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Gareth W. Peters

Publications and source records attributed to Gareth W. Peters.

At least 73 records · Page 4Linked to original sources
arXiv2012

An Information Theoretic Location Verification System for Wireless Networks

As location-based applications become ubiquitous in emerging wireless networks, Location Verification Systems (LVS) are of growing importance. In this paper we propose, for the first time, a rigorous information-theoretic framework for an LVS. The theoretical framework we develop illustrates how the threshold used in the detection of a spoofed location can be optimized in terms of the mutual information between the input and output data of the LVS. In order to verify the legitimacy of our analytical framework we have carried out detailed numerical simulations. Our simulations mimic the practical scenario where a system deployed using our framework must make a binary Yes/No "malicious decision" to each snapshot of the signal strength values obtained by base stations. The comparison between simulation and analysis shows excellent agreement. Our optimized LVS framework provides a defence against location spoofing attacks in emerging wireless networks such as those envisioned for Intelligent Transport Systems, where verification of location information is of paramount importance.

cs.IT↗
arXiv2012

System Identification in Wireless Relay Networks via Gaussian Process

We present a flexible stochastic model for a class of cooperative wireless relay networks, in which the relay processing functionality is not known at the destination. In addressing this problem we develop efficient algorithms to perform relay identification in a wireless relay network. We first construct a statistical model based on a representation of the system using Gaussian Processes in a non-standard manner due to the way we treat the imperfect channel state information. We then formulate the estimation problem to perform system identification, taking into account complexity and computational efficiency. Next we develop a set of three algorithms to solve the identification problem each of decreasing complexity, trading-off the estimation bias for computational efficiency. The joint optimisation problem is tackled via a Bayesian framework using the Iterated Conditioning on the Modes methodology. We develop a lower bound and several sub-optimal computationally efficient solutions to the identification problem, for comparison. We illustrate the estimation performance of our methodology for a range of widely used relay functionalities. The relative total error attained by our algorithm when compared to the lower bound is found to be at worst 9% for low SNR values under all functions considered. The effect of the relay functional estimation error is also studied via BER simulations and is shown to be less than 2dB worse than the lower bound.

cs.IT↗
arXiv2011

Cooperative Spectrum Sensing for Amplify-and-Forward Cognitive Networks

We develop a framework for spectrum sensing in cooperative amplify-and-forward cognitive radio networks. We consider a stochastic model where relays are assigned in cognitive radio networks to transmit the primary user's signal to a cognitive Secondary Base Station (SBS). We develop the Bayesian optimal decision rule under various scenarios of Channel State Information (CSI) varying from perfect to imperfect CSI. In order to obtain the optimal decision rule based on a Likelihood Ratio Test (LRT), the marginal likelihood under each hypothesis relating to presence or absence of transmission needs to be evaluated pointwise. However, in some cases the evaluation of the LRT can not be performed analytically due to the intractability of the multi-dimensional integrals involved. In other cases, the distribution of the test statistic can not be obtained exactly. To circumvent these difficulties we design two algorithms to approximate the marginal likelihood, and obtain the decision rule. The first is based on Gaussian Approximation where we quantify the accuracy of the approximation via a multivariate version of the Berry-Esseen bound. The second algorithm is based on Laplace approximation for the marginal likelihood, which results in a non-convex optimisation problem which is solved efficiently via Bayesian Expectation-Maximisation method. We also utilise a Laguerre series expansion to approximate the distribution of the test statistic in cases where its distribution can not be derived exactly. Performance is evaluated via analytic bounds and compared to numerical simulations.

cs.IT↗
arXiv2011

Adaptive Markov Chain Monte Carlo Forward Simulation for Statistical Analysis in Epidemic Modelling of Human Papillomavirus

We develop a Bayesian statistical model and estimation methodology based on Forward Projection Adaptive Markov chain Monte Carlo in order to perform the calibration of a high-dimensional non-linear system of Ordinary Differential Equations representing an epidemic model for Human Papillomavirus types 6 and 11 (HPV-6, HPV-11). The model is compartmental and involves stratification by age, gender and sexual activity-group. Developing this model and a means to calibrate it efficiently is relevant since HPV is a very multi-typed and common sexually transmitted infection with more than 100 types currently known. The two types studied in this paper, types 6 and 11, are causing about 90% of anogenital warts. We extend the development of a sexual mixing matrix for the population, based on a formulation first suggested by Garnett and Anderson. In particular we consider a stochastic mixing matrix framework which allows us to jointly estimate unknown attributes and parameters of the mixing matrix along with the parameters involved in the calibration of the HPV epidemic model. This matrix describes the sexual interactions between members of the population under study and relies on several quantities which are a-priori unknown. The Bayesian model developed allows one to estimate jointly the HPV-6 and HPV-11 epidemic model parameters such as the probability of transmission, HPV incubation period, duration of infection, duration of genital warts treatment, duration of immunity, the probability of seroconversion, per gender, age-group and sexual activity-group, as well as unknown sexual mixing matrix parameters related to assortativity. We conclude with simulation studies on synthetic and actual data from studies undertaken recently in Australia.

