RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS

Abstract. Outliers in time series seriously affect conventional parameter estimates. In this paper a robust recursive estimation procedure for the parameters of auto-regressve moving-average models with additive outliers is proposed. Using 'cleaned' residuals from an initial robust fit of an autoregression of high order as input, bounded influence regression is applied recursively. The proposal follows certain ideas of Hannan and Rissanen, who suggested a three-stage procedure for order and parameter estimation in a conventional setting.
A Monte Carlo study is performed to investigate the robustness properties of the proposed class of estimates and to compare them with various other suggestions, including least squares, M estimates, residual autocovariance and truncated residual autocovariance estimates. The results show that the recursive generalized M estimates compare favourably with them. Finally, possible modifications to master even vigourous situations are suggested.     

Application of a rice field experimental error distribution function to nitrogen-phosphorus-potassium fertilizer response model analysis

A distribution function of rice yield deviations from the mean was developed from field experiments with 555 plots at 16 sites in Zhejiang province, China, for three years. The deviation distribution in interval of 50kg/ha appeared as a symmetrical distribution with a high peak (Mean=0.279 [kg/ha], SD=240.686 [kg/ha]). Normality test using Kolmogrove-Smirnov test between the observed cumulative distribution and the normal cumulative distribution function indicates that the observed deviation distribution is not normal. An empirical exponential cumulative distribution function was developed. The distribution function was used to remove outliers during the development of a rice yield fertilizer response model, based on data from a non-replicated NPK field experiment.     

一种基于自然最近邻的离群检测算法

任何涉及k近邻求解问题的算法被应用于处理不同特征的数据集时,参数k值的选择都会明显影响算法的性能和结果。因而,如何选择k近邻算法中敏感参数k值一直是一个研究难点。提出了一种新的近邻关系———自然最近邻,它不需要设置参数k,每个节点的邻居是由算法自适应计算而形成的。针对离群点检测的特殊性,通过确定自然最近邻居搜索算法的终止条件,提出一种基于自然最近邻的新的离群检测算法ODb3N。实验表明,该算法不仅避免了k近邻中参数的选择问题,而且能够更有效地发现离群簇。     

PEAK-INSENSITIVE NON-PARAMETRIC SPECTRUM ESTIMATION

Abstract. We study the problem of non-parametric spectrum estimation of a stationary time series that might contain periodic components. In this case the periodogram ordinates have a significant amplitude at frequencies near the frequencies of the periodic components. These can be regarded as outliers in an asymptotically exponential sample. We develop a non-parametric estimator for the spectral density that is insensitive to these outliers in the frequency domain. This is done by robustifying the usual kernel estimator (smoothed periodogram) by means of M-estimation in the frequency domain. We propose to use data-tapered periodograms, which yield a drastic improvement of the procedure, typically for the contaminated situation. This is both shown theoretically and supported by means of simulation. We show consistency of the resulting estimator in the general case, and asymptotic normality in the special case of a Gaussian time series, whether contamination is present or not. Finally we illustrate the finite sample performance of the estimating procedure by some simulation results and by application to the Canadian lynx trappings data.     

Range Unit‐Root (RUR) Tests: Robust against Nonlinearities,Error Distributions,Structural Breaks and Outliers

Abstract. Since the seminal paper by Dickey and Fuller in 1979, unit‐root tests have conditioned the standard approaches to analysing time series with strong serial dependence in mean behaviour, the focus being placed on the detection of eventual unit roots in an autoregressive model fitted to the series. In this paper, we propose a completely different method to test for the type of long‐wave patterns observed not only in unit‐root time series but also in series following more complex data‐generating mechanisms. To this end, our testing device analyses the unit‐root persistence exhibited by the data while imposing very few constraints on the generating mechanism. We call our device the range unit‐root (RUR) test since it is constructed from the running ranges of the series from which we derive its limit distribution. These nonparametric statistics endow the test with a number of desirable properties, the invariance to monotonic transformations of the series and the robustness to the presence of important parameter shifts. Moreover, the RUR test outperforms the power of standard unit‐root tests on near‐unit‐root stationary time series; it is invariant with respect to the innovations distribution and asymptotically immune to noise. An extension of the RUR test, called the forward–backward range unit‐root (FB‐RUR) improves the check in the presence of additive outliers. Finally, we illustrate the performances of both range tests and their discrepancies with the Dickey–Fuller unit‐root test on exchange rate series.     

