The variance of spectral estimates
Step function with more than two values for computing variance of energy distribution for flat and nonflat spectra
SPECTRAL ENERGY DISTRIBUTION↗
SEARCH · Engineering Papers
Results for “variance estimation”
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A note on some efficient estimates of the noise variance for first-order Reed-Muller codes
Noise variance maximum likelihood estimate based on order statistics for first order Reed-Muller code transmission over zero-mean white Gaussian noise channel
Holmes, J. K.↗
Evaluation of errors in prior mean and variance in the estimation of integrated circuit failure rates using Bayesian methods
The critical point of any Bayesian analysis concerns the choice and quantification of the prior information. The effects of prior data on a Bayesian analysis are studied. Comparisons of the maximum likelihood estimator, the Bayesian estimator, and the known failure rate are presented. The results of the many simulated trails are then analyzed to show the region of criticality for prior information being supplied to the Bayesian estimator. In particular, effects of prior mean and variance are determined as a function of the amount of test data available.
Fletcher, B. C.↗
On-line parameter estimation using a high sensitivity estimator
An on-line parameter identification method is presented. The method is based on a recursive formulation of the maximum likelihood method, with a significant modification on the gains of the state estimator. In the conventional maximum likelihood method, the Kalman gains are used in the state estimator. This produces unbiased, minimum variance parameter estimates in the presence of process noise and measurement noise, but it also slows the convergence rate when the identification is done on-line. Here we suggest choosing the gains to maximize a measure of the sensitivities of the state estimates to parameter variations. One such criterion is to minimize the trace of the inverse information matrix. This increases the convergence rate significantly. After one or two time constants, the gains are switched to the Kalman values to assure unbiased, minimum-variance estimates. The state estimate will initially be nonoptimal, and may not be adequate for control purposes. In this case, a parallel Kalman filter which uses the identifier's parameter estimates can be used. This method is applied here for the identification of a simple first-order system, and for the identification of short-period stability derivatives of an F-8 aircraft from simulated data.
Mishne, D.↗
A Proof of the Asymptotic Variance of Path Length Estimators for Single-Collision Monte Carlo Source Iteration in the Thick Diffusion Limit
Here, we prove a theorem relating the variance of path length estimators for single-collision Monte Carlo source iteration to a parameter that becomes infinitesimally small in an important physical regime arising in radiative transfer. In our usage, “single-collision Monte Carlo source iteration” refers to Monte Carlo Boltzmann transport methods in which each Monte Carlo particle history includes no more than a single collision, and the physics of multiple scattering is modeled by lagging the scattering source term and iterating until this term converges. Our theorem can be used to construct variance reduction techniques which improve the order of the estimator variance. This enables calculations that would otherwise require impractically large sample sizes to achieve practical estimator uncertainties. We believe this is the first postulation of a theorem relating estimator variance to a limiting case parameter for single-collision Monte Carlo source iteration, and the first proof of such a theorem. We illustrate the theorem’s value with an example in which the authors of a transport method used the theorem to design a variance reduction technique that improved the uncertainty of their solution by a factor of about 500 for a proxy problem from radiative transfer that contains both optically-thick and optically-thin material.
Mathematics and Computing↗
Spectral variance of aeroacoustic data
An asymptotic technique for estimating the variance of power spectra is applied to aircraft flyover noise data. The results are compared with directly estimated variances and they are in reasonable agreement. The basic time series need not be Gaussian for asymptotic theory to apply. The asymptotic variance formulae can be useful tools both in the design and analysis phase of experiments of this type.
Rao, K. V.↗
Variance comparisons for unbiased estimators of probability of correct classification
Variance relationships among certain count estimators and posterior probability estimators of probability of correct classification are investigated. An estimator using posterior probabilities is presented for use in stratified sampling designs. A test case involving three normal classes is examined.
Moore, D. S.↗
Estimating the mass variance in neutron multiplicity counting $-$ A comparison of approaches
In the standard practice of neutron multiplicity counting, the first three sampled factorial moments of the event triggered neutron count distribution are used to quantify the three main neutron source terms: the spontaneous fissile material effective mass, the relative (α,n) production and the induced fission source responsible for multiplication. This study compares three methods to quantify the statistical uncertainty of the estimated mass: the bootstrap method, propagation of variance through moments, and statistical analysis of cycle data method. Each of the three methods was implemented on a set of four different NMC measurements, held at the JRC-laboratory in Ispra, Italy, sampling four different Pu samples in a standard Plutonium Scrap Multiplicity Counter (PSMC) well counter.
