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We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...
This paper presents a novel probabilistic framework for localizing multiple speakers with a microphone array. In this framework, the generalized cross correlation function (GCC) of each microphone pair is interpreted as a probability distribution of the ti ...
We develop tractable semidefinite programming based approximations for distributionally robust individual and joint chance constraints, assuming that only the first- and second-order moments as well as the support of the uncertain parameters are given. It ...
When immersed into water, most solids develop a surface charge, which is neutralized by an accumulation of dissolved counterions at the interface. Although the density distribution of counterions perpendicular to the interface obeys well-established theori ...
Automatic vehicle identification (AVI) systems are increasingly used for the collection of traffic data in urban and freeway networks. Several methods have been proposed for the estimation of travel times from AVI data, mainly for freeways. The problem of ...
We propose a Bayesian approach where the signal structure can be represented by a mixture model with a submodular prior. We consider an observation model that leads to Lipschitz functions. Due to its combinatorial nature, computing the maximum a posteriori ...
Consider a two-class classification problem where the number of features is much larger than the sample size. The features are masked by Gaussian noise with mean zero and covariance matrix Sigma, where the precision matrix Omega = Sigma(-1) is unknown but ...
The evaluation of extreme snowfalls is an important challenge for hazard management in mountainous regions. In this paper, the extreme snowfall data acquired from 40 meteorological stations in the French Alps since 1966 are analyzed using spatial extreme s ...
This paper presents statistical distributions of lightning current parameters based on the lightning current and current-derivative waveforms measured at the Säntis Tower site in 2010 and 2011. The total number of flashes analyzed in this study was 167, wh ...
Traffic dynamics have been the focal point of research aiming to provide a better understanding of traffic phenomena and to be integrated in traffic management for recurrent congestion. The aim of the study is to ameliorate complex highway and/or freeway n ...