Search results for "stochastic"
showing 10 items of 1018 documents
Innovation for climate change adaptation and technical efficiency: an empirical analysis in the European agricultural sector
2020
This paper analyses the effect of innovation on firms' technical efficiency. Using climate-related patent data to proxy for innovation activity in different technological fields, the paper employs a stochastic frontier approach to estimate the impact of innovative efforts on agricultural firms' technical efficiency taking account of both unobservable heterogeneity and double heteroscedasticity in the inefficiency and idiosyncratic terms. Our findings confirm that innovation has a positive impact on firms' productivity (technical efficiency). While agricultural firms located in Germany and Sweden are more efficient compared to those in southern countries, all the European countries considere…
A modal approach for the evaluation of the response sensitivity of structural systems subjected to non-stationary random processes
2005
A method for the evaluation of the response sensitivity of both classically and non-classically damped discrete linear structural systems under stochastic actions is presented. The proposed approach requires the following items: (a) a suitable modal expansion of the response; (b) the derivation in analytical form of the equations governing the evolution of the derivatives of the response (the so-called sensitivity equations) with respect to the parameters that define the structural model; (c) an extensive use of the Kronecker algebra for determining the analytical expressions of the sensitivity of the structural response statistics to non-stationary random input processes. Moreover, a step-…
Predicting the equilibrium bed slope in natural streams using a stochastic model for incipient sediment motion
2011
In this paper, a method to predict the equilibrium bed slope in natural streams based on the incipient motion criterion is proposed. The method is based on the criterion suggested by Gessler to simulate the grain size distribution of the armour coat using the concept of critical shear stress of a sediment mixture. In particular, a different expression of the probability for a single particle size to be part of the armour coat is firstly proposed; then, a simple two-steps criterion is suggested to estimate the safety factor required by the proposed approach. The method is applied in three different Italian regions (Calabria, Basilicata, and Tuscany) and required several field campaigns invol…
A Learning Automata Based Solution to Service Selection in Stochastic Environments
2010
Published version of a paper published in the book: Trends in Applied Intelligent Systems. Also available on SpringerLink: http://dx.doi.org/10.1007/978-3-642-13033-5_22 With the abundance of services available in today’s world, identifying those of high quality is becoming increasingly difficult. Reputation systems can offer generic recommendations by aggregating user provided opinions about service quality, however, are prone to ballot stuffing and badmouthing . In general, unfair ratings may degrade the trustworthiness of reputation systems, and changes in service quality over time render previous ratings unreliable. In this paper, we provide a novel solution to the above problems based …
Approximation-based adaptive tracking control of stochastic nonlinear systems with a general form
2014
In this paper, an approximation-based adaptive tracking control scheme is proposed for a class of stochastic nonlinear systems with a more general structure. Fuzzy logical systems are used to approximate unknown nonlinearities in the controller design procedure and the backstepping technique is utilized to construct a state-feedback adaptive controller. The proposed controller can guarantee that all the signals in the closed-loop system are fourth-moment semi-globally uniformly ultimately bounded and the tracking error eventually converges to a small neighborhood around the origin. Simulation results are used to show the effectiveness of the proposed control scheme.
Volatility Transmission Models: A Survey
2005
This study reviews the literature on volatility transmission in order to determine what we have learnt about the different methodologies applied. In particular, GARCH, regime switching and stochastic volatility models are analysed. In addition, this study covers several concrete aspects such as their scope of application, the overlapping problem, the concept of efficiency and asymmetry modelling. Finally, emerging topics and unanswered questions are identified, serving as an agenda for future research.
Comparison among different dynamic shakedown approaches
2017
The paper concerns the search for the limit load multiplier of structures subjected to seismic actions under shakedown conditions. The search problem is treated referring to two fundamental different approaches: The unrestricted dynamic shakedown approach and a new stochastic one recently proposed. The comparison between the above cited approaches is effected with the aim of evaluate the goodness of the obtainable results and the related computational effort. The structure sensitivity with respect to shakedown is evaluated through the analysis of the shakedown limit load multiplier cumulative distribution function. This function is determined by means of the stochastic approach, adopting th…
A neural network approach to movement pattern analysis.
2004
Movements are time-dependent processes and so can be modelled by time-series of coordinates: E.g., each articulation has geometric coordinates; the set of the coordinates of the relevant articulations build a high-dimensional configuration. These configurations--or "patterns"--give reason for analysing movements by means of neural networks: The Kohonen Feature Map (KFM) is a special type of neural network, which (after having been coined by training with appropriate pattern samples) is able to recognize single patterns as members of pattern clusters. This way, for example, the particular configurations of a given movement can be identified as belonging to respective configuration clusters, …
Segmentation algorithm for non-stationary compound Poisson processes
2010
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regimes (patches) of a time series. The process is composed of consecutive patches of variable length. In each patch the process is described by a stationary compound Poisson process, i.e. a Poisson process where each count is associated with a fluctuating signal. The parameters of the process are different in each patch and therefore the time series is non-stationary. Our method is a generalization of the algorithm introduced by Bernaola-Galván, et al. [Phys. Rev. Lett. 87, 168105 (2001)]. We show that the new algori…
SINGLE FACTOR STOCHASTIC MODELS WITH SEASONALITY APPLIED TO UNDERLYING WEATHER DERIVATIVES VARIABLES
2003
This paper estimates single factor stochastic models describing daily air temperature behaviour. We modify classical financial models to reflect temperature seasonality and fit them to a time series representing temperatures in Spain. The estimated models are used in Montecarlo simulations to obtain heating and cooling degree-days, which are used as an underlying reference in weather derivatives. The final goal of this work is to obtain an insight into weather derivative valuation, and so making it easier to manage economic activity risks closely related to temperature (i.e. oil, gas and electricity prices and volumes). En este trabajo se estiman modelos estocásticos unifactoriales que desc…