Submitted by Kamila Costa (kamilavasconceloscosta@gmail.com) on 2015-06-18T20:16:38Z No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2015-07-06T15:29:34Z (GMT) No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2015-07-06T15:27:26Z (GMT) No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2015-07-06T15:33:36Z (GMT) No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) / Made available in DSpace on 2015-07-06T15:33:36Z (GMT). No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) Previous issue date: 2013-06-28 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / We investigated use of finite mixture models with skew normal independent distributions to model the conditional distributions in discriminat analysis, particularly the skew normal and skew t. To evaluate this model, we developed a simulation study and applications with real data sets, analyzing error rates associated with the classifiers obtained with these mixture models. Problems were simulated with different structures and separations for the classes distributions employing different training set sizes. The results of the study suggest that the models evaluated are able to adjust to different problems studied, from the simplest to the most complex in terms of modeling the observations for classification purposes. With real data, where then shapes distributions of the class is unknown, the models showed reasonable error rates when compared to other classifiers. As a limitation for the analized sets of data was observed that modeling by finite mixtures requires large samples per class when the dimension of the feature vector is relatively high. / Investigamos o emprego de misturas finitas de densidades na família normal assimétrica independente, em particular a normal assimétrica e a t assimétrica, para modelar as distribuições condicionais do vetor de características em Análise Discriminante (AD). O objetivo é obter modelos capazes de modelar dados com estruturas mais complexas onde, por exemplo, temos assimetria e multimodalidade, o quemuitas vezes ocorrem em problemas reais de AD. Para avaliar esta modelagem, desenvolvemos um estudo de simulação e aplicações em dados reais, analisando a taxa de erro (TE) associadas aos classificadores obtidos com estes modelos de misturas. Foram simulados problemas com diferentes estruturas, relativas à separação e distribuição das classes e o tamanho do conjunto de treinamento. Os resultados do estudo sugerem que os modelos avaliados são capazes de se ajustar aos diferentes problemas estudados, desde os mais simples aos mais complexos, em termos de modelagem das observações para fins de classificação. Com os dados reais, situações onde desconhecemos as formas das distribuições nas classes, os modelos apresentaram TE’s razoáveis quando comparados a outros classificadores. Como uma limitação, para os conjuntos de dados analisados, foi observado que a modelagem por misturas finitas necessita de amostras grandes por classe em situações onde a dimensão do vetor de características é relativamente alta.

Simple random sampling (SRS) is the most commonly used sampling design in data collection. In many applications (e.g., in fisheries and medical research) quantification of the variable of interest is either time-consuming or expensive but ranking a number of sampling units, without actual measurement on them, can be done relatively easy and at low cost. In these situations, one may use rank-based sampling (RBS) designs to obtain more representative samples from the underlying population and improve the efficiency of the statistical inference. In this thesis, we study the theory and application of the finite mixture models (FMMs) under RBS designs. In Chapter 2, we study the problems of Maximum Likelihood (ML) estimation and classification in a general class of FMMs under different ranked set sampling (RSS) designs. In Chapter 3, deriving Fisher information (FI) content of different RSS data structures including complete and incomplete RSS data, we show that the FI contained in each variation of the RSS data about different features of FMMs is larger than the FI contained in their SRS counterparts. There are situations where it is difficult to rank all the sampling units in a set with high confidence. Forcing rankers to assign unique ranks to the units (as RSS) can lead to substantial ranking error and consequently to poor statistical inference. We hence focus on the partially rank-ordered set (PROS) sampling design, which is aimed at reducing the ranking error and the burden on rankers by allowing them to declare ties (partially ordered subsets) among the sampling units. Studying the information and uncertainty structures of the PROS data in a general class of distributions, in Chapter 4, we show the superiority of the PROS design in data analysis over RSS and SRS schemes. In Chapter 5, we also investigate the ML estimation and classification problems of FMMs under the PROS design. Finally, we apply our results to estimate the age structure of a short-lived fish species based on the length frequency data, using SRS, RSS and PROS designs.

No description available.

No description available.

