Funk, S.; Fuessling, M.; Gabici, S.; Gajdus, M.; Gallant, Y. A.; Garrigoux, T.; Giavitto, G.; Giebels, B.; Glicenstein, J. F.; Gottschall, D.; Goyal, A.; Grondin, M.-H.; Hahn, J.; Haupt, M.; Hawkes, J.; Heinzelmann, G.; Henri, G.; Hermann, G.; Hervet, O.; Hinton, J. A.; Hofmann, W.; Hoischen, C.; Holler, M.; Horns, D.; Ivascenko, A.; Iwasaki, H.; Jacholkowska, A.; Jamrozy, M.; Janiak, M.; Jankowsky, D.; Jankowsky, F.; Jingo, M.; Jogler, T.; Jouvin, L.; Jung-Richardt, I.; Kastendieck, M. A.; Katarzynski, K.; Katsuragawa, M.; Katz, U.; Kerszberg, D.; Khangulyan, D.; Khelifi, B.; Kieffer, M.; King, J.; Klepser, S.; Klochkov, D.; Kluzniak, W.; Kolitzus, D.; Komin, Nu.; Kosack, K.; Krakau, S.; Kraus, M.; Krueger, P. P.; Laffon, H.; Lamanna, G.; Lau, J.; Lees, J.-P.; Lefaucheur, J.; Lefranc, V.; Lemiere, A.; Lemoine-Goumard, M.; Lenain, J.-P.; Leser, E.; Lohse, T.; Lorentz, M.; Liu, R.; Lopez-Coto, R.; Lypova, I.; Marandon, V.; Marcowith, A.; Mariaud, C.; Marx, R.; Maurin, G.; Maxted, N.; Mayer, M.; Meintjes, P. J.; Meyer, M.; Mitchell, A. M. W.; Moderski, R.; Mohamed, M.; Mohrmann, L.; Mora, K.; Moulin, E.; Murach, T.; Nakashima, S.; de Naurois, M.; Niederwanger, F.; Niemiec J.; Oakes, L.; O'Brien, P.; Odaka, H.; Oettl, S.; Ohm, S.; Ostrowski, M.; Oya, I.; Padovani, M.; Panter, M.; Parsons, R. D.; Paz Arribas, M.; Pekeur, N. W.; Pelletier, G.; Perennes, C.; Petrucci, P.-O.; Peyaud, B.; Piel, Q.; Pita, S.; Poon, H.; Prokhorov, D.; Prokoph, H.; Puehlhofer, G.; Punch, M.; Quirrenbach, A.; Raab, S.; Reimer, A.; Reimer, O.; Renaud, M.; de Los Reyes, R.; Richter, S.; Rieger, F.; Romoli, C.; Rowell, G.; Rudak, B.; Rulten, C. B.; Sahakian, V.; Saito, S.; Salek, D.; Sanchez, D. A.; Santangelo, A.; Sasaki, M.; Schlickeiser, R.; Schuessler, F.; Schulz, A.; Schwanke, U.; Schwemmer, S.; Seglar-Arroyo, M.; Settimo, M.; Seyffert, A. S.; Shafi, N.; Shilon, I.; Simoni, R.; Sol, H.; Spanier, F.; Spengler, G.; Spies, F.; Stawarz, L.; Steenkamp, R.; Stegmann, C.; Stycz, K.; Sushch, I.; Takahashi, T.; Tavernet, J.-P.; Tavernier, T.; Taylor, A. M.; Terrier, R.; Tibaldo, L.; Tiziani, D.; Tluczykont, M.; Trichard, C.; Tsuji, N.; Tuffs, R.; Uchiyama, Y.; van der, Walt D. J.; van Eldik, C.; van Rensburg, C.; van Soelen, B.; Vasileiadis, G.; Veh, J.; Venter, C.; Viana, A.; Vincent, P.; Vink, J.; Voisin, F.; Voelk, H. J.; Vuillaume, T.; Wadiasingh, Z.; Wagner, S. J.; Wagner, P.; Wagner, R. M.; White, R.; Wierzcholska, A.; Willmann, P.; Woernlein, A.; Wouters, D.; Yang, R.; Zabalza, V.; Zaborov, D.; Zacharias, M.; Zanin, R.; Zdziarski, A. A.; Zech, A.; Zefi, F.; Ziegler, A.; Zywucka, N.

2018-03-01

skymap.fit: H.E.S.S. excess skymap in FITS format of the region comprising Vela Junior and its surroundings. The excess map has been corrected for the gradient of exposure and smoothed with a Gaussian function of width 0.08° to match the analysis point spread function, matching the procedure applied to derive the maps in Fig. 1. sp_stat.txt: H.E.S.S. spectral points and fit parameters for Vela Junior (H.E.S.S. data points in Fig. 3 and Tab. A.2 and H.E.S.S. spectral fit parameters in Tab. 4). The errors in this file represent statistical uncertainties at 1 sigma confidence level. The covariance matrix of the fit is also included in the format: c11 c12 c_13 c21 c22 c_23 c31 c32 c_33 where the subindices represent the following parameters of the power-law with exponential cut-off (ECPL) formula in Tab. 2: 1: flux normalization (Phi0) 2: spectral index (Gamma) 3: inverse of the cutoff energy (lambda=1/Ecut) The units for the covariance matrix are the same as for the fit parameters. Notice that, while the fit parameters section of the file shows E_cut as parameter, the fit was done in lambda=1/Ecut; hence the covariance matrix shows the values for lambda in TeV-1. sp_syst.txt: H.E.S.S. spectral points and fit parameters for Vela Junior (H.E.S.S. data points in Fig. 3 and Tab. A.2 and H.E.S.S. spectral fit parameters in Tab. 4). The errors in this file represent systematic uncertainties at 1 sigma confidence level. The integral fluxes for several energy ranges are also included. (4 data files).

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.

A Comparison of Methods for Estimating the Determinant of High-Dimensional Covariance Matrix.

PubMed

Hu, Zongliang; Dong, Kai; Dai, Wenlin; Tong, Tiejun

2017-09-21

The determinant of the covariance matrix for high-dimensional data plays an important role in statistical inference and decision. It has many real applications including statistical tests and information theory. Due to the statistical and computational challenges with high dimensionality, little work has been proposed in the literature for estimating the determinant of high-dimensional covariance matrix. In this paper, we estimate the determinant of the covariance matrix using some recent proposals for estimating high-dimensional covariance matrix. Specifically, we consider a total of eight covariance matrix estimation methods for comparison. Through extensive simulation studies, we explore and summarize some interesting comparison results among all compared methods. We also provide practical guidelines based on the sample size, the dimension, and the correlation of the data set for estimating the determinant of high-dimensional covariance matrix. Finally, from a perspective of the loss function, the comparison study in this paper may also serve as a proxy to assess the performance of the covariance matrix estimation.

Comparison of Flow-Dependent and Static Error Correlation Models in the DAO Ozone Data Assimilation System

NASA Technical Reports Server (NTRS)

Wargan, K.; Stajner, I.; Pawson, S.

2003-01-01

In a data assimilation system the forecast error covariance matrix governs the way in which the data information is spread throughout the model grid. Implementation of a correct method of assigning covariances is expected to have an impact on the analysis results. The simplest models assume that correlations are constant in time and isotropic or nearly isotropic. In such models the analysis depends on the dynamics only through assumed error standard deviations. In applications to atmospheric tracer data assimilation this may lead to inaccuracies, especially in regions with strong wind shears or high gradient of potential vorticity, as well as in areas where no data are available. In order to overcome this problem we have developed a flow-dependent covariance model that is based on short term evolution of error correlations. The presentation compares performance of a static and a flow-dependent model applied to a global three- dimensional ozone data assimilation system developed at NASA s Data Assimilation Office. We will present some results of validation against WMO balloon-borne sondes and the Polar Ozone and Aerosol Measurement (POAM) III instrument. Experiments show that allowing forecast error correlations to evolve with the flow results in positive impact on assimilated ozone within the regions where data were not assimilated, particularly at high latitudes in both hemispheres and in the troposphere. We will also discuss statistical characteristics of both models; in particular we will argue that including evolution of error correlations leads to stronger internal consistency of a data assimilation ,

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.

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.

On the Use, the Misuse, and the Very Limited Usefulness of Cronbach's Alpha

ERIC Educational Resources Information Center

Sijtsma, Klaas

2009-01-01

This discussion paper argues that both the use of Cronbach's alpha as a reliability estimate and as a measure of internal consistency suffer from major problems. First, alpha always has a value, which cannot be equal to the test score's reliability given the inter-item covariance matrix and the usual assumptions about measurement error. Second, in…

On-Board Event-Based State Estimation for Trajectory Approaching and Tracking of a Vehicle

PubMed Central

Martínez-Rey, Miguel; Espinosa, Felipe; Gardel, Alfredo; Santos, Carlos

2015-01-01

For the problem of pose estimation of an autonomous vehicle using networked external sensors, the processing capacity and battery consumption of these sensors, as well as the communication channel load should be optimized. Here, we report an event-based state estimator (EBSE) consisting of an unscented Kalman filter that uses a triggering mechanism based on the estimation error covariance matrix to request measurements from the external sensors. This EBSE generates the events of the estimator module on-board the vehicle and, thus, allows the sensors to remain in stand-by mode until an event is generated. The proposed algorithm requests a measurement every time the estimation distance root mean squared error (DRMS) value, obtained from the estimator's covariance matrix, exceeds a threshold value. This triggering threshold can be adapted to the vehicle's working conditions rendering the estimator even more efficient. An example of the use of the proposed EBSE is given, where the autonomous vehicle must approach and follow a reference trajectory. By making the threshold a function of the distance to the reference location, the estimator can halve the use of the sensors with a negligible deterioration in the performance of the approaching maneuver. PMID:26102489

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.

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.

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.

Rigorous covariance propagation of geoid errors to geodetic MDT estimates

NASA Astrophysics Data System (ADS)

Pail, R.; Albertella, A.; Fecher, T.; Savcenko, R.

2012-04-01

The mean dynamic topography (MDT) is defined as the difference between the mean sea surface (MSS) derived from satellite altimetry, averaged over several years, and the static geoid. Assuming geostrophic conditions, from the MDT the ocean surface velocities as important component of global ocean circulation can be derived from it. Due to the availability of GOCE gravity field models, for the very first time MDT can now be derived solely from satellite observations (altimetry and gravity) down to spatial length-scales of 100 km and even below. Global gravity field models, parameterized in terms of spherical harmonic coefficients, are complemented by the full variance-covariance matrix (VCM). Therefore, for the geoid component a realistic statistical error estimate is available, while the error description of the altimetric component is still an open issue and is, if at all, attacked empirically. In this study we make the attempt to perform, based on the full gravity VCM, rigorous error propagation to derived geostrophic surface velocities, thus also considering all correlations. For the definition of the static geoid we use the third release of the time-wise GOCE model, as well as the satellite-only combination model GOCO03S. In detail, we will investigate the velocity errors resulting from the geoid component in dependence of the harmonic degree, and the impact of using/no using covariances on the MDT errors and its correlations. When deriving an MDT, it is spectrally filtered to a certain maximum degree, which is usually driven by the signal content of the geoid model, by applying isotropic or non-isotropic filters. Since this filtering is acting also on the geoid component, the consistent integration of this filter process into the covariance propagation shall be performed, and its impact shall be quantified. The study will be performed for MDT estimates in specific test areas of particular oceanographic interest.

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.

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.

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.

Simultaneous treatment of unspecified heteroskedastic model error distribution and mismeasured covariates for restricted moment models.

PubMed

Garcia, Tanya P; Ma, Yanyuan

2017-10-01

We develop consistent and efficient estimation of parameters in general regression models with mismeasured covariates. We assume the model error and covariate distributions are unspecified, and the measurement error distribution is a general parametric distribution with unknown variance-covariance. We construct root- n consistent, asymptotically normal and locally efficient estimators using the semiparametric efficient score. We do not estimate any unknown distribution or model error heteroskedasticity. Instead, we form the estimator under possibly incorrect working distribution models for the model error, error-prone covariate, or both. Empirical results demonstrate robustness to different incorrect working models in homoscedastic and heteroskedastic models with error-prone covariates.

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

Reduced Kalman Filters for Clock Ensembles

NASA Technical Reports Server (NTRS)

Greenhall, Charles A.

2011-01-01

This paper summarizes the author's work ontimescales based on Kalman filters that act upon the clock comparisons. The natural Kalman timescale algorithm tends to optimize long-term timescale stability at the expense of short-term stability. By subjecting each post-measurement error covariance matrix to a non-transparent reduction operation, one obtains corrected clocks with improved short-term stability and little sacrifice of long-term stability.

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.

Multivariate Error Covariance Estimates by Monte-Carlo Simulation for Assimilation Studies in the Pacific Ocean

NASA Technical Reports Server (NTRS)

Borovikov, Anna; Rienecker, Michele M.; Keppenne, Christian; Johnson, Gregory C.

2004-01-01

One of the most difficult aspects of ocean state estimation is the prescription of the model forecast error covariances. The paucity of ocean observations limits our ability to estimate the covariance structures from model-observation differences. In most practical applications, simple covariances are usually prescribed. Rarely are cross-covariances between different model variables used. Here a comparison is made between a univariate Optimal Interpolation (UOI) scheme and a multivariate OI algorithm (MvOI) in the assimilation of ocean temperature. In the UOI case only temperature is updated using a Gaussian covariance function and in the MvOI salinity, zonal and meridional velocities as well as temperature, are updated using an empirically estimated multivariate covariance matrix. Earlier studies have shown that a univariate OI has a detrimental effect on the salinity and velocity fields of the model. Apparently, in a sequential framework it is important to analyze temperature and salinity together. For the MvOI an estimation of the model error statistics is made by Monte-Carlo techniques from an ensemble of model integrations. An important advantage of using an ensemble of ocean states is that it provides a natural way to estimate cross-covariances between the fields of different physical variables constituting the model state vector, at the same time incorporating the model's dynamical and thermodynamical constraints as well as the effects of physical boundaries. Only temperature observations from the Tropical Atmosphere-Ocean array have been assimilated in this study. In order to investigate the efficacy of the multivariate scheme two data assimilation experiments are validated with a large independent set of recently published subsurface observations of salinity, zonal velocity and temperature. For reference, a third control run with no data assimilation is used to check how the data assimilation affects systematic model errors. While the performance of the UOI and MvOI is similar with respect to the temperature field, the salinity and velocity fields are greatly improved when multivariate correction is used, as evident from the analyses of the rms differences of these fields and independent observations. The MvOI assimilation is found to improve upon the control run in generating the water masses with properties close to the observed, while the UOI failed to maintain the temperature and salinity structure.

Perturbative approach to covariance matrix of the matter power spectrum

NASA Astrophysics Data System (ADS)

Mohammed, Irshad; Seljak, Uroš; Vlah, Zvonimir

2017-04-01

We evaluate the covariance matrix of the matter power spectrum using perturbation theory up to dominant terms at 1-loop order and compare it to numerical simulations. We decompose the covariance matrix into the disconnected (Gaussian) part, trispectrum from the modes outside the survey (supersample variance) and trispectrum from the modes inside the survey, and show how the different components contribute to the overall covariance matrix. We find the agreement with the simulations is at a 10 per cent level up to k ˜ 1 h Mpc-1. We show that all the connected components are dominated by the large-scale modes (k < 0.1 h Mpc-1), regardless of the value of the wave vectors k, k΄ of the covariance matrix, suggesting that one must be careful in applying the jackknife or bootstrap methods to the covariance matrix. We perform an eigenmode decomposition of the connected part of the covariance matrix, showing that at higher k, it is dominated by a single eigenmode. The full covariance matrix can be approximated as the disconnected part only, with the connected part being treated as an external nuisance parameter with a known scale dependence, and a known prior on its variance for a given survey volume. Finally, we provide a prescription for how to evaluate the covariance matrix from small box simulations without the need to simulate large volumes.

Identifying Bearing Rotordynamic Coefficients using an Extended Kalman Filter

NASA Technical Reports Server (NTRS)

Miller, Brad A.; Howard, Samuel A.

2008-01-01

An Extended Kalman Filter is developed to estimate the linearized direct and indirect stiffness and damping force coefficients for bearings in rotor-dynamic applications from noisy measurements of the shaft displacement in response to imbalance and impact excitation. The bearing properties are modeled as stochastic random variables using a Gauss-Markov model. Noise terms are introduced into the system model to account for all of the estimation error, including modeling errors and uncertainties and the propagation of measurement errors into the parameter estimates. The system model contains two user-defined parameters that can be tuned to improve the filter s performance; these parameters correspond to the covariance of the system and measurement noise variables. The filter is also strongly influenced by the initial values of the states and the error covariance matrix. The filter is demonstrated using numerically simulated data for a rotor-bearing system with two identical bearings, which reduces the number of unknown linear dynamic coefficients to eight. The filter estimates for the direct damping coefficients and all four stiffness coefficients correlated well with actual values, whereas the estimates for the cross-coupled damping coefficients were the least accurate.

Perturbative approach to covariance matrix of the matter power spectrum

DOE PAGES

Mohammed, Irshad; Seljak, Uros; Vlah, Zvonimir

2016-12-14

Here, we evaluate the covariance matrix of the matter power spectrum using perturbation theory up to dominant terms at 1-loop order and compare it to numerical simulations. We decompose the covariance matrix into the disconnected (Gaussian) part, trispectrum from the modes outside the survey (beat coupling or super-sample variance), and trispectrum from the modes inside the survey, and show how the different components contribute to the overall covariance matrix. We find the agreement with the simulations is at a 10\\% level up tomore » $$k \\sim 1 h {\\rm Mpc^{-1}}$$. We also show that all the connected components are dominated by the large-scale modes ($$k<0.1 h {\\rm Mpc^{-1}}$$), regardless of the value of the wavevectors $$k,\\, k'$$ of the covariance matrix, suggesting that one must be careful in applying the jackknife or bootstrap methods to the covariance matrix. We perform an eigenmode decomposition of the connected part of the covariance matrix, showing that at higher $k$ it is dominated by a single eigenmode. Furthermore, the full covariance matrix can be approximated as the disconnected part only, with the connected part being treated as an external nuisance parameter with a known scale dependence, and a known prior on its variance for a given survey volume. Finally, we provide a prescription for how to evaluate the covariance matrix from small box simulations without the need to simulate large volumes.« less

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.

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.

Sensitivity of the model error parameter specification in weak-constraint four-dimensional variational data assimilation

NASA Astrophysics Data System (ADS)

Shaw, Jeremy A.; Daescu, Dacian N.

2017-08-01

This article presents the mathematical framework to evaluate the sensitivity of a forecast error aspect to the input parameters of a weak-constraint four-dimensional variational data assimilation system (w4D-Var DAS), extending the established theory from strong-constraint 4D-Var. Emphasis is placed on the derivation of the equations for evaluating the forecast sensitivity to parameters in the DAS representation of the model error statistics, including bias, standard deviation, and correlation structure. A novel adjoint-based procedure for adaptive tuning of the specified model error covariance matrix is introduced. Results from numerical convergence tests establish the validity of the model error sensitivity equations. Preliminary experiments providing a proof-of-concept are performed using the Lorenz multi-scale model to illustrate the theoretical concepts and potential benefits for practical applications.

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

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.

ARMA Cholesky Factor Models for the Covariance Matrix of Linear Models.

PubMed

Lee, Keunbaik; Baek, Changryong; Daniels, Michael J

2017-11-01

In longitudinal studies, serial dependence of repeated outcomes must be taken into account to make correct inferences on covariate effects. As such, care must be taken in modeling the covariance matrix. However, estimation of the covariance matrix is challenging because there are many parameters in the matrix and the estimated covariance matrix should be positive definite. To overcomes these limitations, two Cholesky decomposition approaches have been proposed: modified Cholesky decomposition for autoregressive (AR) structure and moving average Cholesky decomposition for moving average (MA) structure, respectively. However, the correlations of repeated outcomes are often not captured parsimoniously using either approach separately. In this paper, we propose a class of flexible, nonstationary, heteroscedastic models that exploits the structure allowed by combining the AR and MA modeling of the covariance matrix that we denote as ARMACD. We analyze a recent lung cancer study to illustrate the power of our proposed methods.

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.

Progress in navigation filter estimate fusion and its application to spacecraft rendezvous

NASA Technical Reports Server (NTRS)

Carpenter, J. Russell

1994-01-01

A new derivation of an algorithm which fuses the outputs of two Kalman filters is presented within the context of previous research in this field. Unlike other works, this derivation clearly shows the combination of estimates to be optimal, minimizing the trace of the fused covariance matrix. The algorithm assumes that the filters use identical models, and are stable and operating optimally with respect to their own local measurements. Evidence is presented which indicates that the error ellipsoid derived from the covariance of the optimally fused estimate is contained within the intersections of the error ellipsoids of the two filters being fused. Modifications which reduce the algorithm's data transmission requirements are also presented, including a scalar gain approximation, a cross-covariance update formula which employs only the two contributing filters' autocovariances, and a form of the algorithm which can be used to reinitialize the two Kalman filters. A sufficient condition for using the optimally fused estimates to periodically reinitialize the Kalman filters in this fashion is presented and proved as a theorem. When these results are applied to an optimal spacecraft rendezvous problem, simulated performance results indicate that the use of optimally fused data leads to significantly improved robustness to initial target vehicle state errors. The following applications of estimate fusion methods to spacecraft rendezvous are also described: state vector differencing, and redundancy management.

Decentralized state estimation for a large-scale spatially interconnected system.

PubMed

Liu, Huabo; Yu, Haisheng

2018-03-01

A decentralized state estimator is derived for the spatially interconnected systems composed of many subsystems with arbitrary connection relations. An optimization problem on the basis of linear matrix inequality (LMI) is constructed for the computations of improved subsystem parameter matrices. Several computationally effective approaches are derived which efficiently utilize the block-diagonal characteristic of system parameter matrices and the sparseness of subsystem connection matrix. Moreover, this decentralized state estimator is proved to converge to a stable system and obtain a bounded covariance matrix of estimation errors under certain conditions. Numerical simulations show that the obtained decentralized state estimator is attractive in the synthesis of a large-scale networked system. Copyright © 2018 ISA. Published by Elsevier Ltd. All rights reserved.

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.

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.

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.

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

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.

The effect of covariate mean differences on the standard error and confidence interval for the comparison of treatment means.

PubMed

Liu, Xiaofeng Steven

2011-05-01

The use of covariates is commonly believed to reduce the unexplained error variance and the standard error for the comparison of treatment means, but the reduction in the standard error is neither guaranteed nor uniform over different sample sizes. The covariate mean differences between the treatment conditions can inflate the standard error of the covariate-adjusted mean difference and can actually produce a larger standard error for the adjusted mean difference than that for the unadjusted mean difference. When the covariate observations are conceived of as randomly varying from one study to another, the covariate mean differences can be related to a Hotelling's T(2) . Using this Hotelling's T(2) statistic, one can always find a minimum sample size to achieve a high probability of reducing the standard error and confidence interval width for the adjusted mean difference. ©2010 The British Psychological Society.

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.

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.

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

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.

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.

Analysis of Point Based Image Registration Errors With Applications in Single Molecule Microscopy

PubMed Central

Cohen, E. A. K.; Ober, R. J.

2014-01-01

We present an asymptotic treatment of errors involved in point-based image registration where control point (CP) localization is subject to heteroscedastic noise; a suitable model for image registration in fluorescence microscopy. Assuming an affine transform, CPs are used to solve a multivariate regression problem. With measurement errors existing for both sets of CPs this is an errors-in-variable problem and linear least squares is inappropriate; the correct method being generalized least squares. To allow for point dependent errors the equivalence of a generalized maximum likelihood and heteroscedastic generalized least squares model is achieved allowing previously published asymptotic results to be extended to image registration. For a particularly useful model of heteroscedastic noise where covariance matrices are scalar multiples of a known matrix (including the case where covariance matrices are multiples of the identity) we provide closed form solutions to estimators and derive their distribution. We consider the target registration error (TRE) and define a new measure called the localization registration error (LRE) believed to be useful, especially in microscopy registration experiments. Assuming Gaussianity of the CP localization errors, it is shown that the asymptotic distribution for the TRE and LRE are themselves Gaussian and the parameterized distributions are derived. Results are successfully applied to registration in single molecule microscopy to derive the key dependence of the TRE and LRE variance on the number of CPs and their associated photon counts. Simulations show asymptotic results are robust for low CP numbers and non-Gaussianity. The method presented here is shown to outperform GLS on real imaging data. PMID:24634573

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.

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.

MIXREG: a computer program for mixed-effects regression analysis with autocorrelated errors.

PubMed

Hedeker, D; Gibbons, R D

1996-05-01

MIXREG is a program that provides estimates for a mixed-effects regression model (MRM) for normally-distributed response data including autocorrelated errors. This model can be used for analysis of unbalanced longitudinal data, where individuals may be measured at a different number of timepoints, or even at different timepoints. Autocorrelated errors of a general form or following an AR(1), MA(1), or ARMA(1,1) form are allowable. This model can also be used for analysis of clustered data, where the mixed-effects model assumes data within clusters are dependent. The degree of dependency is estimated jointly with estimates of the usual model parameters, thus adjusting for clustering. MIXREG uses maximum marginal likelihood estimation, utilizing both the EM algorithm and a Fisher-scoring solution. For the scoring solution, the covariance matrix of the random effects is expressed in its Gaussian decomposition, and the diagonal matrix reparameterized using the exponential transformation. Estimation of the individual random effects is accomplished using an empirical Bayes approach. Examples illustrating usage and features of MIXREG are provided.

A Formalism for Covariant Polarized Radiative Transport by Ray Tracing

NASA Astrophysics Data System (ADS)

Gammie, Charles F.; Leung, Po Kin

2012-06-01

We write down a covariant formalism for polarized radiative transfer appropriate for ray tracing through a turbulent plasma. The polarized radiation field is represented by the polarization tensor (coherency matrix) N αβ ≡ langa α k a*β k rang, where ak is a Fourier coefficient for the vector potential. Using Maxwell's equations, the Liouville-Vlasov equation, and the WKB approximation, we show that the transport equation in vacuo is k μ∇μ N αβ = 0. We show that this is equivalent to Broderick & Blandford's formalism based on invariant Stokes parameters and a rotation coefficient, and suggest a modification that may reduce truncation error in some situations. Finally, we write down several alternative approaches to integrating the transfer equation.

Statistical Field Estimation and Scale Estimation for Complex Coastal Regions and Archipelagos

DTIC Science & Technology

2009-05-01

instruments applied to mode-73. Deep-Sea Research, 23:559–582. Brown , R. G. and Hwang , P. Y. C. (1997). Introduction to Random Signals and Applied Kalman ...the covariance matrix becomes neg- ative due to numerical issues ( Brown and Hwang , 1997). Some useful techniques to counter these divergence problems...equations ( Brown and Hwang , 1997). If the number of observations is large, divergence problems can arise under certain con- ditions due to truncation errors

Ocean Spectral Data Assimilation Without Background Error Covariance Matrix

DTIC Science & Technology

2016-01-01

float data (Chu et al. 2007 ), and 97 temporal and spatial variability of the global upper ocean heat content (Chu 2011) from the data 98 of the Global...Melnichenko OV, Wells NC ( 2007 ) Long baroclinic Rossby waves in the 558 tropical North Atlantic observed from profiling floats. J Geophys Res...Hall, J, Harrison D.E. and Stammer , D., Eds., ESA Publication WPP-610 306. 611 612 Tang Y, Kleeman R (2004) SST assimilation experiments in a

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

Merging tree ring chronologies and climate system model simulated temperature by optimal interpolation algorithm in North America

NASA Astrophysics Data System (ADS)

Chen, Xin; Xing, Pei; Luo, Yong; Zhao, Zongci; Nie, Suping; Huang, Jianbin; Wang, Shaowu; Tian, Qinhua

2015-04-01

A new dataset of annual mean surface temperature has been constructed over North America in recent 500 years by performing optimal interpolation (OI) algorithm. Totally, 149 series totally were screened out including 69 tree ring width (MXD) and 80 tree ring width (TRW) chronologies are screened from International Tree Ring Data Bank (ITRDB). The simulated annual mean surface temperature derives from the past1000 experiment results of Community Climate System Model version 4 (CCSM4). Different from existing research that applying data assimilation approach to (General Circulation Models) GCMs simulation, the errors of both the climate model simulation and tree ring reconstruction were considered, with a view to combining the two parts in an optimal way. Variance matching (VM) was employed to calibrate tree ring chronologies on CRUTEM4v, and corresponding errors were estimated through leave-one-out process. Background error covariance matrix was estimated from samples of simulation results in a running 30-year window in a statistical way. Actually, the background error covariance matrix was calculated locally within the scanning range (2000km in this research). Thus, the merging process continued with a time-varying local gain matrix. The merging method (MM) was tested by two kinds of experiments, and the results indicated standard deviation of errors can be reduced by about 0.3 degree centigrade lower than tree ring reconstructions and 0.5 degree centigrade lower than model simulation. During the recent Obvious decadal variability can be identified in MM results including the evident cooling (0.10 degree per decade) in 1940-60s, wherein the model simulation exhibit a weak increasing trend (0.05 degree per decade) instead. MM results revealed a compromised spatial pattern of the linear trend of surface temperature during a typical period (1601-1800 AD) in Little Ice Age, which basically accorded with the phase transitions of the Pacific decadal oscillation (PDO) and Atlantic multi-decadal oscillation (AMO). Through the empirical orthogonal functions and power spectrum analysis, it was demonstrated that, compared with the pure simulations of CCSM4, MM made significant improvement of decadal variability for the gridded temperature in North America by merging the temperature-sensitive tree ring records.

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

Asteroid orbital error analysis: Theory and application

NASA Technical Reports Server (NTRS)

Muinonen, K.; Bowell, Edward

1992-01-01

We present a rigorous Bayesian theory for asteroid orbital error estimation in which the probability density of the orbital elements is derived from the noise statistics of the observations. For Gaussian noise in a linearized approximation the probability density is also Gaussian, and the errors of the orbital elements at a given epoch are fully described by the covariance matrix. The law of error propagation can then be applied to calculate past and future positional uncertainty ellipsoids (Cappellari et al. 1976, Yeomans et al. 1987, Whipple et al. 1991). To our knowledge, this is the first time a Bayesian approach has been formulated for orbital element estimation. In contrast to the classical Fisherian school of statistics, the Bayesian school allows a priori information to be formally present in the final estimation. However, Bayesian estimation does give the same results as Fisherian estimation when no priori information is assumed (Lehtinen 1988, and reference therein).

