State-space solutions to the dynamic magnetoencephalography inverse problem using high performance computing

Determining the magnitude and location of neural sources within the brain that are responsible for generating magnetoencephalography (MEG) signals measured on the surface of the head is a challenging problem in functional neuroimaging. The number of potential sources within the brain exceeds by an order of magnitude the number of recording sites. As a consequence, the estimates for the magnitude and location of the neural sources will be ill-conditioned because of the underdetermined nature of the problem. One well-known technique designed to address this imbalance is the minimum norm estimator (MNE). This approach imposes an $L^2$ regularization constraint that serves to stabilize and condition the source parameter estimates. However, these classes of regularizer are static in time and do not consider the temporal constraints inherent to the biophysics of the MEG experiment. In this paper we propose a dynamic state-space model that accounts for both spatial and temporal correlations within and across candidate intracortical sources. In our model, the observation model is derived from the steady-state solution to Maxwell's equations while the latent model representing neural dynamics is given by a random walk process.Comment: Published in at http://dx.doi.org/10.1214/11-AOAS483 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Penalized likelihood estimation and iterative kalman smoothing for non-gaussian dynamic regression models

Dynamic regression or state space models provide a flexible framework for analyzing non-Gaussian time series and longitudinal data, covering for example models for discrete longitudinal observations. As for non-Gaussian random coefficient models, a direct Bayesian approach leads to numerical integration problems, often intractable for more complicated data sets. Recent Markov chain Monte Carlo methods avoid this by repeated sampling from approximative posterior distributions, but there are still open questions about sampling schemes and convergence. In this article we consider simpler methods of inference based on posterior modes or, equivalently, maximum penalized likelihood estimation. From the latter point of view, the approach can also be interpreted as a nonparametric method for smoothing time-varying coefficients. Efficient smoothing algorithms are obtained by iteration of common linear Kalman filtering and smoothing, in the same way as estimation in generalized linear models with fixed effects can be performed by iteratively weighted least squares estimation. The algorithm can be combined with an EM-type method or cross-validation to estimate unknown hyper- or smoothing parameters. The approach is illustrated by applications to a binary time series and a multicategorical longitudinal data set

Numerical Fitting-based Likelihood Calculation to Speed up the Particle Filter

The likelihood calculation of a vast number of particles is the computational bottleneck for the particle filter in applications where the observation information is rich. For fast computing the likelihood of particles, a numerical fitting approach is proposed to construct the Likelihood Probability Density Function (Li-PDF) by using a comparably small number of so-called fulcrums. The likelihood of particles is thereby analytically inferred, explicitly or implicitly, based on the Li-PDF instead of directly computed by utilizing the observation, which can significantly reduce the computation and enables real time filtering. The proposed approach guarantees the estimation quality when an appropriate fitting function and properly distributed fulcrums are used. The details for construction of the fitting function and fulcrums are addressed respectively in detail. In particular, to deal with multivariate fitting, the nonparametric kernel density estimator is presented which is flexible and convenient for implicit Li-PDF implementation. Simulation comparison with a variety of existing approaches on a benchmark 1-dimensional model and multi-dimensional robot localization and visual tracking demonstrate the validity of our approach.Comment: 42 pages, 17 figures, 4 tables and 1 appendix. This paper is a draft/preprint of one paper submitted to the IEEE Transaction

Bibliographic Review on Distributed Kalman Filtering

In recent years, a compelling need has arisen to understand the effects of distributed information structures on estimation and filtering. In this paper, a bibliographical review on distributed Kalman filtering (DKF) is provided.\ud The paper contains a classification of different approaches and methods involved to DKF. The applications of DKF are also discussed and explained separately. A comparison of different approaches is briefly carried out. Focuses on the contemporary research are also addressed with emphasis on the practical applications of the techniques. An exhaustive list of publications, linked directly or indirectly to DKF in the open literature, is compiled to provide an overall picture of different developing aspects of this area

Smoothing Hazard Functions and Time-Varying Effects in Discrete Duration and Competing Risks Models

State space or dynamic approaches to discrete or grouped duration data with competing risks or multiple terminating events allow simultaneous modelling and smooth estimation of hazard functions and time-varying effects in a flexible way. Full Bayesian or posterior mean estimation, using numerical integration techniques or Monte Carlo methods, can become computationally rather demanding or even infeasible for higher dimensions and larger data sets. Therefore, based on previous work on filtering and smoothing for multicategorical time series and longitudinal data, our approach uses posterior mode estimation. Thus we have to maximize posterior densities or, equivalently, a penalized likelihood, which enforces smoothness of hazard functions and time-varying effects by a roughness penalty. Dropping the Bayesian smoothness prior and adopting a nonparametric viewpoint, one might also start directly from maximizing this penalized likelihood. We show how Fisher scoring smoothing iterations can be carried out efficiently by iteratively applying linear Kalman filtering and smoothing to a working model. This algorithm can be combined with an EM-type procedure to estimate unknown smoothing- or hyperparameters. The methods are applied to a larger set of unemployment duration data with one and, in a further analysis, multiple terminating events from the German socio-economic panel GSOEP

Development of advanced techniques for rotorcraft state estimation and parameter identification

An integrated methodology for rotorcraft system identification consists of rotorcraft mathematical modeling, three distinct data processing steps, and a technique for designing inputs to improve the identifiability of the data. These elements are as follows: (1) a Kalman filter smoother algorithm which estimates states and sensor errors from error corrupted data. Gust time histories and statistics may also be estimated; (2) a model structure estimation algorithm for isolating a model which adequately explains the data; (3) a maximum likelihood algorithm for estimating the parameters and estimates for the variance of these estimates; and (4) an input design algorithm, based on a maximum likelihood approach, which provides inputs to improve the accuracy of parameter estimates. Each step is discussed with examples to both flight and simulated data cases