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Many common statistical techniques for modeling multidimensional dynamic data sets can be seen as variants of one (or multiple) underlying linear/nonlinear model(s). These statistical techniques fall into two broad categories of supervised and unsupervised learning. The emphasis of this dissertation is on unsupervised learning under multiple generative models. For linear models, this has been achieved by collective observations and derivations made by previous authors during the last few decades. Factor analysis, polynomial chaos expansion, principal component analysis, gaussian mixture clustering, vector quantization, and Kalman filter models can all be unified as some variations of unsupervised learning under a single basic linear generative model. Hidden Markov modeling (HMM), however, is categorized as an unsupervised learning under multiple linear/nonlinear generative models. This dissertation is primarily focused on hidden Markov models (HMMs). On the first half of this dissertation we study enhancements on the theory of hidden Markov modeling. These include three branches: 1) a robust as well as a closed-form parameter estimation solution to the expectation maximization (EM) process of HMMs for the case of elliptically symmetrical densities; 2) a two-step HMM, with a combined state sequence via an extended Viterbi algorithm for smoother state estimation; and 3) a duration-dependent HMM, for estimating the expected residency frequency on each state. Then, the second half of the dissertation studies three novel applications of these methods: 1) the applications of Markov switching models on the Bifurcation Theory in nonlinear dynamics; 2) a Game Theory application of HMM, based on fundamental theory of card counting and an example on the game of Baccarat; and 3) Trust modeling and the estimation of trustworthiness metrics in cyber security systems via Markov switching models. As a result of the duration dependent HMM, we achieved a better estimation for the expected duration of stay on each regime. Then by robust and closed form solution to the EM algorithm we achieved robustness against outliers in the training data set as well as higher computational efficiency in the maximization step of the EM algorithm. By means of the two-step HMM we achieved smoother probability estimation with higher likelihood than the standard HMM. / Ph. D.

Neste trabalho de tese propomos um modelo de regressão beta com erros de medida. Esta proposta é uma área inexplorada em modelos não lineares na presença de erros de medição. Abordamos metodologias de estimação, como máxima verossimilhança aproximada, máxima pseudo-verossimilhança aproximada e calibração da regressão. O método de máxima verossimilhança aproximada determina as estimativas maximizando diretamente o logaritmo da função de verossimilhança. O método de máxima pseudo-verossimilhança aproximada é utilizado quando a inferência em um determinado modelo envolve apenas alguns mas não todos os parâmetros. Nesse sentido, dizemos que o modelo apresenta parâmetros de interesse como também de perturbação. Quando substituímos a verdadeira covariável (variável não observada) por uma estimativa da esperança condicional da variável não observada dada a observada, o método é conhecido como calibração da regressão. Comparamos as metodologias de estimação mediante um estudo de simulação de Monte Carlo. Este estudo de simulação evidenciou que os métodos de máxima verossimilhança aproximada e máxima pseudo-verossimilhança aproximada tiveram melhor desempenho frente aos métodos de calibração da regressão e naïve (ingênuo). Utilizamos a linguagem de programação Ox (Doornik, 2011) como suporte computacional. Encontramos a distribuição assintótica dos estimadores, com o objetivo de calcular intervalos de confiança e testar hipóteses, tal como propõem Carroll et. al.(2006, Seção A.6.6), Guolo (2011) e Gong e Samaniego (1981). Ademais, são utilizadas as estatísticas da razão de verossimilhanças e gradiente para testar hipóteses. Num estudo de simulação realizado, avaliamos o desempenho dos testes da razão de verossimilhanças e gradiente. Desenvolvemos técnicas de diagnóstico para o modelo de regressão beta com erros de medida. Propomos o resíduo ponderado padronizado tal como definem Espinheira (2008) com o objetivo de verificar as suposições assumidas ao modelo e detectar pontos aberrantes. Medidas de influência global, tais como a distância de Cook generalizada e o afastamento da verossimilhança, são utilizadas para detectar pontos influentes. Além disso, utilizamos a técnica de influência local conformal sob três esquemas de perturbação (ponderação de casos, perturbação da variável resposta e perturbação da covariável com e sem erros de medida). Aplicamos nossos resultados a dois conjuntos de dados reais para exemplificar a teoria desenvolvida. Finalmente, apresentamos algumas conclusões e possíveis trabalhos futuros. / In this thesis, we propose a beta regression model with measurement error. Among nonlinear models with measurement error, such a model has not been studied extensively. Here, we discuss estimation methods such as maximum likelihood, pseudo-maximum likelihood, and regression calibration methods. The maximum likelihood method estimates parameters by directly maximizing the logarithm of the likelihood function. The pseudo-maximum likelihood method is used when the inference in a given model involves only some but not all parameters. Hence, we say that the model under study presents parameters of interest, as well as nuisance parameters. When we replace the true covariate (observed variable) with conditional estimates of the unobserved variable given the observed variable, the method is known as regression calibration. We compare the aforementioned estimation methods through a Monte Carlo simulation study. This simulation study shows that maximum likelihood and pseudo-maximum likelihood methods perform better than the calibration regression method and the naïve approach. We use the programming language Ox (Doornik, 2011) as a computational tool. We calculate the asymptotic distribution of estimators in order to calculate confidence intervals and test hypotheses, as proposed by Carroll et. al (2006, Section A.6.6), Guolo (2011) and Gong and Samaniego (1981). Moreover, we use the likelihood ratio and gradient statistics to test hypotheses. We carry out a simulation study to evaluate the performance of the likelihood ratio and gradient tests. We develop diagnostic tests for the beta regression model with measurement error. We propose weighted standardized residuals as defined by Espinheira (2008) to verify the assumptions made for the model and to detect outliers. The measures of global influence, such as the generalized Cook\'s distance and likelihood distance, are used to detect influential points. In addition, we use the conformal approach for evaluating local influence for three perturbation schemes: case-weight perturbation, respose variable perturbation, and perturbation in the covariate with and without measurement error. We apply our results to two sets of real data to illustrate the theory developed. Finally, we present our conclusions and possible future work.

