Identification Algorithm Based on the Approximate Least Absolute Deviation Criteria

Considering the situation that the least-squares (LS) method for system identification has poor robustness and the least absolute deviation (LAD) algorithm is hard to construct, an approximate least absolute deviation (ALAD) algorithm is proposed in this paper. The objective function of ALAD is constructed by introducing a deterministic function to approximate the absolute value function. Based on the function, the recursive equations for parameter identification are derived using Gauss-Newton iterative algorithm without any simplification. This algorithm has advantages of simple calculation and easy implementation, and it has second order convergence speed. Compared with the LS method, the new algorithm has better robustness when disorder and peak noises exist in the measured data. Simulation results show the efficiency of the proposed method.

Least Absolute Deviation Estimation of Autoregressive Conditional Duration Model

This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration （ACD） model. The asymptotic properties of the estimator are studied given mild regularity conditions. Furthermore, we develop a Wald test statistic for the linear restriction on the parameters. A simulation study is conducted for the finite sample properties of our estimator. Finally, we give an empirical study of financial duration.

ROBUST ESTIMATES IN MULTIVARIATE NONPARAMETRIC REGRESSION VIA LEAST ABSOLUTE DEVIATIONS

Given a (J+1)-variate random sample {(X1, Y1),…, (Xn, Yn)} , we consider the problem of estimating the conditional median functions of nonparametric regression by minimizing Σ|Yi-g(Xi)| where g is based on tensor products of B-splines. If the true conditional median function is smooth up to order r, it is shown that the optimal global convergence rate, n-r/(2r+J), is attained by the L1-norm based estimators.

Regulatory Genes Through Robust-SNR for Binary Classification Within Functional Genomics Experiments

The current study proposes a novel technique for feature selection by inculcating robustness in the conventional Signal to noise Ratio(SNR).The proposed method utilizes the robust measures of location i.e.,the“Median”as well as the measures of variation i.e.,“Median absolute deviation(MAD)and Interquartile range(IQR)”in the SNR.By this way,two independent robust signal-to-noise ratios have been proposed.The proposed method selects the most informative genes/features by combining the minimum subset of genes or features obtained via the greedy search approach with top-ranked genes selected through the robust signal-to-noise ratio(RSNR).The results obtained via the proposed method are compared with wellknown gene/feature selection methods on the basis of performance metric i.e.,classification error rate.A total of 5 gene expression datasets have been used in this study.Different subsets of informative genes are selected by the proposed and all the other methods included in the study,and their efficacy in terms of classification is investigated by using the classifier models such as support vector machine(SVM),Random forest(RF)and k-nearest neighbors(k-NN).The results of the analysis reveal that the proposed method(RSNR)produces minimum error rates than all the other competing feature selection methods in majority of the cases.For further assessment of the method,a detailed simulation study is also conducted.

Developing an Innovative High-precision Approach to Predict Medium-term and Long-term Satellite Clock Bias

A new prediction method based on the nonlinear autoregressive model is proposed to improve the accuracy of medium-term and long-term predictions of Satellite Clock Bias(SCB).Forecast experiments for three time periods were implemented based on the precision SCB published on the International GNSS Server(IGS)server.The results show that the medium-term and long-term prediction accuracy of the proposed approach is significantly better compared to other traditional models,with the training time being much shorter than the wavelet neural network model.

Developing a Secure Framework Using Feature Selection and Attack Detection Technique

Intrusion detection is critical to guaranteeing the safety of the data in the network.Even though,since Internet commerce has grown at a breakneck pace,network traffic kinds are rising daily,and network behavior characteristics are becoming increasingly complicated,posing significant hurdles to intrusion detection.The challenges in terms of false positives,false negatives,low detection accuracy,high running time,adversarial attacks,uncertain attacks,etc.lead to insecure Intrusion Detection System(IDS).To offset the existing challenge,the work has developed a secure Data Mining Intrusion detection system(DataMIDS)framework using Functional Perturbation(FP)feature selection and Bengio Nesterov Momentum-based Tuned Generative Adversarial Network(BNM-tGAN)attack detection technique.The data mining-based framework provides shallow learning of features and emphasizes feature engineering as well as selection.Initially,the IDS data are analyzed for missing values based on the Marginal Likelihood Fisher Information Matrix technique(MLFIMT)that identifies the relationship among the missing values and attack classes.Based on the analysis,the missing values are classified as Missing Completely at Random(MCAR),Missing at random(MAR),Missing Not at Random(MNAR),and handled according to the types.Thereafter,categorical features are handled followed by feature scaling using Absolute Median Division based Robust Scalar(AMDRS)and the Handling of the imbalanced dataset.The selection of relevant features is initiated using FP that uses‘3’Feature Selection(FS)techniques i.e.,Inverse Chi Square based Flamingo Search(ICS-FSO)wrapper method,Hyperparameter Tuned Threshold based Decision Tree(HpTT-DT)embedded method,and Xavier Normal Distribution based Relief(XavND-Relief)filter method.Finally,the selected features are trained and tested for detecting attacks using BNM-tGAN.The Experimental analysis demonstrates that the introduced DataMIDS framework produces an accurate diagnosis about the attack with low computation time.The work avoids false alarm rate of attacks and remains to be relatively robust against malicious attacks as compared to existing methods.