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.

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.

How to deal with the high condition number of the noise covariance matrix of gravity field functionals synthesised from a satellite-only global gravity field model?

NASA Astrophysics Data System (ADS)

Klees, R.; Slobbe, D. C.; Farahani, H. H.

2018-03-01

The posed question arises for instance in regional gravity field modelling using weighted least-squares techniques if the gravity field functionals are synthesised from the spherical harmonic coefficients of a satellite-only global gravity model (GGM), and are used as one of the noisy datasets. The associated noise covariance matrix, appeared to be extremely ill-conditioned with a singular value spectrum that decayed gradually to zero without any noticeable gap. We analysed three methods to deal with the ill-conditioned noise covariance matrix: Tihonov regularisation of the noise covariance matrix in combination with the standard formula for the weighted least-squares estimator, a formula of the weighted least-squares estimator, which does not involve the inverse noise covariance matrix, and an estimator based on Rao's unified theory of least-squares. Our analysis was based on a numerical experiment involving a set of height anomalies synthesised from the GGM GOCO05s, which is provided with a full noise covariance matrix. We showed that the three estimators perform similar, provided that the two regularisation parameters each method knows were chosen properly. As standard regularisation parameter choice rules do not apply here, we suggested a new parameter choice rule, and demonstrated its performance. Using this rule, we found that the differences between the three least-squares estimates were within noise. For the standard formulation of the weighted least-squares estimator with regularised noise covariance matrix, this required an exceptionally strong regularisation, much larger than one expected from the condition number of the noise covariance matrix. The preferred method is the inversion-free formulation of the weighted least-squares estimator, because of its simplicity with respect to the choice of the two regularisation parameters.

Galaxy two-point covariance matrix estimation for next generation surveys

NASA Astrophysics Data System (ADS)

Howlett, Cullan; Percival, Will J.

2017-12-01

We perform a detailed analysis of the covariance matrix of the spherically averaged galaxy power spectrum and present a new, practical method for estimating this within an arbitrary survey without the need for running mock galaxy simulations that cover the full survey volume. The method uses theoretical arguments to modify the covariance matrix measured from a set of small-volume cubic galaxy simulations, which are computationally cheap to produce compared to larger simulations and match the measured small-scale galaxy clustering more accurately than is possible using theoretical modelling. We include prescriptions to analytically account for the window function of the survey, which convolves the measured covariance matrix in a non-trivial way. We also present a new method to include the effects of super-sample covariance and modes outside the small simulation volume which requires no additional simulations and still allows us to scale the covariance matrix. As validation, we compare the covariance matrix estimated using our new method to that from a brute-force calculation using 500 simulations originally created for analysis of the Sloan Digital Sky Survey Main Galaxy Sample. We find excellent agreement on all scales of interest for large-scale structure analysis, including those dominated by the effects of the survey window, and on scales where theoretical models of the clustering normally break down, but the new method produces a covariance matrix with significantly better signal-to-noise ratio. Although only formally correct in real space, we also discuss how our method can be extended to incorporate the effects of redshift space distortions.

Convex Banding of the Covariance Matrix

PubMed Central

Bien, Jacob; Bunea, Florentina; Xiao, Luo

2016-01-01

We introduce a new sparse estimator of the covariance matrix for high-dimensional models in which the variables have a known ordering. Our estimator, which is the solution to a convex optimization problem, is equivalently expressed as an estimator which tapers the sample covariance matrix by a Toeplitz, sparsely-banded, data-adaptive matrix. As a result of this adaptivity, the convex banding estimator enjoys theoretical optimality properties not attained by previous banding or tapered estimators. In particular, our convex banding estimator is minimax rate adaptive in Frobenius and operator norms, up to log factors, over commonly-studied classes of covariance matrices, and over more general classes. Furthermore, it correctly recovers the bandwidth when the true covariance is exactly banded. Our convex formulation admits a simple and efficient algorithm. Empirical studies demonstrate its practical effectiveness and illustrate that our exactly-banded estimator works well even when the true covariance matrix is only close to a banded matrix, confirming our theoretical results. Our method compares favorably with all existing methods, in terms of accuracy and speed. We illustrate the practical merits of the convex banding estimator by showing that it can be used to improve the performance of discriminant analysis for classifying sound recordings. PMID:28042189

Convex Banding of the Covariance Matrix.

PubMed

Bien, Jacob; Bunea, Florentina; Xiao, Luo

2016-01-01

We introduce a new sparse estimator of the covariance matrix for high-dimensional models in which the variables have a known ordering. Our estimator, which is the solution to a convex optimization problem, is equivalently expressed as an estimator which tapers the sample covariance matrix by a Toeplitz, sparsely-banded, data-adaptive matrix. As a result of this adaptivity, the convex banding estimator enjoys theoretical optimality properties not attained by previous banding or tapered estimators. In particular, our convex banding estimator is minimax rate adaptive in Frobenius and operator norms, up to log factors, over commonly-studied classes of covariance matrices, and over more general classes. Furthermore, it correctly recovers the bandwidth when the true covariance is exactly banded. Our convex formulation admits a simple and efficient algorithm. Empirical studies demonstrate its practical effectiveness and illustrate that our exactly-banded estimator works well even when the true covariance matrix is only close to a banded matrix, confirming our theoretical results. Our method compares favorably with all existing methods, in terms of accuracy and speed. We illustrate the practical merits of the convex banding estimator by showing that it can be used to improve the performance of discriminant analysis for classifying sound recordings.

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

Bio-Optical Data Assimilation With Observational Error Covariance Derived From an Ensemble of Satellite Images

NASA Astrophysics Data System (ADS)

Shulman, Igor; Gould, Richard W.; Frolov, Sergey; McCarthy, Sean; Penta, Brad; Anderson, Stephanie; Sakalaukus, Peter

2018-03-01

An ensemble-based approach to specify observational error covariance in the data assimilation of satellite bio-optical properties is proposed. The observational error covariance is derived from statistical properties of the generated ensemble of satellite MODIS-Aqua chlorophyll (Chl) images. The proposed observational error covariance is used in the Optimal Interpolation scheme for the assimilation of MODIS-Aqua Chl observations. The forecast error covariance is specified in the subspace of the multivariate (bio-optical, physical) empirical orthogonal functions (EOFs) estimated from a month-long model run. The assimilation of surface MODIS-Aqua Chl improved surface and subsurface model Chl predictions. Comparisons with surface and subsurface water samples demonstrate that data assimilation run with the proposed observational error covariance has higher RMSE than the data assimilation run with "optimistic" assumption about observational errors (10% of the ensemble mean), but has smaller or comparable RMSE than data assimilation run with an assumption that observational errors equal to 35% of the ensemble mean (the target error for satellite data product for chlorophyll). Also, with the assimilation of the MODIS-Aqua Chl data, the RMSE between observed and model-predicted fractions of diatoms to the total phytoplankton is reduced by a factor of two in comparison to the nonassimilative run.

Offline handwritten word recognition using MQDF-HMMs

NASA Astrophysics Data System (ADS)

Ramachandrula, Sitaram; Hambarde, Mangesh; Patial, Ajay; Sahoo, Dushyant; Kochar, Shaivi

2015-01-01

We propose an improved HMM formulation for offline handwriting recognition (HWR). The main contribution of this work is using modified quadratic discriminant function (MQDF) [1] within HMM framework. In an MQDF-HMM the state observation likelihood is calculated by a weighted combination of MQDF likelihoods of individual Gaussians of GMM (Gaussian Mixture Model). The quadratic discriminant function (QDF) of a multivariate Gaussian can be rewritten by avoiding the inverse of covariance matrix by using the Eigen values and Eigen vectors of it. The MQDF is derived from QDF by substituting few of badly estimated lower-most Eigen values by an appropriate constant. The estimation errors of non-dominant Eigen vectors and Eigen values of covariance matrix for which the training data is insufficient can be controlled by this approach. MQDF has been successfully shown to improve the character recognition performance [1]. The usage of MQDF in HMM improves the computation, storage and modeling power of HMM when there is limited training data. We have got encouraging results on offline handwritten character (NIST database) and word recognition in English using MQDF HMMs.

Assessment of Infrared Sounder Radiometric Noise from Analysis of Spectral Residuals

NASA Astrophysics Data System (ADS)

Dufour, E.; Klonecki, A.; Standfuss, C.; Tournier, B.; Serio, C.; Masiello, G.; Tjemkes, S.; Stuhlmann, R.

2016-08-01

For the preparation and performance monitoring of the future generation of hyperspectral InfraRed sounders dedicated to the precise vertical profiling of the atmospheric state, such as the Meteosat Third Generation hyperspectral InfraRed Sounder, a reliable assessment of the instrument radiometric error covariance matrix is needed.Ideally, an inflight estimation of the radiometrric noise is recommended as certain sources of noise can be driven by the spectral signature of the observed Earth/ atmosphere radiance. Also, unknown correlated noise sources, generally related to incomplete knowledge of the instrument state, can be present, so a caracterisation of the noise spectral correlation is also neeed.A methodology, relying on the analysis of post-retreival spectral residuals, is designed and implemented to derive in-flight the covariance matrix on the basis of Earth scenes measurements. This methodology is successfully demonstrated using IASI observations as MTG-IRS proxy data and made it possible to highlight anticipated correlation structures explained by apodization and micro-vibration effects (ghost). This analysis is corroborated by a parallel estimation based on an IASI black body measurement dataset and the results of an independent micro-vibration model.

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.

Stable Estimation of a Covariance Matrix Guided by Nuclear Norm Penalties

PubMed Central

Chi, Eric C.; Lange, Kenneth

2014-01-01

Estimation of a covariance matrix or its inverse plays a central role in many statistical methods. For these methods to work reliably, estimated matrices must not only be invertible but also well-conditioned. The current paper introduces a novel prior to ensure a well-conditioned maximum a posteriori (MAP) covariance estimate. The prior shrinks the sample covariance estimator towards a stable target and leads to a MAP estimator that is consistent and asymptotically efficient. Thus, the MAP estimator gracefully transitions towards the sample covariance matrix as the number of samples grows relative to the number of covariates. The utility of the MAP estimator is demonstrated in two standard applications – discriminant analysis and EM clustering – in this sampling regime. PMID:25143662

Comparative interpretations of renormalization inversion technique for reconstructing unknown emissions from measured atmospheric concentrations

NASA Astrophysics Data System (ADS)

Singh, Sarvesh Kumar; Kumar, Pramod; Rani, Raj; Turbelin, Grégory

2017-04-01

The study highlights a theoretical comparison and various interpretations of a recent inversion technique, called renormalization, developed for the reconstruction of unknown tracer emissions from their measured concentrations. The comparative interpretations are presented in relation to the other inversion techniques based on principle of regularization, Bayesian, minimum norm, maximum entropy on mean, and model resolution optimization. It is shown that the renormalization technique can be interpreted in a similar manner to other techniques, with a practical choice of a priori information and error statistics, while eliminating the need of additional constraints. The study shows that the proposed weight matrix and weighted Gram matrix offer a suitable deterministic choice to the background error and measurement covariance matrices, respectively, in the absence of statistical knowledge about background and measurement errors. The technique is advantageous since it (i) utilizes weights representing a priori information apparent to the monitoring network, (ii) avoids dependence on background source estimates, (iii) improves on alternative choices for the error statistics, (iv) overcomes the colocalization problem in a natural manner, and (v) provides an optimally resolved source reconstruction. A comparative illustration of source retrieval is made by using the real measurements from a continuous point release conducted in Fusion Field Trials, Dugway Proving Ground, Utah.

Q-adjusting technique applied to vertical deflections estimation in a single-axis rotation INS/GPS integrated system

NASA Astrophysics Data System (ADS)

Zhu, Jing; Wang, Xingshu; Wang, Jun; Dai, Dongkai; Xiong, Hao

2016-10-01

Former studies have proved that the attitude error in a single-axis rotation INS/GPS integrated system tracks the high frequency component of the deflections of the vertical (DOV) with a fixed delay and tracking error. This paper analyses the influence of the nominal process noise covariance matrix Q on the tracking error as well as the response delay, and proposed a Q-adjusting technique to obtain the attitude error which can track the DOV better. Simulation results show that different settings of Q lead to different response delay and tracking error; there exists optimal Q which leads to a minimum tracking error and a comparatively short response delay; for systems with different accuracy, different Q-adjusting strategy should be adopted. In this way, the DOV estimation accuracy of using the attitude error as the observation can be improved. According to the simulation results, the DOV estimation accuracy after using the Q-adjusting technique is improved by approximate 23% and 33% respectively compared to that of the Earth Model EGM2008 and the direct attitude difference method.

Statistics of the epoch of reionization 21-cm signal - I. Power spectrum error-covariance

NASA Astrophysics Data System (ADS)

Mondal, Rajesh; Bharadwaj, Somnath; Majumdar, Suman

2016-02-01

The non-Gaussian nature of the epoch of reionization (EoR) 21-cm signal has a significant impact on the error variance of its power spectrum P(k). We have used a large ensemble of seminumerical simulations and an analytical model to estimate the effect of this non-Gaussianity on the entire error-covariance matrix {C}ij. Our analytical model shows that {C}ij has contributions from two sources. One is the usual variance for a Gaussian random field which scales inversely of the number of modes that goes into the estimation of P(k). The other is the trispectrum of the signal. Using the simulated 21-cm Signal Ensemble, an ensemble of the Randomized Signal and Ensembles of Gaussian Random Ensembles we have quantified the effect of the trispectrum on the error variance {C}II. We find that its relative contribution is comparable to or larger than that of the Gaussian term for the k range 0.3 ≤ k ≤ 1.0 Mpc-1, and can be even ˜200 times larger at k ˜ 5 Mpc-1. We also establish that the off-diagonal terms of {C}ij have statistically significant non-zero values which arise purely from the trispectrum. This further signifies that the error in different k modes are not independent. We find a strong correlation between the errors at large k values (≥0.5 Mpc-1), and a weak correlation between the smallest and largest k values. There is also a small anticorrelation between the errors in the smallest and intermediate k values. These results are relevant for the k range that will be probed by the current and upcoming EoR 21-cm experiments.

The Space-Wise Global Gravity Model from GOCE Nominal Mission Data

NASA Astrophysics Data System (ADS)

Gatti, A.; Migliaccio, F.; Reguzzoni, M.; Sampietro, D.; Sanso, F.

2011-12-01

In the framework of the GOCE data analysis, the space-wise approach implements a multi-step collocation solution for the estimation of a global geopotential model in terms of spherical harmonic coefficients and their error covariance matrix. The main idea is to use the collocation technique to exploit the spatial correlation of the gravity field in the GOCE data reduction. In particular the method consists of an along-track Wiener filter, a collocation gridding at satellite altitude and a spherical harmonic analysis by integration. All these steps are iterated, also to account for the rotation between local orbital and gradiometer reference frame. Error covariances are computed by Montecarlo simulations. The first release of the space-wise approach was presented at the ESA Living Planet Symposium in July 2010. This model was based on only two months of GOCE data and partially contained a priori information coming from other existing gravity models, especially at low degrees and low orders. A second release was distributed after the 4th International GOCE User Workshop in May 2011. In this solution, based on eight months of GOCE data, all the dependencies from external gravity information were removed thus giving rise to a GOCE-only space-wise model. However this model showed an over-regularization at the highest degrees of the spherical harmonic expansion due to the combination technique of intermediate solutions (based on about two months of data). In this work a new space-wise solution is presented. It is based on all nominal mission data from November 2009 to mid April 2011, and its main novelty is that the intermediate solutions are now computed in such a way to avoid over-regularization in the final solution. Beyond the spherical harmonic coefficients of the global model and their error covariance matrix, the space-wise approach is able to deliver as by-products a set of spherical grids of potential and of its second derivatives at mean satellite altitude. These grids have an information content that is very similar to the original along-orbit data, but they are much easier to handle. In addition they are estimated by local least-squares collocation and therefore, although computed by a unique global covariance function, they could yield more information at local level than the spherical harmonic coefficients of the global model. For this reason these grids seem to be useful for local geophysical investigations. The estimated grids with their estimated errors are presented in this work together with proposals on possible future improvements. A test to compare the different information contents of the along-orbit data, the gridded data and the spherical harmonic coefficients is also shown.

Sampling errors in the estimation of empirical orthogonal functions. [for climatology studies

NASA Technical Reports Server (NTRS)

North, G. R.; Bell, T. L.; Cahalan, R. F.; Moeng, F. J.

1982-01-01

Empirical Orthogonal Functions (EOF's), eigenvectors of the spatial cross-covariance matrix of a meteorological field, are reviewed with special attention given to the necessary weighting factors for gridded data and the sampling errors incurred when too small a sample is available. The geographical shape of an EOF shows large intersample variability when its associated eigenvalue is 'close' to a neighboring one. A rule of thumb indicating when an EOF is likely to be subject to large sampling fluctuations is presented. An explicit example, based on the statistics of the 500 mb geopotential height field, displays large intersample variability in the EOF's for sample sizes of a few hundred independent realizations, a size seldom exceeded by meteorological data sets.

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

Evaluation of JGM 2 geopotential errors from geosat, TOPEX/poseidon and ERS-1 crossover altimetry

NASA Astrophysics Data System (ADS)

Wagner, C. A.; Klokocník, J.; Tai, C. K.

1995-08-01

World-ocean distribution of the crossover altimetry data from Geosat, TOPEX/Poseidon (T/P) and the ERS 1 missions have provided strong independent evidence that NASA's/CSR's JGM 2 geopotential model (70 x 70 in spherical harmonics) yields accurate radial ephemerides for these satellites. In testing the sea height crossover differences found from altimetry and JGM 2 orbits for these satellites, we have used the sea height differences themselves (of ascending minus descending passes averaged at each location over many exact repeat cycles) and the Lumped Latitude Coefficients (LLC) derived from them. For Geosat we find the geopotential-induced LLC errors (exclusive of non-gravitational and initial state discrepancies) mostly below 6 cm, for TOPEX the corresponding errors are usually below 2 cm, and for ERS 1 (35-day cycle) they are generally belo2 5 cm. In addition, we have found that these observations agree well overall with predictions of accuracy derived from the JGM 2 variance-covariance matrix; the corresponding projected LLC errors for Geosat, T/P, and ERS 1 are usually between 1 and 4 cm, 1 - 2 cm, and 1 - 4 cm, respectively (they depend on the filtering of long-periodic perturbations and on the order of the LLC). This agreement is especially impressive for ERS 1 since no data of any kind from this mission was used in forming JGM 2. The observed crossover differences for Geosat, T/P and ERS 1 are 8, 3, and 11 cm (rms), respectively. These observations also agree well with prediction of accuracy derived from the JGM 2 variance-covariance matrix; the corresponding projected crossover errors for Geosat and T/P are 8 cm and 2.3 cm, respectively. The precision of our mean difference observations is about 3 cm for Geosat (approx. 24,000 observations), 1.5 cm for T/P (approx. 6,000 observations) and 5 cm for ERS 1 (approx. 44,000 observations). Thus, these ``global'' independent data should provide a valuable new source for improving geopotential models. Our results show the need for further correction of the low order JGM 2 geopotential as well as certain resonant orders for all 3 satellites.

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.

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 *****

Fuzzy Neural Network-Based Interacting Multiple Model for Multi-Node Target Tracking Algorithm

PubMed Central

Sun, Baoliang; Jiang, Chunlan; Li, Ming

2016-01-01

An interacting multiple model for multi-node target tracking algorithm was proposed based on a fuzzy neural network (FNN) to solve the multi-node target tracking problem of wireless sensor networks (WSNs). Measured error variance was adaptively adjusted during the multiple model interacting output stage using the difference between the theoretical and estimated values of the measured error covariance matrix. The FNN fusion system was established during multi-node fusion to integrate with the target state estimated data from different nodes and consequently obtain network target state estimation. The feasibility of the algorithm was verified based on a network of nine detection nodes. Experimental results indicated that the proposed algorithm could trace the maneuvering target effectively under sensor failure and unknown system measurement errors. The proposed algorithm exhibited great practicability in the multi-node target tracking of WSNs. PMID:27809271

TRANSPOSABLE REGULARIZED COVARIANCE MODELS WITH AN APPLICATION TO MISSING DATA IMPUTATION

PubMed Central

Allen, Genevera I.; Tibshirani, Robert

2015-01-01

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. PMID:26877823

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.

Relative-Error-Covariance Algorithms

NASA Technical Reports Server (NTRS)

Bierman, Gerald J.; Wolff, Peter J.

1991-01-01

Two algorithms compute error covariance of difference between optimal estimates, based on data acquired during overlapping or disjoint intervals, of state of discrete linear system. Provides quantitative measure of mutual consistency or inconsistency of estimates of states. Relative-error-covariance concept applied, to determine degree of correlation between trajectories calculated from two overlapping sets of measurements and construct real-time test of consistency of state estimates based upon recently acquired data.

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

Simplification of the Kalman filter for meteorological data assimilation

NASA Technical Reports Server (NTRS)

Dee, Dick P.

1991-01-01

The paper proposes a new statistical method of data assimilation that is based on a simplification of the Kalman filter equations. The forecast error covariance evolution is approximated simply by advecting the mass-error covariance field, deriving the remaining covariances geostrophically, and accounting for external model-error forcing only at the end of each forecast cycle. This greatly reduces the cost of computation of the forecast error covariance. In simulations with a linear, one-dimensional shallow-water model and data generated artificially, the performance of the simplified filter is compared with that of the Kalman filter and the optimal interpolation (OI) method. The simplified filter produces analyses that are nearly optimal, and represents a significant improvement over OI.

Model selection for marginal regression analysis of longitudinal data with missing observations and covariate measurement error.

PubMed

Shen, Chung-Wei; Chen, Yi-Hau

2015-10-01

Missing observations and covariate measurement error commonly arise in longitudinal data. However, existing methods for model selection in marginal regression analysis of longitudinal data fail to address the potential bias resulting from these issues. To tackle this problem, we propose a new model selection criterion, the Generalized Longitudinal Information Criterion, which is based on an approximately unbiased estimator for the expected quadratic error of a considered marginal model accounting for both data missingness and covariate measurement error. The simulation results reveal that the proposed method performs quite well in the presence of missing data and covariate measurement error. On the contrary, the naive procedures without taking care of such complexity in data may perform quite poorly. The proposed method is applied to data from the Taiwan Longitudinal Study on Aging to assess the relationship of depression with health and social status in the elderly, accommodating measurement error in the covariate as well as missing observations. © The Author 2015. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

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

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.

The impact of non-Gaussianity upon cosmological forecasts

NASA Astrophysics Data System (ADS)

Repp, A.; Szapudi, I.; Carron, J.; Wolk, M.

2015-12-01

The primary science driver for 3D galaxy surveys is their potential to constrain cosmological parameters. Forecasts of these surveys' effectiveness typically assume Gaussian statistics for the underlying matter density, despite the fact that the actual distribution is decidedly non-Gaussian. To quantify the effect of this assumption, we employ an analytic expression for the power spectrum covariance matrix to calculate the Fisher information for Baryon Acoustic Oscillation (BAO)-type model surveys. We find that for typical number densities, at kmax = 0.5h Mpc-1, Gaussian assumptions significantly overestimate the information on all parameters considered, in some cases by up to an order of magnitude. However, after marginalizing over a six-parameter set, the form of the covariance matrix (dictated by N-body simulations) causes the majority of the effect to shift to the `amplitude-like' parameters, leaving the others virtually unaffected. We find that Gaussian assumptions at such wavenumbers can underestimate the dark energy parameter errors by well over 50 per cent, producing dark energy figures of merit almost three times too large. Thus, for 3D galaxy surveys probing the non-linear regime, proper consideration of non-Gaussian effects is essential.

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…

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.

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.

The use of a covariate reduces experimental error in nutrient digestion studies in growing pigs

USDA-ARS?s Scientific Manuscript database

Covariance analysis limits error, the degree of nuisance variation, and overparameterizing factors to accurately measure treatment effects. Data dealing with growth, carcass composition, and genetics often utilize covariates in data analysis. In contrast, nutritional studies typically do not. The ob...

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.

Improved characterisation and modelling of measurement errors in electrical resistivity tomography (ERT) surveys

NASA Astrophysics Data System (ADS)

Tso, Chak-Hau Michael; Kuras, Oliver; Wilkinson, Paul B.; Uhlemann, Sebastian; Chambers, Jonathan E.; Meldrum, Philip I.; Graham, James; Sherlock, Emma F.; Binley, Andrew

2017-11-01

Measurement errors can play a pivotal role in geophysical inversion. Most inverse models require users to prescribe or assume a statistical model of data errors before inversion. Wrongly prescribed errors can lead to over- or under-fitting of data; however, the derivation of models of data errors is often neglected. With the heightening interest in uncertainty estimation within hydrogeophysics, better characterisation and treatment of measurement errors is needed to provide improved image appraisal. Here we focus on the role of measurement errors in electrical resistivity tomography (ERT). We have analysed two time-lapse ERT datasets: one contains 96 sets of direct and reciprocal data collected from a surface ERT line within a 24 h timeframe; the other is a two-year-long cross-borehole survey at a UK nuclear site with 246 sets of over 50,000 measurements. Our study includes the characterisation of the spatial and temporal behaviour of measurement errors using autocorrelation and correlation coefficient analysis. We find that, in addition to well-known proportionality effects, ERT measurements can also be sensitive to the combination of electrodes used, i.e. errors may not be uncorrelated as often assumed. Based on these findings, we develop a new error model that allows grouping based on electrode number in addition to fitting a linear model to transfer resistance. The new model explains the observed measurement errors better and shows superior inversion results and uncertainty estimates in synthetic examples. It is robust, because it groups errors together based on the electrodes used to make the measurements. The new model can be readily applied to the diagonal data weighting matrix widely used in common inversion methods, as well as to the data covariance matrix in a Bayesian inversion framework. We demonstrate its application using extensive ERT monitoring datasets from the two aforementioned sites.

The Computational Complexity, Parallel Scalability, and Performance of Atmospheric Data Assimilation Algorithms

NASA Technical Reports Server (NTRS)

Lyster, Peter M.; Guo, J.; Clune, T.; Larson, J. W.; Atlas, Robert (Technical Monitor)

2001-01-01

The computational complexity of algorithms for Four Dimensional Data Assimilation (4DDA) at NASA's Data Assimilation Office (DAO) is discussed. In 4DDA, observations are assimilated with the output of a dynamical model to generate best-estimates of the states of the system. It is thus a mapping problem, whereby scattered observations are converted into regular accurate maps of wind, temperature, moisture and other variables. The DAO is developing and using 4DDA algorithms that provide these datasets, or analyses, in support of Earth System Science research. Two large-scale algorithms are discussed. The first approach, the Goddard Earth Observing System Data Assimilation System (GEOS DAS), uses an atmospheric general circulation model (GCM) and an observation-space based analysis system, the Physical-space Statistical Analysis System (PSAS). GEOS DAS is very similar to global meteorological weather forecasting data assimilation systems, but is used at NASA for climate research. Systems of this size typically run at between 1 and 20 gigaflop/s. The second approach, the Kalman filter, uses a more consistent algorithm to determine the forecast error covariance matrix than does GEOS DAS. For atmospheric assimilation, the gridded dynamical fields typically have More than 10(exp 6) variables, therefore the full error covariance matrix may be in excess of a teraword. For the Kalman filter this problem can easily scale to petaflop/s proportions. We discuss the computational complexity of GEOS DAS and our implementation of the Kalman filter. We also discuss and quantify some of the technical issues and limitations in developing efficient, in terms of wall clock time, and scalable parallel implementations of the algorithms.

Momentum Flux Determination Using the Multi-beam Poker Flat Incoherent Scatter Radar

NASA Technical Reports Server (NTRS)

Nicolls, M. J.; Fritts, D. C.; Janches, Diego; Heinselman, C. J.

2012-01-01

In this paper, we develop an estimator for the vertical flux of horizontal momentum with arbitrary beam pointing, applicable to the case of arbitrary but fixed beam pointing with systems such as the Poker Flat Incoherent Scatter Radar (PFISR). This method uses information from all available beams to resolve the variances of the wind field in addition to the vertical flux of both meridional and zonal momentum, targeted for high-frequency wave motions. The estimator utilises the full covariance of the distributed measurements, which provides a significant reduction in errors over the direct extension of previously developed techniques and allows for the calculation of an error covariance matrix of the estimated quantities. We find that for the PFISR experiment, we can construct an unbiased and robust estimator of the momentum flux if sufficient and proper beam orientations are chosen, which can in the future be optimized for the expected frequency distribution of momentum-containing scales. However, there is a potential trade-off between biases and standard errors introduced with the new approach, which must be taken into account when assessing the momentum fluxes. We apply the estimator to PFISR measurements on 23 April 2008 and 21 December 2007, from 60-85 km altitude, and show expected results as compared to mean winds and in relation to the measured vertical velocity variances.

Performance Analysis of Local Ensemble Kalman Filter

NASA Astrophysics Data System (ADS)

Tong, Xin T.

2018-03-01

Ensemble Kalman filter (EnKF) is an important data assimilation method for high-dimensional geophysical systems. Efficient implementation of EnKF in practice often involves the localization technique, which updates each component using only information within a local radius. This paper rigorously analyzes the local EnKF (LEnKF) for linear systems and shows that the filter error can be dominated by the ensemble covariance, as long as (1) the sample size exceeds the logarithmic of state dimension and a constant that depends only on the local radius; (2) the forecast covariance matrix admits a stable localized structure. In particular, this indicates that with small system and observation noises, the filter error will be accurate in long time even if the initialization is not. The analysis also reveals an intrinsic inconsistency caused by the localization technique, and a stable localized structure is necessary to control this inconsistency. While this structure is usually taken for granted for the operation of LEnKF, it can also be rigorously proved for linear systems with sparse local observations and weak local interactions. These theoretical results are also validated by numerical implementation of LEnKF on a simple stochastic turbulence in two dynamical regimes.

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)

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.

Adaptive framework to better characterize errors of apriori fluxes and observational residuals in a Bayesian setup for the urban flux inversions.

NASA Astrophysics Data System (ADS)

Ghosh, S.; Lopez-Coto, I.; Prasad, K.; Karion, A.; Mueller, K.; Gourdji, S.; Martin, C.; Whetstone, J. R.

