PC translation models for random vectors and multivariate extremes

DOI10.1137/18M118061XMaRDI QIDQ5376557zbMATH OpenOpenAlexWikidataFDO

Authors Mircea D. Grigoriu

Publication date 13 May 2019

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/18m118061x

zbMATH Keywords

dependenceMonte Carlopolynomial chaosspectral measuretail independence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Multivariate analysis and fuzziness (62H86)

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Cites work

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• Extremes and related properties of random sequences and processes
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• Identification of high-dimension polynomial chaos expansions with random coefficients for non-Gaussian tensor-valued random fields using partial and limited experimental data
• Introduction to stochastic integration.
• Nonparametric estimation of copula functions for dependence modelling
• On the foundations of multivariate heavy-tail analysis
• Optimal Transport
• Parametrization of Random Vectors in Polynomial Chaos Expansions via Optimal Transportation
• Polynomial chaos representation of spatio-temporal random fields from experimental measurements
• Remarks on a Multivariate Transformation
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

Cited in

(2)

• Finite dimensional models for random functions
• Extremes of nonstationary harmonizable processes

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