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Generalized Sobol sensitivity indices for dependent variables: numerical methods
Dependent variables Extended basis Greedy algorithm LARS Sensitivity analysis Sobol decomposition
2013/4/28
The hierarchically orthogonal functional decomposition of any measurable function f of a random vector X=(X_1,...,X_p) consists in decomposing f(X) into a sum of increasing dimension functions dependi...
We define and study a generalization of Sobol sensitivity indices for the case of a vector output.
Identifying the successive Blumenthal-Getoor indices of a discretely observed process
Semimartingale Brownian motion jumps finite activity infinite activity discrete sampling high frequency
2012/11/23
This paper studies the identification of the L\'{e}vy jump measure of a discretely-sampled semimartingale. We define successive Blumenthal-Getoor indices of jump activity, and show that the leading in...
Global sensitivity analysis of a numerical code, more specifically estimation of Sobol indices associated with input variables, generally requires a large number of model runs.
Confidence intervals for sensitivity indices using reduced-basis metamodels
sensitivity analysis reduced basis method Sobol indices bootstrap method Monte Carlo method
2011/3/24
Global sensitivity analysis is often impracticable for complex and time demanding numerical models, as it requires a large number of runs. The reduced-basis approach provides a way to replace the orig...
Generalization of usual capability indices for unilateral tolerances
Process Capability Indices Unilateral Tolerances Non-normal Processes
2010/4/27
Capability indices are dimensionless quantities measuring the aptitude of a process to
manufacture items whose characteristics must be within a specified tolerance ranges.
The usual indices Cp , Cpk...
Random walks with random indices and negative drift conditioned to stay positive
Random walks with random indices negative drift stay positive
2009/9/24
Random walks with random indices and negative drift conditioned to stay positive。
Conditioned random walks with random indices。
Convergence rates in the strong law of large numbers for sums of random variables with multidimensional indices
Convergence rates random variables with multidimensional indices
2009/9/23
Convergence rates in the strong law of large numbers for sums of random variables with multidimensional indices。
Probabilities of moderate diviations for randomly indexed sums of random variables with multidimensional indices
Probabilities of moderate diviations random variables with multidimensional indices
2009/9/23
Probabilities of moderate deviations for randomly
indexed sums of independent and identically dmtributed random
variables with multidimensional indices are studied. The results
presented extend som...
Weighted least-squares estimators of tail indices
Weighted least-squares estimators tail indices
2009/9/22
We propose a class of weighted least-squares estimators
for the tail index of a regularly varying upper tail of a distribution.
Universal asymptotic normality of the estimators is established over
...
A Unified Approach for Predicting Long- and Short-Term Capability Indices with Dependence on Manufacturing Target Bias
Manufacturing statistics
2009/9/3
It is shown that the exact solution for the capability index (CPI) for Gaussian-distributed process with target bias can be expressed in terms of an unbiased CPI and a normalized target bias. The prin...
Some LIL type results on the partial sums and trimmed sums with multidimensional indices
random variable strong limit theorem LIL type result
2009/3/27
Let {X, Xn; n ∈ Nd} be a field of i.i.d. random variables indexed by d-tuples of positive integers and let Sn=∑k≤nXk. We prove some strong limit theorems for Sn. Also, when d≥ 2 and h(n) satisfies som...
Some LIL type results on the partial sums and trimmed sums with multidimensional indices
LIL type results partial sums trimmed sums
2009/3/23
Let {X, Xn; n ∈ Nd} be a field of i.i.d. random variables indexed by d-tuples of positive integers and let Sn=∑k≤nXk. We prove some strong limit theorems for Sn. Also, when d≥ 2 and h(n) satisfies som...
Forecasts Based on Official Business Indices in Japan：A Real-Time Analysis
business index probit model real-time forecast
2009/3/10
This paper analyses the performance of forecasts of real economic activity based on the Japanese official business indices in a real-time framework. As in other countries, preliminary numbers of the b...