Ce travail de thèse poursuit une perspective double dans l'usage conjoint des méthodes de Monte Carlo séquentielles (MMS) et de l'algorithme Espérance-Maximisation (EM) dans le cadre des modèles de Markov cachés présentant une structure de dépendance markovienne d'ordre supérieur à 1 au niveau de la composante inobservée. Tout d'abord, nous commençons par un exposé succinct de l'assise théorique des deux concepts statistiques à travers les chapitres 1 et 2 qui leurs sont consacrés. Dans un second temps, nous nous intéressons à la mise en pratique simultanée des deux concepts au chapitre 3 et ce dans le cadre usuel où la structure de dépendance est d'ordre 1. L'apport des méthodes MMS dans ce travail réside dans leur capacité à approximer efficacement des fonctionnelles conditionnelles bornées, notamment des quantités de filtrage et de lissage dans un cadre non linéaire et non gaussien. Quant à l'algorithme EM, il est motivé par la présence à la fois de variables observables et inobservables (ou partiellement observées) dans les modèles de Markov Cachés et singulièrement les mdèles de volatilité stochastique étudié. Après avoir présenté aussi bien l'algorithme EM que les méthodes MCs ainsi que quelques unes de leurs propriétés dans les chapitres 1 et 2 respectivement, nous illustrons ces deux outils statistiques au travers de la calibration d'un modèle de volatilité stochastique. Cette application est effectuée pour des taux change ainsi que pour quelques indices boursiers au chapitre 3. Nous concluons ce chapitre sur un léger écart du modèle de volatilité stochastique canonique utilisé ainsi que des simulations de Monte Carlo portant sur le modèle résultant. Enfin, nous nous efforçons dans les chapitres 4 et 5 à fournir les assises théoriques et pratiques de l'extension des méthodes Monte Carlo séquentielles notamment le filtrage et le lissage particulaire lorsque la structure markovienne est plus prononcée. En guise d'illustration, nous donnons l'exemple d'un modèle de volatilité stochastique dégénéré dont une approximation présente une telle propriété de dépendance.

The fast clearing of faults is essential for preventing equipment damage and preserving the stability of the power transmission systems with smaller operating margins. This thesis examined the application of fault generated transients for fast detection and isolation of faults in a transmission system. The basis of the transient based protection scheme developed and implemented in this thesis is the fault current directions identified by a set of relays located at different nodes of the system. The direction of the fault currents relative to a relay location is determined by comparing the signs of the wavelet coefficients of the currents measured in all branches connected to the node. The faulted segment can be identified by combining the fault directions identified at different locations in the system. In order to facilitate this, each relay is linked with the relays located at the adjacent nodes through a telecommunication network. In order to prevent possible malfunctioning of relays due to transients originating from non-fault related events, a transient recognition system to supervise the relays is proposed. The applicability of different classification methods to develop a reliable transient recognition system was examined. A Hidden Markov Model classifier that utilizes the energies associated with the wavelet coefficients of the measured currents as input features was selected as the most suitable solution. Performance of the protection scheme was evaluated using a high voltage transmission system simulated in PSCAD/EMTDC simulation software. The custom models required to simulate the complete protection scheme were implemented in PSCAD/EMTDC. The effects of various factors such as fault impedance, signal noise, fault inception angle and current transformer saturation were investigated. The performance of the protection scheme was also tested with the field recorded signals. Hardware prototypes of the fault direction identification scheme and the transient classification system were implemented and tested under different practical scenarios using input signals generated with a real-time waveform playback instrument. The test results presented in this thesis successfully demonstrate the potential of using transient signals embedded in currents for detection, localization and recognition of faults in transmission networks in a fast and reliable manner.

An ergodic hidden Markov model (EHMM) can be useful in extracting underlying structure embedded in connected speech without the need for a time-aligned transcribed corpus. In this research, we present a query-by-example (QbE) spoken term detection system based on an ergodic hidden Markov model of speech. An EHMM-based representation of speech is not invariant to speaker-dependent variations due to the unsupervised nature of the training. Consequently, a single phoneme may be mapped to a number of EHMM states. The effects of speaker-dependent and context-induced variation in speech on its EHMM-based representation have been studied and used to devise schemes to minimize these variations. Speaker-invariance can be introduced into the system by identifying states with similar perceptual characteristics. In this research, two unsupervised clustering schemes have been proposed to identify perceptually similar states in an EHMM. A search framework, consisting of a graphical keyword modeling scheme and a modified Viterbi algorithm, has also been implemented. An EHMM-based QbE system has been compared to the state-of-the-art and has been demonstrated to have higher precisions than those based on static clustering schemes.

