Real time remaining useful life(RUL) prediction based on condition monitoring is an essential part in condition based maintenance(CBM). In the current methods about the real time RUL prediction of the nonlinear degrad...Real time remaining useful life(RUL) prediction based on condition monitoring is an essential part in condition based maintenance(CBM). In the current methods about the real time RUL prediction of the nonlinear degradation process, the measurement error is not considered and forecasting uncertainty is large. Therefore, an approximate analytical RUL distribution in a closed-form of a nonlinear Wiener based degradation process with measurement errors was proposed. The maximum likelihood estimation approach was used to estimate the unknown fixed parameters in the proposed model. When the newly observed data are available, the random parameter is updated by the Bayesian method to make the estimation adapt to the item's individual characteristic and reduce the uncertainty of the estimation. The simulation results show that considering measurement errors in the degradation process can significantly improve the accuracy of real time RUL prediction.展开更多
Maximum Likelihood （ML） method has an excellent performance for Direction-Of-Arrival （DOA） estimation, but a mul- tidimensional nonlinear solution search is required which complicates the computation and prevents ...Maximum Likelihood （ML） method has an excellent performance for Direction-Of-Arrival （DOA） estimation, but a mul- tidimensional nonlinear solution search is required which complicates the computation and prevents the method from practical use. To reduce the high computational burden of ML method and make it more suitable to engineering applications, we apply the Artificial Bee Colony （ABC） algorithm to maximize the likelihood function for DOA estimation. As a recently proposed bio-inspired computing algorithm, ABC algorithm is originally used to optimize multivariable functions by imitating the be- havior of bee colony finding excellent nectar sources in the nature environment. It offers an excellent alternative to the con- ventional methods in ML-DOA estimation. The performance of ABC-based ML and other popular meta-heuristic-based ML methods for DOA estimation are compared for various scenarios of convergence, Signal-to-Noise Ratio （SNR）, and number of iterations. The computation loads of ABC-based ML and the conventional ML methods for DOA estimation are also investi- gated. Simulation results demonstrate that the proposed ABC based method is more efficient in computation and statistical performance than other ML-based DOA estimation methods.展开更多
In this note,the tampered failure rate model is generalized from the step-stress accelerated life testing setting to the progressive stress accelerated life testing for the first time.For the parametric setting where ...In this note,the tampered failure rate model is generalized from the step-stress accelerated life testing setting to the progressive stress accelerated life testing for the first time.For the parametric setting where the scale parameter satisfying the equation of the inverse power law is Weibull,maximum likelihood estimation is investigated.展开更多
The initial exponential growth rate of an epidemic is an important measure of the severeness of the epidemic,and is also closely related to the basic reproduction number.Estimating the growth rate from the epidemic cu...The initial exponential growth rate of an epidemic is an important measure of the severeness of the epidemic,and is also closely related to the basic reproduction number.Estimating the growth rate from the epidemic curve can be a challenge,because of its decays with time.For fast epidemics,the estimation is subject to over-fitting due to the limited number of data points available,which also limits our choice of models for the epidemic curve.We discuss the estimation of the growth rate using maximum likelihood method and simple models.展开更多
To estimate the spreading sequence of the direct sequence spread spectrum (DSSS) signal, a fast algorithm based on maximum likelihood function is proposed, and the theoretical derivation of the algorithm is provided. ...To estimate the spreading sequence of the direct sequence spread spectrum (DSSS) signal, a fast algorithm based on maximum likelihood function is proposed, and the theoretical derivation of the algorithm is provided. By simplifying the objective function of maximum likelihood estimation, the algorithm can realize sequence synchronization and sequence estimation via adaptive iteration and sliding window. Since it avoids the correlation matrix computation, the algorithm significantly reduces the storage requirement and the computation complexity. Simulations show that it is a fast convergent algorithm, and can perform well in low signal to noise ratio (SNR).展开更多
The span of coordinate time series affects the determination of an optimal noise model. We analyzed position data recorded for 10 continuous Global Positioning System （GPS） sites from 1998.0 to mid-2009 on the Austr...The span of coordinate time series affects the determination of an optimal noise model. We analyzed position data recorded for 10 continuous Global Positioning System （GPS） sites from 1998.0 to mid-2009 on the Australian Plate to estimate the best noise model and thereafter obtain the true uncertainties of the velocity, employing the maximum likelihood estimation （MLE） method. MLE was employed to analyze the data in four ways. In the first two analyses, the noise was assumed to be a combination of flicker noise and white noise for the raw time series and spatially filtered time series. In the final two analyses, the spectral indices and amplitudes were simultaneously estimated for a power law noise plus white noise model for the raw time series and spatially filtered time series. We conclude that the noise model of GPS time series in Australia can be best described as the combination of flicker noise and white noise. Velocity uncertainties fall below -0.2 mm/yr when the time span exceeds -9.5 years. A comparison of noise amplitudes and maximum likelihood estimation values between the raw and spatially filtered time series suggests that traditional spatial filtering to remove common-mode errors might not be applicable to the raw time series of this region.展开更多
