10,501 research outputs found
The Bivariate Normal Copula
We collect well known and less known facts about the bivariate normal
distribution and translate them into copula language. In addition, we prove a
very general formula for the bivariate normal copula, we compute Gini's gamma,
and we provide improved bounds and approximations on the diagonal.Comment: 24 page
A New Approach To Estimate The Collision Probability For Automotive Applications
We revisit the computation of probability of collision in the context of
automotive collision avoidance (the estimation of a potential collision is also
referred to as conflict detection in other contexts). After reviewing existing
approaches to the definition and computation of a collision probability we
argue that the question "What is the probability of collision within the next
three seconds?" can be answered on the basis of a collision probability rate.
Using results on level crossings for vector stochastic processes we derive a
general expression for the upper bound of the distribution of the collision
probability rate. This expression is valid for arbitrary prediction models
including process noise. We demonstrate in several examples that distributions
obtained by large-scale Monte-Carlo simulations obey this bound and in many
cases approximately saturate the bound. We derive an approximation for the
distribution of the collision probability rate that can be computed on an
embedded platform. In order to efficiently sample this probability rate
distribution for determination of its characteristic shape an adaptive method
to obtain the sampling points is proposed. An upper bound of the probability of
collision is then obtained by one-dimensional numerical integration over the
time period of interest. A straightforward application of this method applies
to the collision of an extended object with a second point-like object. Using
an abstraction of the second object by salient points of its boundary we
propose an application of this method to two extended objects with arbitrary
orientation. Finally, the distribution of the collision probability rate is
identified as the distribution of the time-to-collision.Comment: Revised and restructured version, discussion of extended vehicles
expanded, section on TTC expanded, references added, other minor changes, 17
pages, 18 figure
Fast and Accurate Calculation of Owen's T Function
See paper for mathematical introduction.
Nonlinear spectral analysis: A local Gaussian approach
The spectral distribution of a stationary time series
can be used to investigate whether or not periodic
structures are present in , but has some
limitations due to its dependence on the autocovariances . For
example, can not distinguish white i.i.d. noise from GARCH-type
models (whose terms are dependent, but uncorrelated), which implies that
can be an inadequate tool when contains
asymmetries and nonlinear dependencies.
Asymmetries between the upper and lower tails of a time series can be
investigated by means of the local Gaussian autocorrelations introduced in
Tj{\o}stheim and Hufthammer (2013), and these local measures of dependence can
be used to construct the local Gaussian spectral density presented in this
paper. A key feature of the new local spectral density is that it coincides
with for Gaussian time series, which implies that it can be used to
detect non-Gaussian traits in the time series under investigation. In
particular, if is flat, then peaks and troughs of the new local
spectral density can indicate nonlinear traits, which potentially might
discover local periodic phenomena that remain undetected in an ordinary
spectral analysis.Comment: Version 4: Major revision from version 3, with new theory/figures.
135 pages (main part 32 + appendices 103), 11 + 16 figure
Gaussian Process Conditional Copulas with Applications to Financial Time Series
The estimation of dependencies between multiple variables is a central
problem in the analysis of financial time series. A common approach is to
express these dependencies in terms of a copula function. Typically the copula
function is assumed to be constant but this may be inaccurate when there are
covariates that could have a large influence on the dependence structure of the
data. To account for this, a Bayesian framework for the estimation of
conditional copulas is proposed. In this framework the parameters of a copula
are non-linearly related to some arbitrary conditioning variables. We evaluate
the ability of our method to predict time-varying dependencies on several
equities and currencies and observe consistent performance gains compared to
static copula models and other time-varying copula methods
Particle Efficient Importance Sampling
The efficient importance sampling (EIS) method is a general principle for the
numerical evaluation of high-dimensional integrals that uses the sequential
structure of target integrands to build variance minimising importance
samplers. Despite a number of successful applications in high dimensions, it is
well known that importance sampling strategies are subject to an exponential
growth in variance as the dimension of the integration increases. We solve this
problem by recognising that the EIS framework has an offline sequential Monte
Carlo interpretation. The particle EIS method is based on non-standard
resampling weights that take into account the look-ahead construction of the
importance sampler. We apply the method for a range of univariate and bivariate
stochastic volatility specifications. We also develop a new application of the
EIS approach to state space models with Student's t state innovations. Our
results show that the particle EIS method strongly outperforms both the
standard EIS method and particle filters for likelihood evaluation in high
dimensions. Moreover, the ratio between the variances of the particle EIS and
particle filter methods remains stable as the time series dimension increases.
We illustrate the efficiency of the method for Bayesian inference using the
particle marginal Metropolis-Hastings and importance sampling squared
algorithms
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