Simulating strongly non-Gaussian and non-stationary processes using Karhunen–Loève expansion and L-moments-based Hermite polynomial model

2021 ◽  
Vol 160 ◽  
pp. 107953
Author(s):  
Ming-Na Tong ◽  
Yan-Gang Zhao ◽  
Zhao Zhao
2019 ◽  
Vol 23 (4) ◽  
pp. 810-826 ◽  
Author(s):  
Fengbo Wu ◽  
Min Liu ◽  
Qingshan Yang ◽  
Liuliu Peng

Estimation of extremes of non-Gaussian wind pressure on building roof is necessary for cladding design. When limited length of non-Gaussian wind pressure is used for calculation, the estimated extreme involves sampling error. The moment-based Hermite polynomial model is extensively applied for estimation of extreme wind pressure due to the straightforwardness and accuracy, however, Hermite polynomial model has a monotonic limit resulting in a restricted application region of skewness and kurtosis combination. However, another two moment-based translation process models with no monotonic limit including Johnson transformation model and piecewise Hermite polynomial model have attracted some attention as these two models can be applied to a broader region of skewness and kurtosis combination. The sampling error in estimation of extremes of non-Gaussian wind pressure on building roof by Hermite polynomial model is proposed in the literature recently. Nevertheless, the sampling errors in Johnson transformation model and piecewise Hermite polynomial model have not been addressed. In this study, sampling errors in estimation of extremes of non-Gaussian wind pressures by Johnson transformation model are investigated. Formulations for estimating sampling errors of newly defined statistical moments and subsequent extremes in piecewise Hermite polynomial model are presented. The performance of sampling errors in Hermite polynomial model, Johnson transformation model, and piecewise Hermite polynomial model are finally compared with each other. Based on very long wind pressures from wind tunnel tests, it is shown that the sampling error of minimum wind pressure (suction) in Hermite polynomial model is generally the smallest compared to Johnson transformation model and piecewise Hermite polynomial model, while that of maximum wind pressure in piecewise Hermite polynomial model seems to be the smallest.


2020 ◽  
Vol 146 (7) ◽  
pp. 04020067 ◽  
Author(s):  
Zhao-Hui Lu ◽  
Zhao Zhao ◽  
Xuan-Yi Zhang ◽  
Chun-Qing Li ◽  
Xiao-Wen Ji ◽  
...  

2019 ◽  
Vol 65 ◽  
pp. 362-375
Author(s):  
Xuan-Yi Zhang ◽  
Yan-Gang Zhao ◽  
Zhao-Hui Lu

2007 ◽  
Vol 10 (01) ◽  
pp. 129-154 ◽  
Author(s):  
HIROSHI SHIRAISHI ◽  
MASANOBU TANIGUCHI

This paper discusses the asymptotic property of estimators for optimal portfolios when the returns are vector-valued locally stationary processes. First, we derive the asymptotic distribution of a nonparametric portfolio estimator based on the kernel method. Optimal bandwidth and kernel function are given by minimizing the mean squares error of it. Next, assuming parametric models for non-Gaussian locally stationary processes, we prove the LAN theorem, and propose a parametric portfolio estimator ĝ based on a quasi-maximum likelihood estimator. Then it is shown that ĝ is asymptotically efficient based on the LAN. Numerical studies are provided to investigate the accuracy of the portfolio estimators parametrically and nonparametrically. They illuminate some interesting features of them.


2017 ◽  
Vol 8 ◽  
Author(s):  
Ji Hoon Ryoo ◽  
Jeffrey D. Long ◽  
Greg W. Welch ◽  
Arthur Reynolds ◽  
Susan M. Swearer

Author(s):  
Leonardo Sant’Anna do Nascimento ◽  
Luis Volnei Sudati Sagrilo ◽  
Gilberto Bruno Ellwanger

This work investigates numerically two different methods of moments applied to Hermite derived probability distribution model and variations of Weibull distribution fitted to the short-term time series peaks sample of stochastic response parameters of a simplified jack-up platform model which represents a source of high non-Gaussian responses. The main focus of the work is to compare the results of short-term extreme response statistics obtained by the so-called linear method of moments (L-moments) and the conventional method of moments using either Hermite or Weibull models as the peaks distribution model. A simplified mass-spring system representing a three-legged jack-up platform is initially employed in order to observe directly impacts of the linear method of moments (L-moments) in extreme analysis results. Afterwards, the stochastic response of the three-legged jack-up platform is analyzed by means of 3-D finite element model. Bias and statistical uncertainty in the estimated extreme statistics parameters are computed considering as the “theoretical” estimates those evaluated by fitting a Gumbel to a sample of episodical extreme values obtained from distinct short-term realizations (or simulations). Results show that the variability of the extreme results, as a function of the simulation length, determined by the linear method of moments (L-moments) is smaller than their corresponding ones derived from the conventional method of moments and the biases are more or less the same.


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