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Approximating risk premium on a parametric arbitrage-free term structure model
(FGV EPGE, 2014)
In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids full optimization ...
Stylized Facts of the Gross National Product of Argentina: 1875 - 1999
(Asociación Argentina de Economía Política, 2002-12)
The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Within this framework, we study the behaviour of the gross national product of Argentina in the long run and provide ...
Damage detection in a benchmark structure using AR-ARX models and statistical pattern recognition
(2007-04-01)
Structural health monitoring (SHM) is related to the ability of monitoring the state and deciding the level of damage or deterioration within aerospace, civil and mechanical systems. In this sense, this paper deals with ...
Damage detection in a benchmark structure using AR-ARX models and statistical pattern recognition
(2007-04-01)
Structural health monitoring (SHM) is related to the ability of monitoring the state and deciding the level of damage or deterioration within aerospace, civil and mechanical systems. In this sense, this paper deals with ...
Analysis of the correlation structure of square time series
(WILEY, 2004)
This paper analyses the asymptotic behaviour of the autocorrelation structure exhibited by squares of time series with a Wold expansion where the input error is a sequence of random variables with mean zero and finite ...
Updating of a nonlinear finite element model using discrete-time volterra series
(2017-01-01)
In this study, the discrete-time Volterra series are used to update parameters in a nonlinear finite element model. The main idea of the Volterra series is to describe the discrete-time output of a nonlinear system using ...
Damage detection in nonlinear structures using discrete-time volterra series
(2013-09-16)
Structural damage identification is basically a nonlinear phenomenon; however, nonlinear procedures are not used currently in practical applications due to the complexity and difficulty for implementation of such techniques. ...