Neste trabalho de tese propomos um modelo de regressão beta com erros de medida. Esta proposta é uma área inexplorada em modelos não lineares na presença de erros de medição. Abordamos metodologias de estimação, como máxima verossimilhança aproximada, máxima pseudo-verossimilhança aproximada e calibração da regressão. O método de máxima verossimilhança aproximada determina as estimativas maximizando diretamente o logaritmo da função de verossimilhança. O método de máxima pseudo-verossimilhança aproximada é utilizado quando a inferência em um determinado modelo envolve apenas alguns mas não todos os parâmetros. Nesse sentido, dizemos que o modelo apresenta parâmetros de interesse como também de perturbação. Quando substituímos a verdadeira covariável (variável não observada) por uma estimativa da esperança condicional da variável não observada dada a observada, o método é conhecido como calibração da regressão. Comparamos as metodologias de estimação mediante um estudo de simulação de Monte Carlo. Este estudo de simulação evidenciou que os métodos de máxima verossimilhança aproximada e máxima pseudo-verossimilhança aproximada tiveram melhor desempenho frente aos métodos de calibração da regressão e naïve (ingênuo). Utilizamos a linguagem de programação Ox (Doornik, 2011) como suporte computacional. Encontramos a distribuição assintótica dos estimadores, com o objetivo de calcular intervalos de confiança e testar hipóteses, tal como propõem Carroll et. al.(2006, Seção A.6.6), Guolo (2011) e Gong e Samaniego (1981). Ademais, são utilizadas as estatísticas da razão de verossimilhanças e gradiente para testar hipóteses. Num estudo de simulação realizado, avaliamos o desempenho dos testes da razão de verossimilhanças e gradiente. Desenvolvemos técnicas de diagnóstico para o modelo de regressão beta com erros de medida. Propomos o resíduo ponderado padronizado tal como definem Espinheira (2008) com o objetivo de verificar as suposições assumidas ao modelo e detectar pontos aberrantes. Medidas de influência global, tais como a distância de Cook generalizada e o afastamento da verossimilhança, são utilizadas para detectar pontos influentes. Além disso, utilizamos a técnica de influência local conformal sob três esquemas de perturbação (ponderação de casos, perturbação da variável resposta e perturbação da covariável com e sem erros de medida). Aplicamos nossos resultados a dois conjuntos de dados reais para exemplificar a teoria desenvolvida. Finalmente, apresentamos algumas conclusões e possíveis trabalhos futuros. / In this thesis, we propose a beta regression model with measurement error. Among nonlinear models with measurement error, such a model has not been studied extensively. Here, we discuss estimation methods such as maximum likelihood, pseudo-maximum likelihood, and regression calibration methods. The maximum likelihood method estimates parameters by directly maximizing the logarithm of the likelihood function. The pseudo-maximum likelihood method is used when the inference in a given model involves only some but not all parameters. Hence, we say that the model under study presents parameters of interest, as well as nuisance parameters. When we replace the true covariate (observed variable) with conditional estimates of the unobserved variable given the observed variable, the method is known as regression calibration. We compare the aforementioned estimation methods through a Monte Carlo simulation study. This simulation study shows that maximum likelihood and pseudo-maximum likelihood methods perform better than the calibration regression method and the naïve approach. We use the programming language Ox (Doornik, 2011) as a computational tool. We calculate the asymptotic distribution of estimators in order to calculate confidence intervals and test hypotheses, as proposed by Carroll et. al (2006, Section A.6.6), Guolo (2011) and Gong and Samaniego (1981). Moreover, we use the likelihood ratio and gradient statistics to test hypotheses. We carry out a simulation study to evaluate the performance of the likelihood ratio and gradient tests. We develop diagnostic tests for the beta regression model with measurement error. We propose weighted standardized residuals as defined by Espinheira (2008) to verify the assumptions made for the model and to detect outliers. The measures of global influence, such as the generalized Cook\'s distance and likelihood distance, are used to detect influential points. In addition, we use the conformal approach for evaluating local influence for three perturbation schemes: case-weight perturbation, respose variable perturbation, and perturbation in the covariate with and without measurement error. We apply our results to two sets of real data to illustrate the theory developed. Finally, we present our conclusions and possible future work.

