[1] In this paper we derive analytical solutions to statistical moments for transient saturated flow in two-dimensional, bounded, randomly heterogeneous porous media. By perturbation expansions, we first derive partial differential equations governing the zerothorder head h and the first-order head term h, where orders are in terms of the standard deviation of the log transmissivity. We then so...

The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained b...

It is well known that the uncertainty of the covariance parameters of the process noise (Q) and the observation errors (R) has a significant impact on Kalman filtering performance. Q and R influence the weight that the filter applies between the existing process information and the latest measurements. Errors in any of them may result in the filter being suboptimal or even cause it to diverge. ...

Multi-variate side-channel attacks allow to break higher-order masking protections by combining several leakage samples. But how to optimally extract all the information contained in all possible d-tuples of points? In this article, we introduce preprocessing tools that answer this question. We first show that maximizing the higher-order CPA coefficient is equivalent to finding the maximum of t...

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge ratios with those calculated directly ...