The stationary Gamma-OU processes are recommended to be the volatility of the financial assets. A parametric estimation for the Gamma-OU processes based on the discrete observations is considered in this paper. The es...The stationary Gamma-OU processes are recommended to be the volatility of the financial assets. A parametric estimation for the Gamma-OU processes based on the discrete observations is considered in this paper. The estimator of an intensity parameter A and its convergence result are given, and the simulations show that the estimation is quite accurate. Assuming that the parameter A is estimated, the maximum likelihood estimation of shape parameter c and scale parameter a, whose likelihood function is not explicitly computable, is considered. By means of the Gaver-Stehfest algorithm, we construct an explicit sequence of approximations to the likelihood function and show that it converges the true (but unkown) one. Maximizing the sequence results in an estimator that converges to the true maximum likelihood estimator and the approximation shares the asymptotic properties of the true maximum likelihood estimator. Some simulation experiments reveal that this method is still quite accurate in most of rational situations for the background of volatility.展开更多
This paper proposes linear and nonlinear filters for a non-Gaussian dynamic system with an unknown nominal covariance of the output noise.The challenge of designing a suitable filter in the presence of an unknown cova...This paper proposes linear and nonlinear filters for a non-Gaussian dynamic system with an unknown nominal covariance of the output noise.The challenge of designing a suitable filter in the presence of an unknown covariance matrix is addressed by focusing on the output data set of the system.Considering that data generated from a Gaussian distribution exhibit ellipsoidal scattering,we first propose the weighted sum of norms(SON)clustering method that prioritizes nearby points,reduces distant point influence,and lowers computational cost.Then,by introducing the weighted maximum likelihood,we propose a semi-definite program(SDP)to detect outliers and reduce their impacts on each cluster.Detecting these weights paves the way to obtain an appropriate covariance of the output noise.Next,two filtering approaches are presented:a cluster-based robust linear filter using the maximum a posterior(MAP)estimation and a clusterbased robust nonlinear filter assuming that output noise distribution stems from some Gaussian noise resources according to the ellipsoidal clusters.At last,simulation results demonstrate the effectiveness of our proposed filtering approaches.展开更多
This article introduces a novel variant of the generalized linear exponential(GLE)distribution,known as the sine generalized linear exponential(SGLE)distribution.The SGLE distribution utilizes the sine transformation ...This article introduces a novel variant of the generalized linear exponential(GLE)distribution,known as the sine generalized linear exponential(SGLE)distribution.The SGLE distribution utilizes the sine transformation to enhance its capabilities.The updated distribution is very adaptable and may be efficiently used in the modeling of survival data and dependability issues.The suggested model incorporates a hazard rate function(HRF)that may display a rising,J-shaped,or bathtub form,depending on its unique characteristics.This model includes many well-known lifespan distributions as separate sub-models.The suggested model is accompanied with a range of statistical features.The model parameters are examined using the techniques of maximum likelihood and Bayesian estimation using progressively censored data.In order to evaluate the effectiveness of these techniques,we provide a set of simulated data for testing purposes.The relevance of the newly presented model is shown via two real-world dataset applications,highlighting its superiority over other respected similar models.展开更多
This paper puts forward a Poisson-generalized Pareto (Poisson-GP) distribution. This new form of compound extreme value distribution expands the existing application of compound extreme value distribution, and can be ...This paper puts forward a Poisson-generalized Pareto (Poisson-GP) distribution. This new form of compound extreme value distribution expands the existing application of compound extreme value distribution, and can be applied to predicting financial risk, large insurance settlement and high-grade earthquake, etc. Compared with the maximum likelihood estimation (MLE) and compound moment estimation (CME), probability-weighted moment estimation (PWME) is used to estimate the parameters of the distribution function. The specific formulas are presented. Through Monte Carlo simulation with sample sizes 10, 20, 50, 100, 1 000, it is concluded that PWME is an efficient method and it behaves steadily. The mean square errors (MSE) of estimators by PWME are much smaller than those of estimators by CME, and there is no significant difference between PWME and MLE. Finally, an example of foreign exchange rate is given. For Dollar/Pound exchange rates from 1990-01-02 to 2006-12-29, this paper formulates the distribution function of the largest loss among the investment losses exceeding a certain threshold by Poisson-GP compound extreme value distribution, and obtains predictive values at different confidence levels.展开更多
基金Projects(51475462,61374138,61370031)supported by the National Natural Science Foundation of China
文摘Real time remaining useful life(RUL) prediction based on condition monitoring is an essential part in condition based maintenance(CBM). In the current methods about the real time RUL prediction of the nonlinear degradation process, the measurement error is not considered and forecasting uncertainty is large. Therefore, an approximate analytical RUL distribution in a closed-form of a nonlinear Wiener based degradation process with measurement errors was proposed. The maximum likelihood estimation approach was used to estimate the unknown fixed parameters in the proposed model. When the newly observed data are available, the random parameter is updated by the Bayesian method to make the estimation adapt to the item's individual characteristic and reduce the uncertainty of the estimation. The simulation results show that considering measurement errors in the degradation process can significantly improve the accuracy of real time RUL prediction.
