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We propose a robust data-driven output feedback control algorithm that explicitly incorporates inherent finite-sample model estimate uncertainties into the control design. The algorithm has three components: (1) a subspace identification…
Stability of ultra-low-voltage SRAM bitcells in retention mode is threatened by two types of uncertainty: process variability and intrinsic noise. While variability dominates the failure probability, noise-induced bit flips in weakened…
This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate It\^o semimartingales, in high-frequency and noisy setting. Pre-averaging and truncation enable simultaneous handling of noise and…
This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the realized kernels (RK) from [Barndorff-Nielsen et al., 2008] and…
We propose a method for variable selection in the intensity function of spatial point processes that combines sparsity-promoting estimation with noise-robust model selection. As high-resolution spatial data becomes increasingly available…
Simulations are becoming ever more common as a tool for designing complex products. Sensitivity analysis techniques can be applied to these simulations to gain insight, or to reduce the complexity of the problem at hand. However, these…
Reliable state estimation depends on accurately modeled noise covariances, which are difficult to determine in practice. This paper formulates the noise covariance estimation as a bilevel optimization problem that factorizes the joint…
Individual-level state-transition microsimulations (iSTMs) have proliferated for economic evaluations in place of cohort state transition models (cSTMs). Probabilistic economic evaluations quantify decision uncertainty and value of…
Reliable state estimation hinges on accurate specification of sensor noise covariances, which weigh heterogeneous measurements. In practice, these covariances are difficult to identify due to environmental variability, front-end…
Functionally graded materials (FGMs) are two-phase composites with continuously changing microstructure adapted to performance requirements. Traditionally, the overall behavior of FGMs has been determined using local averaging techniques or…
In mixture experiments with noise variables or process variables that can not be controlled, investigate and try to control the variability of the response variable is very important for quality improvement in industrial processes. Thus,…
In this paper, we build tests for the presence of residual noise in a model where the market microstructure noise is a known parametric function of some variables from the limit order book. The tests compare two distinct quasi-maximum…
This paper explores the nonparametric estimation of the volatility component in a heteroscedastic scalar-on-function regression model, where the underlying discrete-time process is ergodic and subject to a missing-at-random mechanism. We…
We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have very rough sample paths. The main results obtained in…
Estimating the strength of dependency between two variables is fundamental for exploratory analysis and many other applications in data mining. For example: non-linear dependencies between two continuous variables can be explored with the…
We develop the \textit{a posteriori} error analysis of three mixed finite element formulations for rotation-based equations in elasticity, poroelasticity, and interfacial elasticity-poroelasticity. The discretisations use $H^1$-conforming…
We present a systematic study of moment evolution in multidimensional stochastic difference systems, focusing on characterizing systems whose low-order moments diverge in the neighborhood of a stable fixed point. We consider systems with a…
Neurons in the nervous system are submitted to distinct sources of noise, such as ionic-channel and synaptic noise, which introduces variability in their responses to repeated presentations of identical stimuli. This motivates the use of…
In this paper, we develop a method to model and estimate several, _dependent_ count processes, using granular data. Specifically, we develop a multivariate Cox process with shot noise intensities to jointly model the arrival process of…
We obtained a semi-analytical treatment obtaining estimators for the sample variance and variance of sample variance for the RTS noise. Our method suggests a way to experimentally determine the constants of capture and emission in the case…