Esta tese se concentra em aplicar os modelos de mistura de distribuições na segmentação de imagens SAR polarimétricas multi-look. Dentro deste contexto, utilizou-se o algoritmo SEM em conjunto com os estimadores obtidos pelo método dos momentos para calcular as estimativas dos parâmetros do modelo de mistura das distribuições Wishart, Kp ou G0p. Cada uma destas distribuições possui parâmetros específicos que as diferem no ajuste dos dados com graus de homogeneidade variados. A distribuição Wishart descreve bem regiões com características mais homogêneas, como cultivo. Esta distribuição é muito utilizada na análise de dados SAR polarimétricos multi-look. As distribuições Kp e G0p possuem um parâmetro de rugosidade que as permitem descrever tanto regiões mais heterogêneas, como vegetação e áreas urbanas, quanto regiões homogêneas. Além dos modelos de mistura de uma única família de distribuições, também foi analisado o caso de um dicionário contendo as três famílias. Há comparações do método SEM proposto para os diferentes modelos com os métodos da literatura k-médias e EM utilizando imagens reais da banda L. O método SEM com a mistura de distribuições G0p forneceu os melhores resultados quando os outliers da imagem são desconsiderados. A distribuição G0p foi a mais flexível ao ajuste dos diferentes tipos de alvo. A distribuição Wishart foi robusta às diferentes inicializações. O método k-médias com a distribuição Wishart é robusto à segmentação de imagens contendo outliers, mas não é muito flexível à variabilidade das regiões heterogêneas. O modelo de mistura do dicionário de famílias melhora a log-verossimilhança do método SEM, mas apresenta resultados parecidos com os do modelo de mistura G0p. Para todos os tipos de inicialização e grupos, a distribuição G0p predominou no processo de seleção das distribuições do dicionário de famílias. / The main focus of this thesis consists of the application of mixture models in multi-look polarimetric SAR image segmentation. Within this context, the SEM algorithm, together with the method of moments, were applied in the estimation of the Wishart, Kp and G0p mixture model parameters. Each one of these distributions has specific parameters that allows fitting data with different degrees of homogeneity. The Wishart distribution is suitable for modeling homogeneous regions, like crop fields for example. This distribution is widely used in multi-look polarimetric SAR data analysis. The distributions Kp and G0p have a roughness parameter that allows them to describe both heterogeneous regions, as vegetation and urban areas, and homogeneous regions. Besides adopting mixture models of a single family of distributions, the use of a dictionary with all the three family of distributions was proposed and analyzed. Also, a comparison between the performance of the proposed SEM method, considering the different models in real L-band images and two widely known techniques described in literature (k-means and EM algorithms), are shown and discussed. The proposed SEM method, considering a G0p mixture model combined with a outlier removal stage, provided the best classication results. The G0p distribution was the most flexible for fitting the different kinds of data. The Wishart distribution was robust for different initializations. The k-means algorithm with Wishart distribution is robust for segmentation of SAR images containing outliers, but it is not so flexible to variabilities in heterogeneous regions. The mixture model considering the dictionary of distributions improves the SEM method log-likelihood, but presents similar results to those of G0p mixture model. For all types of initializations and clusters, the G0p prevailed in the distribution selection process of the dictionary of distributions.

