Empirical and Simulated Adjustments of Composite Likelihood Ratio Statistics

Composite likelihood inference has gained much popularity thanks to its computational manageability and its theoretical properties. Unfortunately, performing composite likelihood ratio tests is inconvenient because of their awkward asymptotic distribution. There are many proposals for adjusting composite likelihood ratio tests in order to recover an asymptotic chi square distribution, but they all depend on the sensitivity and variability matrices. The same is true for Wald-type and score-type counterparts. In realistic applications sensitivity and variability matrices usually need to be estimated, but there are no comparisons of the performance of composite likelihood based statistics in such an instance. A comparison of the accuracy of inference based on the statistics considering two methods typically employed for estimation of sensitivity and variability matrices, namely an empirical method that exploits independent observations, and Monte Carlo simulation, is performed. The results in two examples involving the pairwise likelihood show that a very large number of independent observations should be available in order to obtain accurate coverages using empirical estimation, while limited simulation from the full model provides accurate results regardless of the availability of independent observations.Comment: 15 page

Probabilistic load flow in systems with high wind power penetration

This paper proposes a method for solving a probabilistic load flows that takes into account the uncertainties of wind generation, but also of load and conventional systems. The method uses a combination of methods including cumulant, point estimate and convolution. Cornish Fisher expansion series are also used to find the CDF. The method is of especial application to estimate active power flows through lines

Fast, non-monte-carlo estimation of transient performance variation due to device mismatch

This paper describes an efficient way of simulating the effects of device random mismatch on circuit transient characteristics, such as variations in delay or in frequency. The proposed method models DC random offsets as equivalent AC pseudo-noises and leverages the fast, linear periodically time-varying (LPTV) noise analysis available from RF circuit simulators. Therefore, the method can be considered as an extension to DC match analysis and offers a large speed-up compared to the traditional Monte-Carlo analysis. Although the assumed linear perturbation model is valid only for small variations, it enables easy ways to estimate correlations among variations and identify the most sensitive design parameters to mismatch, all at no additional simulation cost. Three benchmarks measuring the variations in the input offset voltage of a clocked comparator, the delay of a logic path, and the frequency of an oscillator demonstrate the speed improvement of about 100-1000x compared to a 1000-point Monte-Carlo method

Monte Carlo Estimation of the Density of the Sum of Dependent Random Variables

We study an unbiased estimator for the density of a sum of random variables that are simulated from a computer model. A numerical study on examples with copula dependence is conducted where the proposed estimator performs favourably in terms of variance compared to other unbiased estimators. We provide applications and extensions to the estimation of marginal densities in Bayesian statistics and to the estimation of the density of sums of random variables under Gaussian copula dependence

Measurement of the B-Meson Inclusive Semileptonic Branching Fraction and Electron-Energy Moments

We report a new measurement of the B-meson semileptonic decay momentum spectrum that has been made with a sample of 9.4/fb of electron-positron annihilation data collected with the CLEO II detector at the Y(4S) resonance. Electrons from primary semileptonic decays and secondary charm decays were separated by using charge and angular correlations in Y(4S) events with a high-momentum lepton and an additional electron. We determined the semileptonic branching fraction to be (10.91 +- 0.09 +- 0.24)% from the normalization of the electron-energy spectrum. We also measured the moments of the electron energy spectrum with minimum energies from 0.6 GeV to 1.5 GeV.Comment: 36 pages postscript, als available through http://w4.lns.cornell.edu/public/CLNS/, Submitted to PRD (back-to-back with preceding preprint hep-ex/0403052

Efficient method for probabilistic fire safety engineering

A growing interest exists within the fire safety community for the topics of risk and reliability. However, due to the high computational requirements of most calculation models, traditional Monte Carlo methods are in general too time consuming for practical applications. In this paper a computationally very efficient methodology is for the first time applied to structural fire safety. The methodology allows estimating the probability density function which describes the uncertain response of the fire exposed structure or structural member, while requiring only a very limited number of model evaluations. The application of the method to structural fire safety is illustrated by two examples in the area of concrete elements exposed to fire

Heterogeneous Basket Options Pricing Using Analytical Approximations

This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. We examine the performance of three moment matching approximations: inverse gamma, Edgeworth expansion around the lognormal and Johnson family distributions. Since there is no closed-form formula for basket options, we carry out Monte Carlo simulations to generate the benchmark values. We perfom a simulation experiment on a whole set of options based on a random choice of parameters. Our results show that the lognormal and Johnson distributions give the most accurate results.Basket Options, Options Pricing, Analytical Approximations, Monte Carlo Simulation