Abstrad-Two different predictive control formulations are developed based on minimization of the worst-case quadratic cost for systems with bounded parameters. The two formulations differ on the assumptions made about the future inputs in optimizing the current input: one assumes open-mop control, while the other considers closed-loop control. Their closed-loop properties such as asymptotic sta...

Cardiovascular magnetic resonance (CMR) perfusion data are suitable for quantitative measurement of myocardial blood flow. The goal of perfusionCMR postprocessing is to recover tissue impulse-response from observed signalintensity curves. While several deconvolution techniques are available for this purpose, all of them use models with varying parameters for the representation of the impulse-re...

In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the estimation. I also show that the MLE of pa...

We show that the moving average process Xf (t) := ∫ t 0 f(t − s) dZ(s) t ∈ [0, T ] has a bounded version almost surely, when the kernel f has finite total 2– variation and Z is a symmetric Lévy process. We also obtain bounds for E| supt∈[0,T ] Xf (t)| and for uniform moduli of continuity of Xf ( · ) and for the largest jump of Xf ( · ) when it is not continuous. Similar results are obtained for...

A key application of long memory time series models concerns innation. Long memory implies that shocks have a long-lasting eeect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for innation, where the shifts may be caused by sudden oil price shocks, we examine whether evidence for long memory (...

This paper proposes a novel method for detecting foreground objects in nonstationary complex environments containing moving background objects. We derive a Bayes decision rule for classification of background and foreground changes based on inter-frame color co-occurrence statistics. An approach to store and fast retrieve color co-occurrence statistics is also established. In the proposed metho...

Three ARIMA forecast extension procedures for Census Bureau X-11 concurrent seasona adjustment were empirically tested. Forecasts were obtained from fitted seasonal ARIMA models augmented with regression terms for ouffiers, trading day effects, and Easter effects. Revisions between initia1 and fina seasonaIIy adjusted vaIues were computed. Ranked ANOVAs were used on various revision measures to...

We propose two new algorithms to go from any state-space model to an output equivalent and invertible Vector AutoRegressive Moving Average model with eXogenous regressors (VARMAX). As the literature shows how to do the inverse transformation, these results imply that both representations, statespace and VARMAX, are equally general and freely interchangeable. These algorithms are useful to solve...

This paper deals with the analysis of long range dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are examined based on the squared and the absolute values of the returns series, and the stability of the parameters across time i...