The estimation of the frequency and phase of a complex exponential in additive white Gaussian noise (AWGN) is a fundamental and well-studied problem in signal processing and communications. A variety of approaches to this problem, distinguished primarily by estimation accuracy, computational complexity, and processing latency, have been developed. One class of approaches is based on the Fast Fourier Transform (FFT) due to its connections with the maximum likelihood estimator (MLE) of frequency. This thesis compares several FFT-based approaches to the MLE in terms of their estimation accuracy and computational complexity. While FFT-based frequency estimation tends to be very accurate, the computational complexity of the FFT and the latency associated with performing these computations after the entire signal has been received can be prohibitive in some scenarios. Another class of approaches that addresses some of these shortcomings is based on linear regression of samples of the instantaneous phase of the observation. Linear- regression-based techniques have been shown to be very accurate at moderate to high signal to noise ratios and have the additional benefit of low computational complexity and low latency due to the fact that the processing can be performed as the samples arrive. These techniques, however, typically require the computation of four-quadrant arctangents, which must be approximated to retain low computational complexity. This thesis proposes a new frequency and phase estimator based on simple estimates of the zero-crossing times of the observation. An advantage of this approach is that it does not require arctangent calculations. Simulation results show that the zero-crossing frequency and phase estimator can provide high estimation accuracy, low computational complexity, and low processing latency, making it suitable for real-time applications. Accordingly, this thesis also presents a real-time implementation of the zero-crossing frequency and phase estimator in the context of a time-slotted round-trip carrier synchronization system for distributed beamforming. The experimental results show this approach can outperform a Phase Locked Loop (PLL) implementation of the same distributed beamforming system.

Despite their success and widespread usage in industry and business, ES methods have received little attention from the statistical community. We investigate three types of statistical models that have been found to underpin ES methods. They are ARIMA models, state space models with multiple sources of error (MSOE), and state space models with a single source of error (SSOE). We establish the relationship among the three classes of models and conclude that the class of SSOE state space models is broader than the other two and provides a formal statistical foundation for ES methods. To better understand ES methods, we investigate the behaviors of ES methods for time series generated from different processes. We mainly focus on time series of ARIMA type. ES methods forecast a time series using only the series own history. To include covariates into ES methods for better forecasting a time series, we propose a new forecasting method, Exponential Smoothing with Covariates (ESCov). ESCov uses an ES method to model what left unexplained in a time series by covariates. We establish the optimality of ESCov, identify SSOE state space models underlying ESCov, and derive analytically the variances of forecasts by ESCov. Empirical studies show that ESCov outperforms ES methods and regression with ARIMA errors. We suggest a model selection procedure for choosing appropriate covariates and ES methods in practice. Computer models have been commonly used to investigate complex systems for which physical experiments are highly expensive or very time-consuming. Before using a computer model, we need to address an important question ``How well does the computer model represent the real system?" The process of addressing this question is called computer model validation that generally involves the comparison of computer outputs and physical observations. In this thesis, we propose a Bayesian approach to computer model validation. This approach integrates together computer outputs and physical observation to give a better prediction of the real system output. This prediction is then used to validate the computer model. We investigate the impacts of several factors on the performance of the proposed approach and propose a generalization to the proposed approach.

In this paper I derive the asymptotics of the exact, Euler, and Milstein ML estimators for diffusion models, including general nonstationary diffusions. Though there have been many estimators for the diffusion model, their asymptotic properties were generally unknown. This is especially true for the nonstationary processes, even though they are usually far from the standard ones. Using a new asymptotics with respect to both the time span T and the sampling interval ¢, I find the asymptotics of the estimators and also derive the conditions for the consistency. With this new asymptotic result, I could show that this result can explain the properties of the estimators more correctly than the existing asymptotics with respect only to the sample size n. I also show that there are many possibilities to get a better estimator utilizing this asymptotic result with a couple of examples, and in the second part of the paper, I derive the higher order asymptotics which can be used in the bootstrap analysis.

In this thesis, we expand the option pricing and virtual asset model system by Cheng (2005) and include new simulations and maximum likelihood estimation of the parameter of the stochastic differential equations. For easy manipulation of general users, the interface of original option pricing system is modified. In addition, in order to let the system more completely, some stochastic models and methods of pricing and estimation are added. This system can be divided into three major parts. One is an option pricing system; The second is an asset model simulation system; The last is estimation system of the parameter of the model. Finally, the analysis for the data of network are carried out. The differences of the prices between estimator of this system and real market are compared.