Maximum Likelihood Estimation of Hidden Markov Model Parameters, with Application to Medical Image Segmentation

We address the problem of a non-supervised bidimensional segmentation method based upon a discrete-level unilateral Markov field model for the labels and conditionaly Gaussian densities for the observed voxels. Such models have been shown to yield numerically efficient algorithms, for segmentation and for estimation of the model parameters as well. Our contribution is twofold. First, we deal with the degeneracy of the likelihood function with respect to the parameters of the Gaussian densities, which is a well-known problem for such mixture models. We introduce a bounded penalized likelihood function that has been recently shown to provide a consistent estimator in the simpler cases of independent Gaussian mixtures. On the other hand, implementation with EM reestimation formulas remains possible with only limited changes with respect to the standard case. Second, we propose a telegraphic parameterization of the unilateral Markov field. On a theoretical level, this parameterization ensures that some important properties of the field (e.g., stationarity) do hold. On a practical level, it reduces the computational complexity of the algorithm used in the segmentation and parameter estimation stages of the procedure. In addition, it decreases the number of model parameters that must be estimated, thereby improving convergence speed and accuracy of the corresponding estimation

Unsupervised image segmentation using a telegraph parameterization of Pickard random fields

Andrea Ridolfi

This communication presents a nonsupervised three-dimensional segmentation method based upon a discrete-level unilateral Markov field model for the labels and conditionally Gaussian densities for the observed voxels. Such models have been shown to yield numerically efficient algorithms, for segmentation and for estimation of the model parameters as well. Our contribution is twofold. First, we deal with the degeneracy of the likelihood function with respect to the parameters of the Gaussian densities, which is a well-known problem for such mixture models. We introduce a bounded penalized likelihood function that has been recently shown to provide a consistent estimator in the simpler cases of independent Gaussian mixtures. On the other hand, implementation with EM reestimation formulas remains possible with only limited changes with respect to the standard case. Second, we propose a telegraphic parametrization of the unilateral Markov field. On a theoretical level, this parametrization ensures that some important properties of the field (e.g., stationarity) do hold. On a practical level, it reduces the computational complexity of the algorithm used in the segmentation and parameter estimation stages of the procedure. In addition, it decreases the number of model parameters that must be estimated, thereby improving convergence speed and accuracy of the corresponding estimation method.

Springer Verlag2001

Penalized Maximum Likelihood Estimation for Normal Mixture Distributions

Andrea Ridolfi

Mixture models form the essential basis of data clustering within a statistical framework. Here, the estimation of the parameters of a mixture of Gaussian densities is considered. In this particular context, it is well known that the maximum likelihood approach is statistically ill posed, i.e. the likelihood function is not bounded above, because of singularities at the boundary of the parameter domain. We show that such a degeneracy can be avoided by penalizing the likelihood function using a suited type of penalty function. Recently, the resulting penalized maximum likelihood estimator has been proved to be asymptotically well-behaved. Local maximization of the likelihood function can be performed by mean of Green's modified EM algorithm: provided that an inverse gamma is chosen as penalty function, EM re-estimation equations are still explicit and automatically ensure that the estimates are not singular. Numerical examples are provided in the finite data case, showing the performances of the penalized estimator compared to the standard one. Our penalized approach is also compared to a constrained approach, which, up to the authors knowledge, represents the only alternate solution to likelihood degeneracy. Our contribution mainly addresses the case of an independent, identically distributed mixture of Gaussian densities, but the more general case of dependent classes is also tackled, with a particular reference to the important case of hidden Markov models.

2003

Les mathématiques financières robustes, le maritime et les FFA

Jérôme Reboulleau

Powerful mathematical tools have been developed for trading in stocks and bonds, but other markets that are equally important for the globalized world have to some extent been neglected. We decided to study the shipping market as an new area of development in mathematical finance. The market in shipping derivatives (FFA and FOSVA) has only been developed after 2000 and now exhibits impressive growth. Financial actors have entered the field, but it is still largely undiscovered by institutional investors. The first part of the work was to identify the characteristics of the market in shipping, i.e. the segmentation and the volatility. Because the shipping business is old-fashioned, even the leading actors on the world stage (ship owners and banks) are using macro-economic models to forecast the rates. If the macro-economic models are logical and make sense, they fail to predict. For example, the factor port congestion has been much cited during the last few years, but it is clearly very difficult to control and is simply an indicator of traffic. From our own experience it appears that most ship owners are in fact market driven and rather bad at anticipating trends. Due to their ability to capture large moves, we chose to consider Lévy processes for the underlying price process. Compared with the macro-economic approach, the main advantage is the uniform and systematic structure this imposed on the models. We get in each case a favorable result for our technology and a gain in forecasting accuracy of around 10% depending on the maturity. The global distribution is more effectively modelled and the tails of the distribution are particularly well represented. This model can be used to forecast the market but also to evaluate the risk, for example, by computing the VaR. An important limitation is the non-robustness in the estimation of the Lévy processes. The use of robust estimators reinforces the information obtained from the observed data. Because maximum likelihood estimation is not easy to compute with complex processes, we only consider some very general robust score functions to manage the technical problems. Two new class of robust estimators are suggested. These are based on the work of F. Hampel ([29]) and P. Huber ([30]) using influence functions. The main idea is to bound the maximum likelihood score function. By doing this a bias is created in the parameters estimation, which can be corrected by using a modification of the following type and as proposed by F. Hampel. The procedure for finding a robust estimating equation is thus decomposed into two consecutive steps : Subtract the bias correction and then Bound the score function. In the case of complex Lévy processes, the bias correction is difficult to compute and generally unknown. We have developed a pragmatic solution by inverting the Hampel's procedure. Bound the score function and then Correct for the bias. The price is a loss of the theoretical properties of our estimators, besides the procedure converges to maximum likelihood estimate. A second solution to for achieving robust estimation is presented. It considers the limiting case when the upper and lower bounds tend to zero and leads to B-robust estimators. Because of the complexity of the Lévy distributions, this leads to identification problems.

EPFL2008

Les mathématiques financières robustes, le maritime et les FFA

Jérôme Reboulleau

EPFL2008