文摘Maximum Likelihood （ML） method has an excellent performance for Direction-Of-Arrival （DOA） estimation, but a mul- tidimensional nonlinear solution search is required which complicates the computation and prevents the method from practical use. To reduce the high computational burden of ML method and make it more suitable to engineering applications, we apply the Artificial Bee Colony （ABC） algorithm to maximize the likelihood function for DOA estimation. As a recently proposed bio-inspired computing algorithm, ABC algorithm is originally used to optimize multivariable functions by imitating the be- havior of bee colony finding excellent nectar sources in the nature environment. It offers an excellent alternative to the con- ventional methods in ML-DOA estimation. The performance of ABC-based ML and other popular meta-heuristic-based ML methods for DOA estimation are compared for various scenarios of convergence, Signal-to-Noise Ratio （SNR）, and number of iterations. The computation loads of ABC-based ML and the conventional ML methods for DOA estimation are also investi- gated. Simulation results demonstrate that the proposed ABC based method is more efficient in computation and statistical performance than other ML-based DOA estimation methods.
基金This research is by the National Natural Science Foundation of China(69971016, 10271079) the Science and Technology Development Foundation of Shanghai(00JC14507) the Major Branch of Learning Foundation of Shanghai.
文摘In this note,the tampered failure rate model is generalized from the step-stress accelerated life testing setting to the progressive stress accelerated life testing for the first time.For the parametric setting where the scale parameter satisfying the equation of the inverse power law is Weibull,maximum likelihood estimation is investigated.
基金This research is partially supported by a Natural Sciences and Engineering Research Council Canada discovery grant,and National Natural Science Foundation of China(No.11771075).
文摘The initial exponential growth rate of an epidemic is an important measure of the severeness of the epidemic,and is also closely related to the basic reproduction number.Estimating the growth rate from the epidemic curve can be a challenge,because of its decays with time.For fast epidemics,the estimation is subject to over-fitting due to the limited number of data points available,which also limits our choice of models for the epidemic curve.We discuss the estimation of the growth rate using maximum likelihood method and simple models.
基金supported by Joint Foundation of and China Academy of Engineering Physical (10676006)
文摘To estimate the spreading sequence of the direct sequence spread spectrum (DSSS) signal, a fast algorithm based on maximum likelihood function is proposed, and the theoretical derivation of the algorithm is provided. By simplifying the objective function of maximum likelihood estimation, the algorithm can realize sequence synchronization and sequence estimation via adaptive iteration and sliding window. Since it avoids the correlation matrix computation, the algorithm significantly reduces the storage requirement and the computation complexity. Simulations show that it is a fast convergent algorithm, and can perform well in low signal to noise ratio (SNR).
基金supported by the National Natural Science Foundation of China(Grant Nos.41304007,41074022)the Chinese Universities Scientific Fund(Grant No.121103)+1 种基金the Surveying and Mapping Basic Research Program of the National Administration of Surveying,Mapping and Geoinformation(Grant No.11-02-02)the China Scholarship Council and College of Science of the University of Nevada,Reno
文摘The span of coordinate time series affects the determination of an optimal noise model. We analyzed position data recorded for 10 continuous Global Positioning System （GPS） sites from 1998.0 to mid-2009 on the Australian Plate to estimate the best noise model and thereafter obtain the true uncertainties of the velocity, employing the maximum likelihood estimation （MLE） method. MLE was employed to analyze the data in four ways. In the first two analyses, the noise was assumed to be a combination of flicker noise and white noise for the raw time series and spatially filtered time series. In the final two analyses, the spectral indices and amplitudes were simultaneously estimated for a power law noise plus white noise model for the raw time series and spatially filtered time series. We conclude that the noise model of GPS time series in Australia can be best described as the combination of flicker noise and white noise. Velocity uncertainties fall below -0.2 mm/yr when the time span exceeds -9.5 years. A comparison of noise amplitudes and maximum likelihood estimation values between the raw and spatially filtered time series suggests that traditional spatial filtering to remove common-mode errors might not be applicable to the raw time series of this region.
