Computationally Efficient Changepoint Detection for a Range of Penalties

In the multiple changepoint setting, various search methods have been proposed, which involve optimizing either a constrained or penalized cost function over possible numbers and locations of changepoints using dynamic programming. Recent work in the penalized optimization setting has focused on developing an exact pruning-based approach that, under certain conditions, is linear in the number of data points. Such an approach naturally requires the specification of a penalty to avoid under/over-fitting. Work has been undertaken to identify the appropriate penalty choice for data-generating processes with known distributional form, but in many applications the model assumed for the data is not correct and these penalty choices are not always appropriate. To this end, we present a method that enables us to find the solution path for all choices of penalty values across a continuous range. This permits an evaluation of the various segmentations to identify a suitable penalty choice. The computational complexity of this approach can be linear in the number of data points and linear in the difference between the number of changepoints in the optimal segmentations for the smallest and largest penalty values. Supplementary materials for this article are available online.     

Combining GPS carrier phase and Doppler observations for precise velocity determination

The truncation error and propagation error are analyzed for velocity determination through differential GPS carrier phase observations,and an approach for the choice of the best number of points for the central difference method is developed.In order to overcome the disadvantages of existing GPS velocity determination methods,a new velocity determination algorithm is presented,based on combining carrier phase and Doppler observations.The basic idea is that two types of observation are combined by adding the...     

Composite Likelihood Inference in a Discrete Latent Variable Model for Two-Way “Clustering-by-Segmentation” Problems

We consider a discrete latent variable model for two-way data arrays, which allows one to simultaneously produce clusters along one of the data dimensions (e.g., exchangeable observational units or features) and contiguous groups, or segments, along the other (e.g., consecutively ordered times or locations). The model relies on a hidden Markov structure but, given its complexity, cannot be estimated by full maximum likelihood. Therefore, we introduce a composite likelihood methodology based on considering different subsets of the data. The proposed approach is illustrated by simulation, and with an application to genomic data.     

改进的pair-copula参数估计方法在经济研究中的应用

对于pair-copula中的参数估计,大多假设copula函数的参数和条件变量独立,将参数简化成一个不依赖于条件变量的常数.本文假设copula函数的参数和条件变量不独立,该参数是以条件变量为自变量的一元函数.应用该方法实证分析了“克强指数”三个指标铁路货运量、工业用电量和贷款发放量的对数增长率之间的关系,研究发现该方法优于简化的pair-copula参数估计,并且得出在固定铁路货运量不变时,工业用电量和银行贷款发放量成负相关关系,且这种负相关性随铁路货运量增加而减弱.     

Gauss’ law of error revisited in the framework of Sharma-Taneja-Mittal information measure

We reformulate the Gauss’ law of error in presence of correlations which are taken into account by means of a deformed product arising in the framework of the Sharma-Taneja-Mittal measure. Having reviewed the main proprieties of the generalized product and its related algebra, we derive, according to the Maximum Likelihood Principle, a family of error distributions with an asymptotic power-law behavior.      

带有二元连接函数的半参数模型

提出了一种新的带有二元连接函数的广义半参数模型,即二元连接模型(简称为BLM).使用轮廓似然方法估计模型的参数和非参数部分,并给出了计算算法.证明了所得的未知参数的估计量为n~(1/2)-相合,渐近正态且具有渐近最小方差,给出了实际数据分析和模拟研究,最终采用局部功效方法来检验非参数部分的线性性.     

Comparison of two-dimensional integration methods for shape reconstruction from gradient data

As a requisite and key step in some gradient-based measurement techniques, the reconstruction of the shape, more generally the scalar potential, from the measured gradient data has been studied for many years. In this work, three types of two-dimensional integration methods are compared under various conditions. The merits and drawbacks of each integration method are consequently revealed to provide suggestions in selection of a proper integration method for a particular application.     

基于残差加权经验过程方法的自回归模型分布变点监测

Change monitoring of distribution in time series models is an important issue.This paper proposes a procedure for monitoring changes in the error distribution of autoregressive time series,which is based on a weighed empirical process of residuals with weights equal to the regressors.The asymptotic properties of our monitoring statistic are derived under the null hypothesis of no change in distribution.The finite sample properties are investigated by a simulation.As it turns out,the procedure is not only able to detect distributional changes but also changes in the regression coefficient and mean.Finally,we apply the statistic to a groups of financial data.     

Explicit–implicit mapping approach to nonlinear blind separation of sparse nonnegative dependent sources from a single mixture: pure component extraction from nonlinear mixture mass spectra

The nonlinear, nonnegative single‐mixture blind source separation problem consists of decomposing observed nonlinearly mixed multicomponent signal into nonnegative dependent component (source) signals. The problem is difficult and is a special case of the underdetermined blind source separation problem. However, it is practically relevant for the contemporary metabolic profiling of biological samples when only one sample is available for acquiring mass spectra; afterwards, the pure components are extracted. Herein, we present a method for the blind separation of nonnegative dependent sources from a single, nonlinear mixture. First, an explicit feature map is used to map a single mixture into a pseudo multi‐mixture. Second, an empirical kernel map is used for implicit mapping of a pseudo multi‐mixture into a high‐dimensional reproducible kernel Hilbert space. Under sparse probabilistic conditions that were previously imposed on sources, the single‐mixture nonlinear problem is converted into an equivalent linear, multiple‐mixture problem that consists of the original sources and their higher‐order monomials. These monomials are suppressed by robust principal component analysis and hard, soft, and trimmed thresholding. Sparseness‐constrained nonnegative matrix factorizations in reproducible kernel Hilbert space yield sets of separated components. Afterwards, separated components are annotated with the pure components from the library using the maximal correlation criterion. The proposed method is depicted with a numerical example that is related to the extraction of eight dependent components from one nonlinear mixture. The method is further demonstrated on three nonlinear chemical reactions of peptide synthesis in which 25, 19, and 28 dependent analytes are extracted from one nonlinear mixture mass spectra. The goal application of the proposed method is, in combination with other separation techniques, mass spectrometry‐based non‐targeted metabolic profiling, such as biomarker identification studies. Copyright © 2015 John Wiley & Sons, Ltd.     

Calorimetric Estimation Employing the Unscented Kalman Filter for a Batch Emulsion Polymerization Reactor

Reaction calorimetry is a very useful tool to monitor exothermic polymerization reactions as it is based on the estimation of the heat generated by the reaction. The objective of this work is to analyze the performance of an unscented Kalman filter (UKF) for online monitoring of batch vinyl acetate emulsion polymerization reactions. Reactions are performed in isoperibolic and isothermal conditions. The UKF is compared to an extended Kalman filter that has a very poor performance. The results show that the UKF is able to provide good estimates for the conversion, for the reactor and jacket temperatures, for the overall heat transfer coefficient between the reaction medium and the jacket, and for the heat loss from the jacket to the surroundings.