The fast clearing of faults is essential for preventing equipment damage and preserving the stability of the power transmission systems with smaller operating margins. This thesis examined the application of fault generated transients for fast detection and isolation of faults in a transmission system. The basis of the transient based protection scheme developed and implemented in this thesis is the fault current directions identified by a set of relays located at different nodes of the system. The direction of the fault currents relative to a relay location is determined by comparing the signs of the wavelet coefficients of the currents measured in all branches connected to the node. The faulted segment can be identified by combining the fault directions identified at different locations in the system. In order to facilitate this, each relay is linked with the relays located at the adjacent nodes through a telecommunication network. In order to prevent possible malfunctioning of relays due to transients originating from non-fault related events, a transient recognition system to supervise the relays is proposed. The applicability of different classification methods to develop a reliable transient recognition system was examined. A Hidden Markov Model classifier that utilizes the energies associated with the wavelet coefficients of the measured currents as input features was selected as the most suitable solution. Performance of the protection scheme was evaluated using a high voltage transmission system simulated in PSCAD/EMTDC simulation software. The custom models required to simulate the complete protection scheme were implemented in PSCAD/EMTDC. The effects of various factors such as fault impedance, signal noise, fault inception angle and current transformer saturation were investigated. The performance of the protection scheme was also tested with the field recorded signals. Hardware prototypes of the fault direction identification scheme and the transient classification system were implemented and tested under different practical scenarios using input signals generated with a real-time waveform playback instrument. The test results presented in this thesis successfully demonstrate the potential of using transient signals embedded in currents for detection, localization and recognition of faults in transmission networks in a fast and reliable manner.

An economic evaluation of the three interventions to conceive without the sexual transmission of HIV between heterosexual, HIV-discordant couples with positive male partners can inform policy decisions to subsidize pregnancy planning in this setting, as there is currently no coverage as such in Ontario. A decision tree and Markov model were designed to determine the short and long-term outcomes of unprotected intercourse restricted to timed ovulation (UIRTO), sperm washing with intrauterine insemination (SWIUI), and unprotected intercourse restricted to timed ovulation with pre-exposure prophylaxis (UIRTO-PrEP). In the short-term, UIRTO was the most cost-effective strategy. In the long-term, cases of negligible HIV transmission risk determined UIRTO-PrEP as the preferred option, while SWIUI was the choice method when this risk was high. There remains a viable risk of HIV transmission between discordant couples during attempts to conceive that require the concurrent and subsidized use of UIRTO-PrEP or SWIUI to protect against HIV infection.

An economic evaluation of the three interventions to conceive without the sexual transmission of HIV between heterosexual, HIV-discordant couples with positive male partners can inform policy decisions to subsidize pregnancy planning in this setting, as there is currently no coverage as such in Ontario. A decision tree and Markov model were designed to determine the short and long-term outcomes of unprotected intercourse restricted to timed ovulation (UIRTO), sperm washing with intrauterine insemination (SWIUI), and unprotected intercourse restricted to timed ovulation with pre-exposure prophylaxis (UIRTO-PrEP). In the short-term, UIRTO was the most cost-effective strategy. In the long-term, cases of negligible HIV transmission risk determined UIRTO-PrEP as the preferred option, while SWIUI was the choice method when this risk was high. There remains a viable risk of HIV transmission between discordant couples during attempts to conceive that require the concurrent and subsidized use of UIRTO-PrEP or SWIUI to protect against HIV infection.

Current physiotherapy practice relies on visual observation of the patient for diagnosis and assessment. The assessment process can potentially be automated to improve accuracy and reliability. This thesis proposes a method to recover patient joint angles and automatically extract movement profiles utilizing small and lightweight body-worn sensors. Joint angles are estimated from sensor measurements via the extended Kalman filter (EKF). Constant-acceleration kinematics is employed as the state evolution model. The forward kinematics of the body is utilized as the measurement model. The state and measurement models are used to estimate the position, velocity and acceleration of each joint, updated based on the sensor inputs from inertial measurement units (IMUs). Additional joint limit constraints are imposed to reduce drift, and an automated approach is developed for estimating and adapting the process noise during on-line estimation. Once joint angles are determined, the exercise data is segmented to identify each of the repetitions. This process of identifying when a particular repetition begins and ends allows the physiotherapist to obtain useful metrics such as the number of repetitions performed, or the time required to complete each repetition. A feature-guided hidden Markov model (HMM) based algorithm is developed for performing the segmentation. In a sequence of unlabelled data, motion segment candidates are found by scanning the data for velocity-based features, such as velocity peaks and zero crossings, which match the pre-determined motion templates. These segment potentials are passed into the HMM for template matching. This two-tier approach combines the speed of a velocity feature based approach, which only requires the data to be differentiated, with the accuracy of the more computationally-heavy HMM, allowing for fast and accurate segmentation. The proposed algorithms were verified experimentally on a dataset consisting of 20 healthy subjects performing rehabilitation exercises. The movement data was collected by IMUs strapped onto the hip, thigh and calf. The joint angle estimation system achieves an overall average RMS error of 4.27 cm, when compared against motion capture data. The segmentation algorithm reports 78% accuracy when the template training data comes from the same participant, and 74% for a generic template.