基金This work was supported by National Natural Science Foundation of China (Grant No. 10371074).
文摘The stationary Gamma-OU processes are recommended to be the volatility of the financial assets. A parametric estimation for the Gamma-OU processes based on the discrete observations is considered in this paper. The estimator of an intensity parameter A and its convergence result are given, and the simulations show that the estimation is quite accurate. Assuming that the parameter A is estimated, the maximum likelihood estimation of shape parameter c and scale parameter a, whose likelihood function is not explicitly computable, is considered. By means of the Gaver-Stehfest algorithm, we construct an explicit sequence of approximations to the likelihood function and show that it converges the true (but unkown) one. Maximizing the sequence results in an estimator that converges to the true maximum likelihood estimator and the approximation shares the asymptotic properties of the true maximum likelihood estimator. Some simulation experiments reveal that this method is still quite accurate in most of rational situations for the background of volatility.
文摘This paper proposes linear and nonlinear filters for a non-Gaussian dynamic system with an unknown nominal covariance of the output noise.The challenge of designing a suitable filter in the presence of an unknown covariance matrix is addressed by focusing on the output data set of the system.Considering that data generated from a Gaussian distribution exhibit ellipsoidal scattering,we first propose the weighted sum of norms(SON)clustering method that prioritizes nearby points,reduces distant point influence,and lowers computational cost.Then,by introducing the weighted maximum likelihood,we propose a semi-definite program(SDP)to detect outliers and reduce their impacts on each cluster.Detecting these weights paves the way to obtain an appropriate covariance of the output noise.Next,two filtering approaches are presented:a cluster-based robust linear filter using the maximum a posterior(MAP)estimation and a clusterbased robust nonlinear filter assuming that output noise distribution stems from some Gaussian noise resources according to the ellipsoidal clusters.At last,simulation results demonstrate the effectiveness of our proposed filtering approaches.
基金This work was supported and funded by the Deanship of Scientific Research at Imam Mohammad Ibn Saud Islamic University(IMSIU)(Grant Number IMSIU-RG23142).
文摘This article introduces a novel variant of the generalized linear exponential(GLE)distribution,known as the sine generalized linear exponential(SGLE)distribution.The SGLE distribution utilizes the sine transformation to enhance its capabilities.The updated distribution is very adaptable and may be efficiently used in the modeling of survival data and dependability issues.The suggested model incorporates a hazard rate function(HRF)that may display a rising,J-shaped,or bathtub form,depending on its unique characteristics.This model includes many well-known lifespan distributions as separate sub-models.The suggested model is accompanied with a range of statistical features.The model parameters are examined using the techniques of maximum likelihood and Bayesian estimation using progressively censored data.In order to evaluate the effectiveness of these techniques,we provide a set of simulated data for testing purposes.The relevance of the newly presented model is shown via two real-world dataset applications,highlighting its superiority over other respected similar models.
基金National Natural Science Foundation of China (No.70573077)
文摘This paper puts forward a Poisson-generalized Pareto (Poisson-GP) distribution. This new form of compound extreme value distribution expands the existing application of compound extreme value distribution, and can be applied to predicting financial risk, large insurance settlement and high-grade earthquake, etc. Compared with the maximum likelihood estimation (MLE) and compound moment estimation (CME), probability-weighted moment estimation (PWME) is used to estimate the parameters of the distribution function. The specific formulas are presented. Through Monte Carlo simulation with sample sizes 10, 20, 50, 100, 1 000, it is concluded that PWME is an efficient method and it behaves steadily. The mean square errors (MSE) of estimators by PWME are much smaller than those of estimators by CME, and there is no significant difference between PWME and MLE. Finally, an example of foreign exchange rate is given. For Dollar/Pound exchange rates from 1990-01-02 to 2006-12-29, this paper formulates the distribution function of the largest loss among the investment losses exceeding a certain threshold by Poisson-GP compound extreme value distribution, and obtains predictive values at different confidence levels.