2017-12-01

The National Institute of Standards and Technology (NIST) supports the North-East Corridor Baltimore Washington (NEC-B/W) project and Indianapolis Flux Experiment (INFLUX) aiming to quantify sources of Greenhouse Gas (GHG) emissions as well as their uncertainties. These projects employ different flux estimation methods including top-down inversion approaches. The traditional Bayesian inversion method estimates emission distributions by updating prior information using atmospheric observations of Green House Gases (GHG) coupled to an atmospheric and dispersion model. The magnitude of the update is dependent upon the observed enhancement along with the assumed errors such as those associated with prior information and the atmospheric transport and dispersion model. These errors are specified within the inversion covariance matrices. The assumed structure and magnitude of the specified errors can have large impact on the emission estimates from the inversion. The main objective of this work is to build a data-adaptive model for these covariances matrices. We construct a synthetic data experiment using a Kalman Filter inversion framework (Lopez et al., 2017) employing different configurations of transport and dispersion model and an assumed prior. Unlike previous traditional Bayesian approaches, we estimate posterior emissions using regularized sample covariance matrices associated with prior errors to investigate whether the structure of the matrices help to better recover our hypothetical true emissions. To incorporate transport model error, we use ensemble of transport models combined with space-time analytical covariance to construct a covariance that accounts for errors in space and time. A Kalman Filter is then run using these covariances along with Maximum Likelihood Estimates (MLE) of the involved parameters. Preliminary results indicate that specifying sptio-temporally varying errors in the error covariances can improve the flux estimates and uncertainties. We also demonstrate that differences between the modeled and observed meteorology can be used to predict uncertainties associated with atmospheric transport and dispersion modeling which can help improve the skill of an inversion at urban scales.

Suboptimal schemes for atmospheric data assimilation based on the Kalman filter

NASA Technical Reports Server (NTRS)

Todling, Ricardo; Cohn, Stephen E.

1994-01-01

This work is directed toward approximating the evolution of forecast error covariances for data assimilation. The performance of different algorithms based on simplification of the standard Kalman filter (KF) is studied. These are suboptimal schemes (SOSs) when compared to the KF, which is optimal for linear problems with known statistics. The SOSs considered here are several versions of optimal interpolation (OI), a scheme for height error variance advection, and a simplified KF in which the full height error covariance is advected. To employ a methodology for exact comparison among these schemes, a linear environment is maintained, in which a beta-plane shallow-water model linearized about a constant zonal flow is chosen for the test-bed dynamics. The results show that constructing dynamically balanced forecast error covariances rather than using conventional geostrophically balanced ones is essential for successful performance of any SOS. A posteriori initialization of SOSs to compensate for model - data imbalance sometimes results in poor performance. Instead, properly constructed dynamically balanced forecast error covariances eliminate the need for initialization. When the SOSs studied here make use of dynamically balanced forecast error covariances, the difference among their performances progresses naturally from conventional OI to the KF. In fact, the results suggest that even modest enhancements of OI, such as including an approximate dynamical equation for height error variances while leaving height error correlation structure homogeneous, go a long way toward achieving the performance of the KF, provided that dynamically balanced cross-covariances are constructed and that model errors are accounted for properly. The results indicate that such enhancements are necessary if unconventional data are to have a positive impact.

Comment on 'Controversy concerning the definition of quark and gluon angular momentum' by Elliot Leader [PRD 83, 096012 (2011)

NASA Astrophysics Data System (ADS)

Lin, Huey-Wen; Liu, Keh-Fei

2012-03-01

It is argued by the author that the canonical form of the quark energy-momentum tensor with a partial derivative instead of the covariant derivative is the correct definition for the quark momentum and angular momentum fraction of the nucleon in covariant quantization. Although it is not manifestly gauge-invariant, its matrix elements in the nucleon will be nonvanishing and are gauge-invariant. We test this idea in the path-integral quantization by calculating correlation functions on the lattice with a gauge-invariant nucleon interpolation field and replacing the gauge link in the quark lattice momentum operator with unity, which corresponds to the partial derivative in the continuum. We find that the ratios of three-point to two-point functions are zero within errors for both the u and d quarks, contrary to the case without setting the gauge links to unity.

[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.

Evaluation of Approaches to Deal with Low-Frequency Nuisance Covariates in Population Pharmacokinetic Analyses.

PubMed

Lagishetty, Chakradhar V; Duffull, Stephen B

2015-11-01

Clinical studies include occurrences of rare variables, like genotypes, which due to their frequency and strength render their effects difficult to estimate from a dataset. Variables that influence the estimated value of a model-based parameter are termed covariates. It is often difficult to determine if such an effect is significant, since type I error can be inflated when the covariate is rare. Their presence may have either an insubstantial effect on the parameters of interest, hence are ignorable, or conversely they may be influential and therefore non-ignorable. In the case that these covariate effects cannot be estimated due to power and are non-ignorable, then these are considered nuisance, in that they have to be considered but due to type 1 error are of limited interest. This study assesses methods of handling nuisance covariate effects. The specific objectives include (1) calibrating the frequency of a covariate that is associated with type 1 error inflation, (2) calibrating its strength that renders it non-ignorable and (3) evaluating methods for handling these non-ignorable covariates in a nonlinear mixed effects model setting. Type 1 error was determined for the Wald test. Methods considered for handling the nuisance covariate effects were case deletion, Box-Cox transformation and inclusion of a specific fixed effects parameter. Non-ignorable nuisance covariates were found to be effectively handled through addition of a fixed effect parameter.

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.

Tests for detecting overdispersion in models with measurement error in covariates.

PubMed

Yang, Yingsi; Wong, Man Yu

2015-11-30

Measurement error in covariates can affect the accuracy in count data modeling and analysis. In overdispersion identification, the true mean-variance relationship can be obscured under the influence of measurement error in covariates. In this paper, we propose three tests for detecting overdispersion when covariates are measured with error: a modified score test and two score tests based on the proposed approximate likelihood and quasi-likelihood, respectively. The proposed approximate likelihood is derived under the classical measurement error model, and the resulting approximate maximum likelihood estimator is shown to have superior efficiency. Simulation results also show that the score test based on approximate likelihood outperforms the test based on quasi-likelihood and other alternatives in terms of empirical power. By analyzing a real dataset containing the health-related quality-of-life measurements of a particular group of patients, we demonstrate the importance of the proposed methods by showing that the analyses with and without measurement error correction yield significantly different results. Copyright © 2015 John Wiley & Sons, Ltd.

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.

Using SAS PROC CALIS to fit Level-1 error covariance structures of latent growth models.

PubMed

Ding, Cherng G; Jane, Ten-Der

2012-09-01

In the present article, we demonstrates the use of SAS PROC CALIS to fit various types of Level-1 error covariance structures of latent growth models (LGM). Advantages of the SEM approach, on which PROC CALIS is based, include the capabilities of modeling the change over time for latent constructs, measured by multiple indicators; embedding LGM into a larger latent variable model; incorporating measurement models for latent predictors; and better assessing model fit and the flexibility in specifying error covariance structures. The strength of PROC CALIS is always accompanied with technical coding work, which needs to be specifically addressed. We provide a tutorial on the SAS syntax for modeling the growth of a manifest variable and the growth of a latent construct, focusing the documentation on the specification of Level-1 error covariance structures. Illustrations are conducted with the data generated from two given latent growth models. The coding provided is helpful when the growth model has been well determined and the Level-1 error covariance structure is to be identified.

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…

A Study on Mutil-Scale Background Error Covariances in 3D-Var Data Assimilation

NASA Astrophysics Data System (ADS)

Zhang, Xubin; Tan, Zhe-Min

2017-04-01

The construction of background error covariances is a key component of three-dimensional variational data assimilation. There are different scale background errors and interactions among them in the numerical weather Prediction. However, the influence of these errors and their interactions cannot be represented in the background error covariances statistics when estimated by the leading methods. So, it is necessary to construct background error covariances influenced by multi-scale interactions among errors. With the NMC method, this article firstly estimates the background error covariances at given model-resolution scales. And then the information of errors whose scales are larger and smaller than the given ones is introduced respectively, using different nesting techniques, to estimate the corresponding covariances. The comparisons of three background error covariances statistics influenced by information of errors at different scales reveal that, the background error variances enhance particularly at large scales and higher levels when introducing the information of larger-scale errors by the lateral boundary condition provided by a lower-resolution model. On the other hand, the variances reduce at medium scales at the higher levels, while those show slight improvement at lower levels in the nested domain, especially at medium and small scales, when introducing the information of smaller-scale errors by nesting a higher-resolution model. In addition, the introduction of information of larger- (smaller-) scale errors leads to larger (smaller) horizontal and vertical correlation scales of background errors. Considering the multivariate correlations, the Ekman coupling increases (decreases) with the information of larger- (smaller-) scale errors included, whereas the geostrophic coupling in free atmosphere weakens in both situations. The three covariances obtained in above work are used in a data assimilation and model forecast system respectively, and then the analysis-forecast cycles for a period of 1 month are conducted. Through the comparison of both analyses and forecasts from this system, it is found that the trends for variation in analysis increments with information of different scale errors introduced are consistent with those for variation in variances and correlations of background errors. In particular, introduction of smaller-scale errors leads to larger amplitude of analysis increments for winds at medium scales at the height of both high- and low- level jet. And analysis increments for both temperature and humidity are greater at the corresponding scales at middle and upper levels under this circumstance. These analysis increments improve the intensity of jet-convection system which includes jets at different levels and coupling between them associated with latent heat release, and these changes in analyses contribute to the better forecasts for winds and temperature in the corresponding areas. When smaller-scale errors are included, analysis increments for humidity enhance significantly at large scales at lower levels to moisten southern analyses. This humidification devotes to correcting dry bias there and eventually improves forecast skill of humidity. Moreover, inclusion of larger- (smaller-) scale errors is beneficial for forecast quality of heavy (light) precipitation at large (small) scales due to the amplification (diminution) of intensity and area in precipitation forecasts but tends to overestimate (underestimate) light (heavy) precipitation .

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

Improved Satellite Launcher Navigation Performance by Using the Reference Trajectory Data

DTIC Science & Technology

2015-04-16

The roll rate is considered as unaffected by the wind. • Only the random walk is modeled for the accelerometers and rate gyroscopes imperfec- tions...where δψe is the yaw estimation error of the navigation. Inserting (3) in (2): ψr = Gψ(s)(ψd−ψr−δψe)+ GI(s)ωwψ (4) 4 and isolating ψr in the previous...dynamics: Gθ (s) = Gψ(s) (15) The open loop roll dynamics is: Gφ (s) = 1.2 s(2s + 1) (16) The state covariance matrix of the Kalman filter is calculated

On the Likely Utility of Hybrid Weights Optimized for Variances in Hybrid Error Covariance Models

NASA Astrophysics Data System (ADS)

Satterfield, E.; Hodyss, D.; Kuhl, D.; Bishop, C. H.

2017-12-01

Because of imperfections in ensemble data assimilation schemes, one cannot assume that the ensemble covariance is equal to the true error covariance of a forecast. Previous work demonstrated how information about the distribution of true error variances given an ensemble sample variance can be revealed from an archive of (observation-minus-forecast, ensemble-variance) data pairs. Here, we derive a simple and intuitively compelling formula to obtain the mean of this distribution of true error variances given an ensemble sample variance from (observation-minus-forecast, ensemble-variance) data pairs produced by a single run of a data assimilation system. This formula takes the form of a Hybrid weighted average of the climatological forecast error variance and the ensemble sample variance. Here, we test the extent to which these readily obtainable weights can be used to rapidly optimize the covariance weights used in Hybrid data assimilation systems that employ weighted averages of static covariance models and flow-dependent ensemble based covariance models. Univariate data assimilation and multi-variate cycling ensemble data assimilation are considered. In both cases, it is found that our computationally efficient formula gives Hybrid weights that closely approximate the optimal weights found through the simple but computationally expensive process of testing every plausible combination of weights.

On the role of covariance information for GRACE K-band observations in the Celestial Mechanics Approach

NASA Astrophysics Data System (ADS)

Bentel, Katrin; Meyer, Ulrich; Arnold, Daniel; Jean, Yoomin; Jäggi, Adrian

2017-04-01

The Astronomical Institute at the University of Bern (AIUB) derives static and time-variable gravity fields by means of the Celestial Mechanics Approach (CMA) from GRACE (level 1B) data. This approach makes use of the close link between orbit and gravity field determination. GPS-derived kinematic GRACE orbit positions, inter-satellite K-band observations, which are the core observations of GRACE, and accelerometer data are combined to rigorously estimate orbit and spherical harmonic gravity field coefficients in one adjustment step. Pseudo-stochastic orbit parameters are set up to absorb unmodeled noise. The K-band range measurements in along-track direction lead to a much higher correlation of the observations in this direction compared to the other directions and thus, to north-south stripes in the unconstrained gravity field solutions, so-called correlated errors. By using a full covariance matrix for the K-band observations the correlation can be taken into account. One possibility is to derive correlation information from post-processing K-band residuals. This is then used in a second iteration step to derive an improved gravity field solution. We study the effects of pre-defined covariance matrices and residual-derived covariance matrices on the final gravity field product with the CMA.

On the Error State Selection for Stationary SINS Alignment and Calibration Kalman Filters—Part II: Observability/Estimability Analysis

PubMed Central

Silva, Felipe O.; Hemerly, Elder M.; Leite Filho, Waldemar C.

2017-01-01

This paper presents the second part of a study aiming at the error state selection in Kalman filters applied to the stationary self-alignment and calibration (SSAC) problem of strapdown inertial navigation systems (SINS). The observability properties of the system are systematically investigated, and the number of unobservable modes is established. Through the analytical manipulation of the full SINS error model, the unobservable modes of the system are determined, and the SSAC error states (except the velocity errors) are proven to be individually unobservable. The estimability of the system is determined through the examination of the major diagonal terms of the covariance matrix and their eigenvalues/eigenvectors. Filter order reduction based on observability analysis is shown to be inadequate, and several misconceptions regarding SSAC observability and estimability deficiencies are removed. As the main contributions of this paper, we demonstrate that, except for the position errors, all error states can be minimally estimated in the SSAC problem and, hence, should not be removed from the filter. Corroborating the conclusions of the first part of this study, a 12-state Kalman filter is found to be the optimal error state selection for SSAC purposes. Results from simulated and experimental tests support the outlined conclusions. PMID:28241494

Nonparametric Estimation of Standard Errors in Covariance Analysis Using the Infinitesimal Jackknife

ERIC Educational Resources Information Center

Jennrich, Robert I.

2008-01-01

The infinitesimal jackknife provides a simple general method for estimating standard errors in covariance structure analysis. Beyond its simplicity and generality what makes the infinitesimal jackknife method attractive is that essentially no assumptions are required to produce consistent standard error estimates, not even the requirement that the…

Error analysis in stereo vision for location measurement of 3D point

NASA Astrophysics Data System (ADS)

Li, Yunting; Zhang, Jun; Tian, Jinwen

2015-12-01

Location measurement of 3D point in stereo vision is subjected to different sources of uncertainty that propagate to the final result. For current methods of error analysis, most of them are based on ideal intersection model to calculate the uncertainty region of point location via intersecting two fields of view of pixel that may produce loose bounds. Besides, only a few of sources of error such as pixel error or camera position are taken into account in the process of analysis. In this paper we present a straightforward and available method to estimate the location error that is taken most of source of error into account. We summed up and simplified all the input errors to five parameters by rotation transformation. Then we use the fast algorithm of midpoint method to deduce the mathematical relationships between target point and the parameters. Thus, the expectations and covariance matrix of 3D point location would be obtained, which can constitute the uncertainty region of point location. Afterwards, we turned back to the error propagation of the primitive input errors in the stereo system and throughout the whole analysis process from primitive input errors to localization error. Our method has the same level of computational complexity as the state-of-the-art method. Finally, extensive experiments are performed to verify the performance of our methods.

A Wavelet Based Suboptimal Kalman Filter for Assimilation of Stratospheric Chemical Tracer Observations

NASA Technical Reports Server (NTRS)

Auger, Ludovic; Tangborn, Andrew; Atlas, Robert (Technical Monitor)

2002-01-01

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. 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, 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 a 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 tracer field.

On-line estimation of error covariance parameters for atmospheric data assimilation

NASA Technical Reports Server (NTRS)

Dee, Dick P.

1995-01-01

A simple scheme is presented for on-line estimation of covariance parameters in statistical data assimilation systems. The scheme is based on a maximum-likelihood approach in which estimates are produced on the basis of a single batch of simultaneous observations. Simple-sample covariance estimation is reasonable as long as the number of available observations exceeds the number of tunable parameters by two or three orders of magnitude. Not much is known at present about model error associated with actual forecast systems. Our scheme can be used to estimate some important statistical model error parameters such as regionally averaged variances or characteristic correlation length scales. The advantage of the single-sample approach is that it does not rely on any assumptions about the temporal behavior of the covariance parameters: time-dependent parameter estimates can be continuously adjusted on the basis of current observations. This is of practical importance since it is likely to be the case that both model error and observation error strongly depend on the actual state of the atmosphere. The single-sample estimation scheme can be incorporated into any four-dimensional statistical data assimilation system that involves explicit calculation of forecast error covariances, including optimal interpolation (OI) and the simplified Kalman filter (SKF). The computational cost of the scheme is high but not prohibitive; on-line estimation of one or two covariance parameters in each analysis box of an operational bozed-OI system is currently feasible. A number of numerical experiments performed with an adaptive SKF and an adaptive version of OI, using a linear two-dimensional shallow-water model and artificially generated model error are described. The performance of the nonadaptive versions of these methods turns out to depend rather strongly on correct specification of model error parameters. These parameters are estimated under a variety of conditions, including uniformly distributed model error and time-dependent model error statistics.

The covariance matrix for the solution vector of an equality-constrained least-squares problem

NASA Technical Reports Server (NTRS)

Lawson, C. L.

1976-01-01

Methods are given for computing the covariance matrix for the solution vector of an equality-constrained least squares problem. The methods are matched to the solution algorithms given in the book, 'Solving Least Squares Problems.'

A Systematic Approach for Identifying Level-1 Error Covariance Structures in Latent Growth Modeling

ERIC Educational Resources Information Center

Ding, Cherng G.; Jane, Ten-Der; Wu, Chiu-Hui; Lin, Hang-Rung; Shen, Chih-Kang

2017-01-01

It has been pointed out in the literature that misspecification of the level-1 error covariance structure in latent growth modeling (LGM) has detrimental impacts on the inferences about growth parameters. Since correct covariance structure is difficult to specify by theory, the identification needs to rely on a specification search, which,…

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.

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.

Uncertainty in the visibility mask of a survey and its effects on the clustering of biased tracers

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

Colavincenzo, M.; Monaco, P.; Borgani, S.

The forecasted accuracy of upcoming surveys of large-scale structure cannot be achieved without a proper quantification of the error induced by foreground removal (or other systematics like 0-point photometry offset). Because these errors are highly correlated on the sky, their influence is expected to be especially important at very large scales, at and beyond the first Baryonic Acoustic Oscillation (BAO). In this work we quantify how the uncertainty in the visibility mask of a survey, that gives the survey depth in a specific sky area, influences the measured power spectrum of a sample of tracers of the density field andmore » its covariance matrix. We start from a very large set of 10,000 catalogs of dark matter (DM) halos in periodic cosmological boxes, produced with the PINOCCHIO approximate method. To make an analytic approach feasible, we assume luminosity-independent halo bias and an idealized geometry for the visibility mask, that is constant in square tiles of physical length l ; this should be interpreted as the projection, at the observation redshift, of the angular correlation scale of the foreground residuals. We find that the power spectrum of these biased tracers can be expressed as the sum of a cosmological term, a mask term and a term involving their convolution. The mask and convolution terms scale like P ∝ l {sup 2}σ {sub A} {sup 2}, where σ {sub A} {sup 2} is the variance of the uncertainty on the visibility mask. With l = 30−100 Mpc/ h and σ {sub A} = 5−20%, the mask term can be significant at k ∼ 0.01−0.1 h /Mpc, and the convolution term can amount to ∼ 1−10% of the total. The influence of mask uncertainty on power spectrum covariance is more complicated: the coupling of the convolution term with the other two gives rise to several mixed terms, that we quantify by difference using the mock catalogs. These are found to be of the same order of the mask covariance, and to introduce non-diagonal terms at large scales. As a consequence, the power spectrum covariance matrix cannot be expressed as the sum of a cosmological and of a mask term. More realistic settings (realistic foregrounds, luminosity-dependent bias) make the analytical approach not feasible, and the problem requires on the one hand usage of extended sets of mock catalogs, on the other hand detailed knowledge of the correlations among errors in the visibility masks. Our results lie down the theoretical bases to quantify the impact that uncertainties in the mask calibration have on the derivation of cosmological constraints from large spectroscopic surveys.« less

Statistics of the residual refraction errors in laser ranging data

NASA Technical Reports Server (NTRS)

Gardner, C. S.

1977-01-01

A theoretical model for the range error covariance was derived by assuming that the residual refraction errors are due entirely to errors in the meteorological data which are used to calculate the atmospheric correction. The properties of the covariance function are illustrated by evaluating the theoretical model for the special case of a dense network of weather stations uniformly distributed within a circle.

Weight Vector Fluctuations in Adaptive Antenna Arrays Tuned Using the Least-Mean-Square Error Algorithm with Quadratic Constraint

NASA Astrophysics Data System (ADS)

Zimina, S. V.

2015-06-01

We present the results of statistical analysis of an adaptive antenna array tuned using the least-mean-square error algorithm with quadratic constraint on the useful-signal amplification with allowance for the weight-coefficient fluctuations. Using the perturbation theory, the expressions for the correlation function and power of the output signal of the adaptive antenna array, as well as the formula for the weight-vector covariance matrix are obtained in the first approximation. The fluctuations are shown to lead to the signal distortions at the antenna-array output. The weight-coefficient fluctuations result in the appearance of additional terms in the statistical characteristics of the antenna array. It is also shown that the weight-vector fluctuations are isotropic, i.e., identical in all directions of the weight-coefficient space.

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

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.

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.

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.

Two-step estimation in ratio-of-mediator-probability weighted causal mediation analysis.

PubMed

Bein, Edward; Deutsch, Jonah; Hong, Guanglei; Porter, Kristin E; Qin, Xu; Yang, Cheng

2018-04-15

This study investigates appropriate estimation of estimator variability in the context of causal mediation analysis that employs propensity score-based weighting. Such an analysis decomposes the total effect of a treatment on the outcome into an indirect effect transmitted through a focal mediator and a direct effect bypassing the mediator. Ratio-of-mediator-probability weighting estimates these causal effects by adjusting for the confounding impact of a large number of pretreatment covariates through propensity score-based weighting. In step 1, a propensity score model is estimated. In step 2, the causal effects of interest are estimated using weights derived from the prior step's regression coefficient estimates. Statistical inferences obtained from this 2-step estimation procedure are potentially problematic if the estimated standard errors of the causal effect estimates do not reflect the sampling uncertainty in the estimation of the weights. This study extends to ratio-of-mediator-probability weighting analysis a solution to the 2-step estimation problem by stacking the score functions from both steps. We derive the asymptotic variance-covariance matrix for the indirect effect and direct effect 2-step estimators, provide simulation results, and illustrate with an application study. Our simulation results indicate that the sampling uncertainty in the estimated weights should not be ignored. The standard error estimation using the stacking procedure offers a viable alternative to bootstrap standard error estimation. We discuss broad implications of this approach for causal analysis involving propensity score-based weighting. Copyright © 2018 John Wiley & Sons, Ltd.

A theory for modeling ground-water flow in heterogeneous media

USGS Publications Warehouse

Cooley, Richard L.

2004-01-01

Construction of a ground-water model for a field area is not a straightforward process. Data are virtually never complete or detailed enough to allow substitution into the model equations and direct computation of the results of interest. Formal model calibration through optimization, statistical, and geostatistical methods is being applied to an increasing extent to deal with this problem and provide for quantitative evaluation and uncertainty analysis of the model. However, these approaches are hampered by two pervasive problems: 1) nonlinearity of the solution of the model equations with respect to some of the model (or hydrogeologic) input variables (termed in this report system characteristics) and 2) detailed and generally unknown spatial variability (heterogeneity) of some of the system characteristics such as log hydraulic conductivity, specific storage, recharge and discharge, and boundary conditions. A theory is developed in this report to address these problems. The theory allows construction and analysis of a ground-water model of flow (and, by extension, transport) in heterogeneous media using a small number of lumped or smoothed system characteristics (termed parameters). The theory fully addresses both nonlinearity and heterogeneity in such a way that the parameters are not assumed to be effective values. The ground-water flow system is assumed to be adequately characterized by a set of spatially and temporally distributed discrete values, ?, of the system characteristics. This set contains both small-scale variability that cannot be described in a model and large-scale variability that can. The spatial and temporal variability in ? are accounted for by imagining ? to be generated by a stochastic process wherein ? is normally distributed, although normality is not essential. Because ? has too large a dimension to be estimated using the data normally available, for modeling purposes ? is replaced by a smoothed or lumped approximation y?. (where y is a spatial and temporal interpolation matrix). Set y?. has the same form as the expected value of ?, y 'line' ? , where 'line' ? is the set of drift parameters of the stochastic process; ?. is a best-fit vector to ?. A model function f(?), such as a computed hydraulic head or flux, is assumed to accurately represent an actual field quantity, but the same function written using y?., f(y?.), contains error from lumping or smoothing of ? using y?.. Thus, the replacement of ? by y?. yields nonzero mean model errors of the form E(f(?)-f(y?.)) throughout the model and covariances between model errors at points throughout the model. These nonzero means and covariances are evaluated through third and fifth-order accuracy, respectively, using Taylor series expansions. They can have a significant effect on construction and interpretation of a model that is calibrated by estimating ?.. Vector ?.. is estimated as 'hat' ? using weighted nonlinear least squares techniques to fit a set of model functions f(y'hat' ?) to a. corresponding set of observations of f(?), Y. These observations are assumed to be corrupted by zero-mean, normally distributed observation errors, although, as for ?, normality is not essential. An analytical approximation of the nonlinear least squares solution is obtained using Taylor series expansions and perturbation techniques that assume model and observation errors to be small. This solution is used to evaluate biases and other results to second-order accuracy in the errors. The correct weight matrix to use in the analysis is shown to be the inverse of the second-moment matrix E(Y-f(y?.))(Y-f(y?.))', but the weight matrix is assumed to be arbitrary in most developments. The best diagonal approximation is the inverse of the matrix of diagonal elements of E(Y-f(y?.))(Y-f(y?.))', and a method of estimating this diagonal matrix when it is unknown is developed using a special objective function to compute 'hat' ?. When considered to be an estimate of f

A robust bi-orthogonal/dynamically-orthogonal method using the covariance pseudo-inverse with application to stochastic flow problems

NASA Astrophysics Data System (ADS)

Babaee, Hessam; Choi, Minseok; Sapsis, Themistoklis P.; Karniadakis, George Em

2017-09-01

We develop a new robust methodology for the stochastic Navier-Stokes equations based on the dynamically-orthogonal (DO) and bi-orthogonal (BO) methods [1-3]. Both approaches are variants of a generalized Karhunen-Loève (KL) expansion in which both the stochastic coefficients and the spatial basis evolve according to system dynamics, hence, capturing the low-dimensional structure of the solution. The DO and BO formulations are mathematically equivalent [3], but they exhibit computationally complimentary properties. Specifically, the BO formulation may fail due to crossing of the eigenvalues of the covariance matrix, while both BO and DO become unstable when there is a high condition number of the covariance matrix or zero eigenvalues. To this end, we combine the two methods into a robust hybrid framework and in addition we employ a pseudo-inverse technique to invert the covariance matrix. The robustness of the proposed method stems from addressing the following issues in the DO/BO formulation: (i) eigenvalue crossing: we resolve the issue of eigenvalue crossing in the BO formulation by switching to the DO near eigenvalue crossing using the equivalence theorem and switching back to BO when the distance between eigenvalues is larger than a threshold value; (ii) ill-conditioned covariance matrix: we utilize a pseudo-inverse strategy to invert the covariance matrix; (iii) adaptivity: we utilize an adaptive strategy to add/remove modes to resolve the covariance matrix up to a threshold value. In particular, we introduce a soft-threshold criterion to allow the system to adapt to the newly added/removed mode and therefore avoid repetitive and unnecessary mode addition/removal. When the total variance approaches zero, we show that the DO/BO formulation becomes equivalent to the evolution equation of the Optimally Time-Dependent modes [4]. We demonstrate the capability of the proposed methodology with several numerical examples, namely (i) stochastic Burgers equation: we analyze the performance of the method in the presence of eigenvalue crossing and zero eigenvalues; (ii) stochastic Kovasznay flow: we examine the method in the presence of a singular covariance matrix; and (iii) we examine the adaptivity of the method for an incompressible flow over a cylinder where for large stochastic forcing thirteen DO/BO modes are active.

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.

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)

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.

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.

Improved L-BFGS diagonal preconditioners for a large-scale 4D-Var inversion system: application to CO2 flux constraints and analysis error calculation

NASA Astrophysics Data System (ADS)

Bousserez, Nicolas; Henze, Daven; Bowman, Kevin; Liu, Junjie; Jones, Dylan; Keller, Martin; Deng, Feng

2013-04-01

This work presents improved analysis error estimates for 4D-Var systems. From operational NWP models to top-down constraints on trace gas emissions, many of today's data assimilation and inversion systems in atmospheric science rely on variational approaches. This success is due to both the mathematical clarity of these formulations and the availability of computationally efficient minimization algorithms. However, unlike Kalman Filter-based algorithms, these methods do not provide an estimate of the analysis or forecast error covariance matrices, these error statistics being propagated only implicitly by the system. From both a practical (cycling assimilation) and scientific perspective, assessing uncertainties in the solution of the variational problem is critical. For large-scale linear systems, deterministic or randomization approaches can be considered based on the equivalence between the inverse Hessian of the cost function and the covariance matrix of analysis error. For perfectly quadratic systems, like incremental 4D-Var, Lanczos/Conjugate-Gradient algorithms have proven to be most efficient in generating low-rank approximations of the Hessian matrix during the minimization. For weakly non-linear systems though, the Limited-memory Broyden-Fletcher-Goldfarb-Shanno (L-BFGS), a quasi-Newton descent algorithm, is usually considered the best method for the minimization. Suitable for large-scale optimization, this method allows one to generate an approximation to the inverse Hessian using the latest m vector/gradient pairs generated during the minimization, m depending upon the available core memory. At each iteration, an initial low-rank approximation to the inverse Hessian has to be provided, which is called preconditioning. The ability of the preconditioner to retain useful information from previous iterations largely determines the efficiency of the algorithm. Here we assess the performance of different preconditioners to estimate the inverse Hessian of a large-scale 4D-Var system. The impact of using the diagonal preconditioners proposed by Gilbert and Le Maréchal (1989) instead of the usual Oren-Spedicato scalar will be first presented. We will also introduce new hybrid methods that combine randomization estimates of the analysis error variance with L-BFGS diagonal updates to improve the inverse Hessian approximation. Results from these new algorithms will be evaluated against standard large ensemble Monte-Carlo simulations. The methods explored here are applied to the problem of inferring global atmospheric CO2 fluxes using remote sensing observations, and are intended to be integrated with the future NASA Carbon Monitoring System.

