相关论文: Modelling multivariate volatilies via conditionall…

Fabrication process variations are a major source of yield degradation in the nano-scale design of integrated circuits (IC), microelectromechanical systems (MEMS) and photonic circuits. Stochastic spectral methods are a promising technique…

Open quantum systems host a wide range of intriguing phenomena, yet their simulation on well-controlled quantum devices is challenging, owing to the exponential growth of the Hilbert space and the inherently non-unitary nature of the…

Lattice systems and discrete networks with dissipative interactions are successfully employed as meso-scale models of heterogeneous solids. As the application scale generally is much larger than that of the discrete links, physically…

We consider an equivariant approach imposing data-driven bounds for the variances to avoid singular and spurious solutions in maximum likelihood (ML) estimation of clusterwise linear regression models. We investigate its use in the choice…

Dynamic Uncertain Causality Graph(DUCG) is a recently proposed model for diagnoses of complex systems. It performs well for industry system such as nuclear power plants, chemical system and spacecrafts. However, the variable state…

We propose an approach for learning the causal structure in stochastic dynamical systems with a $1$-step functional dependency in the presence of latent variables. We propose an information-theoretic approach that allows us to recover the…

Motivated by recent work studying massive imaging data in the neuroimaging literature, we propose multivariate varying coefficient models (MVCM) for modeling the relation between multiple functional responses and a set of covariates. We…

In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…

The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…

Optimization models have been broadly used within side the energy industry as useful decision-making systems for scheduling and dispatching electric powered energy resources; this is applied in a system called unit commitment (UC). Unit…

This paper investigates the problem of designing data-driven stochastic Model Predictive Control (MPC) for linear time-invariant systems under additive stochastic disturbance, whose probability distribution is unknown but can be partially…

This work considers the optimal covariance steering problem for systems subject to both additive noise and uncertain parameters which may enter multiplicatively with the state and the control. The unknown parameters are modeled as a…

The partial copula provides a method for describing the dependence between two random variables $X$ and $Y$ conditional on a third random vector $Z$ in terms of nonparametric residuals $U_1$ and $U_2$. This paper develops a nonparametric…

This paper proposes a new approach to estimating the distribution of a response variable conditioned on observing some factors. The proposed approach possesses desirable properties of flexibility, interpretability, tractability and…

A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation…

Seemingly unrelated linear regression models are introduced in which the distribution of the errors is a finite mixture of Gaussian components. Identifiability conditions are provided. The score vector and the Hessian matrix are derived.…

Missing covariate data commonly occur in epidemiological and clinical research, and are often dealt with using multiple imputation (MI). Imputation of partially observed covariates is complicated if the substantive model is non-linear (e.g.…

A robust adaptive model predictive control (MPC) algorithm is presented for linear, time invariant systems with unknown dynamics and subject to bounded measurement noise. The system is characterized by an impulse response model, which is…

Graphical models can represent a multivariate distribution in a convenient and accessible form as a graph. Causal models can be viewed as a special class of graphical models that not only represent the distribution of the observed system…

We show that the stochastic independence of real-valued random variables is equivalent to the conditional uncorrelation, where the conditioning takes place over the Cartesian products of intervals. Next, we express the mutual independence…