The driving risk of novice teenagers is the highest during the initial period after licensure but decreases rapidly. This dissertation develops recurrent-event change-point models to detect the time when driving risk decreases significantly for novice teenager drivers. The dissertation consists of three major parts: the first part applies recurrent-event change-point models with identical change-points for all subjects; the second part proposes models to allow change-points to vary among drivers by a hierarchical Bayesian finite mixture model; the third part develops a non-parametric Bayesian model with a Dirichlet process prior. In the first part, two recurrent-event change-point models to detect the time of change in driving risks are developed. The models are based on a non-homogeneous Poisson process with piecewise constant intensity functions. It is shown that the change-points only occur at the event times and the maximum likelihood estimators are consistent. The proposed models are applied to the Naturalistic Teenage Driving Study, which continuously recorded textit{in situ} driving behaviour of 42 novice teenage drivers for the first 18 months after licensure using sophisticated in-vehicle instrumentation. The results indicate that crash and near-crash rate decreases significantly after 73 hours of independent driving after licensure. The models in part one assume identical change-points for all drivers. However, several studies showed that different patterns of risk change over time might exist among the teenagers, which implies that the change-points might not be identical among drivers. In the second part, change-points are allowed to vary among drivers by a hierarchical Bayesian finite mixture model, considering that clusters exist among the teenagers. The prior for mixture proportions is a Dirichlet distribution and a Markov chain Monte Carlo algorithm is developed to sample from the posterior distributions. DIC is used to determine the best number of clusters. Based on the simulation study, the model gives fine results under different scenarios. For the Naturalist Teenage Driving Study data, three clusters exist among the teenagers: the change-points are 52.30, 108.99 and 150.20 hours of driving after first licensure correspondingly for the three clusters; the intensity rates increase for the first cluster while decrease for other two clusters; the change-point of the first cluster is the earliest and the average intensity rate is the highest. In the second part, model selection is conducted to determine the number of clusters. An alternative is the Bayesian non-parametric approach. In the third part, a Dirichlet process Mixture Model is proposed, where the change-points are assigned a Dirichlet process prior. A Markov chain Monte Carlo algorithm is developed to sample from the posterior distributions. Automatic clustering is expected based on change-points without specifying the number of latent clusters. Based on the Dirichlet process mixture model, three clusters exist among the teenage drivers for the Naturalistic Teenage Driving Study. The change-points of the three clusters are 96.31, 163.83, and 279.19 hours. The results provide critical information for safety education, safety countermeasure development, and Graduated Driver Licensing policy making. / Ph. D.

In recent years, probabilistic models have become fundamental techniques in machine learning. They are successfully applied in various engineering problems, such as robotics, biometrics, brain-computer interfaces or artificial vision, and will gain in importance in the near future. This work deals with the difficult, but common situation where the data is, either very noisy, or scarce compared to the complexity of the process to model. We focus on latent variable models, which can be formalized as probabilistic graphical models and learned by the expectation-maximization algorithm or its variants (e.g., variational Bayes).<br> After having carefully studied a non-exhaustive list of multivariate kernel density estimators, we established that in most applications locally adaptive estimators should be preferred. Unfortunately, these methods are usually sensitive to outliers and have often too many parameters to set. Therefore, we focus on finite mixture models, which do not suffer from these drawbacks provided some structural modifications.<br> Two questions are central in this dissertation: (i) how to make mixture models robust to noise, i.e. deal efficiently with outliers, and (ii) how to exploit side-channel information, i.e. additional information intrinsic to the data. In order to tackle the first question, we extent the training algorithms of the popular Gaussian mixture models to the Student-t mixture models. the Student-t distribution can be viewed as a heavy-tailed alternative to the Gaussian distribution, the robustness being tuned by an extra parameter, the degrees of freedom. Furthermore, we introduce a new variational Bayesian algorithm for learning Bayesian Student-t mixture models. This algorithm leads to very robust density estimators and clustering. To address the second question, we introduce manifold constrained mixture models. This new technique exploits the information that the data is living on a manifold of lower dimension than the dimension of the feature space. Taking the implicit geometrical data arrangement into account results in better generalization on unseen data.