Longitudinal studies, where data on study subjects are collected over time, is increasingly involving multivariate longitudinal responses. Frequently, the heterogeneity observed in a multivariate longitudinal response can be attributed to underlying unobserved disease states in addition to any between-subject differences. We propose modeling such disease states using a hidden Markov model (HMM) approach and expand upon previous work, which incorporated random effects into HMMs for the analysis of univariate longitudinal data, to the setting of a multivariate longitudinal response. Multivariate longitudinal data are modeled jointly using separate but correlated random effects between longitudinal responses of mixed data types in addition to a shared underlying hidden process. We use a computationally efficient Bayesian approach via Markov chain Monte Carlo (MCMC) to fit such models. We apply this methodology to bivariate longitudinal response data from a smoking cessation clinical trial. Under these models, we examine how to incorporate a treatment effect on the disease states, as well as develop methods to classify observations by disease state and to attempt to understand patient dropout. Simulation studies were performed to evaluate the properties of such models and their applications under a variety of realistic situations.

No description available.

A segmentação dos nomes nas suas partes constitutivas é uma etapa fundamental no processo de integração de bases de dados por meio das técnicas de vinculação de registros. Esta separação dos nomes pode ser realizada de diferentes maneiras. Este estudo teve como objetivo avaliar a utilização do Modelo Escondido de Markov (HMM) na segmentação nomes e endereços de pessoas e a eficiência desta segmentação no processo de vinculação de registros. Foram utilizadas as bases do Sistema de Informações sobre Mortalidade (SIM) e do Subsistema de Informação de Procedimentos de Alta Complexidade (APAC) do estado do Rio de Janeiro no período entre 1999 a 2004. Uma metodologia foi proposta para a segmentação de nome e endereço sendo composta por oito fases, utilizando rotinas implementadas em PL/SQL e a biblioteca JAHMM, implementação na linguagem Java de algoritmos de HMM. Uma amostra aleatória de 100 registros de cada base foi utilizada para verificar a correção do processo de segmentação por meio do modelo HMM.Para verificar o efeito da segmentação do nome por meio do HMM, três processos de vinculação foram aplicados sobre uma amostra das duas bases citadas acima, cada um deles utilizando diferentes estratégias de segmentação, a saber: 1) divisão dos nomes pela primeira parte, última parte e iniciais do nome do meio; 2) divisão do nome em cinco partes; (3) segmentação segundo o HMM. A aplicação do modelo HMM como mecanismo de segmentação obteve boa concordância quando comparado com o observador humano. As diferentes estratégias de segmentação geraram resultados bastante similares na vinculação de registros, tendo a estratégia 1 obtido um desempenho pouco melhor que as demais. Este estudo sugere que a segmentação de nomes brasileiros por meio do modelo escondido de Markov não é mais eficaz do que métodos tradicionais de segmentação. / The segmentation of names into its constituent parts is a fundamental step in the integration of databases by means of record linkage techniques. This segmentation can be accomplished in different ways. This study aimed to evaluate the use of Hidden Markov Models (HMM) in the segmentation names and addresses of people and the efficiency of the segmentation on the record linkage process. Databases of the Information System on Mortality (SIM in portuguese) and Information Subsystem for High Complexity Procedures (APAC in portuguese) of the state of Rio de Janeiro between 1999 and 2004 were used. A method composed of eight stages has been proposed for segmenting the names and addresses using routines implemented in PL/SQL and a library called JAHMM, a Java implementation of HMM algorithms. A random sample of 100 records in each database was used to verify the correctness of the segmentation process using the hidden Markov model. In order to verify the effect of segmenting the names through the HMM, three record linkage process were applied on a sample of the aforementioned databases, each of them using a different segmentation strategy, namely: 1) dividing the name into first name , last name, and middle initials; 2) division of the name into five parts; 3) segmentation by HMM. The HMM segmentation mechanism was in good agreement when compared to a human observer. The three linkage processes produced very similar results, with the first strategy performing a little better than the others. This study suggests that the segmentation of Brazilian names by means of HMM is not more efficient than the traditional segmentation methods.