Time Delay Estimation from Low Rate Samples: A Union of Subspaces Approach

Time delay estimation arises in many applications in which a multipath medium has to be identified from pulses transmitted through the channel. Various approaches have been proposed in the literature to identify time delays introduced by multipath environments. However, these methods either operate on the analog received signal, or require high sampling rates in order to achieve reasonable time resolution. In this paper, our goal is to develop a unified approach to time delay estimation from low rate samples of the output of a multipath channel. Our methods result in perfect recovery of the multipath delays from samples of the channel output at the lowest possible rate, even in the presence of overlapping transmitted pulses. This rate depends only on the number of multipath components and the transmission rate, but not on the bandwidth of the probing signal. In addition, our development allows for a variety of different sampling methods. By properly manipulating the low-rate samples, we show that the time delays can be recovered using the well-known ESPRIT algorithm. Combining results from sampling theory with those obtained in the context of direction of arrival estimation methods, we develop necessary and sufficient conditions on the transmitted pulse and the sampling functions in order to ensure perfect recovery of the channel parameters at the minimal possible rate. Our results can be viewed in a broader context, as a sampling theorem for analog signals defined over an infinite union of subspaces

Regime switching volatility calibration by the Baum-Welch method

Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose using the Baum-Welch algorithm, an established technique from Engineering, to calibrate regime switching models instead. We demonstrate the Baum-Welch algorithm and discuss the significant advantages that it provides compared to the Hamilton filter. We provide computational results of calibrating and comparing the performance of the Baum-Welch and the Hamilton filter to S&P 500 and Nikkei 225 data, examining their performance in and out of sample

Estimating Discrete Markov Models From Various Incomplete Data Schemes

The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of individuals over the whole observation period. In such a case, the estimation of transition probabilities is straightforwardly made by counting one-step moves from a given state to another. In many real-life problems, however, the inference is much more difficult as state sequences are not fully observed, namely the state of each individual is known only for some given values of the time variable. A review of the problem is given, focusing on Monte Carlo Markov Chain (MCMC) algorithms to perform Bayesian inference and evaluate posterior distributions of the transition probabilities in this missing-data framework. Leaning on the dependence between the rows of the transition matrix, an adaptive MCMC mechanism accelerating the classical Metropolis-Hastings algorithm is then proposed and empirically studied.Comment: 26 pages - preprint accepted in 20th February 2012 for publication in Computational Statistics and Data Analysis (please cite the journal's paper

Shift Estimation Algorithm for Dynamic Sensors With Frame-to-Frame Variation in Their Spectral Response

This study is motivated by the emergence of a new class of tunable infrared spectral-imaging sensors that offer the ability to dynamically vary the sensor\u27s intrinsic spectral response from frame to frame in an electronically controlled fashion. A manifestation of this is when a sequence of dissimilar spectral responses is periodically realized, whereby in every period of acquired imagery, each frame is associated with a distinct spectral band. Traditional scene-based global shift estimation algorithms are not applicable to such spectrally heterogeneous video sequences, as a pixel value may change from frame to frame as a result of both global motion and varying spectral response. In this paper, a novel algorithm is proposed and examined to fuse a series of coarse global shift estimates between periodically sampled pairs of nonadjacent frames to estimate motion between consecutive frames; each pair corresponds to two nonadjacent frames of the same spectral band. The proposed algorithm outperforms three alternative methods, with the average error being one half of that obtained by using an equal weights version of the proposed algorithm, one-fourth of that obtained by using a simple linear interpolation method, and one-twentieth of that obtained by using a nai¿ve correlation-based direct method

Fitting stochastic epidemic models to gene genealogies using linear noise approximation

Phylodynamics is a set of population genetics tools that aim at reconstructing demographic history of a population based on molecular sequences of individuals sampled from the population of interest. One important task in phylodynamics is to estimate changes in (effective) population size. When applied to infectious disease sequences such estimation of population size trajectories can provide information about changes in the number of infections. To model changes in the number of infected individuals, current phylodynamic methods use non-parametric approaches, parametric approaches, and stochastic modeling in conjunction with likelihood-free Bayesian methods. The first class of methods yields results that are hard-to-interpret epidemiologically. The second class of methods provides estimates of important epidemiological parameters, such as infection and removal/recovery rates, but ignores variation in the dynamics of infectious disease spread. The third class of methods is the most advantageous statistically, but relies on computationally intensive particle filtering techniques that limits its applications. We propose a Bayesian model that combines phylodynamic inference and stochastic epidemic models, and achieves computational tractability by using a linear noise approximation (LNA) --- a technique that allows us to approximate probability densities of stochastic epidemic model trajectories. LNA opens the door for using modern Markov chain Monte Carlo tools to approximate the joint posterior distribution of the disease transmission parameters and of high dimensional vectors describing unobserved changes in the stochastic epidemic model compartment sizes (e.g., numbers of infectious and susceptible individuals). We apply our estimation technique to Ebola genealogies estimated using viral genetic data from the 2014 epidemic in Sierra Leone and Liberia.Comment: 43 pages, 6 figures in the main tex

Duration and Interval Hidden Markov Model for Sequential Data Analysis

Analysis of sequential event data has been recognized as one of the essential tools in data modeling and analysis field. In this paper, after the examination of its technical requirements and issues to model complex but practical situation, we propose a new sequential data model, dubbed Duration and Interval Hidden Markov Model (DI-HMM), that efficiently represents "state duration" and "state interval" of data events. This has significant implications to play an important role in representing practical time-series sequential data. This eventually provides an efficient and flexible sequential data retrieval. Numerical experiments on synthetic and real data demonstrate the efficiency and accuracy of the proposed DI-HMM