<br> Finally, we show that the latent variable framework used for learning mixture models can be extended to construct probabilistic regularization networks, such as the Relevance Vector Machines. Subsequently, we make use of these methods in the context of an optic nerve visual prosthesis to restore partial vision to blind people of whom the optic nerve is still functional. Although visual sensations can be induced electrically in the blind's visual field, the coding scheme of the visual information along the visual pathways is poorly known. Therefore, we use probabilistic models to link the stimulation parameters to the features of the visual perceptions. Both black-box and grey-box models are considered. The grey-box models take advantage of the known neurophysiological information and are more instructive to medical doctors and psychologists.<br>

En écologie des populations, les distributions spatiales d'espèces sont étudiées afin d'inférer l'existence de processus sous-jacents, tels que les interactions intra- et interspécifiques et les réponses des espèces à l'hétérogénéité de l'environnement. Nous proposons d'analyser les données spatiales multi-spécifiques sous l'angle des assemblages d'espèces, que nous considérons en termes d'abondances absolues et non de diversité des espèces. Les assemblages d'espèces sont une des signatures des interactions spatiales locales des espèces entre elles et avec leur environnement. L'étude des assemblages d'espèces peut permettre de détecter plusieurs types d'équilibres spatialisés et de les associer à l'effet de variables environnementales. Les assemblages d'espèces sont définis ici par classification non spatiale des observations multivariées d'abondances d'espèces. Les méthodes de classification basées sur les modèles de mélange ont été choisies afin d'avoir une mesure de l'incertitude de la classification et de modéliser un assemblage par une loi de probabilité multivariée. Dans ce cadre, nous proposons : 1. une méthode d'analyse exploratoire de données spatiales multivariées d'abondances d'espèces, qui permet de détecter des assemblages d'espèces par classification, de les cartographier et d'analyser leur structure spatiale. Des lois usuelles, telle que la Gaussienne multivariée, sont utilisées pour modéliser les assemblages, 2. un modèle hiérarchique pour les assemblages d'abondances lorsque les lois usuelles ne suffisent pas. Ce modèle peut facilement s'adapter à des données contenant des variables de types différents, qui sont fréquemment rencontrées en écologie, 3. une méthode de classification de données contenant des variables de types différents basée sur des mélanges de lois à structure hiérarchique (définies en 2.). Deux applications en écologie ont guidé et illustré ce travail : l'étude à petite échelle des assemblages de deux espèces de pucerons sur des feuilles de clémentinier et l'étude à large échelle des assemblages d'une plante hôte, le plantain lancéolé, et de son pathogène, l'oïdium, sur les îles Aland en Finlande / In population ecology, species spatial patterns are studied in order to infer the existence of underlying processes, such as interactions within and between species, and species response to environmental heterogeneity. We propose to analyze spatial multi-species data by defining species abundance assemblages. Species assemblages are one of the signatures of the local spatial interactions between species and with their environment. Species assemblages are defined here by a non spatial classification of the multivariate observations of species abundances. Model-based clustering procedures using mixture models were chosen in order to have an estimation of the classification uncertainty and to model an assemblage by a multivariate probability distribution. We propose : 1. An exploratory tool for the study of spatial multivariate observations of species abundances, which defines species assemblages by a model-based clustering procedure, and then maps and analyzes the spatial structure of the assemblages. Common distributions, such as the multivariate Gaussian, are used to model the assemblages. 2. A hierarchical model for abundance assemblages which cannot be modeled with common distributions. This model can be easily adapted to mixed mode data, which are frequent in ecology. 3. A clustering procedure for mixed-mode data based on mixtures of hierarchical models. Two ecological case-studies guided and illustrated this work: the small-scale study of the assemblages of two aphid species on leaves of Citrus trees, and the large-scale study of the assemblages of a host plant, Plantago lanceolata, and its pathogen, the powdery mildew, on the Aland islands in south-west Finland

