Search Results - subject:"covariance function"

Some Results for Extreme Value Processes in Analogy to the Gaussian Spectral Representation

Ehlert, Andree; Schlather, Martin - 2010

The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type. In particular, the reconstruction of valid processes...

Persistent link: https://www.econbiz.de/10010329892

A Constructive Proof for the Extremal Coefficient of a Dissipative Max-Stable Process on Z being a Set Covariance

Ehlert, Andree; Schlather, Martin - 2010

Persistent link: https://www.econbiz.de/10010329980

A Constructive Proof for the Extremal Coefficient of a Dissipative Max-Stable Process on Z being a Set Covariance

Ehlert, Andree; Schlather, Martin - Courant Research Centre PEG - 2010

Persistent link: https://www.econbiz.de/10008465172

Some Results for Extreme Value Processes in Analogy to the Gaussian Spectral Representation

Ehlert, Andree; Schlather, Martin - Courant Research Centre PEG - 2010

Persistent link: https://www.econbiz.de/10008465173

Some results for extreme value processes in analogy to the Gaussian spectral representation

Ehlert, Andree; Schlather, Martin - 2010

Persistent link: https://www.econbiz.de/10010336338

A constructive proof for the extremal coefficient of a dissipative max-stable process on Z being a set covariance

Ehlert, Andree; Schlather, Martin - 2010

Persistent link: https://www.econbiz.de/10010337314

Testing for independence between functional time series

Horváth, Lajos; Rice, Gregory - In: Journal of econometrics 189 (2015) 2, pp. 371-382

Persistent link: https://www.econbiz.de/10011504560

Matérn-based nonstationary cross-covariance models for global processes

Jun, Mikyoung - In: Journal of Multivariate Analysis 128 (2014) C, pp. 134-146

Many spatial processes in environmental applications, such as climate variables and climate model errors on a global scale, exhibit complex nonstationary dependence structure, in not only their marginal covariance but also their cross-covariance. Flexible cross-covariance models for processes on...

Persistent link: https://www.econbiz.de/10010776640

Mathematical framework for pseudo-spectra of linear stochastic difference equations

Bujosa, Marcos; Brun, Andrés Bujosa; García-Ferrer, … - Facultad de Ciencias Económicas y Empresariales, … - 2013

, extend the Discrete Time Fourier Transform and defined a new Extended Fourier Transform pair pseudo-covariance function …/pseudo-spectrum. Our approach is a proper extension of the classical spectral analysis, within which the Fourier Transform pair auto-covariance … function/spectrum is a particular case. Consequently spectrum and pseudo-spectrum coincide when the first one is defined. …

Persistent link: https://www.econbiz.de/10011085404

Examples of inconsistency in optimization by expected improvement

Yarotsky, Dmitry - In: Journal of Global Optimization 56 (2013) 4, pp. 1773-1790

We consider the 1D Expected Improvement optimization based on Gaussian processes having spectral densities converging to zero faster than exponentially. We give examples of problems where the optimization trajectory is not dense in the design space. In particular, we prove that for Gaussian...

Persistent link: https://www.econbiz.de/10010896418