Results 31 to 40 of about 8,781 (261)

Assessing Asymptotic Tail Independence: A Simulation Study

Engineering Proceedings
The occurrence of extreme values in one variable can trigger the same in other variables, making it necessary to assess the risk of contagion. The usual dependence measures based on the central part of the data typically fail to assess extreme dependence.
Marta Ferreira
doaj   +1 more source

Maximum likelihood estimation in the non-ergodic fractional Vasicek model

Modern Stochastics: Theory and Applications, 2019
We investigate the fractional Vasicek model described by the stochastic differential equation $d{X_{t}}=(\alpha -\beta {X_{t}})\hspace{0.1667em}dt+\gamma \hspace{0.1667em}d{B_{t}^{H}}$, ${X_{0}}={x_{0}}$, driven by the fractional Brownian motion ${B^{H}}$
Stanislav Lohvinenko, Kostiantyn Ralchenko   +1 more
doaj   +1 more source

Asymptotic independence for unimodal densities [PDF]

Advances in Applied Probability, 2010
Asymptotic independence of the components of random vectors is a concept used in many applications. The standard criteria for checking asymptotic independence are given in terms of distribution functions (DFs). DFs are rarely available in an explicit form, especially in the multivariate case. Often we are given the form of the density or, via the shape
Balkema, G., Nolde, N.
openaire   +5 more sources

Asymptotic Formulas for the Haezendonck–Goovaerts Risk Measure of Sums with Consistently Varying Increments

Axioms
The Haezendonck–Goovaerts (HG) risk measure defined on Orlicz spaces via the so-called normalised Young function is a direct generalisation of the Expected Shortfall risk measure.
Jonas Šiaulys, Mantas Dirma, Neda Nakliuda, Luca Zanardelli   +3 more
doaj   +1 more source

Asymptotic Behavior of Ruin Probabilities in an Insurance Risk Model with Quasi-Asymptotically Independent or Bivariate Regularly Varying-Tailed Main Claim and By-Claim

Complexity, 2019
This paper considers a by-claim risk model under the asymptotical independence or asymptotical dependence structure between each main claim and its by-claim.
Yang Yang, Xinzhi Wang, Xiaonan Su, Aili Zhang   +3 more
doaj   +1 more source

Optimizing photoexcitation conditions for time‐resolved X‐ray solution scattering experiments

FEBS Open Bio, EarlyView.
Time‐resolved X‐ray solution scattering (TR‐XSS) is a powerful technique to visualize how proteins change their structure in real time after light activation. Selecting the right laser photoexcitation conditions—fluence, excitation geometry, and sample refresh rate—is critical to maximize the experimental signal while avoiding unwanted side effects ...
Matteo Levantino
wiley   +1 more source

Wavelet Density and Regression Estimators for Functional Stationary and Ergodic Data: Discrete Time

Mathematics, 2022
The nonparametric estimation of density and regression function based on functional stationary processes using wavelet bases for Hilbert spaces of functions is investigated in this paper. The mean integrated square error over adapted decomposition spaces
Sultana DIDI, Ahoud AL HARBY, Salim BOUZEBDA   +2 more
doaj   +1 more source

A Q‐Learning Algorithm to Solve the Two‐Player Zero‐Sum Game Problem for Nonlinear Systems

International Journal of Adaptive Control and Signal Processing, Volume 39, Issue 3, Page 566-581, March 2025.
A Q‐learning algorithm to solve the two‐player zero‐sum game problem for nonlinear systems. ABSTRACT This paper deals with the two‐player zero‐sum game problem, which is a bounded L2$$ {L}_2 $$‐gain robust control problem. Finding an analytical solution to the complex Hamilton‐Jacobi‐Issacs (HJI) equation is a challenging task.
Afreen Islam, Anthony Siming Chen, Guido Herrmann   +2 more
wiley   +1 more source

A Workflow to Accelerate Microstructure‐Sensitive Fatigue Life Predictions

Advanced Engineering Materials, EarlyView.
This study introduces a workflow to accelerate predictions of microstructure‐sensitive fatigue life. Results from frameworks with varying levels of simplification are benchmarked against published reference results. The analysis reveals a trade‐off between accuracy and model complexity, offering researchers a practical guide for selecting the optimal ...
Luca Loiodice, Krzysztof S. Stopka, Michael D. Sangid   +2 more
wiley   +1 more source

A novel heuristic for the analysis of block sign LMS algorithm

Electronics Letters, 2023
This paper presents a new heuristic for the analysis of adaptive filtering algorithms. It combines Price's Theorem (which is strictly valid when the random variables are jointly Gaussian) with a probabilistic model of the input data that assumes ...
Newton Norat Siqueira, Mariane Rembold Petraglia, Diego Barreto Haddad   +2 more
doaj   +1 more source