Impact of anisotropy and fracture density on the approximation of the effective permeability of a fractured rock mass using 2D models

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Probabilistic Structural Analysis Methods for select space propulsion system components (PSAM). Volume 3: Literature surveys and technical reports

The technical effort and computer code developed during the first year are summarized. Several formulations for Probabilistic Finite Element Analysis (PFEA) are described with emphasis on the selected formulation. The strategies being implemented in the first-version computer code to perform linear, elastic PFEA is described. The results of a series of select Space Shuttle Main Engine (SSME) component surveys are presented. These results identify the critical components and provide the information necessary for probabilistic structural analysis

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator analytically, and derive remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return distribution, implemented by an asymmetric version of the Pearson type VII distribution for random innovations. By providing a method of moments for its parameter estimation and a connection to the Student-t distribution we offer the framework for a factor-based VaR approach. The approximation quality of the non-stationary model is supported by simulation studies. --heteroscedastic asset returns,non-stationarity,nonparametric regression,volatility,innovation modelling,asymmetric heavy-tails,distributional forecast,Value at Risk (VaR)