stat.AP↗
arXiv2011

Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts

We examine a general multi-factor model for commodity spot prices and futures valuation. We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long and short term dynamic factors to be mean reverting incorporating stochastic volatility factors and secondly we develop an additive structural seasonality model. Then a Milstein discretized non-linear stochastic volatility state space representation for the model is developed which allows for futures and options contracts in the observation equation. We then develop numerical methodology based on an advanced Sequential Monte Carlo algorithm utilising Particle Markov chain Monte Carlo to perform calibration of the model jointly with the filtering of the latent processes for the long-short dynamics and volatility factors. In this regard we explore and develop a novel methodology based on an adaptive Rao-Blackwellised version of the Particle Markov chain Monte Carlo methodology. In doing this we deal accurately with the non-linearities in the state-space model which are therefore introduced into the filtering framework. We perform analysis on synthetic and real data for oil commodities.

q-fin.CP↗
arXiv2011

Parameter Estimation for Hidden Markov Models with Intractable Likelihoods

Approximate Bayesian computation (ABC) is a popular technique for approximating likelihoods and is often used in parameter estimation when the likelihood functions are analytically intractable. Although the use of ABC is widespread in many fields, there has been little investigation of the theoretical properties of the resulting estimators. In this paper we give a theoretical analysis of the asymptotic properties of ABC based maximum likelihood parameter estimation for hidden Markov models. In particular, we derive results analogous to those of consistency and asymptotic normality for standard maximum likelihood estimation. We also discuss how Sequential Monte Carlo methods provide a natural method for implementing likelihood based ABC procedures.

math.ST↗
arXiv2011

Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model the individual OpRisk loss process corresponding to the Basel II Business line/event type. In this paper we derive a novel class of doubly stochastic alpha-stable family LDA models. These models provide the ability to capture the heavy tailed loss process typical of OpRisk whilst also providing analytic expressions for the compound process annual loss density and distributions as well as the aggregated compound process annual loss models. In particular we develop models of the annual loss process in two scenarios. The first scenario considers the loss process with a stochastic intensity parameter, resulting in an inhomogeneous compound Poisson processes annually. The resulting arrival process of losses under such a model will have independent counts over increments within the year. The second scenario considers discretization of the annual loss process into monthly increments with dependent time increments as captured by a Binomial process with a stochastic probability of success changing annually. Each of these models will be coupled under an LDA framework with heavy-tailed severity models comprised of $α$-stable severities for the loss amounts per loss event. In this paper we will derive analytic results for the annual loss distribution density and distribution under each of these models and study their properties.

q-fin.RM↗
arXiv2011

Blind Spectrum Sensing in Cognitive Radio over Fading Channels and Frequency Offsets

This paper deals with the challenging problem of spectrum sensing in cognitive radio. We consider a stochastic system model where the the Primary User (PU) transmits a periodic signal over fading channels. The effect of frequency offsets due to oscillator mismatch, and Doppler offset is studied. We show that for this case the Likelihood Ratio Test (LRT) cannot be evaluated poitnwise. We present a novel approach to approximate the marginilisation of the frequency offset using a single point estimate. This is obtained via a low complexity Constrained Adaptive Notch Filter (CANF) to estimate the frequency offset. Performance is evaluated via numerical simulations and it is shown that the proposed spectrum sensing scheme can achieve the same performance as the near-optimal scheme, that is based on a bank of matched filters, using only a fraction of the complexity required.

cs.IT↗
arXiv2010

Channel Tracking for Relay Networks via Adaptive Particle MCMC

This paper presents a new approach for channel tracking and parameter estimation in cooperative wireless relay networks. We consider a system with multiple relay nodes operating under an amplify and forward relay function. We develop a novel algorithm to efficiently solve the challenging problem of joint channel tracking and parameters estimation of the Jakes' system model within a mobile wireless relay network. This is based on \textit{particle Markov chain Monte Carlo} (PMCMC) method. In particular, it first involves developing a Bayesian state space model, then estimating the associated high dimensional posterior using an adaptive Markov chain Monte Carlo (MCMC) sampler relying on a proposal built using a Rao-Blackwellised Sequential Monte Carlo (SMC) filter.

