相关论文: Modelling multivariate volatilies via conditionall…

In the independent component model, the multivariate data is assumed to be a mixture of mutually independent latent components, and in independent component analysis (ICA) the aim is to estimate these latent components. In this paper we…

Given a set of inelastic material models, a microstructure, a macroscopic structural geometry, and a set of boundary conditions, one can in principle always solve the governing equations to determine the system's mechanical response.…

We present a data analysis pipeline for CMB polarization experiments, running from multi-frequency maps to the power spectra. We focus mainly on component separation and, for the first time, we work out the covariance matrix accounting for…

This paper introduces coordinate-independent methods for analysing multiscale dynamical systems using numerical techniques based on the transfer operator and its adjoint. In particular, we present a method for testing whether an arbitrary…

Copulas allow to learn marginal distributions separately from the multivariate dependence structure (copula) that links them together into a density function. Vine factorizations ease the learning of high-dimensional copulas by constructing…

Bayesian inference for inverse problems involves computing expectations under posterior distributions -- e.g., posterior means, variances, or predictive quantities -- typically via Monte Carlo (MC) estimation. When the quantity of interest…

Uncertainty quantification (UQ) is the process of systematically determining and characterizing the degree of confidence in computational model predictions. In the context of systems biology, especially with dynamic models, UQ is crucial…

The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with nonnegative support. A multivariate extension allows…

Model uncertainties and simulation uncertainties occur in mathematical modeling of multiscale complex systems, since some mechanisms or scales are not represented (i.e., "unresolved") due to lack in our understanding of these mechanisms or…

We compute probabilistic controlled invariant sets for nonlinear systems using Gaussian process state space models, which are data-driven models that account for unmodeled and unknown nonlinear dynamics. We propose a semidefinite…

In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases. We first prove the existence of a weakly dependent stationary approximation for our model…

We analyze the accuracy and sample complexity of variational Monte Carlo approaches to simulate the dynamics of many-body quantum systems classically. By systematically studying the relevant stochastic estimators, we are able to: (i) prove…

Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…

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…

This article explores various uncertain control co-design (UCCD) problem formulations. While previous work offers formulations that are method-dependent and limited to only a handful of uncertainties (often from one discipline), effective…

We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used tests do not keep the preassigned level and are inconsistent.…

We consider a multiscale approach based on immersed methods for the efficient computational modeling of tissues composed of an elastic matrix (in two or three-dimensions) and a thin vascular structure (treated as a co-dimension two…

In this paper, we present a robust and adaptive model predictive control (MPC) framework for uncertain nonlinear systems affected by bounded disturbances and unmodeled nonlinearities. We use Gaussian Processes (GPs) to learn the uncertain…

In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…

Latent world models allow agents to reason about complex environments with high-dimensional observations. However, adapting to new environments and effectively leveraging previous knowledge remain significant challenges. We present…