Zobrazeno 1 - 10
of 6 896
pro vyhledávání: '"Hansen, Peter A."'
Autor:
Hansen, Peter Reinhard, Tong, Chen
We introduce a novel method for obtaining a wide variety of moments of a random variable with a well-defined moment-generating function (MGF). We derive new expressions for fractional moments and fractional absolute moments, both central and non-cent
Externí odkaz:
http://arxiv.org/abs/2410.23587
This paper presents a novel method to quantify seafarers' good seamanship during navigation scenarios with multi-vessel encounters -- in open and confined waters --, and to compute COLREG's-compliant trajectories for avoiding collision and grounding.
Externí odkaz:
http://arxiv.org/abs/2407.09223
We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it can accommodate cluster structures in the conditional correlation mat
Externí odkaz:
http://arxiv.org/abs/2406.06860
Autor:
Hansen, Peter Reinhard, Tong, Chen
We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distributions, the multivariate convolution-t distributions embody cluster stru
Externí odkaz:
http://arxiv.org/abs/2404.00864
The encounter situation between marine vessels determines how they should navigate to obey COLREGs, but time-varying and stochastic uncertainty in estimation of angles of encounter, and of closest point of approach, easily give rise to different asse
Externí odkaz:
http://arxiv.org/abs/2402.05662
Autor:
Hansen, Peter Reinhard, Luo, Yiyao
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is consistent but very inefficient. We propose a novel subsampled quadran
Externí odkaz:
http://arxiv.org/abs/2310.19992
Autor:
Tong, Chen, Hansen, Peter Reinhard
The Clustered Factor (CF) model induces a block structure on the correlation matrix and is commonly used to parameterize correlation matrices. Our results reveal that the CF model imposes superfluous restrictions on the correlation matrix. This can b
Externí odkaz:
http://arxiv.org/abs/2308.05895
We propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion. The method is based on a vector parameterization, gamma = g(C), which maps any distribution on R^d, d = n(n-1)/2 to a dis
Externí odkaz:
http://arxiv.org/abs/2210.08147
Fully or partial autonomous marine vessels are actively being developed by many industry actors. In many cases, the autonomous vessels will be operating close to shore, and within range of a Remote Control Center (RCC). Close to shore operation requi
Externí odkaz:
http://arxiv.org/abs/2207.08227