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.

Background Error Covariance Estimation using Information from a Single Model Trajectory with Application to Ocean Data Assimilation into the GEOS-5 Coupled Model

NASA Technical Reports Server (NTRS)

Keppenne, Christian L.; Rienecker, Michele M.; Kovach, Robin M.; Vernieres, Guillaume; Koster, Randal D. (Editor)

2014-01-01

An attractive property of ensemble data assimilation methods is that they provide flow dependent background error covariance estimates which can be used to update fields of observed variables as well as fields of unobserved model variables. Two methods to estimate background error covariances are introduced which share the above property with ensemble data assimilation methods but do not involve the integration of multiple model trajectories. Instead, all the necessary covariance information is obtained from a single model integration. The Space Adaptive Forecast error Estimation (SAFE) algorithm estimates error covariances from the spatial distribution of model variables within a single state vector. The Flow Adaptive error Statistics from a Time series (FAST) method constructs an ensemble sampled from a moving window along a model trajectory. SAFE and FAST are applied to the assimilation of Argo temperature profiles into version 4.1 of the Modular Ocean Model (MOM4.1) coupled to the GEOS-5 atmospheric model and to the CICE sea ice model. The results are validated against unassimilated Argo salinity data. They show that SAFE and FAST are competitive with the ensemble optimal interpolation (EnOI) used by the Global Modeling and Assimilation Office (GMAO) to produce its ocean analysis. Because of their reduced cost, SAFE and FAST hold promise for high-resolution data assimilation applications.

Background Error Covariance Estimation Using Information from a Single Model Trajectory with Application to Ocean Data Assimilation

NASA Technical Reports Server (NTRS)

Keppenne, Christian L.; Rienecker, Michele; Kovach, Robin M.; Vernieres, Guillaume

2014-01-01

An attractive property of ensemble data assimilation methods is that they provide flow dependent background error covariance estimates which can be used to update fields of observed variables as well as fields of unobserved model variables. Two methods to estimate background error covariances are introduced which share the above property with ensemble data assimilation methods but do not involve the integration of multiple model trajectories. Instead, all the necessary covariance information is obtained from a single model integration. The Space Adaptive Forecast error Estimation (SAFE) algorithm estimates error covariances from the spatial distribution of model variables within a single state vector. The Flow Adaptive error Statistics from a Time series (FAST) method constructs an ensemble sampled from a moving window along a model trajectory.SAFE and FAST are applied to the assimilation of Argo temperature profiles into version 4.1 of the Modular Ocean Model (MOM4.1) coupled to the GEOS-5 atmospheric model and to the CICE sea ice model. The results are validated against unassimilated Argo salinity data. They show that SAFE and FAST are competitive with the ensemble optimal interpolation (EnOI) used by the Global Modeling and Assimilation Office (GMAO) to produce its ocean analysis. Because of their reduced cost, SAFE and FAST hold promise for high-resolution data assimilation applications.

Ensemble Data Assimilation Without Ensembles: Methodology and Application to Ocean Data Assimilation

NASA Technical Reports Server (NTRS)

Keppenne, Christian L.; Rienecker, Michele M.; Kovach, Robin M.; Vernieres, Guillaume

2013-01-01

Two methods to estimate background error covariances for data assimilation are introduced. While both share properties with the ensemble Kalman filter (EnKF), they differ from it in that they do not require the integration of multiple model trajectories. Instead, all the necessary covariance information is obtained from a single model integration. The first method is referred-to as SAFE (Space Adaptive Forecast error Estimation) because it estimates error covariances from the spatial distribution of model variables within a single state vector. It can thus be thought of as sampling an ensemble in space. The second method, named FAST (Flow Adaptive error Statistics from a Time series), constructs an ensemble sampled from a moving window along a model trajectory. The underlying assumption in these methods is that forecast errors in data assimilation are primarily phase errors in space and/or time.

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.

Estimating and testing interactions when explanatory variables are subject to non-classical measurement error.

PubMed

Murad, Havi; Kipnis, Victor; Freedman, Laurence S

2016-10-01

Assessing interactions in linear regression models when covariates have measurement error (ME) is complex.We previously described regression calibration (RC) methods that yield consistent estimators and standard errors for interaction coefficients of normally distributed covariates having classical ME. Here we extend normal based RC (NBRC) and linear RC (LRC) methods to a non-classical ME model, and describe more efficient versions that combine estimates from the main study and internal sub-study. We apply these methods to data from the Observing Protein and Energy Nutrition (OPEN) study. Using simulations we show that (i) for normally distributed covariates efficient NBRC and LRC were nearly unbiased and performed well with sub-study size ≥200; (ii) efficient NBRC had lower MSE than efficient LRC; (iii) the naïve test for a single interaction had type I error probability close to the nominal significance level, whereas efficient NBRC and LRC were slightly anti-conservative but more powerful; (iv) for markedly non-normal covariates, efficient LRC yielded less biased estimators with smaller variance than efficient NBRC. Our simulations suggest that it is preferable to use: (i) efficient NBRC for estimating and testing interaction effects of normally distributed covariates and (ii) efficient LRC for estimating and testing interactions for markedly non-normal covariates. © The Author(s) 2013.

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

Improved Analysis of Time Series with Temporally Correlated Errors: An Algorithm that Reduces the Computation Time.

NASA Astrophysics Data System (ADS)

Langbein, J. O.

2016-12-01

Most time series of geophysical phenomena are contaminated with temporally correlated errors that limit the precision of any derived parameters. Ignoring temporal correlations will result in biased and unrealistic estimates of velocity and its error estimated from geodetic position measurements. Obtaining 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 when 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/fn , with frequency, f. Time domain techniques involving construction and inversion of large data covariance matrices are employed. Bos et al. [2012] demonstrate one technique that substantially increases the efficiency of the MLE methods, but it provides only an approximate solution for power-law indices greater than 1.0. 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 and it provides robust results for a wide range of power-law indices. With the new formulation, the efficiency is typically improved by about a factor of 8 over previous MLE algorithms [Langbein, 2004]. The new algorithm can be downloaded at http://earthquake.usgs.gov/research/software/#est_noise. The main program provides a number of basic functions that can be used to model the time-dependent part of time series and a variety of models that describe the temporal covariance of the data. In addition, the program is packaged with a few companion programs and scripts that can help with data analysis and with interpretation of the noise modeling.

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.

How large are the consequences of covariate imbalance in cluster randomized trials: a simulation study with a continuous outcome and a binary covariate at the cluster level.

PubMed

Moerbeek, Mirjam; van Schie, Sander

2016-07-11

The number of clusters in a cluster randomized trial is often low. It is therefore likely random assignment of clusters to treatment conditions results in covariate imbalance. There are no studies that quantify the consequences of covariate imbalance in cluster randomized trials on parameter and standard error bias and on power to detect treatment effects. The consequences of covariance imbalance in unadjusted and adjusted linear mixed models are investigated by means of a simulation study. The factors in this study are the degree of imbalance, the covariate effect size, the cluster size and the intraclass correlation coefficient. The covariate is binary and measured at the cluster level; the outcome is continuous and measured at the individual level. The results show covariate imbalance results in negligible parameter bias and small standard error bias in adjusted linear mixed models. Ignoring the possibility of covariate imbalance while calculating the sample size at the cluster level may result in a loss in power of at most 25 % in the adjusted linear mixed model. The results are more severe for the unadjusted linear mixed model: parameter biases up to 100 % and standard error biases up to 200 % may be observed. Power levels based on the unadjusted linear mixed model are often too low. The consequences are most severe for large clusters and/or small intraclass correlation coefficients since then the required number of clusters to achieve a desired power level is smallest. The possibility of covariate imbalance should be taken into account while calculating the sample size of a cluster randomized trial. Otherwise more sophisticated methods to randomize clusters to treatments should be used, such as stratification or balance algorithms. All relevant covariates should be carefully identified, be actually measured and included in the statistical model to avoid severe levels of parameter and standard error bias and insufficient power levels.

Using Audit Information to Adjust Parameter Estimates for Data Errors in Clinical Trials

PubMed Central

Shepherd, Bryan E.; Shaw, Pamela A.; Dodd, Lori E.

2013-01-01

Background Audits are often performed to assess the quality of clinical trial data, but beyond detecting fraud or sloppiness, the audit data is generally ignored. In earlier work using data from a non-randomized study, Shepherd and Yu (2011) developed statistical methods to incorporate audit results into study estimates, and demonstrated that audit data could be used to eliminate bias. Purpose In this manuscript we examine the usefulness of audit-based error-correction methods in clinical trial settings where a continuous outcome is of primary interest. Methods We demonstrate the bias of multiple linear regression estimates in general settings with an outcome that may have errors and a set of covariates for which some may have errors and others, including treatment assignment, are recorded correctly for all subjects. We study this bias under different assumptions including independence between treatment assignment, covariates, and data errors (conceivable in a double-blinded randomized trial) and independence between treatment assignment and covariates but not data errors (possible in an unblinded randomized trial). We review moment-based estimators to incorporate the audit data and propose new multiple imputation estimators. The performance of estimators is studied in simulations. Results When treatment is randomized and unrelated to data errors, estimates of the treatment effect using the original error-prone data (i.e., ignoring the audit results) are unbiased. In this setting, both moment and multiple imputation estimators incorporating audit data are more variable than standard analyses using the original data. In contrast, in settings where treatment is randomized but correlated with data errors and in settings where treatment is not randomized, standard treatment effect estimates will be biased. And in all settings, parameter estimates for the original, error-prone covariates will be biased. Treatment and covariate effect estimates can be corrected by incorporating audit data using either the multiple imputation or moment-based approaches. Bias, precision, and coverage of confidence intervals improve as the audit size increases. Limitations The extent of bias and the performance of methods depend on the extent and nature of the error as well as the size of the audit. This work only considers methods for the linear model. Settings much different than those considered here need further study. Conclusions In randomized trials with continuous outcomes and treatment assignment independent of data errors, standard analyses of treatment effects will be unbiased and are recommended. However, if treatment assignment is correlated with data errors or other covariates, naive analyses may be biased. In these settings, and when covariate effects are of interest, approaches for incorporating audit results should be considered. PMID:22848072

Exploration and extension of an improved Riemann track fitting algorithm

NASA Astrophysics Data System (ADS)

Strandlie, A.; Frühwirth, R.

2017-09-01

Recently, a new Riemann track fit which operates on translated and scaled measurements has been proposed. This study shows that the new Riemann fit is virtually as precise as popular approaches such as the Kalman filter or an iterative non-linear track fitting procedure, and significantly more precise than other, non-iterative circular track fitting approaches over a large range of measurement uncertainties. The fit is then extended in two directions: first, the measurements are allowed to lie on plane sensors of arbitrary orientation; second, the full error propagation from the measurements to the estimated circle parameters is computed. The covariance matrix of the estimated track parameters can therefore be computed without recourse to asymptotic properties, and is consequently valid for any number of observation. It does, however, assume normally distributed measurement errors. The calculations are validated on a simulated track sample and show excellent agreement with the theoretical expectations.

Assimilation of NUCAPS Retrieved Profiles in GSI for Unique Forecasting Applications

NASA Technical Reports Server (NTRS)

Berndt, Emily Beth; Zavodsky, Bradley; Srikishen, Jayanthi; Blankenship, Clay

2015-01-01

Hyperspectral IR profiles can be assimilated in GSI as a separate observation other than radiosondes with only changes to tables in the fix directory. Assimilation of profiles does produce changes to analysis fields and evidenced by: Innovations larger than +/-2.0 K are present and represent where individual profiles impact the final temperature analysis.The updated temperature analysis is colder behind the cold front and warmer in the warm sector. The updated moisture analysis is modified more in the low levels and tends to be drier than the original model background Analysis of model output shows: Differences relative to 13-km RAP analyses are smaller when profiles are assimilated with NUCAPS errors. CAPE is under-forecasted when assimilating NUCAPS profiles, which could be problematic for severe weather forecasting Refining the assimilation technique to incorporate an error covariance matrix and creating a separate GSI module to assimilate satellite profiles may improve results.

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.

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.

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…

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…

Using Analysis of Covariance (ANCOVA) with Fallible Covariates

ERIC Educational Resources Information Center

Culpepper, Steven Andrew; Aguinis, Herman

2011-01-01

Analysis of covariance (ANCOVA) is used widely in psychological research implementing nonexperimental designs. However, when covariates are fallible (i.e., measured with error), which is the norm, researchers must choose from among 3 inadequate courses of action: (a) know that the assumption that covariates are perfectly reliable is violated but…

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.

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.

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.

Resolution, uncertainty and data predictability of tomographic Lg attenuation models—application to Southeastern China

NASA Astrophysics Data System (ADS)

Chen, Youlin; Xie, Jiakang

2017-07-01

We address two fundamental issues that pertain to Q tomography using high-frequency regional waves, particularly the Lg wave. The first issue is that Q tomography uses complex 'reduced amplitude data' as input. These data are generated by taking the logarithm of the product of (1) the observed amplitudes and (2) the simplified 1D geometrical spreading correction. They are thereby subject to 'modeling errors' that are dominated by uncompensated 3D structural effects; however, no knowledge of the statistical behaviour of these errors exists to justify the widely used least-squares methods for solving Q tomography. The second issue is that Q tomography has been solved using various iterative methods such as LSQR (Least-Squares QR, where QR refers to a QR factorization of a matrix into the product of an orthogonal matrix Q and an upper triangular matrix R) and SIRT (Simultaneous Iterative Reconstruction Technique) that do not allow for the quantitative estimation of model resolution and error. In this study, we conduct the first rigorous analysis of the statistics of the reduced amplitude data and find that the data error distribution is predominantly normal, but with long-tailed outliers. This distribution is similar to that of teleseismic traveltime residuals. We develop a screening procedure to remove outliers so that data closely follow a normal distribution. Next, we develop an efficient tomographic method based on the PROPACK software package to perform singular value decomposition on a data kernel matrix, which enables us to solve for the inverse, model resolution and covariance matrices along with the optimal Q model. These matrices permit for various quantitative model appraisals, including the evaluation of the formal resolution and error. Further, they allow formal uncertainty estimates of predicted data (Q) along future paths to be made at any specified confidence level. This new capability significantly benefits the practical missions of source identification and source size estimation, for which reliable uncertainty estimates are especially important. We apply the new methodologies to data from southeastern China to obtain a 1 Hz Lg Q model, which exhibits patterns consistent with what is known about the geology and tectonics of the region. We also solve for the site response model.

Orbit covariance propagation via quadratic-order state transition matrix in curvilinear coordinates

NASA Astrophysics Data System (ADS)

Hernando-Ayuso, Javier; Bombardelli, Claudio

2017-09-01

In this paper, an analytical second-order state transition matrix (STM) for relative motion in curvilinear coordinates is presented and applied to the problem of orbit uncertainty propagation in nearly circular orbits (eccentricity smaller than 0.1). The matrix is obtained by linearization around a second-order analytical approximation of the relative motion recently proposed by one of the authors and can be seen as a second-order extension of the curvilinear Clohessy-Wiltshire (C-W) solution. The accuracy of the uncertainty propagation is assessed by comparison with numerical results based on Monte Carlo propagation of a high-fidelity model including geopotential and third-body perturbations. Results show that the proposed STM can greatly improve the accuracy of the predicted relative state: the average error is found to be at least one order of magnitude smaller compared to the curvilinear C-W solution. In addition, the effect of environmental perturbations on the uncertainty propagation is shown to be negligible up to several revolutions in the geostationary region and for a few revolutions in low Earth orbit in the worst case.

Orbit-determination performance of Doppler data for interplanetary cruise trajectories. Part 1: Error analysis methodology

NASA Technical Reports Server (NTRS)

Ulvestad, J. S.; Thurman, S. W.

1992-01-01

An error covariance analysis methodology is used to investigate different weighting schemes for two-way (coherent) Doppler data in the presence of transmission-media and observing-platform calibration errors. The analysis focuses on orbit-determination performance in the interplanetary cruise phase of deep-space missions. Analytical models for the Doppler observable and for transmission-media and observing-platform calibration errors are presented, drawn primarily from previous work. Previously published analytical models were improved upon by the following: (1) considering the effects of errors in the calibration of radio signal propagation through the troposphere and ionosphere as well as station-location errors; (2) modelling the spacecraft state transition matrix using a more accurate piecewise-linear approximation to represent the evolution of the spacecraft trajectory; and (3) incorporating Doppler data weighting functions that are functions of elevation angle, which reduce the sensitivity of the estimated spacecraft trajectory to troposphere and ionosphere calibration errors. The analysis is motivated by the need to develop suitable weighting functions for two-way Doppler data acquired at 8.4 GHz (X-band) and 32 GHz (Ka-band). This weighting is likely to be different from that in the weighting functions currently in use; the current functions were constructed originally for use with 2.3 GHz (S-band) Doppler data, which are affected much more strongly by the ionosphere than are the higher frequency data.

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…

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.

An approximate Kalman filter for ocean data assimilation: An example with an idealized Gulf Stream model

NASA Technical Reports Server (NTRS)

Fukumori, Ichiro; Malanotte-Rizzoli, Paola

1995-01-01

A practical method of data assimilation for use with large, nonlinear, ocean general circulation models is explored. A Kalman filter based on approximation of the state error covariance matrix is presented, employing a reduction of the effective model dimension, the error's asymptotic steady state limit, and a time-invariant linearization of the dynamic model for the error integration. The approximations lead to dramatic computational savings in applying estimation theory to large complex systems. We examine the utility of the approximate filter in assimilating different measurement types using a twin experiment of an idealized Gulf Stream. A nonlinear primitive equation model of an unstable east-west jet is studied with a state dimension exceeding 170,000 elements. Assimilation of various pseudomeasurements are examined, including velocity, density, and volume transport at localized arrays and realistic distributions of satellite altimetry and acoustic tomography observations. Results are compared in terms of their effects on the accuracies of the estimation. The approximate filter is shown to outperform an empirical nudging scheme used in a previous study. The examples demonstrate that useful approximate estimation errors can be computed in a practical manner for general circulation models.

An approximate Kalman filter for ocean data assimilation: An example with an idealized Gulf Stream model

NASA Astrophysics Data System (ADS)

Fukumori, Ichiro; Malanotte-Rizzoli, Paola

1995-04-01

A practical method of data assimilation for use with large, nonlinear, ocean general circulation models is explored. A Kaiman filter based on approximations of the state error covariance matrix is presented, employing a reduction of the effective model dimension, the error's asymptotic steady state limit, and a time-invariant linearization of the dynamic model for the error integration. The approximations lead to dramatic computational savings in applying estimation theory to large complex systems. We examine the utility of the approximate filter in assimilating different measurement types using a twin experiment of an idealized Gulf Stream. A nonlinear primitive equation model of an unstable east-west jet is studied with a state dimension exceeding 170,000 elements. Assimilation of various pseudomeasurements are examined, including velocity, density, and volume transport at localized arrays and realistic distributions of satellite altimetry and acoustic tomography observations. Results are compared in terms of their effects on the accuracies of the estimation. The approximate filter is shown to outperform an empirical nudging scheme used in a previous study. The examples demonstrate that useful approximate estimation errors can be computed in a practical manner for general circulation models.

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 Bayesian approach for modal identification using free vibration data, Part I - Most probable value

NASA Astrophysics Data System (ADS)

Zhang, Feng-Liang; Ni, Yan-Chun; Au, Siu-Kui; Lam, Heung-Fai

2016-03-01

The identification of modal properties from field testing of civil engineering structures is becoming economically viable, thanks to the advent of modern sensor and data acquisition technology. Its demand is driven by innovative structural designs and increased performance requirements of dynamic-prone structures that call for a close cross-checking or monitoring of their dynamic properties and responses. Existing instrumentation capabilities and modal identification techniques allow structures to be tested under free vibration, forced vibration (known input) or ambient vibration (unknown broadband loading). These tests can be considered complementary rather than competing as they are based on different modeling assumptions in the identification model and have different implications on costs and benefits. Uncertainty arises naturally in the dynamic testing of structures due to measurement noise, sensor alignment error, modeling error, etc. This is especially relevant in field vibration tests because the test condition in the field environment can hardly be controlled. In this work, a Bayesian statistical approach is developed for modal identification using the free vibration response of structures. A frequency domain formulation is proposed that makes statistical inference based on the Fast Fourier Transform (FFT) of the data in a selected frequency band. This significantly simplifies the identification model because only the modes dominating the frequency band need to be included. It also legitimately ignores the information in the excluded frequency bands that are either irrelevant or difficult to model, thereby significantly reducing modeling error risk. The posterior probability density function (PDF) of the modal parameters is derived rigorously from modeling assumptions and Bayesian probability logic. Computational difficulties associated with calculating the posterior statistics, including the most probable value (MPV) and the posterior covariance matrix, are addressed. Fast computational algorithms for determining the MPV are proposed so that the method can be practically implemented. In the companion paper (Part II), analytical formulae are derived for the posterior covariance matrix so that it can be evaluated without resorting to finite difference method. The proposed method is verified using synthetic data. It is also applied to modal identification of full-scale field structures.

Robustness of meta-analyses in finding gene × environment interactions

PubMed Central

Shi, Gang; Nehorai, Arye

2017-01-01

Meta-analyses that synthesize statistical evidence across studies have become important analytical tools for genetic studies. Inspired by the success of genome-wide association studies of the genetic main effect, researchers are searching for gene × environment interactions. Confounders are routinely included in the genome-wide gene × environment interaction analysis as covariates; however, this does not control for any confounding effects on the results if covariate × environment interactions are present. We carried out simulation studies to evaluate the robustness to the covariate × environment confounder for meta-regression and joint meta-analysis, which are two commonly used meta-analysis methods for testing the gene × environment interaction or the genetic main effect and interaction jointly. Here we show that meta-regression is robust to the covariate × environment confounder while joint meta-analysis is subject to the confounding effect with inflated type I error rates. Given vast sample sizes employed in genome-wide gene × environment interaction studies, non-significant covariate × environment interactions at the study level could substantially elevate the type I error rate at the consortium level. When covariate × environment confounders are present, type I errors can be controlled in joint meta-analysis by including the covariate × environment terms in the analysis at the study level. Alternatively, meta-regression can be applied, which is robust to potential covariate × environment confounders. PMID:28362796

"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.

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.

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.

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.

Covariate Imbalance and Precision in Measuring Treatment Effects

ERIC Educational Resources Information Center

Liu, Xiaofeng Steven

2011-01-01

Covariate adjustment can increase the precision of estimates by removing unexplained variance from the error in randomized experiments, although chance covariate imbalance tends to counteract the improvement in precision. The author develops an easy measure to examine chance covariate imbalance in randomization by standardizing the average…

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 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.

Measurement error is often neglected in medical literature: a systematic review.

PubMed

Brakenhoff, Timo B; Mitroiu, Marian; Keogh, Ruth H; Moons, Karel G M; Groenwold, Rolf H H; van Smeden, Maarten

2018-06-01

In medical research, covariates (e.g., exposure and confounder variables) are often measured with error. While it is well accepted that this introduces bias and imprecision in exposure-outcome relations, it is unclear to what extent such issues are currently considered in research practice. The objective was to study common practices regarding covariate measurement error via a systematic review of general medicine and epidemiology literature. Original research published in 2016 in 12 high impact journals was full-text searched for phrases relating to measurement error. Reporting of measurement error and methods to investigate or correct for it were quantified and characterized. Two hundred and forty-seven (44%) of the 565 original research publications reported on the presence of measurement error. 83% of these 247 did so with respect to the exposure and/or confounder variables. Only 18 publications (7% of 247) used methods to investigate or correct for measurement error. Consequently, it is difficult for readers to judge the robustness of presented results to the existence of measurement error in the majority of publications in high impact journals. Our systematic review highlights the need for increased awareness about the possible impact of covariate measurement error. Additionally, guidance on the use of measurement error correction methods is necessary. Copyright © 2018 Elsevier Inc. All rights reserved.

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

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

Baker, Kyri; Dall'Anese, Emiliano; Summers, Tyler

This paper outlines a data-driven, distributionally robust approach to solve chance-constrained AC optimal power flow problems in distribution networks. Uncertain forecasts for loads and power generated by photovoltaic (PV) systems are considered, with the goal of minimizing PV curtailment while meeting power flow and voltage regulation constraints. A data- driven approach is utilized to develop a distributionally robust conservative convex approximation of the chance-constraints; particularly, the mean and covariance matrix of the forecast errors are updated online, and leveraged to enforce voltage regulation with predetermined probability via Chebyshev-based bounds. By combining an accurate linear approximation of the AC power flowmore » equations with the distributionally robust chance constraint reformulation, the resulting optimization problem becomes convex and computationally tractable.« less

Use of an OSSE to Evaluate Background Error Covariances Estimated by the 'NMC Method'

NASA Technical Reports Server (NTRS)

Errico, Ronald M.; Prive, Nikki C.; Gu, Wei

2014-01-01

The NMC method has proven utility for prescribing approximate background-error covariances required by variational data assimilation systems. Here, untunedNMCmethod estimates are compared with explicitly determined error covariances produced within an OSSE context by exploiting availability of the true simulated states. Such a comparison provides insights into what kind of rescaling is required to render the NMC method estimates usable. It is shown that rescaling of variances and directional correlation lengths depends greatly on both pressure and latitude. In particular, some scaling coefficients appropriate in the Tropics are the reciprocal of those in the Extratropics. Also, the degree of dynamic balance is grossly overestimated by the NMC method. These results agree with previous examinations of the NMC method which used ensembles as an alternative for estimating background-error statistics.

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.

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.

Modeling uncertainty of evapotranspiration measurements from multiple eddy covariance towers over a crop canopy

USDA-ARS?s Scientific Manuscript database

All measurements have random error associated with them. With fluxes in an eddy covariance system, measurement error can been modelled in several ways, often involving a statistical description of turbulence at its core. Using a field experiment with four towers, we generated four replicates of meas...

System identification for modeling for control of flexible structures

NASA Technical Reports Server (NTRS)

Mettler, Edward; Milman, Mark

1986-01-01

The major components of a design and operational flight strategy for flexible structure control systems are presented. In this strategy an initial distributed parameter control design is developed and implemented from available ground test data and on-orbit identification using sophisticated modeling and synthesis techniques. The reliability of this high performance controller is directly linked to the accuracy of the parameters on which the design is based. Because uncertainties inevitably grow without system monitoring, maintaining the control system requires an active on-line system identification function to supply parameter updates and covariance information. Control laws can then be modified to improve performance when the error envelopes are decreased. In terms of system safety and stability the covariance information is of equal importance as the parameter values themselves. If the on-line system ID function detects an increase in parameter error covariances, then corresponding adjustments must be made in the control laws to increase robustness. If the error covariances exceed some threshold, an autonomous calibration sequence could be initiated to restore the error enveloped to an acceptable level.

Algorithm for pose estimation based on objective function with uncertainty-weighted measuring error of feature point cling to the curved surface.

PubMed

Huo, Ju; Zhang, Guiyang; Yang, Ming

2018-04-20

This paper is concerned with the anisotropic and non-identical gray distribution of feature points clinging to the curved surface, upon which a high precision and uncertainty-resistance algorithm for pose estimation is proposed. Weighted contribution of uncertainty to the objective function of feature points measuring error is analyzed. Then a novel error objective function based on the spatial collinear error is constructed by transforming the uncertainty into a covariance-weighted matrix, which is suitable for the practical applications. Further, the optimized generalized orthogonal iterative (GOI) algorithm is utilized for iterative solutions such that it avoids the poor convergence and significantly resists the uncertainty. Hence, the optimized GOI algorithm extends the field-of-view applications and improves the accuracy and robustness of the measuring results by the redundant information. Finally, simulation and practical experiments show that the maximum error of re-projection image coordinates of the target is less than 0.110 pixels. Within the space 3000  mm×3000  mm×4000  mm, the maximum estimation errors of static and dynamic measurement for rocket nozzle motion are superior to 0.065° and 0.128°, respectively. Results verify the high accuracy and uncertainty attenuation performance of the proposed approach and should therefore have potential for engineering applications.

Eddy-covariance data with low signal-to-noise ratio: time-lag determination, uncertainties and limit of detection

NASA Astrophysics Data System (ADS)

Langford, B.; Acton, W.; Ammann, C.; Valach, A.; Nemitz, E.

2015-10-01

All eddy-covariance flux measurements are associated with random uncertainties which are a combination of sampling error due to natural variability in turbulence and sensor noise. The former is the principal error for systems where the signal-to-noise ratio of the analyser is high, as is usually the case when measuring fluxes of heat, CO2 or H2O. Where signal is limited, which is often the case for measurements of other trace gases and aerosols, instrument uncertainties dominate. Here, we are applying a consistent approach based on auto- and cross-covariance functions to quantify the total random flux error and the random error due to instrument noise separately. As with previous approaches, the random error quantification assumes that the time lag between wind and concentration measurement is known. However, if combined with commonly used automated methods that identify the individual time lag by looking for the maximum in the cross-covariance function of the two entities, analyser noise additionally leads to a systematic bias in the fluxes. Combining data sets from several analysers and using simulations, we show that the method of time-lag determination becomes increasingly important as the magnitude of the instrument error approaches that of the sampling error. The flux bias can be particularly significant for disjunct data, whereas using a prescribed time lag eliminates these effects (provided the time lag does not fluctuate unduly over time). We also demonstrate that when sampling at higher elevations, where low frequency turbulence dominates and covariance peaks are broader, both the probability and magnitude of bias are magnified. We show that the statistical significance of noisy flux data can be increased (limit of detection can be decreased) by appropriate averaging of individual fluxes, but only if systematic biases are avoided by using a prescribed time lag. Finally, we make recommendations for the analysis and reporting of data with low signal-to-noise and their associated errors.