Nesta dissertação, o modelo de seleção de carteiras de Markowitz será estendido com uma análise em tempo discreto e hipóteses mais realísticas. Um produto tensorial finito de densidades Erlang será usado para aproximar a densidade de probabilidade multivariada dos retornos discretos uniperiódicos de ativos dependentes. A Erlang é um caso particular da distribuição Gama. Uma mistura finita pode gerar densidades multimodais não-simétricas e o produto tensorial generaliza este conceito para dimensões maiores. Assumindo que a densidade multivariada foi independente e identicamente distribuída (i.i.d.) no passado, a aproximação pode ser calibrada com dados históricos usando o critério da máxima verossimilhança. Este é um problema de otimização em larga escala, mas com uma estrutura especial. Assumindo que esta densidade multivariada será i.i.d. no futuro, então a densidade dos retornos discretos de uma carteira de ativos com pesos não-negativos será uma mistura finita de densidades Erlang. O risco será calculado com a medida Downside Risk, que é convexa para determinados parâmetros, não é baseada em quantis, não causa a subestimação do risco e torna os problemas de otimização uni e multiperiódico convexos. O retorno discreto é uma variável aleatória multiplicativa ao longo do tempo. A distribuição multiperiódica dos retornos discretos de uma seqüência de T carteiras será uma mistura finita de distribuições Meijer G. Após uma mudança na medida de probabilidade para a composta média, é possível calcular o risco e o retorno, que levará à fronteira eficiente multiperiódica, na qual cada ponto representa uma ou mais seqüências ordenadas de T carteiras. As carteiras de cada seqüência devem ser calculadas do futuro para o presente, mantendo o retorno esperado no nível desejado, o qual pode ser função do tempo. Uma estratégia de alocação dinâmica de ativos é refazer os cálculos a cada período, usando as novas informações disponíveis. Se o horizonte de tempo tender a infinito, então a fronteira eficiente, na medida de probabilidade composta média, tenderá a um único ponto, dado pela carteira de Kelly, qualquer que seja a medida de risco. Para selecionar um dentre vários modelos de otimização de carteira, é necessário comparar seus desempenhos relativos. A fronteira eficiente de cada modelo deve ser traçada em seu respectivo gráfico. Como os pesos dos ativos das carteiras sobre estas curvas são conhecidos, é possível traçar todas as curvas em um mesmo gráfico. Para um dado retorno esperado, as carteiras eficientes dos modelos podem ser calculadas, e os retornos realizados e suas diferenças ao longo de um backtest podem ser comparados. / In this thesis, Markowitz’s portfolio selection model will be extended by means of a discrete time analysis and more realistic hypotheses. A finite tensor product of Erlang densities will be used to approximate the multivariate probability density function of the single-period discrete returns of dependent assets. The Erlang is a particular case of the Gamma distribution. A finite mixture can generate multimodal asymmetric densities and the tensor product generalizes this concept to higher dimensions. Assuming that the multivariate density was independent and identically distributed (i.i.d.) in the past, the approximation can be calibrated with historical data using the maximum likelihood criterion. This is a large-scale optimization problem, but with a special structure. Assuming that this multivariate density will be i.i.d. in the future, then the density of the discrete returns of a portfolio of assets with nonnegative weights will be a finite mixture of Erlang densities. The risk will be calculated with the Downside Risk measure, which is convex for certain parameters, is not based on quantiles, does not cause risk underestimation and makes the single and multiperiod optimization problems convex. The discrete return is a multiplicative random variable along the time. The multiperiod distribution of the discrete returns of a sequence of T portfolios will be a finite mixture of Meijer G distributions. After a change of the distribution to the average compound, it is possible to calculate the risk and the return, which will lead to the multiperiod efficient frontier, where each point represents one or more ordered sequences of T portfolios. The portfolios of each sequence must be calculated from the future to the present, keeping the expected return at the desired level, which can be a function of time. A dynamic asset allocation strategy is to redo the calculations at each period, using new available information. If the time horizon tends to infinite, then the efficient frontier, in the average compound probability measure, will tend to only one point, given by the Kelly’s portfolio, whatever the risk measure is. To select one among several portfolio optimization models, it is necessary to compare their relative performances. The efficient frontier of each model must be plotted in its respective graph. As the weights of the assets of the portfolios on these curves are known, it is possible to plot all curves in the same graph. For a given expected return, the efficient portfolios of the models can be calculated, and the realized returns and their differences along a backtest can be compared.

