相关论文: Modelling multivariate volatilies via conditionall…

We present a "module-based hybrid" Uncertainty Quantification (UQ) framework for general nonlinear multi-physics simulation. The proposed methodology, introduced in [\hyperlink{ref1}{1}], supports the independent development of each…

Non-probabilistic convex model utilizes a convex set to quantify the uncertainty domain of uncertain-but-bounded parameters, which is very effective for structural uncertainty analysis with limited or poor-quality experimental data. To…

Uncertainty quantification based on generalized polynomial chaos has been used in many applications. It has also achieved great success in variation-aware design automation. However, almost all existing techniques assume that the parameters…

Most statistical process monitoring methods for multichannel profiles focus solely on the mean and are almost ineffective when changes involve the covariance structure. Although it is known to be crucial, covariance monitoring requires…

We discuss a general Bayesian framework on modeling multidimensional function-valued processes by using a Gaussian process or a heavy-tailed process as a prior, enabling us to handle nonseparable and/or nonstationary covariance structure.…

We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the…

Existing procedures for model validation have been deemed inadequate for many engineering systems. The reason of this inadequacy is due to the high degree of complexity of the mechanisms that govern these systems. It is proposed in this…

A weakly dependent time series regression model with multivariate covariates and univariate observations is considered, for which we develop a procedure to detect whether the nonparametric conditional mean function is stable in time against…

In this paper we consider a fractional stochastic volatility model, that is a model in which the volatility may exhibit a long-range dependent or a rough/antipersistent behavior. We propose a dynamic sequential Monte Carlo methodology that…

Complex computer codes are widely used in science to model physical systems. Sensitivity analysis aims to measure the contributions of the inputs on the code output variability. An efficient tool to perform such analysis are the…

This paper investigates adaptive model predictive control (MPC) for a class of constrained linear systems with unknown model parameters. This is also posed as the dual control problem consisting of system identification and regulation. We…

Predicting the behavior of complex systems in engineering often involves significant uncertainty about operating conditions, such as external loads, environmental effects, and manufacturing variability. As a result, uncertainty…

Varying coefficient models are useful in applications where the effect of the covariate might depend on some other covariate such as time or location. Various applications of these models often give rise to case-specific prior distributions…

In this note we analyze a model for a unidirectional unsteady flow of a viscous incompressible fluid with time dependent viscosity. A possible way to take into account such behaviour is to introduce a memory formalism, including thus the…

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a…

The discrete-time multifactor Vasi\v{c}ek model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an…

Over the last decade, nonparametric methods have gained increasing attention for modeling complex data structures due to their flexibility and minimal structural assumptions. In this paper, we study a general multivariate nonparametric…

In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential…

We introduce a class of copulas that we call Principal Component Copulas (PCCs). This class combines the strong points of copula-based techniques with principal component analysis (PCA), which results in flexibility when modelling tail…

Bayesian model comparison (BMC) offers a principled probabilistic approach to study and rank competing models. In standard BMC, we construct a discrete probability distribution over the set of possible models, conditional on the observed…