cs.IT↗
arXiv2010

Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies the behaviour of different insurance policies in the context of capital reduction for a range of possible extreme loss models and insurance policy scenarios in a multi-period, multiple risk settings. A Loss Distributional Approach (LDA) for modelling of the annual loss process, involving homogeneous compound Poisson processes for the annual losses, with heavy tailed severity models comprised of alpha-stable severities is considered. There has been little analysis of such models to date and it is believed, insurance models will play more of a role in OpRisk mitigation and capital reduction in future. The first question of interest is when would it be equitable for a bank or financial institution to purchase insurance for heavy tailed OpRisk losses under different insurance policy scenarios? The second question then pertains to Solvency II and addresses what the insurers capital would be for such operational risk scenarios under different policy offerings. In addition we consider the insurers perspective with respect to fair premium as a percentage above the expected annual claim for each insurance policy. The intention being to address questions related to VaR reduction under Basel II, SCR under Solvency II and fair insurance premiums in OpRisk for different extreme loss scenarios. In the process we provide closed form solutions for the distribution of loss process and claims process in an LDA structure as well as closed form analytic solutions for the Expected Shortfall, SCR and MCR under Basel II and Solvency II. We also provide closed form analytic solutions for the annual loss distribution of multiple risks including insurance mitigation.

q-fin.RM↗
arXiv2010

Discussion of "Riemann manifold Langevin and Hamiltonian Monte Carlo methods'' by M. Girolami and B. Calderhead

This technical report is the union of two contributions to the discussion of the Read Paper "Riemann manifold Langevin and Hamiltonian Monte Carlo methods" by B. Calderhead and M. Girolami, presented in front of the Royal Statistical Society on October 13th 2010 and to appear in the Journal of the Royal Statistical Society Series B. The first comment establishes a parallel and possible interactions with Adaptive Monte Carlo methods. The second comment exposes a detailed study of Riemannian Manifold Hamiltonian Monte Carlo (RMHMC) for a weakly identifiable model presenting a strong ridge in its geometry.

stat.CO↗
arXiv2010

Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gaussian error correction model (ECM) framework. This involves developing a novel matrix variate Bayesian CVAR mixture model comprised of Gaussian errors intra-day and Alpha-stable errors inter-day in the ECM framework. To achieve this we derive a novel conjugate posterior model for the Scaled Mixtures of Normals (SMiN CVAR) representation of Alpha-stable inter-day innovations. These results are generalized to asymmetric models for the innovation noise at inter-day boundaries allowing for skewed Alpha-stable models. Our proposed model and sampling methodology is general, incorporating the current literature on Gaussian models as a special subclass and also allowing for price series level shifts either at random estimated time points or known a priori time points. We focus analysis on regularly observed non-Gaussian level shifts that can have significant effect on estimation performance in statistical models failing to account for such level shifts, such as at the close and open of markets. We compare the estimation accuracy of our model and estimation approach to standard frequentist and Bayesian procedures for CVAR models when non-Gaussian price series level shifts are present in the individual series, such as inter-day boundaries. We fit a bi-variate Alpha-stable model to the inter-day jumps and model the effect of such jumps on estimation of matrix-variate CVAR model parameters using the likelihood based Johansen procedure and a Bayesian estimation. We illustrate our model and the corresponding estimation procedures we develop on both synthetic and actual data.

q-fin.ST↗
arXiv2010

Bayesian Symbol Detection in Wireless Relay Networks via Likelihood-Free Inference

This paper presents a general stochastic model developed for a class of cooperative wireless relay networks, in which imperfect knowledge of the channel state information at the destination node is assumed. The framework incorporates multiple relay nodes operating under general known non-linear processing functions. When a non-linear relay function is considered, the likelihood function is generally intractable resulting in the maximum likelihood and the maximum a posteriori detectors not admitting closed form solutions. We illustrate our methodology to overcome this intractability under the example of a popular optimal non-linear relay function choice and demonstrate how our algorithms are capable of solving the previously intractable detection problem. Overcoming this intractability involves development of specialised Bayesian models. We develop three novel algorithms to perform detection for this Bayesian model, these include a Markov chain Monte Carlo Approximate Bayesian Computation (MCMC-ABC) approach; an Auxiliary Variable MCMC (MCMC-AV) approach; and a Suboptimal Exhaustive Search Zero Forcing (SES-ZF) approach. Finally, numerical examples comparing the symbol error rate (SER) performance versus signal to noise ratio (SNR) of the three detection algorithms are studied in simulated examples.