Eddy-covariance data with low signal-to-noise ratio: time-lag determination, uncertainties and limit of detection

NASA Astrophysics Data System (ADS)

Langford, B.; Acton, W.; Ammann, C.; Valach, A.; Nemitz, E.

2015-03-01

All eddy-covariance flux measurements are associated with random uncertainties which are a combination of sampling error due to natural variability in turbulence and sensor noise. The former is the principal error for systems where the signal-to-noise ratio of the analyser is high, as is usually the case when measuring fluxes of heat, CO2 or H2O. Where signal is limited, which is often the case for measurements of other trace gases and aerosols, instrument uncertainties dominate. We are here applying a consistent approach based on auto- and cross-covariance functions to quantifying the total random flux error and the random error due to instrument noise separately. As with previous approaches, the random error quantification assumes that the time-lag between wind and concentration measurement is known. However, if combined with commonly used automated methods that identify the individual time-lag by looking for the maximum in the cross-covariance function of the two entities, analyser noise additionally leads to a systematic bias in the fluxes. Combining datasets from several analysers and using simulations we show that the method of time-lag determination becomes increasingly important as the magnitude of the instrument error approaches that of the sampling error. The flux bias can be particularly significant for disjunct data, whereas using a prescribed time-lag eliminates these effects (provided the time-lag does not fluctuate unduly over time). We also demonstrate that when sampling at higher elevations, where low frequency turbulence dominates and covariance peaks are broader, both the probability and magnitude of bias are magnified. We show that the statistical significance of noisy flux data can be increased (limit of detection can be decreased) by appropriate averaging of individual fluxes, but only if systematic biases are avoided by using a prescribed time-lag. Finally, we make recommendations for the analysis and reporting of data with low signal-to-noise and their associated errors.

Analysis of filter tuning techniques for sequential orbit determination

NASA Technical Reports Server (NTRS)

Lee, T.; Yee, C.; Oza, D.

1995-01-01

This paper examines filter tuning techniques for a sequential orbit determination (OD) covariance analysis. Recently, there has been a renewed interest in sequential OD, primarily due to the successful flight qualification of the Tracking and Data Relay Satellite System (TDRSS) Onboard Navigation System (TONS) using Doppler data extracted onboard the Extreme Ultraviolet Explorer (EUVE) spacecraft. TONS computes highly accurate orbit solutions onboard the spacecraft in realtime using a sequential filter. As the result of the successful TONS-EUVE flight qualification experiment, the Earth Observing System (EOS) AM-1 Project has selected TONS as the prime navigation system. In addition, sequential OD methods can be used successfully for ground OD. Whether data are processed onboard or on the ground, a sequential OD procedure is generally favored over a batch technique when a realtime automated OD system is desired. Recently, OD covariance analyses were performed for the TONS-EUVE and TONS-EOS missions using the sequential processing options of the Orbit Determination Error Analysis System (ODEAS). ODEAS is the primary covariance analysis system used by the Goddard Space Flight Center (GSFC) Flight Dynamics Division (FDD). The results of these analyses revealed a high sensitivity of the OD solutions to the state process noise filter tuning parameters. The covariance analysis results show that the state estimate error contributions from measurement-related error sources, especially those due to the random noise and satellite-to-satellite ionospheric refraction correction errors, increase rapidly as the state process noise increases. These results prompted an in-depth investigation of the role of the filter tuning parameters in sequential OD covariance analysis. This paper analyzes how the spacecraft state estimate errors due to dynamic and measurement-related error sources are affected by the process noise level used. This information is then used to establish guidelines for determining optimal filter tuning parameters in a given sequential OD scenario for both covariance analysis and actual OD. Comparisons are also made with corresponding definitive OD results available from the TONS-EUVE analysis.

Correcting for Measurement Error in Time-Varying Covariates in Marginal Structural Models.

PubMed

Kyle, Ryan P; Moodie, Erica E M; Klein, Marina B; Abrahamowicz, Michał

2016-08-01

Unbiased estimation of causal parameters from marginal structural models (MSMs) requires a fundamental assumption of no unmeasured confounding. Unfortunately, the time-varying covariates used to obtain inverse probability weights are often error-prone. Although substantial measurement error in important confounders is known to undermine control of confounders in conventional unweighted regression models, this issue has received comparatively limited attention in the MSM literature. Here we propose a novel application of the simulation-extrapolation (SIMEX) procedure to address measurement error in time-varying covariates, and we compare 2 approaches. The direct approach to SIMEX-based correction targets outcome model parameters, while the indirect approach corrects the weights estimated using the exposure model. We assess the performance of the proposed methods in simulations under different clinically plausible assumptions. The simulations demonstrate that measurement errors in time-dependent covariates may induce substantial bias in MSM estimators of causal effects of time-varying exposures, and that both proposed SIMEX approaches yield practically unbiased estimates in scenarios featuring low-to-moderate degrees of error. We illustrate the proposed approach in a simple analysis of the relationship between sustained virological response and liver fibrosis progression among persons infected with hepatitis C virus, while accounting for measurement error in γ-glutamyltransferase, using data collected in the Canadian Co-infection Cohort Study from 2003 to 2014. © The Author 2016. Published by Oxford University Press on behalf of the Johns Hopkins Bloomberg School of Public Health. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

Reanalysis of biogeochemical properties in the Mediterranean Sea

NASA Astrophysics Data System (ADS)

Cossarini, Gianpiero; Teruzzi, Anna; Salon, Stefano; Solidoro, Cosimo

2014-05-01

In the 3D variational (3DVAR) assimilation approach the error covariance matrix can be decomposed in a series of operators. The decomposition makes the 3DVAR particularly suitable for marine biogeochemistry data assimilation, because of the reduced computational costs of the method and its modularity, which allows to define the covariance among the biogeochemical variables in a specific operator. In the present work, the results of 3DVAR assimilation of surface chlorophyll concentration in a multi-annual simulation of the Mediterranean Sea biogeochemistry are presented. The assimilated chlorophyll concentrations are obtained from satellite observations (Volpe et al. 2012). The multi-annual simulation is carried out using the OPATM-BFM model (Lazzari et al. 2012), which describes the low trophic web dynamics and is offline coupled with the MFS physical model (Oddo et al. 2009). In the OPATM-BFM four types of phytoplankton are simulated in terms of their content in carbon, nitrogen, phosphorous, silicon and chlorophyll. In the 3DVAR the error covariance matrix has been decomposed in three different operators, which account for the vertical, the horizontal and the biogeochemical covariance (Teruzzi et al. 2014). The biogeochemical operator propagates the result of the assimilation to the OPATM-BFM variables, providing innovation for the components of the four phytoplankton types. The biogeochemical covariance has been designed supposing that the assimilation preserves the physiological status and the relative abundances of phytoplankton types. Practically, the assimilation preserves the internal quotas of the components for each phytoplankton as long as the optimal growth rate condition are maintained. The quotas preservation is not applied when the phytoplankton is in severe declining growth phase, and the correction provided by the assimilation is set equal to zero. Moreover, the relative abundances among the phytoplankton functional types are preserved. The 3DVAR has been applied to the Mediterranean Sea for the period 1999-2010 with weekly assimilation. The results of the multi-annual run show that the assimilation improves the model skill in terms of a better representation of the mean chlorophyll concentrations over the Mediterranean Sea sub-regions and also in terms of spatial and temporal definition of local bloom events. Furthermore, the comparison with nutrients climatology based on in situ measurements show that the non assimilated variables are consistent with observations. The application of the 3DVAR revealed that in specific cases the correction introduced by the assimilation is not maintained by the model dynamics. In these cases, the satellite observations are characterized by local patchy bloom events, which are not well captured by the model. It has been observed that, since the bloom events are strongly affected by the vertical mixing dynamics, which support nutrients to the surface layer, a possible source of error are the mixing conditions provided by the physical model. Oddo et al. 2009. Ocean Science, 5(4), 461-473, doi:10.5194/os-5-461-2009. Lazzari et al. 2012. Biogeosciences, 9(1), 217-233, doi:10.5194/bg-9-217-2012. Teruzzi et al. 2014. Journal of Geophysical Research, 119, 1-18, doi:10.1002/2013JC009277. Volpe et al. 2012. Ocean Science Discussions, 9(2), 1349-1385, doi:10.5194/osd-9-1349-2012.

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.

Adjusted adaptive Lasso for covariate model-building in nonlinear mixed-effect pharmacokinetic models.

PubMed

Haem, Elham; Harling, Kajsa; Ayatollahi, Seyyed Mohammad Taghi; Zare, Najaf; Karlsson, Mats O

2017-02-01

One important aim in population pharmacokinetics (PK) and pharmacodynamics is identification and quantification of the relationships between the parameters and covariates. Lasso has been suggested as a technique for simultaneous estimation and covariate selection. In linear regression, it has been shown that Lasso possesses no oracle properties, which means it asymptotically performs as though the true underlying model was given in advance. Adaptive Lasso (ALasso) with appropriate initial weights is claimed to possess oracle properties; however, it can lead to poor predictive performance when there is multicollinearity between covariates. This simulation study implemented a new version of ALasso, called adjusted ALasso (AALasso), to take into account the ratio of the standard error of the maximum likelihood (ML) estimator to the ML coefficient as the initial weight in ALasso to deal with multicollinearity in non-linear mixed-effect models. The performance of AALasso was compared with that of ALasso and Lasso. PK data was simulated in four set-ups from a one-compartment bolus input model. Covariates were created by sampling from a multivariate standard normal distribution with no, low (0.2), moderate (0.5) or high (0.7) correlation. The true covariates influenced only clearance at different magnitudes. AALasso, ALasso and Lasso were compared in terms of mean absolute prediction error and error of the estimated covariate coefficient. The results show that AALasso performed better in small data sets, even in those in which a high correlation existed between covariates. This makes AALasso a promising method for covariate selection in nonlinear mixed-effect models.

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.

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.

$$|V_{ub}|$$ from $$B\\to\\pi\\ell\

DOE PAGES

Bailey, Jon A.; et al.

2015-07-23

We present a lattice-QCD calculation of the B → πℓν semileptonic form factors and a new determination of the CKM matrix element |V ub|. We use the MILC asqtad (2+1)-flavor lattice configurations at four lattice spacings and light-quark masses down to 1/20 of the physical strange-quark mass. We extrapolate the lattice form factors to the continuum using staggered chiral perturbation theory in the hard-pion and SU(2) limits. We employ a model-independent z parametrization to extrapolate our lattice form factors from large-recoil momentum to the full kinematic range. We introduce a new functional method to propagate information from the chiral-continuum extrapolationmore » to the z expansion. We present our results together with a complete systematic error budget, including a covariance matrix to enable the combination of our form factors with other lattice-QCD and experimental results. To obtain |V ub|, we simultaneously fit the experimental data for the B → πℓν differential decay rate obtained by the BABAR and Belle collaborations together with our lattice form-factor results. We find |V ub|=(3.72±0.16) × 10 –3, where the error is from the combined fit to lattice plus experiments and includes all sources of uncertainty. Our form-factor results bring the QCD error on |V ub| to the same level as the experimental error. We also provide results for the B → πℓν vector and scalar form factors obtained from the combined lattice and experiment fit, which are more precisely determined than from our lattice-QCD calculation alone. Lastly, these results can be used in other phenomenological applications and to test other approaches to QCD.« less

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

Bailey, Jon A.; et al.

We present a lattice-QCD calculation of the B → πℓν semileptonic form factors and a new determination of the CKM matrix element |V ub|. We use the MILC asqtad (2+1)-flavor lattice configurations at four lattice spacings and light-quark masses down to 1/20 of the physical strange-quark mass. We extrapolate the lattice form factors to the continuum using staggered chiral perturbation theory in the hard-pion and SU(2) limits. We employ a model-independent z parametrization to extrapolate our lattice form factors from large-recoil momentum to the full kinematic range. We introduce a new functional method to propagate information from the chiral-continuum extrapolationmore » to the z expansion. We present our results together with a complete systematic error budget, including a covariance matrix to enable the combination of our form factors with other lattice-QCD and experimental results. To obtain |V ub|, we simultaneously fit the experimental data for the B → πℓν differential decay rate obtained by the BABAR and Belle collaborations together with our lattice form-factor results. We find |V ub|=(3.72±0.16) × 10 –3, where the error is from the combined fit to lattice plus experiments and includes all sources of uncertainty. Our form-factor results bring the QCD error on |V ub| to the same level as the experimental error. We also provide results for the B → πℓν vector and scalar form factors obtained from the combined lattice and experiment fit, which are more precisely determined than from our lattice-QCD calculation alone. Lastly, these results can be used in other phenomenological applications and to test other approaches to QCD.« less

Covariate Measurement Error Correction for Student Growth Percentiles Using the SIMEX Method

ERIC Educational Resources Information Center

Shang, Yi; VanIwaarden, Adam; Betebenner, Damian W.

2015-01-01

In this study, we examined the impact of covariate measurement error (ME) on the estimation of quantile regression and student growth percentiles (SGPs), and find that SGPs tend to be overestimated among students with higher prior achievement and underestimated among those with lower prior achievement, a problem we describe as ME endogeneity in…

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.

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

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.

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 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.

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.

STS-1 operational flight profile. Volume 5: Descent cycle 3. Appendix D: GRTLS six degree of freedom Monte Carlo dispersion analysis

NASA Technical Reports Server (NTRS)

Montez, M. N.

1980-01-01

The results of a six degree of freedom (6-DOF) nonlinear Monte Carlo dispersion analysis for the latest glide return to landing site (GRTLS) abort trajectory for the Space Transportation System 1 Flight are presented. For this GRTLS, the number two main engine fails at 262.5 seconds ground elapsed time. Fifty randomly selected simulations, initialized at external tank separation, are analyzed. The initial covariance matrix is a 20 x 20 matrix and includes navigation errors and dispersions in position and velocity, time, accelerometer bias, and inertial platform misalinements. In all 50 samples, speedbrake, rudder, elevon, and body flap hinge moments are acceptable. Transitions to autoland begin before 9,000 feet and there are no tailscrapes. Navigation derived dynamic pressure accuracies exceed the flight control system constraints above Mach 2.5. Three out of 50 landings exceeded tire specification limit speed of 222 knots. Pilot manual landings are expected to reduce landing speed by landing farther downrange.

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.

Precomputing Process Noise Covariance for Onboard Sequential Filters

NASA Technical Reports Server (NTRS)

Olson, Corwin G.; Russell, Ryan P.; Carpenter, J. Russell

2017-01-01

Process noise is often used in estimation filters to account for unmodeled and mismodeled accelerations in the dynamics. The process noise covariance acts to inflate the state covariance over propagation intervals, increasing the uncertainty in the state. In scenarios where the acceleration errors change significantly over time, the standard process noise covariance approach can fail to provide effective representation of the state and its uncertainty. Consider covariance analysis techniques provide a method to precompute a process noise covariance profile along a reference trajectory using known model parameter uncertainties. The process noise covariance profile allows significantly improved state estimation and uncertainty representation over the traditional formulation. As a result, estimation performance on par with the consider filter is achieved for trajectories near the reference trajectory without the additional computational cost of the consider filter. The new formulation also has the potential to significantly reduce the trial-and-error tuning currently required of navigation analysts. A linear estimation problem as described in several previous consider covariance analysis studies is used to demonstrate the effectiveness of the precomputed process noise covariance, as well as a nonlinear descent scenario at the asteroid Bennu with optical navigation.

Precomputing Process Noise Covariance for Onboard Sequential Filters

NASA Technical Reports Server (NTRS)

Olson, Corwin G.; Russell, Ryan P.; Carpenter, J. Russell

2017-01-01

Process noise is often used in estimation filters to account for unmodeled and mismodeled accelerations in the dynamics. The process noise covariance acts to inflate the state covariance over propagation intervals, increasing the uncertainty in the state. In scenarios where the acceleration errors change significantly over time, the standard process noise covariance approach can fail to provide effective representation of the state and its uncertainty. Consider covariance analysis techniques provide a method to precompute a process noise covariance profile along a reference trajectory, using known model parameter uncertainties. The process noise covariance profile allows significantly improved state estimation and uncertainty representation over the traditional formulation. As a result, estimation performance on par with the consider filter is achieved for trajectories near the reference trajectory without the additional computational cost of the consider filter. The new formulation also has the potential to significantly reduce the trial-and-error tuning currently required of navigation analysts. A linear estimation problem as described in several previous consider covariance analysis publications is used to demonstrate the effectiveness of the precomputed process noise covariance, as well as a nonlinear descent scenario at the asteroid Bennu with optical navigation.

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.

An error covariance model for sea surface topography and velocity derived from TOPEX/POSEIDON altimetry

NASA Technical Reports Server (NTRS)

Tsaoussi, Lucia S.; Koblinsky, Chester J.

1994-01-01

In order to facilitate the use of satellite-derived sea surface topography and velocity oceanographic models, methodology is presented for deriving the total error covariance and its geographic distribution from TOPEX/POSEIDON measurements. The model is formulated using a parametric model fit to the altimeter range observations. The topography and velocity modeled with spherical harmonic expansions whose coefficients are found through optimal adjustment to the altimeter range residuals using Bayesian statistics. All other parameters, including the orbit, geoid, surface models, and range corrections are provided as unadjusted parameters. The maximum likelihood estimates and errors are derived from the probability density function of the altimeter range residuals conditioned with a priori information. Estimates of model errors for the unadjusted parameters are obtained from the TOPEX/POSEIDON postlaunch verification results and the error covariances for the orbit and the geoid, except for the ocean tides. The error in the ocean tides is modeled, first, as the difference between two global tide models and, second, as the correction to the present tide model, the correction derived from the TOPEX/POSEIDON data. A formal error covariance propagation scheme is used to derive the total error. Our global total error estimate for the TOPEX/POSEIDON topography relative to the geoid for one 10-day period is found tio be 11 cm RMS. When the error in the geoid is removed, thereby providing an estimate of the time dependent error, the uncertainty in the topography is 3.5 cm root mean square (RMS). This level of accuracy is consistent with direct comparisons of TOPEX/POSEIDON altimeter heights with tide gauge measurements at 28 stations. In addition, the error correlation length scales are derived globally in both east-west and north-south directions, which should prove useful for data assimilation. The largest error correlation length scales are found in the tropics. Errors in the velocity field are smallest in midlatitude regions. For both variables the largest errors caused by uncertainty in the geoid. More accurate representations of the geoid await a dedicated geopotential satellite mission. Substantial improvements in the accuracy of ocean tide models are expected in the very near future from research with TOPEX/POSEIDON data.

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.

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.

Analyzing average and conditional effects with multigroup multilevel structural equation models

PubMed Central

Mayer, Axel; Nagengast, Benjamin; Fletcher, John; Steyer, Rolf

2014-01-01

Conventionally, multilevel analysis of covariance (ML-ANCOVA) has been the recommended approach for analyzing treatment effects in quasi-experimental multilevel designs with treatment application at the cluster-level. In this paper, we introduce the generalized ML-ANCOVA with linear effect functions that identifies average and conditional treatment effects in the presence of treatment-covariate interactions. We show how the generalized ML-ANCOVA model can be estimated with multigroup multilevel structural equation models that offer considerable advantages compared to traditional ML-ANCOVA. The proposed model takes into account measurement error in the covariates, sampling error in contextual covariates, treatment-covariate interactions, and stochastic predictors. We illustrate the implementation of ML-ANCOVA with an example from educational effectiveness research where we estimate average and conditional effects of early transition to secondary schooling on reading comprehension. PMID:24795668

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

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.

Parameter constraints from weak-lensing tomography of galaxy shapes and cosmic microwave background fluctuations

NASA Astrophysics Data System (ADS)

Merkel, Philipp M.; Schäfer, Björn Malte

2017-08-01

Recently, it has been shown that cross-correlating cosmic microwave background (CMB) lensing and three-dimensional (3D) cosmic shear allows to considerably tighten cosmological parameter constraints. We investigate whether similar improvement can be achieved in a conventional tomographic setup. We present Fisher parameter forecasts for a Euclid-like galaxy survey in combination with different ongoing and forthcoming CMB experiments. In contrast to a fully 3D analysis, we find only marginal improvement. Assuming Planck-like CMB data, we show that including the full covariance of the combined CMB and cosmic shear data improves the dark energy figure of merit (FOM) by only 3 per cent. The marginalized error on the sum of neutrino masses is reduced at the same level. For a next generation CMB satellite mission such as Prism, the predicted improvement of the dark energy FOM amounts to approximately 25 per cent. Furthermore, we show that the small improvement is contrasted by an increased bias in the dark energy parameters when the intrinsic alignment of galaxies is not correctly accounted for in the full covariance matrix.

Robust linear discriminant analysis with distance based estimators

NASA Astrophysics Data System (ADS)

Lim, Yai-Fung; Yahaya, Sharipah Soaad Syed; Ali, Hazlina

2017-11-01

Linear discriminant analysis (LDA) is one of the supervised classification techniques concerning relationship between a categorical variable and a set of continuous variables. The main objective of LDA is to create a function to distinguish between populations and allocating future observations to previously defined populations. Under the assumptions of normality and homoscedasticity, the LDA yields optimal linear discriminant rule (LDR) between two or more groups. However, the optimality of LDA highly relies on the sample mean and pooled sample covariance matrix which are known to be sensitive to outliers. To alleviate these conflicts, a new robust LDA using distance based estimators known as minimum variance vector (MVV) has been proposed in this study. The MVV estimators were used to substitute the classical sample mean and classical sample covariance to form a robust linear discriminant rule (RLDR). Simulation and real data study were conducted to examine on the performance of the proposed RLDR measured in terms of misclassification error rates. The computational result showed that the proposed RLDR is better than the classical LDR and was comparable with the existing robust LDR.

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.

Reduced-Rank Array Modes of the California Current Observing System

NASA Astrophysics Data System (ADS)

Moore, Andrew M.; Arango, Hernan G.; Edwards, Christopher A.

2018-01-01

The information content of the ocean observing array spanning the U.S. west coast is explored using the reduced-rank array modes (RAMs) derived from a four-dimensional variational (4D-Var) data assimilation system covering a period of three decades. RAMs are an extension of the original formulation of array modes introduced by Bennett (1985) but in the reduced model state-space explored by the 4D-Var system, and reveal the extent to which this space is activated by the observations. The projection of the RAMs onto the empirical orthogonal functions (EOFs) of the 4D-Var background error correlation matrix provides a quantitative measure of the effectiveness of the measurements in observing the circulation. It is found that much of the space spanned by the background error covariance is unconstrained by the present ocean observing system. The RAM spectrum is also used to introduce a new criterion to prevent 4D-Var from overfitting the model to the observations.

Phonons in two-dimensional soft colloidal crystals.

PubMed

Chen, Ke; Still, Tim; Schoenholz, Samuel; Aptowicz, Kevin B; Schindler, Michael; Maggs, A C; Liu, Andrea J; Yodh, A G

2013-08-01

The vibrational modes of pristine and polycrystalline monolayer colloidal crystals composed of thermosensitive microgel particles are measured using video microscopy and covariance matrix analysis. At low frequencies, the Debye relation for two-dimensional harmonic crystals is observed in both crystal types; at higher frequencies, evidence for van Hove singularities in the phonon density of states is significantly smeared out by experimental noise and measurement statistics. The effects of these errors are analyzed using numerical simulations. We introduce methods to correct for these limitations, which can be applied to disordered systems as well as crystalline ones, and we show that application of the error correction procedure to the experimental data leads to more pronounced van Hove singularities in the pristine crystal. Finally, quasilocalized low-frequency modes in polycrystalline two-dimensional colloidal crystals are identified and demonstrated to correlate with structural defects such as dislocations, suggesting that quasilocalized low-frequency phonon modes may be used to identify local regions vulnerable to rearrangements in crystalline as well as amorphous solids.

A method to estimate statistical errors of properties derived from charge-density modelling

PubMed Central

Lecomte, Claude

2018-01-01

Estimating uncertainties of property values derived from a charge-density model is not straightforward. A methodology, based on calculation of sample standard deviations (SSD) of properties using randomly deviating charge-density models, is proposed with the MoPro software. The parameter shifts applied in the deviating models are generated in order to respect the variance–covariance matrix issued from the least-squares refinement. This ‘SSD methodology’ procedure can be applied to estimate uncertainties of any property related to a charge-density model obtained by least-squares fitting. This includes topological properties such as critical point coordinates, electron density, Laplacian and ellipticity at critical points and charges integrated over atomic basins. Errors on electrostatic potentials and interaction energies are also available now through this procedure. The method is exemplified with the charge density of compound (E)-5-phenylpent-1-enylboronic acid, refined at 0.45 Å resolution. The procedure is implemented in the freely available MoPro program dedicated to charge-density refinement and modelling. PMID:29724964

Maximum likelihood techniques applied to quasi-elastic light scattering

NASA Technical Reports Server (NTRS)

Edwards, Robert V.

1992-01-01

There is a necessity of having an automatic procedure for reliable estimation of the quality of the measurement of particle size from QELS (Quasi-Elastic Light Scattering). Getting the measurement itself, before any error estimates can be made, is a problem because it is obtained by a very indirect measurement of a signal derived from the motion of particles in the system and requires the solution of an inverse problem. The eigenvalue structure of the transform that generates the signal is such that an arbitrarily small amount of noise can obliterate parts of any practical inversion spectrum. This project uses the Maximum Likelihood Estimation (MLE) as a framework to generate a theory and a functioning set of software to oversee the measurement process and extract the particle size information, while at the same time providing error estimates for those measurements. The theory involved verifying a correct form of the covariance matrix for the noise on the measurement and then estimating particle size parameters using a modified histogram approach.

Quantifying the uncertainty of regional and national estimates of soil carbon stocks

NASA Astrophysics Data System (ADS)

Papritz, Andreas

2013-04-01

At regional and national scales, carbon (C) stocks are frequently estimated by means of regression models. Such statistical models link measurements of carbons stocks, recorded for a set of soil profiles or soil cores, to covariates that characterize soil formation conditions and land management. A prerequisite is that these covariates are available for any location within a region of interest G because they are used along with the fitted regression coefficients to predict the carbon stocks at the nodes of a fine-meshed grid that is laid over G. The mean C stock in G is then estimated by the arithmetic mean of the stock predictions for the grid nodes. Apart from the mean stock, the precision of the estimate is often also of interest, for example to judge whether the mean C stock has changed significantly between two inventories. The standard error of the estimated mean stock in G can be computed from the regression results as well. Two issues are thereby important: (i) How large is the area of G relative to the support of the measurements? (ii) Are the residuals of the regression model spatially auto-correlated or is the assumption of statistical independence tenable? Both issues are correctly handled if one adopts a geostatistical block kriging approach for estimating the mean C stock within a region and its standard error. In the presentation I shall summarize the main ideas of external drift block kriging. To compute the standard error of the mean stock, one has in principle to sum the elements a potentially very large covariance matrix of point prediction errors, but I shall show that the required term can be approximated very well by Monte Carlo techniques. I shall further illustrated with a few examples how the standard error of the mean stock estimate changes with the size of G and with the strenght of the auto-correlation of the regression residuals. As an application a robust variant of block kriging is used to quantify the mean carbon stock stored in the soils of Swiss forests (Nussbaum et al., 2012). Nussbaum, M., Papritz, A., Baltensweiler, A., and Walthert, L. (2012). Organic carbon stocks of swiss forest soils. Final report, Institute of Terrestrial Ecosystems, ETH Zürich and Swiss Federal Institute for Forest, Snow and Landscape Research (WSL), pp. 51, http://e-collection.library.ethz.ch/eserv/eth:6027/eth-6027-01.pdf

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

Analysis of Covariance: Is It the Appropriate Model to Study Change?

ERIC Educational Resources Information Center

Marston, Paul T., Borich, Gary D.

The four main approaches to measuring treatment effects in schools; raw gain, residual gain, covariance, and true scores; were compared. A simulation study showed true score analysis produced a large number of Type-I errors. When corrected for this error, this method showed the least power of the four. This outcome was clearly the result of the…

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.

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.

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.

Influence of model errors in optimal sensor placement

NASA Astrophysics Data System (ADS)

Vincenzi, Loris; Simonini, Laura

2017-02-01

The paper investigates the role of model errors and parametric uncertainties in optimal or near optimal sensor placements for structural health monitoring (SHM) and modal testing. The near optimal set of measurement locations is obtained by the Information Entropy theory; the results of placement process considerably depend on the so-called covariance matrix of prediction error as well as on the definition of the correlation function. A constant and an exponential correlation function depending on the distance between sensors are firstly assumed; then a proposal depending on both distance and modal vectors is presented. With reference to a simple case-study, the effect of model uncertainties on results is described and the reliability and the robustness of the proposed correlation function in the case of model errors are tested with reference to 2D and 3D benchmark case studies. A measure of the quality of the obtained sensor configuration is considered through the use of independent assessment criteria. In conclusion, the results obtained by applying the proposed procedure on a real 5-spans steel footbridge are described. The proposed method also allows to better estimate higher modes when the number of sensors is greater than the number of modes of interest. In addition, the results show a smaller variation in the sensor position when uncertainties occur.

The Ohio State 1991 geopotential and sea surface topography harmonic coefficient models

NASA Technical Reports Server (NTRS)

Rapp, Richard H.; Wang, Yan Ming; Pavlis, Nikolaos K.

1991-01-01

The computation is described of a geopotential model to deg 360, a sea surface topography model to deg 10/15, and adjusted Geosat orbits for the first year of the exact repeat mission (ERM). This study started from the GEM-T2 potential coefficient model and it's error covariance matrix and Geosat orbits (for 22 ERMs) computed by Haines et al. using the GEM-T2 model. The first step followed the general procedures which use a radial orbit error theory originally developed by English. The Geosat data was processed to find corrections to the a priori geopotential model, corrections to a radial orbit error model for 76 Geosat arcs, and coefficients of a harmonic representation of the sea surface topography. The second stage of the analysis took place by doing a combination of the GEM-T2 coefficients with 30 deg gravity data derived from surface gravity data and anomalies obtained from altimeter data. The analysis has shown how a high degree spherical harmonic model can be determined combining the best aspects of two different analysis techniques. The error analysis was described that has led to the accuracy estimates for all the coefficients to deg 360. Significant work is needed to improve the modeling effort.

