Emulation of Stochastic Simulators Using Generalized Lambda Models

Emulation of random output simulators

Generalized Lambda Distribution and its Properties

‎Generalized Lambda Distribution is an extension of Tukey's lambda distribution‎, ‎that is very flexible in modeling information and statistical data‎. ‎In this paper‎, ‎We introduced two parameterization of this distribution‎. ‎Then We estimate parameters by moment matching‎, ‎percentile‎, ‎starship and maximum likelihood methods and compare two parameterization and parameter estimation method...

Emulation of multivariate simulators using thin-plate splines with application to atmospheric dispersion

It is often desirable to build a statistical emulator of a complex computer simulator in order to perform analysis which would otherwise be computationally infeasible. We propose methodology to model multivariate output from a computer simulator taking into account output structure in the responses. The utility of this approach is demonstrated by applying it to a chemical and biological hazard ...

Stochastic Models for Pricing Weather Derivatives using Constant Risk Premium

‎Pricing weather derivatives is becoming increasingly useful‎, ‎especially in developing economies‎. ‎We describe a statistical model based approach for pricing  weather derivatives by modeling and forecasting daily average temperatures data which exhibits long-range dependence‎. ‎We pre-process the temperature data by filtering for seasonality and volatility an...

The Generalized Lambda Test

In this paper, we generalize the λ test. The generalized λ test can be applied towards determining whether there exist data dependences for coupled arrays with both constant and variable limits under any given direction vectors, improving the applicable range of the λ test. Experimental data reflecting the effect of the generalized λ test are also presented.