Dynamic Risk Profile of the US Term Structure by Wavelet MRA

A careful examination of interest rate time series from different U.S. Treasury maturities by Wavelet Multiresolution Analysis (MRA) suggests that the first differences of the term structure of interest rate series are periodic or, at least, cyclic, non-stationary, long-term dependent, in particular, anti-persistent. Each nodal time series from a particular maturity has its own uniqueness and accordingly supports the Market Segmentation theory. The findings also imply that affine models are insufficient to describe the dynamics of the interest rate diffusion processes and call for more intensive research that might provide better, most likely fractal or nonlinear, term structure models for each maturity. If this is correct, empirical term structure models may describe chaotic, i.e., diffusion processes with non-unique dynamic equilibria.Wavelet, Interest rates, Hurst exponent, Term structure, Yield curve

Dynamic Denoising of Tracking Sequences

©2008 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or distribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE. This material is presented to ensure timely dissemination of scholarly and technical work. Copyright and all rights therein are retained by authors or by other copyright holders. All persons copying this information are expected to adhere to the terms and constraints invoked by each author's copyright. In most cases, these works may not be reposted without the explicit permission of the copyright holder.DOI: 10.1109/TIP.2008.920795In this paper, we describe an approach to the problem of simultaneously enhancing image sequences and tracking the objects of interest represented by the latter. The enhancement part of the algorithm is based on Bayesian wavelet denoising, which has been chosen due to its exceptional ability to incorporate diverse a priori information into the process of image recovery. In particular, we demonstrate that, in dynamic settings, useful statistical priors can come both from some reasonable assumptions on the properties of the image to be enhanced as well as from the images that have already been observed before the current scene. Using such priors forms the main contribution of the present paper which is the proposal of the dynamic denoising as a tool for simultaneously enhancing and tracking image sequences.Within the proposed framework, the previous observations of a dynamic scene are employed to enhance its present observation. The mechanism that allows the fusion of the information within successive image frames is Bayesian estimation, while transferring the useful information between the images is governed by a Kalman filter that is used for both prediction and estimation of the dynamics of tracked objects. Therefore, in this methodology, the processes of target tracking and image enhancement "collaborate" in an interlacing manner, rather than being applied separately. The dynamic denoising is demonstrated on several examples of SAR imagery. The results demonstrated in this paper indicate a number of advantages of the proposed dynamic denoising over "static" approaches, in which the tracking images are enhanced independently of each other

Super Resolution of Wavelet-Encoded Images and Videos

In this dissertation, we address the multiframe super resolution reconstruction problem for wavelet-encoded images and videos. The goal of multiframe super resolution is to obtain one or more high resolution images by fusing a sequence of degraded or aliased low resolution images of the same scene. Since the low resolution images may be unaligned, a registration step is required before super resolution reconstruction. Therefore, we first explore in-band (i.e. in the wavelet-domain) image registration; then, investigate super resolution. Our motivation for analyzing the image registration and super resolution problems in the wavelet domain is the growing trend in wavelet-encoded imaging, and wavelet-encoding for image/video compression. Due to drawbacks of widely used discrete cosine transform in image and video compression, a considerable amount of literature is devoted to wavelet-based methods. However, since wavelets are shift-variant, existing methods cannot utilize wavelet subbands efficiently. In order to overcome this drawback, we establish and explore the direct relationship between the subbands under a translational shift, for image registration and super resolution. We then employ our devised in-band methodology, in a motion compensated video compression framework, to demonstrate the effective usage of wavelet subbands. Super resolution can also be used as a post-processing step in video compression in order to decrease the size of the video files to be compressed, with downsampling added as a pre-processing step. Therefore, we present a video compression scheme that utilizes super resolution to reconstruct the high frequency information lost during downsampling. In addition, super resolution is a crucial post-processing step for satellite imagery, due to the fact that it is hard to update imaging devices after a satellite is launched. Thus, we also demonstrate the usage of our devised methods in enhancing resolution of pansharpened multispectral images

Self-similarity and wavelet forms for the compression of still image and video data

This thesis is concerned with the methods used to reduce the data volume required to represent still images and video sequences. The number of disparate still image and video coding methods increases almost daily. Recently, two new strategies have emerged and have stimulated widespread research. These are the fractal method and the wavelet transform. In this thesis, it will be argued that the two methods share a common principle: that of self-similarity. The two will be related concretely via an image coding algorithm which combines the two, normally disparate, strategies. The wavelet transform is an orientation selective transform. It will be shown that the selectivity of the conventional transform is not sufficient to allow exploitation of self-similarity while keeping computational cost low. To address this, a new wavelet transform is presented which allows for greater orientation selectivity, while maintaining the orthogonality and data volume of the conventional wavelet transform. Many designs for vector quantizers have been published recently and another is added to the gamut by this work. The tree structured vector quantizer presented here is on-line and self structuring, requiring no distinct training phase. Combining these into a still image data compression system produces results which are among the best that have been published to date. An extension of the two dimensional wavelet transform to encompass the time dimension is straightforward and this work attempts to extrapolate some of its properties into three dimensions. The vector quantizer is then applied to three dimensional image data to produce a video coding system which, while not optimal, produces very encouraging results

Motion representation using composite energy features

This work tackles the segmentation of apparent-motion from a bottom-up perspective. When no information is available to build prior high-level models, the only alternative are bottom-up techniques. Hence, the whole segmentation process relies on the suitability of the low-level features selected to describe motion. A wide variety of low-level spatio-temporal features have been proposed so far. However, all of them suffer from diverse drawbacks. Here, we propose the use of composite energy features in bottom-up motion segmentation to solve several of these problems. Composite energy features are clusters of energy filters—pairs of band-pass filters in quadrature—each one sensitive to a different set of scale, orientation, direction of motion and speed. They are grouped in order to reconstruct independent motion patterns in a video sequence. A composite energy feature, this is, the response of one of these clusters of filters, can be built as a combination of the responses of the individual filters. Therefore, it inherits the desirable properties of energy filters but providing a more complete representation of motion patterns. In this paper, we will present our approach for integration of composite features based on the concept of Phase Congruence. We will show some results that illustrate the capabilities of this low-level motion representation and its usefulness in bottom-up motion segmentation and tracking.This work has been financially supported by the Ministry of Education and Science of the Spanish Government, through the Research Project TIN2006-08447.S