74 ATOMIC AND MOLECULAR PHYSICS↗
Deflation as a method of variance reduction for estimating the trace of a matrix inverse
Many fields require computing the trace of the inverse of a large, sparse matrix. The typical method used for such computations is the Hutchinson method which is a Monte Carlo (MC) averaging over matrix quadratures. To improve its convergence, several variance reductions techniques have been proposed. In this paper, we study the effects of deflating the near null singular value space. We make two main contributions. First, we analyze the variance of the Hutchinson method as a function of the deflated singular values and vectors. Although this provides good intuition in general, by assuming additionally that the singular vectors are random unitary matrices, we arrive at concise formulas for the deflated variance that include only the variance and mean of the singular values. We make the remarkable observation that deflation may increase variance for Hermitian matrices but not for non-Hermitian ones. This is a rare, if not unique, property where non-Hermitian matrices outperform Hermitian ones. The theory can be used as a model for predicting the benefits of deflation. Second, we use deflation in the context of a large scale application of "disconnected diagrams" in Lattice QCD. On lattices, Hierarchical Probing (HP) has previously provided an order of magnitude of variance reduction over MC by removing "error" from neighboring nodes of increasing distance in the lattice. Although deflation used directly on MC yields a limited improvement of 30% in our problem, when combined with HP they reduce variance by a factor of over 150 compared to MC. For this, we pre-computated 1000 smallest singular values of an ill-conditioned matrix of size 25 million. Furthermore, using PRIMME and a domain-specific Algebraic Multigrid preconditioner, we perform one of the largest eigenvalue computations in Lattice QCD at a fraction of the cost of our trace computation.
97 MATHEMATICS AND COMPUTING↗
Smooth empirical Bayes estimation of observation error variances in linear systems
A smooth empirical Bayes estimator was developed for estimating the unknown random scale component of each of a set of observation error variances. It is shown that the estimator possesses a smaller average squared error loss than other estimators for a discrete time linear system.
Martz, H. F., Jr.↗
Nonparametric estimation of mean and variance when a few sample values possibly outliers
Nonparametric estimation of mean and variance in random sampling with observations of varying values
Walsh, J. E.↗
Subset Regression
Backward elimination procedure minimizes prediction errors of equations fitted to factorial experiments. Problem of minimizing prediction error solved for two-level full- or fractional-factorial experiment with 16 factorial points and 0 to 6 center points. Such experiment provides 16 orthogonal coefficient estimates for empirical polynomial model. Each coefficient estimated with low variance error estimated from 16 observations.
Holms, A. G.↗
Multi-Output Approximate Control Variate Estimation for Enhanced Variance Reduction
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Thomas Dixon↗
Estimation of Model Error Variances During Data Assimilation
Data assimilation is all about understanding the error characteristics of the data and models that are used in the assimilation process. Reliable error estimates are needed to implement observational quality control, bias correction of observations and model fields, and intelligent data selection. Meaningful covariance specifications are obviously required for the analysis as well, since the impact of any single observation strongly depends on the assumed structure of the background errors. Operational atmospheric data assimilation systems still rely primarily on climatological background error covariances. To obtain error estimates that reflect both the character of the flow and the current state of the observing system, it is necessary to solve three problems: (1) how to account for the short-term evolution of errors in the initial conditions; (2) how to estimate the additional component of error caused by model defects; and (3) how to compute the error reduction in the analysis due to observational information. Various approaches are now available that provide approximate solutions to the first and third of these problems. However, the useful accuracy of these solutions very much depends on the size and character of the model errors and the ability to account for them. Model errors represent the real-world forcing of the error evolution in a data assimilation system. Clearly, meaningful model error estimates and/or statistics must be based on information external to the model itself. The most obvious information source is observational, and since the volume of available geophysical data is growing rapidly, there is some hope that a purely statistical approach to model error estimation can be viable. This requires that the observation errors themselves are well understood and quantifiable. We will discuss some of these challenges and present a new sequential scheme for estimating model error variances from observations in the context of an atmospheric data assimilation system.
