Search Results - subject:"Gaussian Process"

Bayesian Selection of Systemic Risk Networks

Felix Ahelegbey, Daniel; Giudici, Paolo - In: Bayesian model comparison, (pp. 117-153). 2014

The latest financial crisis has stressed the need of understanding the world financial system as a network of interconnected institutions, where financial linkages play a fundamental role in the spread of systemic risks. In this paper we propose to enrich the topological perspective of network...

Persistent link: https://www.econbiz.de/10015369549

Exponential Smoothing for Forecasting and Bayesian Validation of Computer Models

Wang, Shuchun - 2006

Despite their success and widespread usage in industry and business, ES methods have received little attention from the statistical community. We investigate three types of statistical models that have been found to underpin ES methods. They are ARIMA models, state space models with multiple...

Persistent link: https://www.econbiz.de/10009475950

Computer experiments: design, modeling and integration

Qian, Zhiguang - 2006

The use of computer modeling is fast increasing in almost everyscientific, engineering and business arena. This dissertationinvestigates some challenging issues in design, modeling andanalysis of computer experiments, which will consist of four majorparts. In the first part, a new approach is...

Persistent link: https://www.econbiz.de/10009476038

Testing for stochastic monotonicity

Lee, Sokbae; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2006

We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution is Gumbel. The proof is difficult because the approximating Gaussian...

Persistent link: https://www.econbiz.de/10010745504

TESTING FOR STOCHASTICMONOTONICITY

Lee, Sokbae; Linton, Oliver; Whang, Yoon-Jae - Suntory and Toyota International Centres for Economics … - 2006

; Gaussian Process; Monotonicity. JEL Nos.: C14, C15. © The authors … knowledge, there is no known result regarding our case. 3.1 Gaussian Process Approximation As noted in the previous section, it … maximum of a zero-mean Gaussian process that has the same covariance function as n(u;s). To do so, let (u;s) denote a …

Persistent link: https://www.econbiz.de/10005797506

A Gaussian mixture copula model based localized Gaussian process regression approach for long-term wind speed prediction

Yu, Jie; Chen, Kuilin; Mori, Junichi; Rashid, Mudassir M. - In: Energy 61 (2013) C, pp. 673-686

integrating GMCM (Gaussian mixture copula model) and localized GPR (Gaussian process regression). The time series of wind speed is … localized Gaussian process regression models corresponding to different non-Gaussian components are built to characterize the …

Persistent link: https://www.econbiz.de/10010811874

Distribution of maximum loss of fractional Brownian motion with drift

Caglar, Mine; Vardar-Acar, Ceren - In: Statistics & Probability Letters 83 (2013) 12, pp. 2729-2734

In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H≥1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0,t] behaves like the tail of the marginal distribution at time t.

Persistent link: https://www.econbiz.de/10011040130

Multidimensional p–p plots and precedence tests for point processes on ℜd

Jordan, Adriana; Ivanoff, B. Gail - In: Journal of Multivariate Analysis 115 (2013) C, pp. 122-137

Given two univariate distributions F and G, the hypothesis that F=G can be tested against the alternative that FG using a precedence test statistic, or more generally the procentile–procentile plot of G against F. In this paper we propose a d-dimensional generalization of the p–p plot that...

Persistent link: https://www.econbiz.de/10011041910

ANOVA kernels and RKHS of zero mean functions for model-based sensitivity analysis

Durrande, N.; Ginsbourger, D.; Roustant, O.; Carraro, L. - In: Journal of Multivariate Analysis 115 (2013) C, pp. 57-67

Given a reproducing kernel Hilbert space (H,〈.,.〉) of real-valued functions and a suitable measure μ over the source space D⊂R, we decompose H as the sum of a subspace of centered functions for μ and its orthogonal in H. This decomposition leads to a special case of ANOVA kernels, for...

Persistent link: https://www.econbiz.de/10011042066

Simultaneous kriging-based estimation and optimization of mean response

Janusevskis, Janis; Riche, Rodolphe Le - In: Journal of Global Optimization 55 (2013) 2, pp. 313-336

kriging (Gaussian process regression) model of the simulator is built and a mean process is analytically derived from it. The …

Persistent link: https://www.econbiz.de/10010994109