stat.AP↗
arXiv2010

Ecological non-linear state space model selection via adaptive particle Markov chain Monte Carlo (AdPMCMC)

We develop a novel advanced Particle Markov chain Monte Carlo algorithm that is capable of sampling from the posterior distribution of non-linear state space models for both the unobserved latent states and the unknown model parameters. We apply this novel methodology to five population growth models, including models with strong and weak Allee effects, and test if it can efficiently sample from the complex likelihood surface that is often associated with these models. Utilising real and also synthetically generated data sets we examine the extent to which observation noise and process error may frustrate efforts to choose between these models. Our novel algorithm involves an Adaptive Metropolis proposal combined with an SIR Particle MCMC algorithm (AdPMCMC). We show that the AdPMCMC algorithm samples complex, high-dimensional spaces efficiently, and is therefore superior to standard Gibbs or Metropolis Hastings algorithms that are known to converge very slowly when applied to the non-linear state space ecological models considered in this paper. Additionally, we show how the AdPMCMC algorithm can be used to recursively estimate the Bayesian Cramér-Rao Lower Bound of Tichavský (1998). We derive expressions for these Cramér-Rao Bounds and estimate them for the models considered. Our results demonstrate a number of important features of common population growth models, most notably their multi-modal posterior surfaces and dependence between the static and dynamic parameters. We conclude by sampling from the posterior distribution of each of the models, and use Bayes factors to highlight how observation noise significantly diminishes our ability to select among some of the models, particularly those that are designed to reproduce an Allee effect.

stat.ME↗
arXiv2010

Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model

This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian CVAR models, involving griddy Gibbs, with an automated efficient alternative, based on the Adaptive Metropolis algorithm of Roberts and Rosenthal, (2009). Developing the adaptive MCMC framework for Bayesian CVAR models allows for efficient estimation of posterior parameters in significantly higher dimensional CVAR series than previously possible with existing griddy Gibbs samplers. For a n-dimensional CVAR series, the matrix-variate posterior is in dimension $3n^2 + n$, with significant correlation present between the blocks of matrix random variables. We also treat the rank of the CVAR model as a random variable and perform joint inference on the rank and model parameters. This is achieved with a Bayesian posterior distribution defined over both the rank and the CVAR model parameters, and inference is made via Bayes Factor analysis of rank. Practically the adaptive sampler also aids in the development of automated Bayesian cointegration models for algorithmic trading systems considering instruments made up of several assets, such as currency baskets. Previously the literature on financial applications of CVAR trading models typically only considers pairs trading (n=2) due to the computational cost of the griddy Gibbs. We are able to extend under our adaptive framework to $n >> 2$ and demonstrate an example with n = 10, resulting in a posterior distribution with parameters up to dimension 310. By also considering the rank as a random quantity we can ensure our resulting trading models are able to adjust to potentially time varying market conditions in a coherent statistical framework.

q-fin.CP↗
arXiv2010

Chain ladder method: Bayesian bootstrap versus classical bootstrap

The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities of interest in claims reserving and compare the estimates to those obtained from classical and credibility approaches. In this context, a novel numerical procedure utilising Markov chain Monte Carlo (MCMC), ABC and a Bayesian bootstrap procedure was developed in a truly distribution-free setting. The ABC methodology arises because we work in a distribution-free setting in which we make no parametric assumptions, meaning we can not evaluate the likelihood point-wise or in this case simulate directly from the likelihood model. The use of a bootstrap procedure allows us to generate samples from the intractable likelihood without the requirement of distributional assumptions, this is crucial to the ABC framework. The developed methodology is used to obtain the empirical distribution of the DFCL model parameters and the predictive distribution of the outstanding loss liabilities conditional on the observed claims. We then estimate predictive Bayesian capital estimates, the Value at Risk (VaR) and the mean square error of prediction (MSEP). The latter is compared with the classical bootstrap and credibility methods.

q-fin.CP↗
arXiv2009

Dynamic operational risk: modeling dependence and combining different sources of information

In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of different risk categories and between severities of different risk categories as well as within risk categories can be modeled. The model is estimated using Bayesian inference methodology, allowing for combination of internal data, external data and expert opinion in the estimation procedure. We use a specialized Markov chain Monte Carlo simulation methodology known as Slice sampling to obtain samples from the resulting posterior distribution and estimate the model parameters.

q-fin.RM↗