Dee, Dick↗
Quantifying Uncertainty in All-to-All Estimates of Space Object Conjunction Probabilities using U-Statistics
Predicting space object conjunctions is inherently probabilistic due to initial state and orbit model uncertainty. A commonly considered Monte Carlo estimator of the conjunction probability is the ’all-to-all’ estimator. Given independent random samples of the trajectories of both objects, the estimator is the percentage of all pairs of trajectories that result in a conjunction. Intuitively, the all-to-all estimator is the best possible estimator of the conjunction probability since it considers all pairs of Monte Carlo samples. However, its distribution is not available in closed-form, which limits its use in practice and makes this intuition difficult to make rigorous. In this paper, the all-to-all estimator is identified as a U-statistic, which implies that it has several favorable properties. Specifically, the estimator is the minimum variance unbiased estimator of the conjunction probability and is asymptotically Gaussian distributed. An approximate confidence interval for the conjunction probability is obtained from an estimate of the asymptotic Gaussian distribution. We show how to efficiently compute the confidence interval and demonstrate that the interval has the nominal coverage level. The confidence intervals are also seen to be narrower than those based on the commonly-used each-to-each estimator. Furthermore, the all-to-all estimator is shown to allow different Monte Carlo sample sizes, whereas the each-to-each estimator requires equal sample sizes.
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
Analytic Spacecraft Attitude and Rate Estimation Performance During Attitude Sensor Outages
Analytic expressions for spacecraft attitude and rate estimation performance of an attitude estimation filter in terms of sensor specifications are useful tools for spacecraft design. Farrenkopf (1978) famously found analytic expressions for steady-state pre-update and post-update attitude and gyro bias estimate error variances for an attitude estimation filter for a single-axis spacecraft with a Rate Output Gyro (ROG). Markley and Reynolds (2000) extended the analysis for a Rate-Integrating Gyro (RIG) with angle white noise. These expressions allow for the rapid evaluation of system performance during preliminary mission design phases. One contribution of this paper is the analytic calculation of the steady-state pre-update and post-update angular rate estimate uncertainty for both the ROG and RIG cases. The primary contribution of this paper is the extension of the results for both the ROG and the RIG cases to the situation of an attitude sensor outage. This situation arises frequently in practice; for example when a star sensor’s field of view is occluded, when a star sensor’s readings are unreliable during a thruster burn that vibrates the spacecraft, or during star sensor outages due to radiation upsets. Analytic expressions for the attitude estimate uncertainty, gyro bias estimate uncertainty, and angular rate estimate uncertainty are given in terms of the attitude sensor outage interval, the star tracker measurement noise, and gyro noise parameters. Validity of the analytic results is demonstrated via Monte Carlo simulation.
Galante, Joseph M.↗
Analytic Spacecraft Attitude and Rate Estimation Performance During Attitude Sensor Outages
Analytic expressions for spacecraft attitude and rate estimation performance of an attitude estimation filter in terms of sensor specifications are useful tools for spacecraft design. Farrenkopf (1978) famously found analytic expressions for steady-state pre-update and post-update attitude and gyro bias estimate error variances for an attitude estimation filter for a single-axis spacecraft with a Rate Output Gyro (ROG). Markley and Reynolds (2000) extended the analysis for a Rate-Integrating Gyro (RIG) with angle white noise. These expressions allow for the rapid evaluation of system performance during preliminary mission design phases. One contribution of this paper is the analytic calculation of the steady-state pre-update and post-update angular rate estimate uncertainty for both the ROG and RIG cases. The primary contribution of this paper is the extension of the results for both the ROG and the RIG cases to the situation of an attitude sensor outage. This situation arises frequently in practice; for example when a star sensor’s field of view is occluded, when a star sensor’s readings are unreliable during a thruster burn that vibrates the spacecraft, or during star sensor outages due to radiation upsets. Analytic expressions for the attitude estimate uncertainty, gyro bias estimate uncertainty, and angular rate estimate uncertainty are given in terms of the attitude sensor outage interval, the star tracker measurement noise, and gyro noise parameters. Validity of the analytic results is demonstrated via Monte Carlo simulation.
Galante, Joseph M.↗
Minimum-variance reduced-order estimation algorithms from Pontrygin's minimum principle
A uniform derivation of minimum-variance reduced-order (MVRO) filter-smoother algorithms from Pontrygin's Minimum Principle is presented. An appropriate performance index for a general class of reduced order estimation problem is formulated herein to yield optimal results over the entire time interval of estimation. These results provide quantitative criteria for measuring the performance of certain classes of heuristically designed, suboptimal reduced-order estimators as well as explicit guidance to the suboptimal filter design process with both continuous and discrete filter-smoother algorithms being considered. By the duality principle, the algorithms of reduced-order estimation can be easily extended to the deterministic problems of optimal control (i.e., the regulator and linear tracking problem).
Ebrahimi, Yaghoob S.↗