Towards deterministic subspace identification for autonomous nonlinear systems

The problem of identifying deterministic autonomous linear and nonlinear systems is studied. A specific version of the theory of deterministic subspace identification for discrete-time autonomous linear systems is developed in continuous time. By combining the subspace approach to linear identification and the differential-geometric approach to nonlinear control systems, a novel identification framework for continuous-time autonomous nonlinear systems is developed

Dimension estimation for autonomous nonlinear systems

The problem of estimating the dimension of the state-space of an autonomous nonlinear system is considered. Assuming that sampled measurements of the output and finitely many of its time derivatives are available, an exhaustive search algorithm able to retrieve the dimension of the minimal state-space realization is proposed. The performance of the algorithm are evaluated on specific nonlinear systems

Extreme Dependence Models

Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these events is of fundamental importance. For this purpose, probabilistic models and statistical methods are in high demand. There are several approaches to modelling multivariate extremes as described in Falk et al. (2011), linked to some extent. We describe an approach for deriving multivariate extreme value models and we illustrate the main features of some flexible extremal dependence models. We compare them by showing their utility with a real data application, in particular analyzing the extremal dependence among several pollutants recorded in the city of Leeds, UK.Comment: To appear in Extreme Value Modelling and Risk Analysis: Methods and Applications. Eds. D. Dey and J. Yan. Chapman & Hall/CRC Pres

On Multivariate Records from Random Vectors with Independent Components

Let $\boldsymbol{X}_1,\boldsymbol{X}_2,\dots$ be independent copies of a random vector $\boldsymbol{X}$ with values in $\mathbb{R}^d$ and with a continuous distribution function. The random vector $\boldsymbol{X}_n$ is a complete record, if each of its components is a record. As we require $\boldsymbol{X}$ to have independent components, crucial results for univariate records clearly carry over. But there are substantial differences as well: While there are infinitely many records in case $d=1$, there occur only finitely many in the series if $d\geq 2$. Consequently, there is a terminal complete record with probability one. We compute the distribution of the random total number of complete records and investigate the distribution of the terminal record. For complete records, the sequence of waiting times forms a Markov chain, but differently from the univariate case, now the state infinity is an absorbing element of the state space

Some Results on Joint Record Events

Let $X_1,X_2,\dots$ be independent and identically distributed random variables on the real line with a joint continuous distribution function $F$. The stochastic behavior of the sequence of subsequent records is well known. Alternatively to that, we investigate the stochastic behavior of arbitrary $X_j,X_k,j<k$, under the condition that they are records, without knowing their orders in the sequence of records. The results are completely different. In particular it turns out that the distribution of $X_k$, being a record, is not affected by the additional knowledge that $X_j$ is a record as well. On the contrary, the distribution of $X_j$, being a record, is affected by the additional knowledge that $X_k$ is a record as well. If $F$ has a density, then the gain of this additional information, measured by the corresponding Kullback-Leibler distance, is $j/k$, independent of $F$. We derive the limiting joint distribution of two records, which is not a bivariate extreme value distribution. We extend this result to the case of three records. In a special case we also derive the limiting joint distribution of increments among records

Models for extremal dependence derived from skew-symmetric families

Skew-symmetric families of distributions such as the skew-normal and skew-$t$ represent supersets of the normal and $t$ distributions, and they exhibit richer classes of extremal behaviour. By defining a non-stationary skew-normal process, which allows the easy handling of positive definite, non-stationary covariance functions, we derive a new family of max-stable processes - the extremal-skew-$t$ process. This process is a superset of non-stationary processes that include the stationary extremal-$t$ processes. We provide the spectral representation and the resulting angular densities of the extremal-skew-$t$ process, and illustrate its practical implementation (Includes Supporting Information).Comment: To appear in Scandinavian Journal of Statistic

Statistical Modeling of Spatial Extremes

The areal modeling of the extremes of a natural process such as rainfall or temperature is important in environmental statistics; for example, understanding extreme areal rainfall is crucial in flood protection. This article reviews recent progress in the statistical modeling of spatial extremes, starting with sketches of the necessary elements of extreme value statistics and geostatistics. The main types of statistical models thus far proposed, based on latent variables, on copulas and on spatial max-stable processes, are described and then are compared by application to a data set on rainfall in Switzerland. Whereas latent variable modeling allows a better fit to marginal distributions, it fits the joint distributions of extremes poorly, so appropriately-chosen copula or max-stable models seem essential for successful spatial modeling of extremes.Comment: Published in at http://dx.doi.org/10.1214/11-STS376 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org

Likelihood-based inference for max-stable processes

The last decade has seen max-stable processes emerge as a common tool for the statistical modeling of spatial extremes. However, their application is complicated due to the unavailability of the multivariate density function, and so likelihood-based methods remain far from providing a complete and flexible framework for inference. In this article we develop inferentially practical, likelihood-based methods for fitting max-stable processes derived from a composite-likelihood approach. The procedure is sufficiently reliable and versatile to permit the simultaneous modeling of marginal and dependence parameters in the spatial context at a moderate computational cost. The utility of this methodology is examined via simulation, and illustrated by the analysis of U.S. precipitation extremes