Search results for " statistics"
showing 10 items of 1891 documents
Hydrological post-processing based on approximate Bayesian computation (ABC)
2019
[EN] This study introduces a method to quantify the conditional predictive uncertainty in hydrological post-processing contexts when it is cumbersome to calculate the likelihood (intractable likelihood). Sometimes, it can be difficult to calculate the likelihood itself in hydrological modelling, specially working with complex models or with ungauged catchments. Therefore, we propose the ABC post-processor that exchanges the requirement of calculating the likelihood function by the use of some sufficient summary statistics and synthetic datasets. The aim is to show that the conditional predictive distribution is qualitatively similar produced by the exact predictive (MCMC post-processor) or …
The design of absorbing Bayesian pursuit algorithms and the formal analyses of their ε-optimality
2016
The fundamental phenomenon that has been used to enhance the convergence speed of learning automata (LA) is that of incorporating the running maximum likelihood (ML) estimates of the action reward probabilities into the probability updating rules for selecting the actions. The frontiers of this field have been recently expanded by replacing the ML estimates with their corresponding Bayesian counterparts that incorporate the properties of the conjugate priors. These constitute the Bayesian pursuit algorithm (BPA), and the discretized Bayesian pursuit algorithm. Although these algorithms have been designed and efficiently implemented, and are, arguably, the fastest and most accurate LA report…
Self-stabilizing Balls & Bins in Batches
2016
A fundamental problem in distributed computing is the distribution of requests to a set of uniform servers without a centralized controller. Classically, such problems are modelled as static balls into bins processes, where m balls (tasks) are to be distributed to n bins (servers). In a seminal work, [Azar et al.; JoC'99] proposed the sequential strategy Greedy[d] for n = m. When thrown, a ball queries the load of d random bins and is allocated to a least loaded of these. [Azar et al.; JoC'99] showed that d=2 yields an exponential improvement compared to d=1. [Berenbrink et al.; JoC'06] extended this to m ⇒ n, showing that the maximal load difference is independent of m for d=2 (in contrast…
Effective state estimation of stochastic systems
2003
In the present paper, for constructing the minimum risk estimators of state of stochastic systems, a new technique of invariant embedding of sample statistics in a loss function is proposed. This technique represents a simple and computationally attractive statistical method based on the constructive use of the invariance principle in mathematical statistics. Unlike the Bayesian approach, an invariant embedding technique is independent of the choice of priors. It allows one to eliminate unknown parameters from the problem and to find the best invariant estimator, which has smaller risk than any of the well‐known estimators. There exists a class of control systems where observations are not …
model reduction for continuous-time Markovian jump systems with incomplete statistics of mode information
2013
This paper investigates the problem of model reduction for a class of continuous-time Markovian jump linear systems with incomplete statistics of mode information, which simultaneously considers the exactly known, partially unknown and uncertain transition rates. By fully utilising the properties of transition rate matrices, together with the convexification of uncertain domains, a new sufficient condition for performance analysis is first derived, and then two approaches, namely, the convex linearisation approach and the iterative approach, are developed to solve the model reduction problem. It is shown that the desired reduced-order models can be obtained by solving a set of strict linear…
Robust estimation of partial directed coherence by the vector optimal parameter search algorithm
2009
We propose a method for the accurate estimation of Partial Directed Coherence (PDC) from multichannel time series. The method is based on multivariate vector autoregressive (MVAR) model identification performed through the recently proposed Vector Optimal Parameter Search (VOPS) algorithm. Using Monte Carlo simulations generated by different MVAR models, the proposed VOPS algorithm is compared with the traditional Vector Least Squares (VLS) identification method. We show that the VOPS provides more accurate PDC estimates than the VLS (either overall and single-arc errors) in presence of interactions with long delays and missing terms, and for noisy multichannel time series. ©2009 IEEE.
Anti-tempered Layered Adaptive Importance Sampling
2017
Monte Carlo (MC) methods are widely used for Bayesian inference in signal processing, machine learning and statistics. In this work, we introduce an adaptive importance sampler which mixes together the benefits of the Importance Sampling (IS) and Markov Chain Monte Carlo (MCMC) approaches. Different parallel MCMC chains provide the location parameters of the proposal probability density functions (pdfs) used in an IS method. The MCMC algorithms consider a tempered version of the posterior distribution as invariant density. We also provide an exhaustive theoretical support explaining why, in the presented technique, even an anti-tempering strategy (reducing the scaling of the posterior) can …
Invariant Embedding Technique and Its Applications for Improvement or Optimization of Statistical Decisions
2010
In the present paper, for improvement or optimization of statistical decisions under parametric uncertainty, a new technique of invariant embedding of sample statistics in a performance index is proposed. This technique represents a simple and computationally attractive statistical method based on the constructive use of the invariance principle in mathematical statistics. Unlike the Bayesian approach, an invariant embedding technique is independent of the choice of priors. It allows one to eliminate unknown parameters from the problem and to find the best invariant decision rule, which has smaller risk than any of the well-known decision rules. To illustrate the proposed technique, applica…
Parametric and nonparametric methods to generate time-varying surrogate data.
2009
We present both nonparametric and parametric approaches to generating time-varying surrogate data. Nonparametric and parametric approaches are based on the use of the short-time Fourier transform and a time-varying autoregressive model, respectively. Time-varying surrogate data (TVSD) can be used to determine the statistical significance of the linear and nonlinear coherence function estimates. Two advantages of the TVSD are that it keeps one from having to make an arbitrary decision about the significance of the coherence value, and it properly takes into account statistical significance levels, which may change with time. Our simulation examples and experimental results on blood pressure …
Robust model calibration using determinist and stochastic performance metrics
2016
International audience; The aeronautics industry has benefited from the use of numerical models to supplement or replace the costly design-build-test paradigm. These models are often calibrated using experimental data to obtain optimal fidelity-to-data but compensating effects between calibration parameters can complicate the model selection process due to the non-uniqueness of the solution. One way to reduce this ambiguity is to include a robustness requirement to the selection criteria. In this study, the info-gap decision theory is used to represent the lack of knowledge resulting from compensating effects and a robustness analysis is performed to investigate the impact of uncertainty on…