Bayesian estimation of Karhunen–Loève expansions; A random subspace approach

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

Chowdhary, Kenny; Najm, Habib N.

One of the most widely-used statistical procedures for dimensionality reduction of high dimensional random fields is Principal Component Analysis (PCA), which is based on the Karhunen-Lo eve expansion (KLE) of a stochastic process with finite variance. The KLE is analogous to a Fourier series expansion for a random process, where the goal is to find an orthogonal transformation for the data such that the projection of the data onto this orthogonal subspace is optimal in the L 2 sense, i.e, which minimizes the mean square error. In practice, this orthogonal transformation is determined by performing an SVD (Singular Value Decomposition)more » on the sample covariance matrix or on the data matrix itself. Sampling error is typically ignored when quantifying the principal components, or, equivalently, basis functions of the KLE. Furthermore, it is exacerbated when the sample size is much smaller than the dimension of the random field. In this paper, we introduce a Bayesian KLE procedure, allowing one to obtain a probabilistic model on the principal components, which can account for inaccuracies due to limited sample size. The probabilistic model is built via Bayesian inference, from which the posterior becomes the matrix Bingham density over the space of orthonormal matrices. We use a modified Gibbs sampling procedure to sample on this space and then build a probabilistic Karhunen-Lo eve expansions over random subspaces to obtain a set of low-dimensional surrogates of the stochastic process. We illustrate this probabilistic procedure with a finite dimensional stochastic process inspired by Brownian motion.« less

Bayesian estimation of Karhunen–Loève expansions; A random subspace approach

DOE PAGES

Chowdhary, Kenny; Najm, Habib N.

2016-04-13

One of the most widely-used statistical procedures for dimensionality reduction of high dimensional random fields is Principal Component Analysis (PCA), which is based on the Karhunen-Lo eve expansion (KLE) of a stochastic process with finite variance. The KLE is analogous to a Fourier series expansion for a random process, where the goal is to find an orthogonal transformation for the data such that the projection of the data onto this orthogonal subspace is optimal in the L 2 sense, i.e, which minimizes the mean square error. In practice, this orthogonal transformation is determined by performing an SVD (Singular Value Decomposition)more » on the sample covariance matrix or on the data matrix itself. Sampling error is typically ignored when quantifying the principal components, or, equivalently, basis functions of the KLE. Furthermore, it is exacerbated when the sample size is much smaller than the dimension of the random field. In this paper, we introduce a Bayesian KLE procedure, allowing one to obtain a probabilistic model on the principal components, which can account for inaccuracies due to limited sample size. The probabilistic model is built via Bayesian inference, from which the posterior becomes the matrix Bingham density over the space of orthonormal matrices. We use a modified Gibbs sampling procedure to sample on this space and then build a probabilistic Karhunen-Lo eve expansions over random subspaces to obtain a set of low-dimensional surrogates of the stochastic process. We illustrate this probabilistic procedure with a finite dimensional stochastic process inspired by Brownian motion.« less

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

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.

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

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.

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.

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.

Event-based recursive filtering for a class of nonlinear stochastic parameter systems over fading channels

NASA Astrophysics Data System (ADS)

Shen, Yuxuan; Wang, Zidong; Shen, Bo; Alsaadi, Fuad E.

2018-07-01

In this paper, the recursive filtering problem is studied for a class of time-varying nonlinear systems with stochastic parameter matrices. The measurement transmission between the sensor and the filter is conducted through a fading channel characterized by the Rice fading model. An event-based transmission mechanism is adopted to decide whether the sensor measurement should be transmitted to the filter. A recursive filter is designed such that, in the simultaneous presence of the stochastic parameter matrices and fading channels, the filtering error covariance is guaranteed to have an upper bound and such an upper bound is then minimized by appropriately choosing filter gain matrix. Finally, a simulation example is presented to demonstrate the effectiveness of the proposed filtering scheme.

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.

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.

Noisy covariance matrices and portfolio optimization II

NASA Astrophysics Data System (ADS)

Pafka, Szilárd; Kondor, Imre

2003-03-01

Recent studies inspired by results from random matrix theory (Galluccio et al.: Physica A 259 (1998) 449; Laloux et al.: Phys. Rev. Lett. 83 (1999) 1467; Risk 12 (3) (1999) 69; Plerou et al.: Phys. Rev. Lett. 83 (1999) 1471) found that covariance matrices determined from empirical financial time series appear to contain such a high amount of noise that their structure can essentially be regarded as random. This seems, however, to be in contradiction with the fundamental role played by covariance matrices in finance, which constitute the pillars of modern investment theory and have also gained industry-wide applications in risk management. Our paper is an attempt to resolve this embarrassing paradox. The key observation is that the effect of noise strongly depends on the ratio r= n/ T, where n is the size of the portfolio and T the length of the available time series. On the basis of numerical experiments and analytic results for some toy portfolio models we show that for relatively large values of r (e.g. 0.6) noise does, indeed, have the pronounced effect suggested by Galluccio et al. (1998), Laloux et al. (1999) and Plerou et al. (1999) and illustrated later by Laloux et al. (Int. J. Theor. Appl. Finance 3 (2000) 391), Plerou et al. (Phys. Rev. E, e-print cond-mat/0108023) and Rosenow et al. (Europhys. Lett., e-print cond-mat/0111537) in a portfolio optimization context, while for smaller r (around 0.2 or below), the error due to noise drops to acceptable levels. Since the length of available time series is for obvious reasons limited in any practical application, any bound imposed on the noise-induced error translates into a bound on the size of the portfolio. In a related set of experiments we find that the effect of noise depends also on whether the problem arises in asset allocation or in a risk measurement context: if covariance matrices are used simply for measuring the risk of portfolios with a fixed composition rather than as inputs to optimization, the effect of noise on the measured risk may become very small.

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

Global Simultaneous Estimation of Present-Day Surface Mass Trend and GIA Using Multi-Sensor Geodetic Data Combination

NASA Astrophysics Data System (ADS)

Wu, X.; Heflin, M. B.; Schotman, H.; Vermeersen, B. L.; Dong, D.; Gross, R. S.; Ivins, E. R.; Moore, A. W.; Owen, S. E.

2009-12-01

Separating geodetic signatures of present-day surface mass trend and Glacial Isostatic Adjustment (GIA) requires multi-data types of different physical characteristics. We take a kinematic approach to the global simultaneous estimation problem. Three sets of global spherical harmonic coefficients from degree 1 to 60 of the present-day surface mass trend, vertical and horizontal GIA induced surface velocity fields, as well as rotation vectors of 15 major tectonic plates are solved for. The estimation is carried out using GRACE geoid trend, 3-dimensional velocities measured at 664 SLR/VLBI/GPS sites, the data-assimilated JPL ECCO ocean model. The ICE-5G/IJ05 (VM2) predictions are used as a priori GIA mean model. An a priori covariance matrix is constructed in the spherical harmonic domain for the GIA model by propagating the covariance matrices of random and geographically correlated ice thickness errors and upper/lower mantle viscosity errors so that the resulting magnitude and geographic pattern of the geoid uncertainties roughly reflect the difference between two recent GIA models. Unprecedented high-precision results are achieved. For example, geocenter velocities due to present-day surface mass trend and due to GIA are both determined to uncertainties of better than 0.1 mm/yr without using direct geodetic geocenter information. Information content of the data sets, future improvements, and benefits from new data will also be explored in the global inverse framework.

New estimates of the CMB angular power spectra from the WMAP 5 year low-resolution data

NASA Astrophysics Data System (ADS)

Gruppuso, A.; de Rosa, A.; Cabella, P.; Paci, F.; Finelli, F.; Natoli, P.; de Gasperis, G.; Mandolesi, N.

2009-11-01

A quadratic maximum likelihood (QML) estimator is applied to the Wilkinson Microwave Anisotropy Probe (WMAP) 5 year low-resolution maps to compute the cosmic microwave background angular power spectra (APS) at large scales for both temperature and polarization. Estimates and error bars for the six APS are provided up to l = 32 and compared, when possible, to those obtained by the WMAP team, without finding any inconsistency. The conditional likelihood slices are also computed for the Cl of all the six power spectra from l = 2 to 10 through a pixel-based likelihood code. Both the codes treat the covariance for (T, Q, U) in a single matrix without employing any approximation. The inputs of both the codes (foreground-reduced maps, related covariances and masks) are provided by the WMAP team. The peaks of the likelihood slices are always consistent with the QML estimates within the error bars; however, an excellent agreement occurs when the QML estimates are used as a fiducial power spectrum instead of the best-fitting theoretical power spectrum. By the full computation of the conditional likelihood on the estimated spectra, the value of the temperature quadrupole CTTl=2 is found to be less than 2σ away from the WMAP 5 year Λ cold dark matter best-fitting value. The BB spectrum is found to be well consistent with zero, and upper limits on the B modes are provided. The parity odd signals TB and EB are found to be consistent with zero.

The Potential Observation Network Design with Mesoscale Ensemble Sensitivities in Complex Terrain

DTIC Science & Technology

2012-03-01

in synoptic storms , extratropical transition and developing hurricanes. Because they rely on lagged covariances from a finite-sized ensemble, they...diagnose predictors of forecast error in synoptic storms , extratropical transition and developing hurricanes. Because they rely on lagged covariances...sensitivities can be used successfully to diagnose predictors of forecast error in synoptic storms (Torn and Hakim 2008), extratropical transition (Torn and

A temporal and spatial analysis of ground-water levels for effective monitoring in Huron County, Michigan

USGS Publications Warehouse

Holtschlag, David J.; Sweat, M.J.

1999-01-01

Quarterly water-level measurements were analyzed to assess the effectiveness of a monitoring network of 26 wells in Huron County, Michigan. Trends were identified as constant levels and autoregressive components were computed at all wells on the basis of data collected from 1993 to 1997, using structural time series analysis. Fixed seasonal components were identified at 22 wells and outliers were identified at 23 wells. The 95- percent confidence intervals were forecast for water-levels during the first and second quarters of 1998. Intervals in the first quarter were consistent with 92.3 percent of the measured values. In the second quarter, measured values were within the forecast intervals only 65.4 percent of the time. Unusually low precipitation during the second quarter is thought to have contributed to the reduced reliability of the second-quarter forecasts. Spatial interrelations among wells were investigated on the basis of the autoregressive components, which were filtered to create a set of innovation sequences that were temporally uncorrelated. The empirical covariance among the innovation sequences indicated both positive and negative spatial interrelations. The negative covariance components are considered to be physically implausible and to have resulted from random sampling error. Graphical modeling, a form of multivariate analysis, was used to model the covariance structure. Results indicate that only 29 of the 325 possible partial correlations among the water-level innovations were statistically significant. The model covariance matrix, corresponding to the model partial correlation structure, contained only positive elements. This model covariance was sequentially partitioned to compute a set of partial covariance matrices that were used to rank the effectiveness of the 26 monitoring wells from greatest to least. Results, for example, indicate that about 50 percent of the uncertainty of the water-level innovations currently monitored by the 26- well network could be described by the 6 most effective wells.

Monte Carlo analysis of the Titan III/Transfer Orbit Stage guidance system for the Mars Observer mission

NASA Astrophysics Data System (ADS)

Bell, Stephen C.; Ginsburg, Marc A.; Rao, Prabhakara P.

An important part of space launch vehicle mission planning for a planetary mission is the integrated analysis of guidance and performance dispersions for both booster and upper stage vehicles. For the Mars Observer mission, an integrated trajectory analysis was used to maximize the scientific payload and to minimize injection errors by optimizing the energy management of both vehicles. This was accomplished by designing the Titan III booster vehicle to inject into a hyperbolic departure plane, and the Transfer Orbit Stage (TOS) to correct any booster dispersions. An integrated Monte Carlo analysis of the performance and guidance dispersions of both vehicles provided sensitivities, an evaluation of their guidance schemes and an injection error covariance matrix. The polynomial guidance schemes used for the Titan III variable flight azimuth computations and the TOS solid rocket motor ignition time and burn direction derivations accounted for a wide variation of launch times, performance dispersions, and target conditions. The Mars Observer spacecraft was launched on 25 September 1992 on the Titan III/TOS vehicle. The post flight analysis indicated that a near perfect park orbit injection was achieved, followed by a trans-Mars injection with less than 2sigma errors.

Further Improvements to Linear Mixed Models for Genome-Wide Association Studies

PubMed Central

Widmer, Christian; Lippert, Christoph; Weissbrod, Omer; Fusi, Nicolo; Kadie, Carl; Davidson, Robert; Listgarten, Jennifer; Heckerman, David

2014-01-01

We examine improvements to the linear mixed model (LMM) that better correct for population structure and family relatedness in genome-wide association studies (GWAS). LMMs rely on the estimation of a genetic similarity matrix (GSM), which encodes the pairwise similarity between every two individuals in a cohort. These similarities are estimated from single nucleotide polymorphisms (SNPs) or other genetic variants. Traditionally, all available SNPs are used to estimate the GSM. In empirical studies across a wide range of synthetic and real data, we find that modifications to this approach improve GWAS performance as measured by type I error control and power. Specifically, when only population structure is present, a GSM constructed from SNPs that well predict the phenotype in combination with principal components as covariates controls type I error and yields more power than the traditional LMM. In any setting, with or without population structure or family relatedness, a GSM consisting of a mixture of two component GSMs, one constructed from all SNPs and another constructed from SNPs that well predict the phenotype again controls type I error and yields more power than the traditional LMM. Software implementing these improvements and the experimental comparisons are available at http://microsoft.com/science. PMID:25387525

Further Improvements to Linear Mixed Models for Genome-Wide Association Studies

NASA Astrophysics Data System (ADS)

Widmer, Christian; Lippert, Christoph; Weissbrod, Omer; Fusi, Nicolo; Kadie, Carl; Davidson, Robert; Listgarten, Jennifer; Heckerman, David

2014-11-01

We examine improvements to the linear mixed model (LMM) that better correct for population structure and family relatedness in genome-wide association studies (GWAS). LMMs rely on the estimation of a genetic similarity matrix (GSM), which encodes the pairwise similarity between every two individuals in a cohort. These similarities are estimated from single nucleotide polymorphisms (SNPs) or other genetic variants. Traditionally, all available SNPs are used to estimate the GSM. In empirical studies across a wide range of synthetic and real data, we find that modifications to this approach improve GWAS performance as measured by type I error control and power. Specifically, when only population structure is present, a GSM constructed from SNPs that well predict the phenotype in combination with principal components as covariates controls type I error and yields more power than the traditional LMM. In any setting, with or without population structure or family relatedness, a GSM consisting of a mixture of two component GSMs, one constructed from all SNPs and another constructed from SNPs that well predict the phenotype again controls type I error and yields more power than the traditional LMM. Software implementing these improvements and the experimental comparisons are available at http://microsoft.com/science.

Further improvements to linear mixed models for genome-wide association studies.

PubMed

Widmer, Christian; Lippert, Christoph; Weissbrod, Omer; Fusi, Nicolo; Kadie, Carl; Davidson, Robert; Listgarten, Jennifer; Heckerman, David

2014-11-12

We examine improvements to the linear mixed model (LMM) that better correct for population structure and family relatedness in genome-wide association studies (GWAS). LMMs rely on the estimation of a genetic similarity matrix (GSM), which encodes the pairwise similarity between every two individuals in a cohort. These similarities are estimated from single nucleotide polymorphisms (SNPs) or other genetic variants. Traditionally, all available SNPs are used to estimate the GSM. In empirical studies across a wide range of synthetic and real data, we find that modifications to this approach improve GWAS performance as measured by type I error control and power. Specifically, when only population structure is present, a GSM constructed from SNPs that well predict the phenotype in combination with principal components as covariates controls type I error and yields more power than the traditional LMM. In any setting, with or without population structure or family relatedness, a GSM consisting of a mixture of two component GSMs, one constructed from all SNPs and another constructed from SNPs that well predict the phenotype again controls type I error and yields more power than the traditional LMM. Software implementing these improvements and the experimental comparisons are available at http://microsoft.com/science.

Optimal interpolation schemes to constrain pmPM2.5 in regional modeling over the United States

NASA Astrophysics Data System (ADS)

Sousan, Sinan Dhia Jameel

This thesis presents the use of data assimilation with optimal interpolation (OI) to develop atmospheric aerosol concentration estimates for the United States at high spatial and temporal resolutions. Concentration estimates are highly desirable for a wide range of applications, including visibility, climate, and human health. OI is a viable data assimilation method that can be used to improve Community Multiscale Air Quality (CMAQ) model fine particulate matter (PM2.5) estimates. PM2.5 is the mass of solid and liquid particles with diameters less than or equal to 2.5 µm suspended in the gas phase. OI was employed by combining model estimates with satellite and surface measurements. The satellite data assimilation combined 36 x 36 km aerosol concentrations from CMAQ with aerosol optical depth (AOD) measured by MODIS and AERONET over the continental United States for 2002. Posterior model concentrations generated by the OI algorithm were compared with surface PM2.5 measurements to evaluate a number of possible data assimilation parameters, including model error, observation error, and temporal averaging assumptions. Evaluation was conducted separately for six geographic U.S. regions in 2002. Variability in model error and MODIS biases limited the effectiveness of a single data assimilation system for the entire continental domain. The best combinations of four settings and three averaging schemes led to a domain-averaged improvement in fractional error from 1.2 to 0.97 and from 0.99 to 0.89 at respective IMPROVE and STN monitoring sites. For 38% of OI results, MODIS OI degraded the forward model skill due to biases and outliers in MODIS AOD. Surface data assimilation combined 36 × 36 km aerosol concentrations from the CMAQ model with surface PM2.5 measurements over the continental United States for 2002. The model error covariance matrix was constructed by using the observational method. The observation error covariance matrix included site representation that scaled the observation error by land use (i.e. urban or rural locations). In theory, urban locations should have less effect on surrounding areas than rural sites, which can be controlled using site representation error. The annual evaluations showed substantial improvements in model performance with increases in the correlation coefficient from 0.36 (prior) to 0.76 (posterior), and decreases in the fractional error from 0.43 (prior) to 0.15 (posterior). In addition, the normalized mean error decreased from 0.36 (prior) to 0.13 (posterior), and the RMSE decreased from 5.39 µg m-3 (prior) to 2.32 µg m-3 (posterior). OI decreased model bias for both large spatial areas and point locations, and could be extended to more advanced data assimilation methods. The current work will be applied to a five year (2000-2004) CMAQ simulation aimed at improving aerosol model estimates. The posterior model concentrations will be used to inform exposure studies over the U.S. that relate aerosol exposure to mortality and morbidity rates. Future improvements for the OI techniques used in the current study will include combining both surface and satellite data to improve posterior model estimates. Satellite data have high spatial and temporal resolutions in comparison to surface measurements, which are scarce but more accurate than model estimates. The satellite data are subject to noise affected by location and season of retrieval. The implementation of OI to combine satellite and surface data sets has the potential to improve posterior model estimates for locations that have no direct measurements.

Covariance analysis for evaluating head trackers

NASA Astrophysics Data System (ADS)

Kang, Donghoon

2017-10-01

Existing methods for evaluating the performance of head trackers usually rely on publicly available face databases, which contain facial images and the ground truths of their corresponding head orientations. However, most of the existing publicly available face databases are constructed by assuming that a frontal head orientation can be determined by compelling the person under examination to look straight ahead at the camera on the first video frame. Since nobody can accurately direct one's head toward the camera, this assumption may be unrealistic. Rather than obtaining estimation errors, we present a method for computing the covariance of estimation error rotations to evaluate the reliability of head trackers. As an uncertainty measure of estimators, the Schatten 2-norm of a square root of error covariance (or the algebraic average of relative error angles) can be used. The merit of the proposed method is that it does not disturb the person under examination by asking him to direct his head toward certain directions. Experimental results using real data validate the usefulness of our method.

Accounting for response misclassification and covariate measurement error improves power and reduces bias in epidemiologic studies.

PubMed

Cheng, Dunlei; Branscum, Adam J; Stamey, James D

2010-07-01

To quantify the impact of ignoring misclassification of a response variable and measurement error in a covariate on statistical power, and to develop software for sample size and power analysis that accounts for these flaws in epidemiologic data. A Monte Carlo simulation-based procedure is developed to illustrate the differences in design requirements and inferences between analytic methods that properly account for misclassification and measurement error to those that do not in regression models for cross-sectional and cohort data. We found that failure to account for these flaws in epidemiologic data can lead to a substantial reduction in statistical power, over 25% in some cases. The proposed method substantially reduced bias by up to a ten-fold margin compared to naive estimates obtained by ignoring misclassification and mismeasurement. We recommend as routine practice that researchers account for errors in measurement of both response and covariate data when determining sample size, performing power calculations, or analyzing data from epidemiological studies. 2010 Elsevier Inc. All rights reserved.

Comparison of bias-corrected covariance estimators for MMRM analysis in longitudinal data with dropouts.

PubMed

Gosho, Masahiko; Hirakawa, Akihiro; Noma, Hisashi; Maruo, Kazushi; Sato, Yasunori

2017-10-01

In longitudinal clinical trials, some subjects will drop out before completing the trial, so their measurements towards the end of the trial are not obtained. Mixed-effects models for repeated measures (MMRM) analysis with "unstructured" (UN) covariance structure are increasingly common as a primary analysis for group comparisons in these trials. Furthermore, model-based covariance estimators have been routinely used for testing the group difference and estimating confidence intervals of the difference in the MMRM analysis using the UN covariance. However, using the MMRM analysis with the UN covariance could lead to convergence problems for numerical optimization, especially in trials with a small-sample size. Although the so-called sandwich covariance estimator is robust to misspecification of the covariance structure, its performance deteriorates in settings with small-sample size. We investigated the performance of the sandwich covariance estimator and covariance estimators adjusted for small-sample bias proposed by Kauermann and Carroll ( J Am Stat Assoc 2001; 96: 1387-1396) and Mancl and DeRouen ( Biometrics 2001; 57: 126-134) fitting simpler covariance structures through a simulation study. In terms of the type 1 error rate and coverage probability of confidence intervals, Mancl and DeRouen's covariance estimator with compound symmetry, first-order autoregressive (AR(1)), heterogeneous AR(1), and antedependence structures performed better than the original sandwich estimator and Kauermann and Carroll's estimator with these structures in the scenarios where the variance increased across visits. The performance based on Mancl and DeRouen's estimator with these structures was nearly equivalent to that based on the Kenward-Roger method for adjusting the standard errors and degrees of freedom with the UN structure. The model-based covariance estimator with the UN structure under unadjustment of the degrees of freedom, which is frequently used in applications, resulted in substantial inflation of the type 1 error rate. We recommend the use of Mancl and DeRouen's estimator in MMRM analysis if the number of subjects completing is ( n + 5) or less, where n is the number of planned visits. Otherwise, the use of Kenward and Roger's method with UN structure should be the best way.

A New First Break Picking for Three-Component VSP Data Using Gesture Sensor and Polarization Analysis

PubMed Central

Li, Huailiang; Tuo, Xianguo; Shen, Tong; Wang, Ruili; Courtois, Jérémie; Yan, Minhao

2017-01-01

A new first break picking for three-component (3C) vertical seismic profiling (VSP) data is proposed to improve the estimation accuracy of first arrivals, which adopts gesture detection calibration and polarization analysis based on the eigenvalue of the covariance matrix. This study aims at addressing the problem that calibration is required for VSP data using the azimuth and dip angle of geophones, due to the direction of geophones being random when applied in a borehole, which will further lead to the first break picking possibly being unreliable. Initially, a gesture-measuring module is integrated in the seismometer to rapidly obtain high-precision gesture data (including azimuth and dip angle information). Using re-rotating and re-projecting using earlier gesture data, the seismic dataset of each component will be calibrated to the direction that is consistent with the vibrator shot orientation. It will promote the reliability of the original data when making each component waveform calibrated to the same virtual reference component, and the corresponding first break will also be properly adjusted. After achieving 3C data calibration, an automatic first break picking algorithm based on the autoregressive-Akaike information criterion (AR-AIC) is adopted to evaluate the first break. Furthermore, in order to enhance the accuracy of the first break picking, the polarization attributes of 3C VSP recordings is applied to constrain the scanning segment of AR-AIC picker, which uses the maximum eigenvalue calculation of the covariance matrix. The contrast results between pre-calibration and post-calibration using field data show that it can further improve the quality of the 3C VSP waveform, which is favorable to subsequent picking. Compared to the obtained short-term average to long-term average (STA/LTA) and the AR-AIC algorithm, the proposed method, combined with polarization analysis, can significantly reduce the picking error. Applications of actual field experiments have also confirmed that the proposed method may be more suitable for the first break picking of 3C VSP. Test using synthesized 3C seismic data with low SNR indicates that the first break is picked with an error between 0.75 ms and 1.5 ms. Accordingly, the proposed method can reduce the picking error for 3C VSP data. PMID:28925981

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)

Simultaneous Estimation of Model State Variables and Observation and Forecast Biases Using a Two-Stage Hybrid Kalman Filter

NASA Technical Reports Server (NTRS)

Pauwels, V. R. N.; DeLannoy, G. J. M.; Hendricks Franssen, H.-J.; Vereecken, H.

2013-01-01

In this paper, we present a two-stage hybrid Kalman filter to estimate both observation and forecast bias in hydrologic models, in addition to state variables. The biases are estimated using the discrete Kalman filter, and the state variables using the ensemble Kalman filter. A key issue in this multi-component assimilation scheme is the exact partitioning of the difference between observation and forecasts into state, forecast bias and observation bias updates. Here, the error covariances of the forecast bias and the unbiased states are calculated as constant fractions of the biased state error covariance, and the observation bias error covariance is a function of the observation prediction error covariance. In a series of synthetic experiments, focusing on the assimilation of discharge into a rainfall-runoff model, it is shown that both static and dynamic observation and forecast biases can be successfully estimated. The results indicate a strong improvement in the estimation of the state variables and resulting discharge as opposed to the use of a bias-unaware ensemble Kalman filter. Furthermore, minimal code modification in existing data assimilation software is needed to implement the method. The results suggest that a better performance of data assimilation methods should be possible if both forecast and observation biases are taken into account.

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.

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.

Bounding filter - A simple solution to lack of exact a priori statistics.

NASA Technical Reports Server (NTRS)

Nahi, N. E.; Weiss, I. M.

1972-01-01

Wiener and Kalman-Bucy estimation problems assume that models describing the signal and noise stochastic processes are exactly known. When this modeling information, i.e., the signal and noise spectral densities for Wiener filter and the signal and noise dynamic system and disturbing noise representations for Kalman-Bucy filtering, is inexactly known, then the filter's performance is suboptimal and may even exhibit apparent divergence. In this paper a system is designed whereby the actual estimation error covariance is bounded by the covariance calculated by the estimator. Therefore, the estimator obtains a bound on the actual error covariance which is not available, and also prevents its apparent divergence.

Predicting the geographic distribution of a species from presence-only data subject to detection errors

USGS Publications Warehouse

Dorazio, Robert M.

2012-01-01

Several models have been developed to predict the geographic distribution of a species by combining measurements of covariates of occurrence at locations where the species is known to be present with measurements of the same covariates at other locations where species occurrence status (presence or absence) is unknown. In the absence of species detection errors, spatial point-process models and binary-regression models for case-augmented surveys provide consistent estimators of a species’ geographic distribution without prior knowledge of species prevalence. In addition, these regression models can be modified to produce estimators of species abundance that are asymptotically equivalent to those of the spatial point-process models. However, if species presence locations are subject to detection errors, neither class of models provides a consistent estimator of covariate effects unless the covariates of species abundance are distinct and independently distributed from the covariates of species detection probability. These analytical results are illustrated using simulation studies of data sets that contain a wide range of presence-only sample sizes. Analyses of presence-only data of three avian species observed in a survey of landbirds in western Montana and northern Idaho are compared with site-occupancy analyses of detections and nondetections of these species.

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.

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

Covariance NMR Processing and Analysis for Protein Assignment.

PubMed

Harden, Bradley J; Frueh, Dominique P

2018-01-01

During NMR resonance assignment it is often necessary to relate nuclei to one another indirectly, through their common correlations to other nuclei. Covariance NMR has emerged as a powerful technique to correlate such nuclei without relying on error-prone peak peaking. However, false-positive artifacts in covariance spectra have impeded a general application to proteins. We recently introduced pre- and postprocessing steps to reduce the prevalence of artifacts in covariance spectra, allowing for the calculation of a variety of 4D covariance maps obtained from diverse combinations of pairs of 3D spectra, and we have employed them to assign backbone and sidechain resonances in two large and challenging proteins. In this chapter, we present a detailed protocol describing how to (1) properly prepare existing 3D spectra for covariance, (2) understand and apply our processing script, and (3) navigate and interpret the resulting 4D spectra. We also provide solutions to a number of errors that may occur when using our script, and we offer practical advice when assigning difficult signals. We believe such 4D spectra, and covariance NMR in general, can play an integral role in the assignment of NMR signals.

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;

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.

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

Fitting direct covariance structures by the MSTRUCT modeling language of the CALIS procedure.

PubMed

Yung, Yiu-Fai; Browne, Michael W; Zhang, Wei

2015-02-01

This paper demonstrates the usefulness and flexibility of the general structural equation modelling (SEM) approach to fitting direct covariance patterns or structures (as opposed to fitting implied covariance structures from functional relationships among variables). In particular, the MSTRUCT modelling language (or syntax) of the CALIS procedure (SAS/STAT version 9.22 or later: SAS Institute, 2010) is used to illustrate the SEM approach. The MSTRUCT modelling language supports a direct covariance pattern specification of each covariance element. It also supports the input of additional independent and dependent parameters. Model tests, fit statistics, estimates, and their standard errors are then produced under the general SEM framework. By using numerical and computational examples, the following tests of basic covariance patterns are illustrated: sphericity, compound symmetry, and multiple-group covariance patterns. Specification and testing of two complex correlation structures, the circumplex pattern and the composite direct product models with or without composite errors and scales, are also illustrated by the MSTRUCT syntax. It is concluded that the SEM approach offers a general and flexible modelling of direct covariance and correlation patterns. In conjunction with the use of SAS macros, the MSTRUCT syntax provides an easy-to-use interface for specifying and fitting complex covariance and correlation structures, even when the number of variables or parameters becomes large. © 2014 The British Psychological Society.

A regularization corrected score method for nonlinear regression models with covariate error.

