Outline Introduction Semi-parametric dynamic copula Motivation Local likelihood estimation Variance of the estimator Bias of the estimator Bandwidth selection Estimation of joint likelihood Modeling of marginal distributions Simulations and applications Simulations Empirical example Conclusions Problems and Solutions Problems Modeling dependence is critical for financial time series Model volat...

This work introduces a Bayesian semi-parametric approach for dealing with regression models where the covariate is measured with error. The main advantage of this extended Bayesian approach is the possibility of considering generalizations of the elliptical family of models by using Dirichlet process priors in the dependent and independent situations. Conditional posterior distributions are imp...

A novel domain integral approach is introduced for the accurate computation of pointwise Jintegral and stress intensity factors (SIFs) of 3D planar cracks using tetrahedral elements. This method is efficient and easy to implement, and does not require a structured mesh around the crack front. The method relies on the construction of virtual disk-shaped integral domains at points along the crack...

The present work investigates the effect of the elliptical three-dimensional (3D) cracks on a pipe with thickness transition, considering internal pressure. Level sets were defined using the extended finite element method (XFEM), the stress intensity factors (SIFs) of 3D cracks were investigated and compared between straight pipes and pipes with thickness transition. The results show that the X...

We propose a simple and semi-parametric estimator for the tail index of a regular varying elliptical random vector. Since, for univariate random variables, our estimator boils down to the Hill estimator and it inherits the simplicity and asymptotic properties, we name it after Bruce M. Hill. The estimator is based on the distance between an elliptical probability contour and the outer – or exce...

Symmetries and Hamiltonian structure are combined with Melnikov’s method to show a set of exact solutions to the 2D semi-geostrophic equations in an elliptical tank respond chaotically to gentle periodic forcing of the domain eccentricity (or of the potential vorticity, for that matter) which are sinusoidal in time with nearly any period. A similar approach confirms the chaotic response of the ...

The closed-form solutions of surface roughness parameters for a theoretical profile consisting of elliptical arcs are presented. Parabolic and simplified approximation methods are commonly used to estimate the surface roughness parameters for such machined surface profiles. The closed-form solution presented in this study reveals the range of errors of approximation methods for any elliptical a...