Vibration based damage detection in a wind turbine blade based on autoregressive coefficients

Peer reviewedPreprin

Modeling And Dynamic Resource Allocation For High Definition And Mobile Video Streams

Video streaming traffic has been surging in the last few years, which has resulted in an increase of its Internet traffic share on a daily basis. The importance of video streaming management has been emphasized with the advent of High Definition: HD) video streaming, as it requires by its nature more network resources. In this dissertation, we provide a better support for managing HD video traffic over both wireless and wired networks through several contributions. We present a simple, general and accurate video source model: Simplified Seasonal ARIMA Model: SAM). SAM is capable of capturing the statistical characteristics of video traces with less than 5% difference from their calculated optimal models. SAM is shown to be capable of modeling video traces encoded with MPEG-4 Part2, MPEG-4 Part10, and Scalable Video Codec: SVC) standards, using various encoding settings. We also provide a large and publicly-available collection of HD video traces along with their analyses results. These analyses include a full statistical analysis of HD videos, in addition to modeling, factor and cluster analyses. These results show that by using SAM, we can achieve up to 50% improvement in video traffic prediction accuracy. In addition, we developed several video tools, including an HD video traffic generator based on our model. Finally, to improve HD video streaming resource management, we present a SAM-based delay-guaranteed dynamic resource allocation: DRA) scheme that can provide up to 32.4% improvement in bandwidth utilization

Sparse Bayesian vector autoregressions in huge dimensions

We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First, we assume that the reduced-form errors in the VAR feature a factor stochastic volatility structure, allowing for conditional equation-by-equation estimation. Second, we apply recently developed global-local shrinkage priors to the VAR coefficients to cure the curse of dimensionality. Third, we utilize recent innovations to efficiently sample from high-dimensional multivariate Gaussian distributions. This makes simulation-based fully Bayesian inference feasible when the dimensionality is large but the time series length is moderate. We demonstrate the merits of our approach in an extensive simulation study and apply the model to US macroeconomic data to evaluate its forecasting capabilities

Econometrics: A bird's eye view

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of economic relations across individuals, firms and industries is increasingly acknowledge and attempts have been made to take them into account either by integrating out their effects or by modeling the sources of heterogeneity when suitable panel data exists. The counterfactual considerations that underlie policy analysis and treatment evaluation have been given a more satisfactory foundation. New time series econometric techniques have been developed and employed extensively in the areas of macroeconometrics and finance. Non-linear econometric techniques are used increasingly in the analysis of cross section and time series observations. Applications of Bayesian techniques to econometric problems have been given new impetus largely thanks to advances in computer power and computational techniques. The use of Bayesian techniques have in turn provided the investigators with a unifying framework where the tasks and forecasting, decision making, model evaluation and learning can be considered as parts of the same interactive and iterative process; thus paving the way for establishing the foundation of the "real time econometrics". This paper attempts to provide an overview of some of these developments

A generalized Gaussian process model for computer experiments with binary time series

Non-Gaussian observations such as binary responses are common in some computer experiments. Motivated by the analysis of a class of cell adhesion experiments, we introduce a generalized Gaussian process model for binary responses, which shares some common features with standard GP models. In addition, the proposed model incorporates a flexible mean function that can capture different types of time series structures. Asymptotic properties of the estimators are derived, and an optimal predictor as well as its predictive distribution are constructed. Their performance is examined via two simulation studies. The methodology is applied to study computer simulations for cell adhesion experiments. The fitted model reveals important biological information in repeated cell bindings, which is not directly observable in lab experiments.Comment: 49 pages, 4 figure

Recognizing and forecasting the sign of financial local trends using hidden Markov models

The problem of forecasting financial time series has received great attention in the past, from both Econometrics and Pattern Recognition researchers. In this context, most of the efforts were spent to represent and model the volatility of the financial indicators in long time series. In this paper a different problem is faced, the prediction of increases and decreases in short (local) financial trends. This problem, poorly considered by the researchers, needs specific models, able to capture the movement in the short time and the asymmetries between increase and decrease periods. The methodology presented in this paper explicitly considers both aspects, encoding the financial returns in binary values (representing the signs of the returns), which are subsequently modelled using two separate Hidden Markov models, one for increases and one for decreases, respectively. The approach has been tested with different experiments with the Dow Jones index and other shares of the same market of different risk, with encouraging results