Displaying similar documents to “Complex determinantal processes and H 1 noise.”

On the extremal behavior of a Pareto process: an alternative for ARMAX modeling

Marta Ferreira (2012)

Kybernetika

Similarity:

In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick [8], Ferreira and Canto e Castro [13]). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as Yeh-Arnold-Robertson Pareto(III) (Yeh et al. [32]). We shall see that it is quite similar to the...

Chance constrained problems: penalty reformulation and performance of sample approximation technique

Martin Branda (2012)

Kybernetika

Similarity:

We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosen penalty-type objectives. We show that the two problems are asymptotically equivalent. Simpler cases with one chance constraint and particular penalty functions were studied in [6,11]. The obtained problems with penalties and with a fixed set of feasible solutions are simpler to solve and analyze then the chance constrained programs. We discuss solving...

Functionals of spatial point processes having a density with respect to the Poisson process

Viktor Beneš, Markéta Zikmundová (2014)

Kybernetika

Similarity:

U -statistics of spatial point processes given by a density with respect to a Poisson process are investigated. In the first half of the paper general relations are derived for the moments of the functionals using kernels from the Wiener-Itô chaos expansion. In the second half we obtain more explicit results for a system of U -statistics of some parametric models in stochastic geometry. In the logarithmic form functionals are connected to Gibbs models. There is an inequality...