PubMed

Zucker, David M; Gorfine, Malka; Li, Yi; Tadesse, Mahlet G; Spiegelman, Donna

2013-03-01

Many regression analyses involve explanatory variables that are measured with error, and failing to account for this error is well known to lead to biased point and interval estimates of the regression coefficients. We present here a new general method for adjusting for covariate error. Our method consists of an approximate version of the Stefanski-Nakamura corrected score approach, using the method of regularization to obtain an approximate solution of the relevant integral equation. We develop the theory in the setting of classical likelihood models; this setting covers, for example, linear regression, nonlinear regression, logistic regression, and Poisson regression. The method is extremely general in terms of the types of measurement error models covered, and is a functional method in the sense of not involving assumptions on the distribution of the true covariate. We discuss the theoretical properties of the method and present simulation results in the logistic regression setting (univariate and multivariate). For illustration, we apply the method to data from the Harvard Nurses' Health Study concerning the relationship between physical activity and breast cancer mortality in the period following a diagnosis of breast cancer. Copyright © 2013, The International Biometric Society.

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.

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.

On using summary statistics from an external calibration sample to correct for covariate measurement error.

PubMed

Guo, Ying; Little, Roderick J; McConnell, Daniel S

2012-01-01

Covariate measurement error is common in epidemiologic studies. Current methods for correcting measurement error with information from external calibration samples are insufficient to provide valid adjusted inferences. We consider the problem of estimating the regression of an outcome Y on covariates X and Z, where Y and Z are observed, X is unobserved, but a variable W that measures X with error is observed. Information about measurement error is provided in an external calibration sample where data on X and W (but not Y and Z) are recorded. We describe a method that uses summary statistics from the calibration sample to create multiple imputations of the missing values of X in the regression sample, so that the regression coefficients of Y on X and Z and associated standard errors can be estimated using simple multiple imputation combining rules, yielding valid statistical inferences under the assumption of a multivariate normal distribution. The proposed method is shown by simulation to provide better inferences than existing methods, namely the naive method, classical calibration, and regression calibration, particularly for correction for bias and achieving nominal confidence levels. We also illustrate our method with an example using linear regression to examine the relation between serum reproductive hormone concentrations and bone mineral density loss in midlife women in the Michigan Bone Health and Metabolism Study. Existing methods fail to adjust appropriately for bias due to measurement error in the regression setting, particularly when measurement error is substantial. The proposed method corrects this deficiency.

Identification of terrain cover using the optimum polarimetric classifier

NASA Technical Reports Server (NTRS)

Kong, J. A.; Swartz, A. A.; Yueh, H. A.; Novak, L. M.; Shin, R. T.

1988-01-01

A systematic approach for the identification of terrain media such as vegetation canopy, forest, and snow-covered fields is developed using the optimum polarimetric classifier. The covariance matrices for various terrain cover are computed from theoretical models of random medium by evaluating the scattering matrix elements. The optimal classification scheme makes use of a quadratic distance measure and is applied to classify a vegetation canopy consisting of both trees and grass. Experimentally measured data are used to validate the classification scheme. Analytical and Monte Carlo simulated classification errors using the fully polarimetric feature vector are compared with classification based on single features which include the phase difference between the VV and HH polarization returns. It is shown that the full polarimetric results are optimal and provide better classification performance than single feature measurements.

Distribution-Agnostic Stochastic Optimal Power Flow for Distribution Grids: Preprint

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

Baker, Kyri; Dall'Anese, Emiliano; Summers, Tyler

2016-09-01

This paper outlines a data-driven, distributionally robust approach to solve chance-constrained AC optimal power flow problems in distribution networks. Uncertain forecasts for loads and power generated by photovoltaic (PV) systems are considered, with the goal of minimizing PV curtailment while meeting power flow and voltage regulation constraints. A data- driven approach is utilized to develop a distributionally robust conservative convex approximation of the chance-constraints; particularly, the mean and covariance matrix of the forecast errors are updated online, and leveraged to enforce voltage regulation with predetermined probability via Chebyshev-based bounds. By combining an accurate linear approximation of the AC power flowmore » equations with the distributionally robust chance constraint reformulation, the resulting optimization problem becomes convex and computationally tractable.« less

Effects of Correlated Errors on the Analysis of Space Geodetic Data

NASA Technical Reports Server (NTRS)

Romero-Wolf, Andres; Jacobs, C. S.

2011-01-01

As thermal errors are reduced instrumental and troposphere correlated errors will increasingly become more important. Work in progress shows that troposphere covariance error models improve data analysis results. We expect to see stronger effects with higher data rates. Temperature modeling of delay errors may further reduce temporal correlations in the data.

Noise in two-color electronic distance meter measurements revisited

USGS Publications Warehouse

Langbein, J.

2004-01-01

Frequent, high-precision geodetic data have temporally correlated errors. Temporal correlations directly affect both the estimate of rate and its standard error; the rate of deformation is a key product from geodetic measurements made in tectonically active areas. Various models of temporally correlated errors are developed and these provide relations between the power spectral density and the data covariance matrix. These relations are applied to two-color electronic distance meter (EDM) measurements made frequently in California over the past 15-20 years. Previous analysis indicated that these data have significant random walk error. Analysis using the noise models developed here indicates that the random walk model is valid for about 30% of the data. A second 30% of the data can be better modeled with power law noise with a spectral index between 1 and 2, while another 30% of the data can be modeled with a combination of band-pass-filtered plus random walk noise. The remaining 10% of the data can be best modeled as a combination of band-pass-filtered plus power law noise. This band-pass-filtered noise is a product of an annual cycle that leaks into adjacent frequency bands. For time spans of more than 1 year these more complex noise models indicate that the precision in rate estimates is better than that inferred by just the simpler, random walk model of noise.

Surface temperature dataset for North America obtained by application of optimal interpolation algorithm merging tree-ring chronologies and climate model output

NASA Astrophysics Data System (ADS)

Chen, Xin; Xing, Pei; Luo, Yong; Nie, Suping; Zhao, Zongci; Huang, Jianbin; Wang, Shaowu; Tian, Qinhua

2017-02-01

A new dataset of surface temperature over North America has been constructed by merging climate model results and empirical tree-ring data through the application of an optimal interpolation algorithm. Errors of both the Community Climate System Model version 4 (CCSM4) simulation and the tree-ring reconstruction were considered to optimize the combination of the two elements. Variance matching was used to reconstruct the surface temperature series. The model simulation provided the background field, and the error covariance matrix was estimated statistically using samples from the simulation results with a running 31-year window for each grid. Thus, the merging process could continue with a time-varying gain matrix. This merging method (MM) was tested using two types of experiment, and the results indicated that the standard deviation of errors was about 0.4 °C lower than the tree-ring reconstructions and about 0.5 °C lower than the model simulation. Because of internal variabilities and uncertainties in the external forcing data, the simulated decadal warm-cool periods were readjusted by the MM such that the decadal variability was more reliable (e.g., the 1940-1960s cooling). During the two centuries (1601-1800 AD) of the preindustrial period, the MM results revealed a compromised spatial pattern of the linear trend of surface temperature, which is in accordance with the phase transition of the Pacific decadal oscillation and Atlantic multidecadal oscillation. Compared with pure CCSM4 simulations, it was demonstrated that the MM brought a significant improvement to the decadal variability of the gridded temperature via the merging of temperature-sensitive tree-ring records.

Bayesian correction for covariate measurement error: A frequentist evaluation and comparison with regression calibration.

PubMed

Bartlett, Jonathan W; Keogh, Ruth H

2018-06-01

Bayesian approaches for handling covariate measurement error are well established and yet arguably are still relatively little used by researchers. For some this is likely due to unfamiliarity or disagreement with the Bayesian inferential paradigm. For others a contributory factor is the inability of standard statistical packages to perform such Bayesian analyses. In this paper, we first give an overview of the Bayesian approach to handling covariate measurement error, and contrast it with regression calibration, arguably the most commonly adopted approach. We then argue why the Bayesian approach has a number of statistical advantages compared to regression calibration and demonstrate that implementing the Bayesian approach is usually quite feasible for the analyst. Next, we describe the closely related maximum likelihood and multiple imputation approaches and explain why we believe the Bayesian approach to generally be preferable. We then empirically compare the frequentist properties of regression calibration and the Bayesian approach through simulation studies. The flexibility of the Bayesian approach to handle both measurement error and missing data is then illustrated through an analysis of data from the Third National Health and Nutrition Examination Survey.

A study on characteristics of retrospective optimal interpolation with WRF testbed

NASA Astrophysics Data System (ADS)

Kim, S.; Noh, N.; Lim, G.

2012-12-01

This study presents the application of retrospective optimal interpolation (ROI) with Weather Research and Forecasting model (WRF). Song et al. (2009) suggest ROI method which is an optimal interpolation (OI) that gradually assimilates observations over the analysis window for variance-minimum estimate of an atmospheric state at the initial time of the analysis window. Song and Lim (2011) improve the method by incorporating eigen-decomposition and covariance inflation. ROI method assimilates the data at post analysis time using perturbation method (Errico and Raeder, 1999) without adjoint model. In this study, ROI method is applied to WRF model to validate the algorithm and to investigate the capability. The computational costs for ROI can be reduced due to the eigen-decomposition of background error covariance. Using the background error covariance in eigen-space, 1-profile assimilation experiment is performed. The difference between forecast errors with assimilation and without assimilation is obviously increased as time passed, which means the improvement of forecast error by assimilation. The characteristics and strength/weakness of ROI method are investigated by conducting the experiments with other data assimilation method.

Global Tropospheric Noise Maps for InSAR Observations

NASA Astrophysics Data System (ADS)

Yun, S. H.; Hensley, S.; Agram, P. S.; Chaubell, M.; Fielding, E. J.; Pan, L.

2014-12-01

Radio wave's differential phase delay variation through the troposphere is the largest error sources in Interferometric Synthetic Aperture Radar (InSAR) measurements, and water vapor variability in the troposphere is known to be the dominant factor. We use the precipitable water vapor (PWV) products from NASA's Moderate Resolution Imaging Spectroradiometer (MODIS) sensors mounted on Terra and Aqua satellites to produce tropospheric noise maps of InSAR. We estimate the slope and y-intercept of power spectral density curve of MODIS PWV and calculate the structure function to estimate the expected tropospheric noise level as a function of distance. The results serve two purposes: 1) to provide guidance on the expected covariance matrix for geophysical modeling, 2) to provide quantitative basis for the science Level-1 requirements of the planned NASA-ISRO L-band SAR mission (NISAR mission). We populate lookup tables of such power spectrum parameters derived from each 1-by-1 degree tile of global coverage. The MODIS data were retrieved from OSCAR (Online Services for Correcting Atmosphere in Radar) server. Users will be able to use the lookup tables and calculate expected tropospheric noise level of any date of MODIS data at any distance scale. Such calculation results can be used for constructing covariance matrix for geophysical modeling, or building statistics to support InSAR missions' requirements. For example, about 74% of the world had InSAR tropospheric noise level (along a radar line-of-sight for an incidence angle of 40 degrees) of 2 cm or less at 50 km distance scale during the time period of 2010/01/01 - 2010/01/09.

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.

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.

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

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.

Measuring continuous baseline covariate imbalances in clinical trial data

PubMed Central

Ciolino, Jody D.; Martin, Renee’ H.; Zhao, Wenle; Hill, Michael D.; Jauch, Edward C.; Palesch, Yuko Y.

2014-01-01

This paper presents and compares several methods of measuring continuous baseline covariate imbalance in clinical trial data. Simulations illustrate that though the t-test is an inappropriate method of assessing continuous baseline covariate imbalance, the test statistic itself is a robust measure in capturing imbalance in continuous covariate distributions. Guidelines to assess effects of imbalance on bias, type I error rate, and power for hypothesis test for treatment effect on continuous outcomes are presented, and the benefit of covariate-adjusted analysis (ANCOVA) is also illustrated. PMID:21865270

Optimized satellite image compression and reconstruction via evolution strategies

NASA Astrophysics Data System (ADS)

Babb, Brendan; Moore, Frank; Peterson, Michael

2009-05-01

This paper describes the automatic discovery, via an Evolution Strategy with Covariance Matrix Adaptation (CMA-ES), of vectors of real-valued coefficients representing matched forward and inverse transforms that outperform the 9/7 Cohen-Daubechies-Feauveau (CDF) discrete wavelet transform (DWT) for satellite image compression and reconstruction under conditions subject to quantization error. The best transform evolved during this study reduces the mean squared error (MSE) present in reconstructed satellite images by an average of 33.78% (1.79 dB), while maintaining the average information entropy (IE) of compressed images at 99.57% in comparison to the wavelet. In addition, this evolved transform achieves 49.88% (3.00 dB) average MSE reduction when tested on 80 images from the FBI fingerprint test set, and 42.35% (2.39 dB) average MSE reduction when tested on a set of 18 digital photographs, while achieving average IE of 104.36% and 100.08%, respectively. These results indicate that our evolved transform greatly improves the quality of reconstructed images without substantial loss of compression capability over a broad range of image classes.

Compressive sensing of signals generated in plastic scintillators in a novel J-PET instrument

NASA Astrophysics Data System (ADS)

Raczyński, L.; Moskal, P.; Kowalski, P.; Wiślicki, W.; Bednarski, T.; Białas, P.; Czerwiński, E.; Gajos, A.; Kapłon, Ł.; Kochanowski, A.; Korcyl, G.; Kowal, J.; Kozik, T.; Krzemień, W.; Kubicz, E.; Niedźwiecki, Sz.; Pałka, M.; Rudy, Z.; Rundel, O.; Salabura, P.; Sharma, N. G.; Silarski, M.; Słomski, A.; Smyrski, J.; Strzelecki, A.; Wieczorek, A.; Zieliński, M.; Zoń, N.

2015-06-01

The J-PET scanner, which allows for single bed imaging of the whole human body, is currently under development at the Jagiellonian University. The discussed detector offers improvement of the Time of Flight (TOF) resolution due to the use of fast plastic scintillators and dedicated electronics allowing for sampling in the voltage domain of signals with durations of few nanoseconds. In this paper we show that recovery of the whole signal, based on only a few samples, is possible. In order to do that, we incorporate the training signals into the Tikhonov regularization framework and we perform the Principal Component Analysis decomposition, which is well known for its compaction properties. The method yields a simple closed form analytical solution that does not require iterative processing. Moreover, from the Bayes theory the properties of regularized solution, especially its covariance matrix, may be easily derived. This is the key to introduce and prove the formula for calculations of the signal recovery error. In this paper we show that an average recovery error is approximately inversely proportional to the number of acquired samples.

Isobaric Reconstruction of the Baryonic Acoustic Oscillation

NASA Astrophysics Data System (ADS)

Wang, Xin; Yu, Hao-Ran; Zhu, Hong-Ming; Yu, Yu; Pan, Qiaoyin; Pen, Ue-Li

2017-06-01

In this Letter, we report a significant recovery of the linear baryonic acoustic oscillation (BAO) signature by applying the isobaric reconstruction algorithm to the nonlinear matter density field. Assuming only the longitudinal component of the displacement being cosmologically relevant, this algorithm iteratively solves the coordinate transform between the Lagrangian and Eulerian frames without requiring any specific knowledge of the dynamics. For dark matter field, it produces the nonlinear displacement potential with very high fidelity. The reconstruction error at the pixel level is within a few percent and is caused only by the emergence of the transverse component after the shell-crossing. As it circumvents the strongest nonlinearity of the density evolution, the reconstructed field is well described by linear theory and immune from the bulk-flow smearing of the BAO signature. Therefore, this algorithm could significantly improve the measurement accuracy of the sound horizon scale s. For a perfect large-scale structure survey at redshift zero without Poisson or instrumental noise, the fractional error {{Δ }}s/s is reduced by a factor of ˜2.7, very close to the ideal limit with the linear power spectrum and Gaussian covariance matrix.

Event-Based Sensing and Control for Remote Robot Guidance: An Experimental Case

PubMed Central

Santos, Carlos; Martínez-Rey, Miguel; Santiso, Enrique

2017-01-01

This paper describes the theoretical and practical foundations for remote control of a mobile robot for nonlinear trajectory tracking using an external localisation sensor. It constitutes a classical networked control system, whereby event-based techniques for both control and state estimation contribute to efficient use of communications and reduce sensor activity. Measurement requests are dictated by an event-based state estimator by setting an upper bound to the estimation error covariance matrix. The rest of the time, state prediction is carried out with the Unscented transformation. This prediction method makes it possible to select the appropriate instants at which to perform actuations on the robot so that guidance performance does not degrade below a certain threshold. Ultimately, we obtained a combined event-based control and estimation solution that drastically reduces communication accesses. The magnitude of this reduction is set according to the tracking error margin of a P3-DX robot following a nonlinear trajectory, remotely controlled with a mini PC and whose pose is detected by a camera sensor. PMID:28878144

Shuttle program: Ground tracking data program document shuttle OFT launch/landing

NASA Technical Reports Server (NTRS)

Lear, W. M.

1977-01-01

The equations for processing ground tracking data during a space shuttle ascent or entry, or any nonfree flight phase of a shuttle mission are given. The resulting computer program processes data from up to three stations simultaneously: C-band station number 1; C-band station number 2; and an S-band station. The C-band data consists of range, azimuth, and elevation angle measurements. The S-band data consists of range, two angles, and integrated Doppler data in the form of cycle counts. A nineteen element state vector is used in Kalman filter to process the measurements. The acceleration components of the shuttle are taken to be independent exponentially-correlated random variables. Nine elements of the state vector are the measurement bias errors associated with range and two angles for each tracking station. The biases are all modeled as exponentially-correlated random variables with a typical time constant of 108 seconds. All time constants are taken to be the same for all nine state variables. This simplifies the logic in propagating the state error covariance matrix ahead in time.

3D-2D registration for surgical guidance: effect of projection view angles on registration accuracy

NASA Astrophysics Data System (ADS)

Uneri, A.; Otake, Y.; Wang, A. S.; Kleinszig, G.; Vogt, S.; Khanna, A. J.; Siewerdsen, J. H.

2014-01-01

An algorithm for intensity-based 3D-2D registration of CT and x-ray projections is evaluated, specifically using single- or dual-projection views to provide 3D localization. The registration framework employs the gradient information similarity metric and covariance matrix adaptation evolution strategy to solve for the patient pose in six degrees of freedom. Registration performance was evaluated in an anthropomorphic phantom and cadaver, using C-arm projection views acquired at angular separation, Δθ, ranging from ˜0°-180° at variable C-arm magnification. Registration accuracy was assessed in terms of 2D projection distance error and 3D target registration error (TRE) and compared to that of an electromagnetic (EM) tracker. The results indicate that angular separation as small as Δθ ˜10°-20° achieved TRE <2 mm with 95% confidence, comparable or superior to that of the EM tracker. The method allows direct registration of preoperative CT and planning data to intraoperative fluoroscopy, providing 3D localization free from conventional limitations associated with external fiducial markers, stereotactic frames, trackers and manual registration.

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

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.

Highlights of TOMS Version 9 Total Ozone Algorithm

NASA Technical Reports Server (NTRS)

Bhartia, Pawan; Haffner, David

2012-01-01

The fundamental basis of TOMS total ozone algorithm was developed some 45 years ago by Dave and Mateer. It was designed to estimate total ozone from satellite measurements of the backscattered UV radiances at few discrete wavelengths in the Huggins ozone absorption band (310-340 nm). Over the years, as the need for higher accuracy in measuring total ozone from space has increased, several improvements to the basic algorithms have been made. They include: better correction for the effects of aerosols and clouds, an improved method to account for the variation in shape of ozone profiles with season, latitude, and total ozone, and a multi-wavelength correction for remaining profile shape errors. These improvements have made it possible to retrieve total ozone with just 3 spectral channels of moderate spectral resolution (approx. 1 nm) with accuracy comparable to state-of-the-art spectral fitting algorithms like DOAS that require high spectral resolution measurements at large number of wavelengths. One of the deficiencies of the TOMS algorithm has been that it doesn't provide an error estimate. This is a particular problem in high latitudes when the profile shape errors become significant and vary with latitude, season, total ozone, and instrument viewing geometry. The primary objective of the TOMS V9 algorithm is to account for these effects in estimating the error bars. This is done by a straightforward implementation of the Rodgers optimum estimation method using a priori ozone profiles and their error covariances matrices constructed using Aura MLS and ozonesonde data. The algorithm produces a vertical ozone profile that contains 1-2.5 pieces of information (degrees of freedom of signal) depending upon solar zenith angle (SZA). The profile is integrated to obtain the total column. We provide information that shows the altitude range in which the profile is best determined by the measurements. One can use this information in data assimilation and analysis. A side benefit of this algorithm is that it is considerably simpler than the present algorithm that uses a database of 1512 profiles to retrieve total ozone. These profiles are tedious to construct and modify. Though conceptually similar to the SBUV V8 algorithm that was developed about a decade ago, the SBUV and TOMS V9 algorithms differ in detail. The TOMS algorithm uses 3 wavelengths to retrieve the profile while the SBUV algorithm uses 6-9 wavelengths, so TOMS provides less profile information. However both algorithms have comparable total ozone information and TOMS V9 can be easily adapted to use additional wavelengths from instruments like GOME, OMI and OMPS to provide better profile information at smaller SZAs. The other significant difference between the two algorithms is that while the SBUV algorithm has been optimized for deriving monthly zonal means by making an appropriate choice of the a priori error covariance matrix, the TOMS algorithm has been optimized for tracking short-term variability using month and latitude dependent covariance matrices.

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.

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.

The GEOS Ozone Data Assimilation System: Specification of Error Statistics

NASA Technical Reports Server (NTRS)

Stajner, Ivanka; Riishojgaard, Lars Peter; Rood, Richard B.

2000-01-01

A global three-dimensional ozone data assimilation system has been developed at the Data Assimilation Office of the NASA/Goddard Space Flight Center. The Total Ozone Mapping Spectrometer (TOMS) total ozone and the Solar Backscatter Ultraviolet (SBUV) or (SBUV/2) partial ozone profile observations are assimilated. The assimilation, into an off-line ozone transport model, is done using the global Physical-space Statistical Analysis Scheme (PSAS). This system became operational in December 1999. A detailed description of the statistical analysis scheme, and in particular, the forecast and observation error covariance models is given. A new global anisotropic horizontal forecast error correlation model accounts for a varying distribution of observations with latitude. Correlations are largest in the zonal direction in the tropics where data is sparse. Forecast error variance model is proportional to the ozone field. The forecast error covariance parameters were determined by maximum likelihood estimation. The error covariance models are validated using x squared statistics. The analyzed ozone fields in the winter 1992 are validated against independent observations from ozone sondes and HALOE. There is better than 10% agreement between mean Halogen Occultation Experiment (HALOE) and analysis fields between 70 and 0.2 hPa. The global root-mean-square (RMS) difference between TOMS observed and forecast values is less than 4%. The global RMS difference between SBUV observed and analyzed ozone between 50 and 3 hPa is less than 15%.

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.

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

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.

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.

Multigrid solvers and multigrid preconditioners for the solution of variational data assimilation problems

NASA Astrophysics Data System (ADS)

Debreu, Laurent; Neveu, Emilie; Simon, Ehouarn; Le Dimet, Francois Xavier; Vidard, Arthur

2014-05-01

In order to lower the computational cost of the variational data assimilation process, we investigate the use of multigrid methods to solve the associated optimal control system. On a linear advection equation, we study the impact of the regularization term on the optimal control and the impact of discretization errors on the efficiency of the coarse grid correction step. We show that even if the optimal control problem leads to the solution of an elliptic system, numerical errors introduced by the discretization can alter the success of the multigrid methods. The view of the multigrid iteration as a preconditioner for a Krylov optimization method leads to a more robust algorithm. A scale dependent weighting of the multigrid preconditioner and the usual background error covariance matrix based preconditioner is proposed and brings significant improvements. [1] Laurent Debreu, Emilie Neveu, Ehouarn Simon, François-Xavier Le Dimet and Arthur Vidard, 2014: Multigrid solvers and multigrid preconditioners for the solution of variational data assimilation problems, submitted to QJRMS, http://hal.inria.fr/hal-00874643 [2] Emilie Neveu, Laurent Debreu and François-Xavier Le Dimet, 2011: Multigrid methods and data assimilation - Convergence study and first experiments on non-linear equations, ARIMA, 14, 63-80, http://intranet.inria.fr/international/arima/014/014005.html

Detection of the Pairwise Kinematic Sunyaev-Zel'dovich Effect with BOSS DR11 and the Atacama Cosmology Telescope

NASA Technical Reports Server (NTRS)

De Bernardis, F.; Aiola, S.; Vavagiakis, E. M.; Battaglia, N.; Niemack, M. D.; Beall, J.; Becker, D. T.; Bond, J. R.; Calabrese, E.; Cho, H.;

Detection of the pairwise kinematic Sunyaev-Zel'dovich effect with BOSS DR11 and the Atacama Cosmology Telescope

NASA Astrophysics Data System (ADS)

De Bernardis, F.; Aiola, S.; Vavagiakis, E. M.; Battaglia, N.; Niemack, M. D.; Beall, J.; Becker, D. T.; Bond, J. R.; Calabrese, E.; Cho, H.; Coughlin, K.; Datta, R.; Devlin, M.; Dunkley, J.; Dunner, R.; Ferraro, S.; Fox, A.; Gallardo, P. A.; Halpern, M.; Hand, N.; Hasselfield, M.; Henderson, S. W.; Hill, J. C.; Hilton, G. C.; Hilton, M.; Hincks, A. D.; Hlozek, R.; Hubmayr, J.; Huffenberger, K.; Hughes, J. P.; Irwin, K. D.; Koopman, B. J.; Kosowsky, A.; Li, D.; Louis, T.; Lungu, M.; Madhavacheril, M. S.; Maurin, L.; McMahon, J.; Moodley, K.; Naess, S.; Nati, F.; Newburgh, L.; Nibarger, J. P.; Page, L. A.; Partridge, B.; Schaan, E.; Schmitt, B. L.; Sehgal, N.; Sievers, J.; Simon, S. M.; Spergel, D. N.; Staggs, S. T.; Stevens, J. R.; Thornton, R. J.; van Engelen, A.; Van Lanen, J.; Wollack, E. J.

2017-03-01

We present a new measurement of the kinematic Sunyaev-Zel'dovich effect using data from the Atacama Cosmology Telescope (ACT) and the Baryon Oscillation Spectroscopic Survey (BOSS). Using 600 square degrees of overlapping sky area, we evaluate the mean pairwise baryon momentum associated with the positions of 50,000 bright galaxies in the BOSS DR11 Large Scale Structure catalog. A non-zero signal arises from the large-scale motions of halos containing the sample galaxies. The data fits an analytical signal model well, with the optical depth to microwave photon scattering as a free parameter determining the overall signal amplitude. We estimate the covariance matrix of the mean pairwise momentum as a function of galaxy separation, using microwave sky simulations, jackknife evaluation, and bootstrap estimates. The most conservative simulation-based errors give signal-to-noise estimates between 3.6 and 4.1 for varying galaxy luminosity cuts. We discuss how the other error determinations can lead to higher signal-to-noise values, and consider the impact of several possible systematic errors. Estimates of the optical depth from the average thermal Sunyaev-Zel'dovich signal at the sample galaxy positions are broadly consistent with those obtained from the mean pairwise momentum signal.

Estimating the State of Aerodynamic Flows in the Presence of Modeling Errors

NASA Astrophysics Data System (ADS)

da Silva, Andre F. C.; Colonius, Tim

2017-11-01

The ensemble Kalman filter (EnKF) has been proven to be successful in fields such as meteorology, in which high-dimensional nonlinear systems render classical estimation techniques impractical. When the model used to forecast state evolution misrepresents important aspects of the true dynamics, estimator performance may degrade. In this work, parametrization and state augmentation are used to track misspecified boundary conditions (e.g., free stream perturbations). The resolution error is modeled as a Gaussian-distributed random variable with the mean (bias) and variance to be determined. The dynamics of the flow past a NACA 0009 airfoil at high angles of attack and moderate Reynolds number is represented by a Navier-Stokes equations solver with immersed boundaries capabilities. The pressure distribution on the airfoil or the velocity field in the wake, both randomized by synthetic noise, are sampled as measurement data and incorporated into the estimated state and bias following Kalman's analysis scheme. Insights about how to specify the modeling error covariance matrix and its impact on the estimator performance are conveyed. This work has been supported in part by a Grant from AFOSR (FA9550-14-1-0328) with Dr. Douglas Smith as program manager, and by a Science without Borders scholarship from the Ministry of Education of Brazil (Capes Foundation - BEX 12966/13-4).

Quantifying radar-rainfall uncertainties in urban drainage flow modelling

NASA Astrophysics Data System (ADS)

Rico-Ramirez, M. A.; Liguori, S.; Schellart, A. N. A.

2015-09-01

This work presents the results of the implementation of a probabilistic system to model the uncertainty associated to radar rainfall (RR) estimates and the way this uncertainty propagates through the sewer system of an urban area located in the North of England. The spatial and temporal correlations of the RR errors as well as the error covariance matrix were computed to build a RR error model able to generate RR ensembles that reproduce the uncertainty associated with the measured rainfall. The results showed that the RR ensembles provide important information about the uncertainty in the rainfall measurement that can be propagated in the urban sewer system. The results showed that the measured flow peaks and flow volumes are often bounded within the uncertainty area produced by the RR ensembles. In 55% of the simulated events, the uncertainties in RR measurements can explain the uncertainties observed in the simulated flow volumes. However, there are also some events where the RR uncertainty cannot explain the whole uncertainty observed in the simulated flow volumes indicating that there are additional sources of uncertainty that must be considered such as the uncertainty in the urban drainage model structure, the uncertainty in the urban drainage model calibrated parameters, and the uncertainty in the measured sewer flows.

Fitting a function to time-dependent ensemble averaged data.

