6 citations · 8 across the 10 of their papers we have counts for
4 papers · 1 filter
Quantifying Uncertainty with a Derivative Tracking SDE Model and Application to Wind Power Forecast Data
Renzo Caballero, Ahmed Kebaier, Marco Scavino +1
We develop a data-driven methodology based on parametric Itô's Stochastic Differential Equations (SDEs) to capture the real asymmetric dynamics of forecast errors. Our SDE framewor…
Eficient Monte Carlo Simulation of the Left Tail of Positive Gaussian Quadratic Forms
Chaouki Ben Issaid, Mohamed-Slim Alouini, Raul Tempone
Estimating the left tail of quadratic forms in Gaussian random vectors is of major practical importance in many applications. In this paper, we propose an efficient and robust impo…
Spatial Poisson processes for fatigue crack initiation
Ivo Babuska, Zaid Sawlan, Marco Scavino +2
In this work we propose a stochastic model for estimating the occurrence of crack initiations on the surface of metallic specimens in fatigue problems that can be applied to a gene…
Multilevel Monte Carlo in Approximate Bayesian Computation
Ajay Jasra, Seongil Jo, David Nott +2
In the following article we consider approximate Bayesian computation (ABC) inference. We introduce a method for numerically approximating ABC posteriors using the multilevel Monte…