相关论文: Monitoring the Multivariate Coefficient of Variati…

Volt-var control (VVC) is the problem of operating power distribution systems within healthy regimes by controlling actuators in power systems. Existing works have mostly adopted the conventional routine of representing the power systems (a…

In this paper, we propose a variance reduction approach for Markov chains based on additive control variates and the minimization of an appropriate estimate for the asymptotic variance. We focus on the particular case when control variates…

We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, differentiability concepts for multivalued mappings, and a…

Statistical quality control methods are noteworthy to producing standard production in manufacturing processes. In this regard, there are many classical manners to control the process. Many of them have a global assumption around the…

We argue against the use of generally weighted moving average (GWMA) control charts. Our primary reasons are the following: 1) There is no recursive formula for the GWMA control chart statistic, so all previous data must be stored and used…

Risk forecasts drive trading constraints and capital allocation, yet losses are nonstationary and regime-dependent. This paper studies sequential one-sided VaR control via conformal calibration. I propose regime-weighted conformal risk…

In this paper we consider the statistics of repeated measurements on the output of a quantum Markov chain. We establish a large deviations result analogous to Sanov's theorem for the empirical measure associated to finite sequences of…

This paper presents a novel approach to stochastic volatility (SV) modeling by utilizing nonparametric techniques that enhance our ability to capture the volatility of financial time series data, with a particular emphasis on the…

We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated…

This paper is dedicated to the consistency of systemic risk measures with respect to stochastic dependence. It compares two alternative notions of Conditional Value-at-Risk (CoVaR) available in the current literature. These notions are both…

Zero-variance control variates (ZV-CV) are a post-processing method to reduce the variance of Monte Carlo estimators of expectations using the derivatives of the log target. Once the derivatives are available, the only additional…

We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our…

This paper presents a scheme to design a tracking controller for a class of uncertain nonlinear systems using a robust feedback linearization approach. The scheme is composed of two steps. In the first step, a linearized uncertainty model…

We devise a Monte Carlo based method for detecting whether a non-negative Markov chain is stable for a given set of parameter values. More precisely, for a given subset of the parameter space, we develop an algorithm that is capable of…

A key problem in constrained random verification (CRV) concerns generation of input stimuli that result in good coverage of the system's runs in targeted corners of its behavior space. Existing CRV solutions however provide no formal…

In this paper we present a new approach to control variates for improving computational efficiency of Ensemble Monte Carlo. We present the approach using simulation of paths of a time-dependent nonlinear stochastic equation. The core idea…

The monitoring of serially independent or autocorrelated count processes is considered, having a Poisson or (negative) binomial marginal distribution under in-control conditions. Utilizing the corresponding Stein identities, exponentially…

We show that the steady-state variance as a performance measure for a class of networked linear control systems is expressible as the summation of a rational function over the Laplacian eigenvalues of the network graph. Moreover, we…

The lack of large video databases obtained from real patients with respiratory disorders makes the design and optimization of video-based monitoring systems quite critical. The purpose of this study is the development of suitable models and…

The classic N p chart gives a signal if the number of successes in a sequence of inde- pendent binary variables exceeds a control limit. Motivated by engineering applications in industrial image processing and, to some extent, financial…