Nesta dissertação, o modelo de seleção de carteiras de Markowitz será estendido com uma análise em tempo discreto e hipóteses mais realísticas. Um produto tensorial finito de densidades Erlang será usado para aproximar a densidade de probabilidade multivariada dos retornos discretos uniperiódicos de ativos dependentes. A Erlang é um caso particular da distribuição Gama. Uma mistura finita pode gerar densidades multimodais não-simétricas e o produto tensorial generaliza este conceito para dimensões maiores. Assumindo que a densidade multivariada foi independente e identicamente distribuída (i.i.d.) no passado, a aproximação pode ser calibrada com dados históricos usando o critério da máxima verossimilhança. Este é um problema de otimização em larga escala, mas com uma estrutura especial. Assumindo que esta densidade multivariada será i.i.d. no futuro, então a densidade dos retornos discretos de uma carteira de ativos com pesos não-negativos será uma mistura finita de densidades Erlang. O risco será calculado com a medida Downside Risk, que é convexa para determinados parâmetros, não é baseada em quantis, não causa a subestimação do risco e torna os problemas de otimização uni e multiperiódico convexos. O retorno discreto é uma variável aleatória multiplicativa ao longo do tempo. A distribuição multiperiódica dos retornos discretos de uma seqüência de T carteiras será uma mistura finita de distribuições Meijer G. Após uma mudança na medida de probabilidade para a composta média, é possível calcular o risco e o retorno, que levará à fronteira eficiente multiperiódica, na qual cada ponto representa uma ou mais seqüências ordenadas de T carteiras. As carteiras de cada seqüência devem ser calculadas do futuro para o presente, mantendo o retorno esperado no nível desejado, o qual pode ser função do tempo. Uma estratégia de alocação dinâmica de ativos é refazer os cálculos a cada período, usando as novas informações disponíveis. Se o horizonte de tempo tender a infinito, então a fronteira eficiente, na medida de probabilidade composta média, tenderá a um único ponto, dado pela carteira de Kelly, qualquer que seja a medida de risco. Para selecionar um dentre vários modelos de otimização de carteira, é necessário comparar seus desempenhos relativos. A fronteira eficiente de cada modelo deve ser traçada em seu respectivo gráfico. Como os pesos dos ativos das carteiras sobre estas curvas são conhecidos, é possível traçar todas as curvas em um mesmo gráfico. Para um dado retorno esperado, as carteiras eficientes dos modelos podem ser calculadas, e os retornos realizados e suas diferenças ao longo de um backtest podem ser comparados. / In this thesis, Markowitz’s portfolio selection model will be extended by means of a discrete time analysis and more realistic hypotheses. A finite tensor product of Erlang densities will be used to approximate the multivariate probability density function of the single-period discrete returns of dependent assets. The Erlang is a particular case of the Gamma distribution. A finite mixture can generate multimodal asymmetric densities and the tensor product generalizes this concept to higher dimensions. Assuming that the multivariate density was independent and identically distributed (i.i.d.) in the past, the approximation can be calibrated with historical data using the maximum likelihood criterion. This is a large-scale optimization problem, but with a special structure. Assuming that this multivariate density will be i.i.d. in the future, then the density of the discrete returns of a portfolio of assets with nonnegative weights will be a finite mixture of Erlang densities. The risk will be calculated with the Downside Risk measure, which is convex for certain parameters, is not based on quantiles, does not cause risk underestimation and makes the single and multiperiod optimization problems convex. The discrete return is a multiplicative random variable along the time. The multiperiod distribution of the discrete returns of a sequence of T portfolios will be a finite mixture of Meijer G distributions. After a change of the distribution to the average compound, it is possible to calculate the risk and the return, which will lead to the multiperiod efficient frontier, where each point represents one or more ordered sequences of T portfolios. The portfolios of each sequence must be calculated from the future to the present, keeping the expected return at the desired level, which can be a function of time. A dynamic asset allocation strategy is to redo the calculations at each period, using new available information. If the time horizon tends to infinite, then the efficient frontier, in the average compound probability measure, will tend to only one point, given by the Kelly’s portfolio, whatever the risk measure is. To select one among several portfolio optimization models, it is necessary to compare their relative performances. The efficient frontier of each model must be plotted in its respective graph. As the weights of the assets of the portfolios on these curves are known, it is possible to plot all curves in the same graph. For a given expected return, the efficient portfolios of the models can be calculated, and the realized returns and their differences along a backtest can be compared.