Portfolio optimization of credit risky bonds: a semi-Markov process approach

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds.The criteria to optimize the credit portfolio is based on l_(∞)-norm risk measure and the proposed optimization model is formulated as a linear programming problem.The input parameters to the optimization model are rate of returns of bonds which are obtained using credit ratings assuming that credit ratings of bonds follow a semi-Markov process.Modeling credit ratings by semi-Markov processes has several advantages over Markov chain models,i.e.,it addresses the ageing effect present in the credit rating dynamics.The transition probability matrices generated by semi-Markov process and initial credit ratings are used to generate rate of returns of bonds.The empirical performance of the proposed model is analyzed using the real data.Further,comparison of the proposed approach with the Markov chain approach is performed by obtaining the efficient frontiers for the two models.

LIMITING BEHAVIOR OF RECURSIVE M-ESTIMATORS IN MULTIVARIATE LINEAR REGRESSION MODELS AND THEIR ASYMPTOTIC EFFICIENCIES

Recursive algorithms are very useful for computing M-estimators of regression coefficients and scatter parameters. In this article, it is shown that for a nondecreasing ul （t）, under some mild conditions the recursive M-estimators of regression coefficients and scatter parameters are strongly consistent and the recursive M-estimator of the regression coefficients is also asymptotically normal distributed. Furthermore, optimal recursive M-estimators, asymptotic efficiencies of recursive M-estimators and asymptotic relative efficiencies between recursive M-estimators of regression coefficients are studied.

Short Term Wind Power Prediction Using Wavelet Transform and ARIMA

A sustainable production of electricity is essential for low carbon green growth in South Korea. Although wind energy is unlimited in potential, both intermittency and volatility should be tackled for smart grid integration in future. To cope with this, many works have been done for wind speed and power forecasting. It is shown that statistical techniques are useful for short-term forecasting of wind power. This paper presents a statistical wind speed forecasting. The wavelet decomposition is employed as a de-noising technique. An illustration will be given by real-world dataset. According to the result, the MAD （mean absolute deviation） is improved as much as 10%.

Moderate Deviations for M-estimators in Linear Models with φ-mixing Errors

In this paper, the moderate deviations for the M-estimators of regression parameter in a linear model are obtained when the errors form a strictly stationary Ф-mixing sequence. The results are applied to study many different types of M-estimators such as Huber＇s estimator, L^P-regression estimator, least squares estimator and least absolute deviation estimator.

Approximation by randomly weighting method in censored regression model

Censored regression ("Tobit") models have been in common use, and their linear hypothesis testings have been widely studied. However, the critical values of these tests are usually related to quantities of an unknown error distribution and estimators of nuisance parameters. In this paper, we propose a randomly weighting test statistic and take its conditional distribution as an approximation to null distribution of the test statistic. It is shown that, under both the null and local alternative hypotheses, conditionally asymptotic distribution of the randomly weighting test statistic is the same as the null distribution of the test statistic. Therefore, the critical values of the test statistic can be obtained by randomly weighting method without estimating the nuisance parameters. At the same time, we also achieve the weak consistency and asymptotic normality of the randomly weighting least absolute deviation estimate in censored regression model. Simulation studies illustrate that the per-formance of our proposed resampling test method is better than that of central chi-square distribution under the null hypothesis.

RANDOM WEIGHTING METHOD FOR CENSORED REGRESSION MODEL

Rao and Zhao (1992) used random weighting method to derive the approximate distribution of the M-estimator in linear regression model.In this paper we extend the result to the censored regression model (or censored “Tobit” model).

Robust estimation for partially linear models with large-dimensional covariates

We are concerned with robust estimation procedures to estimate the parameters in partially linear models with large-dimensional covariates. To enhance the interpretability, we suggest implementing a noncon- cave regularization method in the robust estimation procedure to select important covariates from the linear component. We establish the consistency for both the linear and the nonlinear components when the covariate dimension diverges at the rate of o（√n）, where n is the sample size. We show that the robust estimate of linear component performs asymptotically as well as its oracle counterpart which assumes the baseline function and the unimportant covariates were known a priori. With a consistent estimator of the linear component, we estimate the nonparametric component by a robust local linear regression. It is proved that the robust estimate of nonlinear component performs asymptotically as well as if the linear component were known in advance. Comprehensive simulation studies are carried out and an application is presented to examine the finite-sample performance of the proposed procedures.

基于Bayesian Bootstrap抽样的高维线性回归模型

研究小样本下高维线性回归模型中的变量选择问题和模型预测能力。当自变量维数p远大于样本量n时,提出基于Bayesian bootstrap抽样的SCAD(smoothly clipped absolute deviation)压缩方法。仿真和实证分析表明,与SCAD和LASSO(least absolute shrinkage and selection operator)两种传统回归压缩方法相比,本算法受随机干扰影响较小。当样本量较小时,本算法的变量压缩结果更好,变量选择能力更强,模型的标准均方误差值也最小,且模型预测能力提升明显。