基于井下人员的异常轨迹分析方法研究

针对井下作业人员轨迹数据信息多维度和稀疏性等问题,提出了基于离群点的异常轨迹筛选ZFMTRAOD算法,首先通过对轨迹子段建立R-tree索引提升检索速度,然后利用离群检测思想对邻域半径内轨迹子段的数量和平均时间判断轨迹是否异常,最后利用井下作业人员的轨迹数据对算法的性能进行比较,发现基于离群点的井下人员轨迹分析算法不仅能判别出井下作业人员异常轨迹的类型,还提高了异常轨迹判别的准确率。     

基于异值区域消除的遮挡人脸识别

针对存在部分遮挡的人脸的识别问题,提出了一种改进的基于异值区域消除的人脸识别方法。首先,由训练人脸图像得到平均脸图像,并将测试图像与平均脸图像作差值运算得到误差人脸图像;然后,对误差人脸图像进行分割得到测试人脸图像存在的遮挡区域,并将测试图像和训练图像的相应区域予以去除以形成新的测试图像和训练图像;最后,采用线性回归分类或稀疏编码分类方法实现人脸识别。与同类方法比较,本方法计算相对简单,展现了较好的识别性能提升。基于Yale B和AR标准人脸数据库的仿真测试结果验证了本方法的有效性。     

基于概念格的天体光谱离群数据识别方法

在宇宙中, 寻求特殊的、未知的天体是人类探索宇宙奥妙所追求的目标之一, 天体光谱离群数据识别方法是实现该目标的有效手段之一. 将概念格中每个概念节点内涵描述为天体光谱数据特征子空间, 提出了一种天体光谱离群数据识别方法. 首先将概念节点的内涵缩减看作天体光谱特征子空间, 并依据稀疏度系数阈值确定稀疏子空间; 其次对于稀疏子空间, 依据稠密度系数判定祖先概念节点内涵是否为稠密子空间, 进而判断出概念节点外延中包含的数据对象是否为天体光谱离群数据; 最后以离散化天体光谱数据作为形式背景, 实验验证了利用该方法识别出的天体光谱离群数据是准确的、完备的和有效的.     

Mixtures of robust probabilistic principal component analyzers

Mixtures of probabilistic principal component analyzers model high-dimensional nonlinear data by combining local linear models. Each mixture component is specifically designed to extract the local principal orientations in the data. An important issue with this generative model is its sensitivity to data lying off the low-dimensional manifold. In order to address this problem, the mixtures of robust probabilistic principal component analyzers are introduced. They take care of atypical points by means of a long tail distribution, the Student-t. It is shown that the resulting mixture model is an extension of the mixture of Gaussians, suitable for both robust clustering and dimensionality reduction. Finally, we briefly discuss how to construct a robust version of the closely related mixture of factor analyzers.     

一种新型遥感图像配准方法

提出了一种新型全自动稳健的遥感图像配准算法。首先,在图像二维平面空间和尺度空间中同时检测局部极值作为特征点,并在特征点邻域提取局部不变特征描述子一尺度不变特征变换（SIFT）。然后,利用距离测度进行SIFT特征匹配得到初步的匹配集合。最后,运用稳健的随机采样一致性（RANSAC）算法将匹配点集划分为内点和外点,在内点域上精确地估计出图像变换模型。实验利用仿真数据测试了SIFT特征的可重复性和可匹配性,利用卫星图像验证了该自动配准算法的有效性和稳健性。