PubMed

Fogelmark, Karl; Lomholt, Michael A; Irbäck, Anders; Ambjörnsson, Tobias

2018-05-03

Time-dependent ensemble averages, i.e., trajectory-based averages of some observable, are of importance in many fields of science. A crucial objective when interpreting such data is to fit these averages (for instance, squared displacements) with a function and extract parameters (such as diffusion constants). A commonly overlooked challenge in such function fitting procedures is that fluctuations around mean values, by construction, exhibit temporal correlations. We show that the only available general purpose function fitting methods, correlated chi-square method and the weighted least squares method (which neglects correlation), fail at either robust parameter estimation or accurate error estimation. We remedy this by deriving a new closed-form error estimation formula for weighted least square fitting. The new formula uses the full covariance matrix, i.e., rigorously includes temporal correlations, but is free of the robustness issues, inherent to the correlated chi-square method. We demonstrate its accuracy in four examples of importance in many fields: Brownian motion, damped harmonic oscillation, fractional Brownian motion and continuous time random walks. We also successfully apply our method, weighted least squares including correlation in error estimation (WLS-ICE), to particle tracking data. The WLS-ICE method is applicable to arbitrary fit functions, and we provide a publically available WLS-ICE software.

Systematic sparse matrix error control for linear scaling electronic structure calculations.

PubMed

Rubensson, Emanuel H; Sałek, Paweł

2005-11-30

Efficient truncation criteria used in multiatom blocked sparse matrix operations for ab initio calculations are proposed. As system size increases, so does the need to stay on top of errors and still achieve high performance. A variant of a blocked sparse matrix algebra to achieve strict error control with good performance is proposed. The presented idea is that the condition to drop a certain submatrix should depend not only on the magnitude of that particular submatrix, but also on which other submatrices that are dropped. The decision to remove a certain submatrix is based on the contribution the removal would cause to the error in the chosen norm. We study the effect of an accumulated truncation error in iterative algorithms like trace correcting density matrix purification. One way to reduce the initial exponential growth of this error is presented. The presented error control for a sparse blocked matrix toolbox allows for achieving optimal performance by performing only necessary operations needed to maintain the requested level of accuracy. Copyright 2005 Wiley Periodicals, Inc.

Reconstruction of primordial tensor power spectra from B -mode polarization of the cosmic microwave background

NASA Astrophysics Data System (ADS)

Hiramatsu, Takashi; Komatsu, Eiichiro; Hazumi, Masashi; Sasaki, Misao

2018-06-01

Given observations of the B -mode polarization power spectrum of the cosmic microwave background (CMB), we can reconstruct power spectra of primordial tensor modes from the early Universe without assuming their functional form such as a power-law spectrum. The shape of the reconstructed spectra can then be used to probe the origin of tensor modes in a model-independent manner. We use the Fisher matrix to calculate the covariance matrix of tensor power spectra reconstructed in bins. We find that the power spectra are best reconstructed at wave numbers in the vicinity of k ≈6 ×10-4 and 5 ×10-3 Mpc-1 , which correspond to the "reionization bump" at ℓ≲6 and "recombination bump" at ℓ≈80 of the CMB B -mode power spectrum, respectively. The error bar between these two wave numbers is larger because of the lack of the signal between the reionization and recombination bumps. The error bars increase sharply toward smaller (larger) wave numbers because of the cosmic variance (CMB lensing and instrumental noise). To demonstrate the utility of the reconstructed power spectra, we investigate whether we can distinguish between various sources of tensor modes including those from the vacuum metric fluctuation and SU(2) gauge fields during single-field slow-roll inflation, open inflation, and massive gravity inflation. The results depend on the model parameters, but we find that future CMB experiments are sensitive to differences in these models. We make our calculation tool available online.

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.

A New Formulation of the Filter-Error Method for Aerodynamic Parameter Estimation in Turbulence

NASA Technical Reports Server (NTRS)

Grauer, Jared A.; Morelli, Eugene A.

2015-01-01

A new formulation of the filter-error method for estimating aerodynamic parameters in nonlinear aircraft dynamic models during turbulence was developed and demonstrated. The approach uses an estimate of the measurement noise covariance to identify the model parameters, their uncertainties, and the process noise covariance, in a relaxation method analogous to the output-error method. Prior information on the model parameters and uncertainties can be supplied, and a post-estimation correction to the uncertainty was included to account for colored residuals not considered in the theory. No tuning parameters, needing adjustment by the analyst, are used in the estimation. The method was demonstrated in simulation using the NASA Generic Transport Model, then applied to the subscale T-2 jet-engine transport aircraft flight. Modeling results in different levels of turbulence were compared with results from time-domain output error and frequency- domain equation error methods to demonstrate the effectiveness of the approach.

Assessment of imputation methods using varying ecological information to fill the gaps in a tree functional trait database

NASA Astrophysics Data System (ADS)

Poyatos, Rafael; Sus, Oliver; Vilà-Cabrera, Albert; Vayreda, Jordi; Badiella, Llorenç; Mencuccini, Maurizio; Martínez-Vilalta, Jordi

2016-04-01

Plant functional traits are increasingly being used in ecosystem ecology thanks to the growing availability of large ecological databases. However, these databases usually contain a large fraction of missing data because measuring plant functional traits systematically is labour-intensive and because most databases are compilations of datasets with different sampling designs. As a result, within a given database, there is an inevitable variability in the number of traits available for each data entry and/or the species coverage in a given geographical area. The presence of missing data may severely bias trait-based analyses, such as the quantification of trait covariation or trait-environment relationships and may hamper efforts towards trait-based modelling of ecosystem biogeochemical cycles. Several data imputation (i.e. gap-filling) methods have been recently tested on compiled functional trait databases, but the performance of imputation methods applied to a functional trait database with a regular spatial sampling has not been thoroughly studied. Here, we assess the effects of data imputation on five tree functional traits (leaf biomass to sapwood area ratio, foliar nitrogen, maximum height, specific leaf area and wood density) in the Ecological and Forest Inventory of Catalonia, an extensive spatial database (covering 31900 km2). We tested the performance of species mean imputation, single imputation by the k-nearest neighbors algorithm (kNN) and a multiple imputation method, Multivariate Imputation with Chained Equations (MICE) at different levels of missing data (10%, 30%, 50%, and 80%). We also assessed the changes in imputation performance when additional predictors (species identity, climate, forest structure, spatial structure) were added in kNN and MICE imputations. We evaluated the imputed datasets using a battery of indexes describing departure from the complete dataset in trait distribution, in the mean prediction error, in the correlation matrix and in selected bivariate trait relationships. MICE yielded imputations which better preserved the variability and covariance structure of the data and provided an estimate of between-imputation uncertainty. We found that adding species identity as a predictor in MICE and kNN improved imputation for all traits, but adding climate did not lead to any appreciable improvement. However, forest structure and spatial structure did reduce imputation errors in maximum height and in leaf biomass to sapwood area ratios, respectively. Although species mean imputations showed the lowest error for 3 out the 5 studied traits, dataset-averaged errors were lowest for MICE imputations with all additional predictors, when missing data levels were 50% or lower. Species mean imputations always resulted in larger errors in the correlation matrix and appreciably altered the studied bivariate trait relationships. In conclusion, MICE imputations using species identity, climate, forest structure and spatial structure as predictors emerged as the most suitable method of the ones tested here, but it was also evident that imputation performance deteriorates at high levels of missing data (80%).

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.

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.

Generalized Linear Covariance Analysis

NASA Technical Reports Server (NTRS)

Carpenter, James R.; Markley, F. Landis

2014-01-01

This talk presents a comprehensive approach to filter modeling for generalized covariance analysis of both batch least-squares and sequential estimators. We review and extend in two directions the results of prior work that allowed for partitioning of the state space into solve-for'' and consider'' parameters, accounted for differences between the formal values and the true values of the measurement noise, process noise, and textita priori solve-for and consider covariances, and explicitly partitioned the errors into subspaces containing only the influence of the measurement noise, process noise, and solve-for and consider covariances. In this work, we explicitly add sensitivity analysis to this prior work, and relax an implicit assumption that the batch estimator's epoch time occurs prior to the definitive span. We also apply the method to an integrated orbit and attitude problem, in which gyro and accelerometer errors, though not estimated, influence the orbit determination performance. We illustrate our results using two graphical presentations, which we call the variance sandpile'' and the sensitivity mosaic,'' and we compare the linear covariance results to confidence intervals associated with ensemble statistics from a Monte Carlo analysis.

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.

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.

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.

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.

Dynamic Tasking of Networked Sensors Using Covariance Information

DTIC Science & Technology

2010-09-01

has been created under an effort called TASMAN (Tasking Autonomous Sensors in a Multiple Application Network). One of the first studies utilizing this...environment was focused on a novel resource management approach, namely covariance-based tasking. Under this scheme, the state error covariance of...resident space objects (RSO), sensor characteristics, and sensor- target geometry were used to determine the effectiveness of future observations in

Ellipsoidal fuzzy learning for smart car platoons

NASA Astrophysics Data System (ADS)

Dickerson, Julie A.; Kosko, Bart

1993-12-01

A neural-fuzzy system combined supervised and unsupervised learning to find and tune the fuzzy-rules. An additive fuzzy system approximates a function by covering its graph with fuzzy rules. A fuzzy rule patch can take the form of an ellipsoid in the input-output space. Unsupervised competitive learning found the statistics of data clusters. The covariance matrix of each synaptic quantization vector defined on ellipsoid centered at the centroid of the data cluster. Tightly clustered data gave smaller ellipsoids or more certain rules. Sparse data gave larger ellipsoids or less certain rules. Supervised learning tuned the ellipsoids to improve the approximation. The supervised neural system used gradient descent to find the ellipsoidal fuzzy patches. It locally minimized the mean-squared error of the fuzzy approximation. Hybrid ellipsoidal learning estimated the control surface for a smart car controller.

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)

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.

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.

The Infinitesimal Jackknife with Exploratory Factor Analysis

ERIC Educational Resources Information Center

Zhang, Guangjian; Preacher, Kristopher J.; Jennrich, Robert I.

2012-01-01

The infinitesimal jackknife, a nonparametric method for estimating standard errors, has been used to obtain standard error estimates in covariance structure analysis. In this article, we adapt it for obtaining standard errors for rotated factor loadings and factor correlations in exploratory factor analysis with sample correlation matrices. Both…

Accounting for baseline differences and measurement error in the analysis of change over time.

PubMed

Braun, Julia; Held, Leonhard; Ledergerber, Bruno

2014-01-15

If change over time is compared in several groups, it is important to take into account baseline values so that the comparison is carried out under the same preconditions. As the observed baseline measurements are distorted by measurement error, it may not be sufficient to include them as covariate. By fitting a longitudinal mixed-effects model to all data including the baseline observations and subsequently calculating the expected change conditional on the underlying baseline value, a solution to this problem has been provided recently so that groups with the same baseline characteristics can be compared. In this article, we present an extended approach where a broader set of models can be used. Specifically, it is possible to include any desired set of interactions between the time variable and the other covariates, and also, time-dependent covariates can be included. Additionally, we extend the method to adjust for baseline measurement error of other time-varying covariates. We apply the methodology to data from the Swiss HIV Cohort Study to address the question if a joint infection with HIV-1 and hepatitis C virus leads to a slower increase of CD4 lymphocyte counts over time after the start of antiretroviral therapy. Copyright © 2013 John Wiley & Sons, Ltd.

Natural abundance deuterium and 18-oxygen effects on the precision of the doubly labeled water method

NASA Technical Reports Server (NTRS)

Horvitz, M. A.; Schoeller, D. A.

2001-01-01

The doubly labeled water method for measuring total energy expenditure is subject to error from natural variations in the background 2H and 18O in body water. There is disagreement as to whether the variations in background abundances of the two stable isotopes covary and what relative doses of 2H and 18O minimize the impact of variation on the precision of the method. We have performed two studies to investigate the amount and covariance of the background variations. These were a study of urine collected weekly from eight subjects who remained in the Madison, WI locale for 6 wk and frequent urine samples from 14 subjects during round-trip travel to a locale > or = 500 miles from Madison, WI. Background variation in excess of analytical error was detected in six of the eight nontravelers, and covariance was demonstrated in four subjects. Background variation was detected in all 14 travelers, and covariance was demonstrated in 11 subjects. The median slopes of the regression lines of delta2H vs. delta18O were 6 and 7, respectively. Modeling indicated that 2H and 18O doses yielding a 6:1 ratio of final enrichments should minimize this error introduced to the doubly labeled water method.

Natural abundance deuterium and 18-oxygen effects on the precision of the doubly labeled water method.

PubMed

Horvitz, M A; Schoeller, D A

2001-06-01

The doubly labeled water method for measuring total energy expenditure is subject to error from natural variations in the background 2H and 18O in body water. There is disagreement as to whether the variations in background abundances of the two stable isotopes covary and what relative doses of 2H and 18O minimize the impact of variation on the precision of the method. We have performed two studies to investigate the amount and covariance of the background variations. These were a study of urine collected weekly from eight subjects who remained in the Madison, WI locale for 6 wk and frequent urine samples from 14 subjects during round-trip travel to a locale > or = 500 miles from Madison, WI. Background variation in excess of analytical error was detected in six of the eight nontravelers, and covariance was demonstrated in four subjects. Background variation was detected in all 14 travelers, and covariance was demonstrated in 11 subjects. The median slopes of the regression lines of delta2H vs. delta18O were 6 and 7, respectively. Modeling indicated that 2H and 18O doses yielding a 6:1 ratio of final enrichments should minimize this error introduced to the doubly labeled water method.

Trajectory prediction for ballistic missiles based on boost-phase LOS measurements

NASA Astrophysics Data System (ADS)

Yeddanapudi, Murali; Bar-Shalom, Yaakov

1997-10-01

This paper addresses the problem of the estimation of the trajectory of a tactical ballistic missile using line of sight (LOS) measurements from one or more passive sensors (typically satellites). The major difficulties of this problem include: the estimation of the unknown time of launch, incorporation of (inaccurate) target thrust profiles to model the target dynamics during the boost phase and an overall ill-conditioning of the estimation problem due to poor observability of the target motion via the LOS measurements. We present a robust estimation procedure based on the Levenberg-Marquardt algorithm that provides both the target state estimate and error covariance taking into consideration the complications mentioned above. An important consideration in the defense against tactical ballistic missiles is the determination of the target position and error covariance at the acquisition range of a surveillance radar in the vicinity of the impact point. We present a systematic procedure to propagate the target state and covariance to a nominal time, when it is within the detection range of a surveillance radar to obtain a cueing volume. Mont Carlo simulation studies on typical single and two sensor scenarios indicate that the proposed algorithms are accurate in terms of the estimates and the estimator calculated covariances are consistent with the errors.

A Multigrid NLS-4DVar Data Assimilation Scheme with Advanced Research WRF (ARW)

NASA Astrophysics Data System (ADS)

Zhang, H.; Tian, X.

2017-12-01

The motions of the atmosphere have multiscale properties in space and/or time, and the background error covariance matrix (Β) should thus contain error information at different correlation scales. To obtain an optimal analysis, the multigrid three-dimensional variational data assimilation scheme is used widely when sequentially correcting errors from large to small scales. However, introduction of the multigrid technique into four-dimensional variational data assimilation is not easy, due to its strong dependence on the adjoint model, which has extremely high computational costs in data coding, maintenance, and updating. In this study, the multigrid technique was introduced into the nonlinear least-squares four-dimensional variational assimilation (NLS-4DVar) method, which is an advanced four-dimensional ensemble-variational method that can be applied without invoking the adjoint models. The multigrid NLS-4DVar (MG-NLS-4DVar) scheme uses the number of grid points to control the scale, with doubling of this number when moving from a coarse to a finer grid. Furthermore, the MG-NLS-4DVar scheme not only retains the advantages of NLS-4DVar, but also sufficiently corrects multiscale errors to achieve a highly accurate analysis. The effectiveness and efficiency of the proposed MG-NLS-4DVar scheme were evaluated by several groups of observing system simulation experiments using the Advanced Research Weather Research and Forecasting Model. MG-NLS-4DVar outperformed NLS-4DVar, with a lower computational cost.

Efficient hierarchical trans-dimensional Bayesian inversion of magnetotelluric data

NASA Astrophysics Data System (ADS)

Xiang, Enming; Guo, Rongwen; Dosso, Stan E.; Liu, Jianxin; Dong, Hao; Ren, Zhengyong

2018-06-01

This paper develops an efficient hierarchical trans-dimensional (trans-D) Bayesian algorithm to invert magnetotelluric (MT) data for subsurface geoelectrical structure, with unknown geophysical model parameterization (the number of conductivity-layer interfaces) and data-error models parameterized by an auto-regressive (AR) process to account for potential error correlations. The reversible-jump Markov-chain Monte Carlo algorithm, which adds/removes interfaces and AR parameters in birth/death steps, is applied to sample the trans-D posterior probability density for model parameterization, model parameters, error variance and AR parameters, accounting for the uncertainties of model dimension and data-error statistics in the uncertainty estimates of the conductivity profile. To provide efficient sampling over the multiple subspaces of different dimensions, advanced proposal schemes are applied. Parameter perturbations are carried out in principal-component space, defined by eigen-decomposition of the unit-lag model covariance matrix, to minimize the effect of inter-parameter correlations and provide effective perturbation directions and length scales. Parameters of new layers in birth steps are proposed from the prior, instead of focused distributions centred at existing values, to improve birth acceptance rates. Parallel tempering, based on a series of parallel interacting Markov chains with successively relaxed likelihoods, is applied to improve chain mixing over model dimensions. The trans-D inversion is applied in a simulation study to examine the resolution of model structure according to the data information content. The inversion is also applied to a measured MT data set from south-central Australia.

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

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…

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.

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.

Covariance Analysis Tool (G-CAT) for Computing Ascent, Descent, and Landing Errors

NASA Technical Reports Server (NTRS)

Boussalis, Dhemetrios; Bayard, David S.

2013-01-01

G-CAT is a covariance analysis tool that enables fast and accurate computation of error ellipses for descent, landing, ascent, and rendezvous scenarios, and quantifies knowledge error contributions needed for error budgeting purposes. Because GCAT supports hardware/system trade studies in spacecraft and mission design, it is useful in both early and late mission/ proposal phases where Monte Carlo simulation capability is not mature, Monte Carlo simulation takes too long to run, and/or there is a need to perform multiple parametric system design trades that would require an unwieldy number of Monte Carlo runs. G-CAT is formulated as a variable-order square-root linearized Kalman filter (LKF), typically using over 120 filter states. An important property of G-CAT is that it is based on a 6-DOF (degrees of freedom) formulation that completely captures the combined effects of both attitude and translation errors on the propagated trajectories. This ensures its accuracy for guidance, navigation, and control (GN&C) analysis. G-CAT provides the desired fast turnaround analysis needed for error budgeting in support of mission concept formulations, design trade studies, and proposal development efforts. The main usefulness of a covariance analysis tool such as G-CAT is its ability to calculate the performance envelope directly from a single run. This is in sharp contrast to running thousands of simulations to obtain similar information using Monte Carlo methods. It does this by propagating the "statistics" of the overall design, rather than simulating individual trajectories. G-CAT supports applications to lunar, planetary, and small body missions. It characterizes onboard knowledge propagation errors associated with inertial measurement unit (IMU) errors (gyro and accelerometer), gravity errors/dispersions (spherical harmonics, masscons), and radar errors (multiple altimeter beams, multiple Doppler velocimeter beams). G-CAT is a standalone MATLAB- based tool intended to run on any engineer's desktop computer.

Performance Analysis on Carrier Phase-Based Tightly-Coupled GPS/BDS/INS Integration in GNSS Degraded and Denied Environments

PubMed Central

Han, Houzeng; Wang, Jian; Wang, Jinling; Tan, Xinglong

2015-01-01

The integration of Global Navigation Satellite Systems (GNSS) carrier phases with Inertial Navigation System (INS) measurements is essential to provide accurate and continuous position, velocity and attitude information, however it is necessary to fix ambiguities rapidly and reliably to obtain high accuracy navigation solutions. In this paper, we present the notion of combining the Global Positioning System (GPS), the BeiDou Navigation Satellite System (BDS) and low-cost micro-electro-mechanical sensors (MEMS) inertial systems for reliable navigation. An adaptive multipath factor-based tightly-coupled (TC) GPS/BDS/INS integration algorithm is presented and the overall performance of the integrated system is illustrated. A twenty seven states TC GPS/BDS/INS model is adopted with an extended Kalman filter (EKF), which is carried out by directly fusing ambiguity fixed double-difference (DD) carrier phase measurements with the INS predicted pseudoranges to estimate the error states. The INS-aided integer ambiguity resolution (AR) strategy is developed by using a dynamic model, a two-step estimation procedure is applied with adaptively estimated covariance matrix to further improve the AR performance. A field vehicular test was carried out to demonstrate the positioning performance of the combined system. The results show the TC GPS/BDS/INS system significantly improves the single-epoch AR reliability as compared to that of GPS/BDS-only or single satellite navigation system integrated strategy, especially for high cut-off elevations. The AR performance is also significantly improved for the combined system with adaptive covariance matrix in the presence of low elevation multipath related to the GNSS-only case. A total of fifteen simulated outage tests also show that the time to relock of the GPS/BDS signals is shortened, which improves the system availability. The results also indicate that TC integration system achieves a few centimeters accuracy in positioning based on the comparison analysis and covariance analysis, even in harsh environments (e.g., in urban canyons), thus we can see the advantage of positioning at high cut-off elevations that the combined GPS/BDS brings. PMID:25875191

Performance analysis on carrier phase-based tightly-coupled GPS/BDS/INS integration in GNSS degraded and denied environments.

PubMed

Han, Houzeng; Wang, Jian; Wang, Jinling; Tan, Xinglong

2015-04-14

The integration of Global Navigation Satellite Systems (GNSS) carrier phases with Inertial Navigation System (INS) measurements is essential to provide accurate and continuous position, velocity and attitude information, however it is necessary to fix ambiguities rapidly and reliably to obtain high accuracy navigation solutions. In this paper, we present the notion of combining the Global Positioning System (GPS), the BeiDou Navigation Satellite System (BDS) and low-cost micro-electro-mechanical sensors (MEMS) inertial systems for reliable navigation. An adaptive multipath factor-based tightly-coupled (TC) GPS/BDS/INS integration algorithm is presented and the overall performance of the integrated system is illustrated. A twenty seven states TC GPS/BDS/INS model is adopted with an extended Kalman filter (EKF), which is carried out by directly fusing ambiguity fixed double-difference (DD) carrier phase measurements with the INS predicted pseudoranges to estimate the error states. The INS-aided integer ambiguity resolution (AR) strategy is developed by using a dynamic model, a two-step estimation procedure is applied with adaptively estimated covariance matrix to further improve the AR performance. A field vehicular test was carried out to demonstrate the positioning performance of the combined system. The results show the TC GPS/BDS/INS system significantly improves the single-epoch AR reliability as compared to that of GPS/BDS-only or single satellite navigation system integrated strategy, especially for high cut-off elevations. The AR performance is also significantly improved for the combined system with adaptive covariance matrix in the presence of low elevation multipath related to the GNSS-only case. A total of fifteen simulated outage tests also show that the time to relock of the GPS/BDS signals is shortened, which improves the system availability. The results also indicate that TC integration system achieves a few centimeters accuracy in positioning based on the comparison analysis and covariance analysis, even in harsh environments (e.g., in urban canyons), thus we can see the advantage of positioning at high cut-off elevations that the combined GPS/BDS brings.

Robust Mean and Covariance Structure Analysis through Iteratively Reweighted Least Squares.

ERIC Educational Resources Information Center

Yuan, Ke-Hai; Bentler, Peter M.

2000-01-01

Adapts robust schemes to mean and covariance structures, providing an iteratively reweighted least squares approach to robust structural equation modeling. Each case is weighted according to its distance, based on first and second order moments. Test statistics and standard error estimators are given. (SLD)

Single frequency GPS measurements in real-time artificial satellite orbit determination

NASA Astrophysics Data System (ADS)

Chiaradia, orbit determination A. P. M.; Kuga, H. K.; Prado, A. F. B. A.

2003-07-01

A simplified and compact algorithm with low computational cost providing an accuracy around tens of meters for artificial satellite orbit determination in real-time and on-board is developed in this work. The state estimation method is the extended Kalman filter. The Cowell's method is used to propagate the state vector, through a simple Runge-Kutta numerical integrator of fourth order with fixed step size. The modeled forces are due to the geopotential up to 50th order and degree of JGM-2 model. To time-update the state error covariance matrix, it is considered a simplified force model. In other words, in computing the state transition matrix, the effect of J 2 (Earth flattening) is analytically considered, which unloads dramatically the processing time. In the measurement model, the single frequency GPS pseudorange is used, considering the effects of the ionospheric delay, clock offsets of the GPS and user satellites, and relativistic effects. To validate this model, real live data are used from Topex/Poseidon satellite and the results are compared with the Topex/Poseidon Precision Orbit Ephemeris (POE) generated by NASA/JPL, for several test cases. It is concluded that this compact algorithm enables accuracies of tens of meters with such simplified force model, analytical approach for computing the transition matrix, and a cheap GPS receiver providing single frequency pseudorange measurements.

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

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.

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

Distortion Representation of Forecast Errors for Model Skill Assessment and Objective Analysis. Revision 1.12

NASA Technical Reports Server (NTRS)

Hoffman, Ross N.; Nehrkorn, Thomas; Grassotti, Christopher

1997-01-01

We proposed a novel characterization of errors for numerical weather predictions. In its simplest form we decompose the error into a part attributable to phase errors and a remainder. The phase error is represented in the same fashion as a velocity field and is required to vary slowly and smoothly with position. A general distortion representation allows for the displacement and amplification or bias correction of forecast anomalies. Characterizing and decomposing forecast error in this way has two important applications, which we term the assessment application and the objective analysis application. For the assessment application, our approach results in new objective measures of forecast skill which are more in line with subjective measures of forecast skill and which are useful in validating models and diagnosing their shortcomings. With regard to the objective analysis application, meteorological analysis schemes balance forecast error and observational error to obtain an optimal analysis. Presently, representations of the error covariance matrix used to measure the forecast error are severely limited. For the objective analysis application our approach will improve analyses by providing a more realistic measure of the forecast error. We expect, a priori, that our approach should greatly improve the utility of remotely sensed data which have relatively high horizontal resolution, but which are indirectly related to the conventional atmospheric variables. In this project, we are initially focusing on the assessment application, restricted to a realistic but univariate 2-dimensional situation. Specifically, we study the forecast errors of the sea level pressure (SLP) and 500 hPa geopotential height fields for forecasts of the short and medium range. Since the forecasts are generated by the GEOS (Goddard Earth Observing System) data assimilation system with and without ERS 1 scatterometer data, these preliminary studies serve several purposes. They (1) provide a testbed for the use of the distortion representation of forecast errors, (2) act as one means of validating the GEOS data assimilation system and (3) help to describe the impact of the ERS 1 scatterometer data.

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.

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.

Diffusion MRI noise mapping using random matrix theory

PubMed Central

Veraart, Jelle; Fieremans, Els; Novikov, Dmitry S.

2016-01-01

Purpose To estimate the spatially varying noise map using a redundant magnitude MR series. Methods We exploit redundancy in non-Gaussian multi-directional diffusion MRI data by identifying its noise-only principal components, based on the theory of noisy covariance matrices. The bulk of PCA eigenvalues, arising due to noise, is described by the universal Marchenko-Pastur distribution, parameterized by the noise level. This allows us to estimate noise level in a local neighborhood based on the singular value decomposition of a matrix combining neighborhood voxels and diffusion directions. Results We present a model-independent local noise mapping method capable of estimating noise level down to about 1% error. In contrast to current state-of-the art techniques, the resultant noise maps do not show artifactual anatomical features that often reflect physiological noise, the presence of sharp edges, or a lack of adequate a priori knowledge of the expected form of MR signal. Conclusions Simulations and experiments show that typical diffusion MRI data exhibit sufficient redundancy that enables accurate, precise, and robust estimation of the local noise level by interpreting the PCA eigenspectrum in terms of the Marchenko-Pastur distribution. PMID:26599599

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

Quantifying Adventitious Error in a Covariance Structure as a Random Effect

PubMed Central

Wu, Hao; Browne, Michael W.

2017-01-01

We present an approach to quantifying errors in covariance structures in which adventitious error, identified as the process underlying the discrepancy between the population and the structured model, is explicitly modeled as a random effect with a distribution, and the dispersion parameter of this distribution to be estimated gives a measure of misspecification. Analytical properties of the resultant procedure are investigated and the measure of misspecification is found to be related to the RMSEA. An algorithm is developed for numerical implementation of the procedure. The consistency and asymptotic sampling distributions of the estimators are established under a new asymptotic paradigm and an assumption weaker than the standard Pitman drift assumption. Simulations validate the asymptotic sampling distributions and demonstrate the importance of accounting for the variations in the parameter estimates due to adventitious error. Two examples are also given as illustrations. PMID:25813463

Linear time-dependent reference intervals where there is measurement error in the time variable-a parametric approach.

PubMed

Gillard, Jonathan

2015-12-01

This article re-examines parametric methods for the calculation of time specific reference intervals where there is measurement error present in the time covariate. Previous published work has commonly been based on the standard ordinary least squares approach, weighted where appropriate. In fact, this is an incorrect method when there are measurement errors present, and in this article, we show that the use of this approach may, in certain cases, lead to referral patterns that may vary with different values of the covariate. Thus, it would not be the case that all patients are treated equally; some subjects would be more likely to be referred than others, hence violating the principle of equal treatment required by the International Federation for Clinical Chemistry. We show, by using measurement error models, that reference intervals are produced that satisfy the requirement for equal treatment for all subjects. © The Author(s) 2011.

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)

Uncertainty Propagation in OMFIT

NASA Astrophysics Data System (ADS)

Smith, Sterling; Meneghini, Orso; Sung, Choongki

2017-10-01

A rigorous comparison of power balance fluxes and turbulent model fluxes requires the propagation of uncertainties in the kinetic profiles and their derivatives. Making extensive use of the python uncertainties package, the OMFIT framework has been used to propagate covariant uncertainties to provide an uncertainty in the power balance calculation from the ONETWO code, as well as through the turbulent fluxes calculated by the TGLF code. The covariant uncertainties arise from fitting 1D (constant on flux surface) density and temperature profiles and associated random errors with parameterized functions such as a modified tanh. The power balance and model fluxes can then be compared with quantification of the uncertainties. No effort is made at propagating systematic errors. A case study will be shown for the effects of resonant magnetic perturbations on the kinetic profiles and fluxes at the top of the pedestal. A separate attempt at modeling the random errors with Monte Carlo sampling will be compared to the method of propagating the fitting function parameter covariant uncertainties. Work supported by US DOE under DE-FC02-04ER54698, DE-FG2-95ER-54309, DE-SC 0012656.