Hypothesis Testing Using Spatially Dependent Heavy-Tailed Multisensor Data

The detection of spatially dependent heavy-tailed signals is considered in this dissertation. While the central limit theorem, and its implication of asymptotic normality of interacting random processes, is generally useful for the theoretical characterization of a wide variety of natural and man-made signals, sensor data from many different applications, in fact, are characterized by non-Gaussian distributions. A common characteristic observed in non-Gaussian data is the presence of heavy-tails or fat tails. For such data, the probability density function (p.d.f.) of extreme values decay at a slower-than-exponential rate, implying that extreme events occur with greater probability. When these events are observed simultaneously by several sensors, their observations are also spatially dependent. In this dissertation, we develop the theory of detection for such data, obtained through heterogeneous sensors. In order to validate our theoretical results and proposed algorithms, we collect and analyze the behavior of indoor footstep data using a linear array of seismic sensors. We characterize the inter-sensor dependence using copula theory. Copulas are parametric functions which bind univariate p.d.f. s, to generate a valid joint p.d.f. We model the heavy-tailed data using the class of alpha-stable distributions. We consider a two-sided test in the Neyman-Pearson framework and present an asymptotic analysis of the generalized likelihood test (GLRT). Both, nested and non-nested models are considered in the analysis. We also use a likelihood maximization-based copula selection scheme as an integral part of the detection process. Since many types of copula functions are available in the literature, selecting the appropriate copula becomes an important component of the detection problem. The performance of the proposed scheme is evaluated numerically on simulated data, as well as using indoor seismic data. With appropriately selected models, our results demonstrate that a high probability of detection can be achieved for false alarm probabilities of the order of 10^-4. These results, using dependent alpha-stable signals, are presented for a two-sensor case. We identify the computational challenges associated with dependent alpha-stable modeling and propose alternative schemes to extend the detector design to a multisensor (multivariate) setting. We use a hierarchical tree based approach, called vines, to model the multivariate copulas, i.e., model the spatial dependence between multiple sensors. The performance of the proposed detectors under the vine-based scheme are evaluated on the indoor footstep data, and significant improvement is observed when compared against the case when only two sensors are deployed. Some open research issues are identified and discussed

An intelligent information forwarder for healthcare big data systems with distributed wearable sensors

© 2016 IEEE. An increasing number of the elderly population wish to live an independent lifestyle, rather than rely on intrusive care programmes. A big data solution is presented using wearable sensors capable of carrying out continuous monitoring of the elderly, alerting the relevant caregivers when necessary and forwarding pertinent information to a big data system for analysis. A challenge for such a solution is the development of context-awareness through the multidimensional, dynamic and nonlinear sensor readings that have a weak correlation with observable human behaviours and health conditions. To address this challenge, a wearable sensor system with an intelligent data forwarder is discussed in this paper. The forwarder adopts a Hidden Markov Model for human behaviour recognition. Locality sensitive hashing is proposed as an efficient mechanism to learn sensor patterns. A prototype solution is implemented to monitor health conditions of dispersed users. It is shown that the intelligent forwarders can provide the remote sensors with context-awareness. They transmit only important information to the big data server for analytics when certain behaviours happen and avoid overwhelming communication and data storage. The system functions unobtrusively, whilst giving the users peace of mind in the knowledge that their safety is being monitored and analysed

Model structure selection using an integrated forward orthogonal search algorithm assisted by squared correlation and mutual information

Model structure selection plays a key role in non-linear system identification. The first step in non-linear system identification is to determine which model terms should be included in the model. Once significant model terms have been determined, a model selection criterion can then be applied to select a suitable model subset. The well known Orthogonal Least Squares (OLS) type algorithms are one of the most efficient and commonly used techniques for model structure selection. However, it has been observed that the OLS type algorithms may occasionally select incorrect model terms or yield a redundant model subset in the presence of particular noise structures or input signals. A very efficient Integrated Forward Orthogonal Search (IFOS) algorithm, which is assisted by the squared correlation and mutual information, and which incorporates a Generalised Cross-Validation (GCV) criterion and hypothesis tests, is introduced to overcome these limitations in model structure selection

Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities

This paper presents a selective survey of volatility topics, with emphasis on the measurement of volatility and a discussion of some of the most important time series models commonly employed in its modelling. In particular, the paper details the long memory characteristics of volatility, and discusses its possible origins and impact on option pricing. To conclude, the paper discusses statistical tools that discriminate between nonlinearity and nonstationarity.long memory; nonstationarity; nonlinearity; option pricing, volatility

