3,246 research outputs found

    Inferring Latent States and Refining Force Estimates via Hierarchical Dirichlet Process Modeling in Single Particle Tracking Experiments

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    Optical microscopy provides rich spatio-temporal information characterizing in vivo molecular motion. However, effective forces and other parameters used to summarize molecular motion change over time in live cells due to latent state changes, e.g., changes induced by dynamic micro-environments, photobleaching, and other heterogeneity inherent in biological processes. This study focuses on techniques for analyzing Single Particle Tracking (SPT) data experiencing abrupt state changes. We demonstrate the approach on GFP tagged chromatids experiencing metaphase in yeast cells and probe the effective forces resulting from dynamic interactions that reflect the sum of a number of physical phenomena. State changes are induced by factors such as microtubule dynamics exerting force through the centromere, thermal polymer fluctuations, etc. Simulations are used to demonstrate the relevance of the approach in more general SPT data analyses. Refined force estimates are obtained by adopting and modifying a nonparametric Bayesian modeling technique, the Hierarchical Dirichlet Process Switching Linear Dynamical System (HDP-SLDS), for SPT applications. The HDP-SLDS method shows promise in systematically identifying dynamical regime changes induced by unobserved state changes when the number of underlying states is unknown in advance (a common problem in SPT applications). We expand on the relevance of the HDP-SLDS approach, review the relevant background of Hierarchical Dirichlet Processes, show how to map discrete time HDP-SLDS models to classic SPT models, and discuss limitations of the approach. In addition, we demonstrate new computational techniques for tuning hyperparameters and for checking the statistical consistency of model assumptions directly against individual experimental trajectories; the techniques circumvent the need for "ground-truth" and subjective information.Comment: 25 pages, 6 figures. Differs only typographically from PLoS One publication available freely as an open-access article at http://journals.plos.org/plosone/article?id=10.1371/journal.pone.013763

    A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing

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    The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors. While they perform well in the long run, these strategies often suffer from severe short-term drawdown (peak-to-trough decline) with fluctuating performance across cycles. To address cyclicality and underperformance, we build a dynamic asset allocation system using Hidden Markov Models (HMMs). We test our system across multiple combinations of smart beta strategies and the resulting portfolios show an improvement in risk-adjusted returns, especially on more return oriented portfolios (up to 50%\% in excess of market annually). In addition, we propose a novel smart beta allocation system based on the Feature Saliency HMM (FSHMM) algorithm that performs feature selection simultaneously with the training of the HMM, to improve regime identification. We evaluate our systematic trading system with real life assets using MSCI indices; further, the results (up to 60%\% in excess of market annually) show model performance improvement with respect to portfolios built using full feature HMMs

    Fully-Automatic Multiresolution Idealization for Filtered Ion Channel Recordings: Flickering Event Detection

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    We propose a new model-free segmentation method, JULES, which combines recent statistical multiresolution techniques with local deconvolution for idealization of ion channel recordings. The multiresolution criterion takes into account scales down to the sampling rate enabling the detection of flickering events, i.e., events on small temporal scales, even below the filter frequency. For such small scales the deconvolution step allows for a precise determination of dwell times and, in particular, of amplitude levels, a task which is not possible with common thresholding methods. This is confirmed theoretically and in a comprehensive simulation study. In addition, JULES can be applied as a preprocessing method for a refined hidden Markov analysis. Our new methodolodgy allows us to show that gramicidin A flickering events have the same amplitude as the slow gating events. JULES is available as an R function jules in the package clampSeg
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