Estimation, Decision and Applications to Target Tracking

This dissertation mainly consists of three parts. The first part proposes generalized linear minimum mean-square error (GLMMSE) estimation for nonlinear point estimation. The second part proposes a recursive joint decision and estimation (RJDE) algorithm for joint decision and estimation (JDE). The third part analyzes the performance of sequential probability ratio test (SPRT) when the log-likelihood ratios (LLR) are independent but not identically distributed. The linear minimum mean-square error (LMMSE) estimation plays an important role in nonlinear estimation. It searches for the best estimator in the set of all estimators that are linear in the measurement. A GLMMSE estimation framework is proposed in this disser- tation. It employs a vector-valued measurement transform function (MTF) and finds the best estimator among all estimators that are linear in MTF. Several design guidelines for the MTF based on a numerical example were provided. A RJDE algorithm based on a generalized Bayes risk is proposed in this dissertation for dynamic JDE problems. It is computationally efficient for dynamic problems where data are made available sequentially. Further, since existing performance measures for estimation or decision are effective to evaluate JDE algorithms, a joint performance measure is proposed for JDE algorithms for dynamic problems. The RJDE algorithm is demonstrated by applications to joint tracking and classification as well as joint tracking and detection in target tracking. The characteristics and performance of SPRT are characterized by two important functions—operating characteristic (OC) and average sample number (ASN). These two functions have been studied extensively under the assumption of independent and identically distributed (i.i.d.) LLR, which is too stringent for many applications. This dissertation relaxes the requirement of identical distribution. Two inductive equations governing the OC and ASN are developed. Unfortunately, they have non-unique solutions in the general case. They do have unique solutions in two special cases: (a) the LLR sequence converges in distributions and (b) the LLR sequence has periodic distributions. Further, the analysis can be readily extended to evaluate the performance of the truncated SPRT and the cumulative sum test

Heterogeneous data fusion for brain psychology applications

This thesis aims to apply Empirical Mode Decomposition (EMD), Multiscale Entropy (MSE), and collaborative adaptive filters for the monitoring of different brain consciousness states. Both block based and online approaches are investigated, and a possible extension to the monitoring and identification of Electromyograph (EMG) states is provided. Firstly, EMD is employed as a multiscale time-frequency data driven tool to decompose a signal into a number of band-limited oscillatory components; its data driven nature makes EMD an ideal candidate for the analysis of nonlinear and non-stationary data. This methodology is further extended to process multichannel real world data, by making use of recent theoretical advances in complex and multivariate EMD. It is shown that this can be used to robustly measure higher order features in multichannel recordings to robustly indicate ‘QBD’. In the next stage, analysis is performed in an information theory setting on multiple scales in time, using MSE. This enables an insight into the complexity of real world recordings. The results of the MSE analysis and the corresponding statistical analysis show a clear difference in MSE between the patients in different brain consciousness states. Finally, an online method for the assessment of the underlying signal nature is studied. This method is based on a collaborative adaptive filtering approach, and is shown to be able to approximately quantify the degree of signal nonlinearity, sparsity, and non-circularity relative to the constituent subfilters. To further illustrate the usefulness of the proposed data driven multiscale signal processing methodology, the final case study considers a human-robot interface based on a multichannel EMG analysis. A preliminary analysis shows that the same methodology as that applied to the analysis of brain cognitive states gives robust and accurate results. The analysis, simulations, and the scope of applications presented suggest great potential of the proposed multiscale data processing framework for feature extraction in multichannel data analysis. Directions for future work include further development of real-time feature map approaches and their use across brain-computer and brain-machine interface applications

Model structure selection using an integrated forward orthogonal search algorithm interfered with squared correlation and mutual information

Model structure selection plays a key role in nonlinear system identification. The first step in nonlinear system identification is to determine which model terms should be included in the model. Once significant model terms have been determined, a model selection criterion can then be applied to select a suitable model subset. The well known orthogonal least squares type algorithms are one of the most efficient and commonly used techniques for model structure selection. However, it has been observed that the orthogonal least squares type algorithms may occasionally select incorrect model terms or yield a redundant model subset in the presence of particular noise structures or input signals. A very efficient integrated forward orthogonal searching (IFOS) algorithm, which is interfered with squared correlation and mutual information, and which incorporates a general cross-validation (GCV) criterion and hypothesis tests, is introduced to overcome these limitations in model structure selection

Hypothesis testing for nonlinear phenomena in the geosciences using synthetic, surrogate data

©2018. The Authors. Studying nonlinear and potentially chaotic phenomena in geophysics from measured signals is problematic when system noise interferes with the dynamic processes that one is trying to infer. In such circumstances, a framework for statistical hypothesis testing is necessary but the nonlinear nature of the phenomena studied makes the formulation of standard hypothesis tests, such as analysis of variance, problematic as they are based on underlying linear, Gaussian assumptions. One approach to this problem is the method of surrogate data, which is the technique explained in this paper. In particular, we focus on (i) hypothesis testing for nonlinearity by generating linearized surrogates as a null hypothesis, (ii) a variant of this that is perhaps more appropriate for image data where structural nonlinearities are common and should be retained in the surrogates, and (iii) gradual reconstruction where we systematically constrain the surrogates until there is no significant difference between data and surrogates and use this to understand geophysical processes. In addition to time series of sunspot activity, solutions to the Lorenz equations, and spatial maps of enstrophy in a turbulent channel flow, two examples are considered in detail. The first concerns gradual wavelet reconstruction testing of the significance of a specific vortical flow structure from turbulence time series acquired at a point. In the second, the degree of nonlinearity in the spatial profiles of river curvature is shown to be affected by the occurrence of meander cutoff processes but in a more complex fashion than previously envisaged