scholarly journals A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas

2018 ◽  
Vol 6 (1) ◽  
pp. 369-376 ◽  
Author(s):  
Wolfgang Trutschnig ◽  
Thomas Mroz

AbstractWe derive a new (lower) inequality between Kendall’s τ and Spearman’s ρ for two-dimensional Extreme-Value Copulas, show that this inequality is sharp in each point and conclude that the comonotonic and the product copula are the only Extreme-Value Copulas for which the well-known lower Hutchinson-Lai inequality is sharp.

2021 ◽  
Author(s):  
Adetola Adegbola ◽  
Arnold Yuan

Deterioration is a major problem facing engineering structures, systems and components (SSCs). To maintain the structural integrity and safe operation of such SSCs all through their service life, it is important to understand how degradation phenomena progress over time and space. Hence degradation modelling has been increasingly used to model existing deterioration, predict future deterioration as well as provide input for infrastructure management in terms of inspection and maintenance decision making. As deterioration is known to be random, modelling of spatial and temporal uncertainty remains a crucial challenge for infrastructure asset professionals. The main objective of the thesis is to develop sophisticated models for characterizing spatial and temporal uncertainties in deterioration modelling with a view to enhancing decision making under uncertainty. The thesis proposes a two-dimensional copula-based gamma distributed random field for the spatial uncertainties, and a copula-based multivariate gamma process model to characterize stochastic dependence of multiple degradation phenomena. Techniques for estimating the model parameters and simulating the field or process, prediction of the remaining lifetime distribution as well as condition-based maintenance optimization are also presented. To study the extreme value distribution of the random field, the thesis also presents a numerical method based on the Karhunen-Loève expansion for evaluating extrema of both one- and two-dimensional homogeneous random fields. The simulation results are benchmarked against existing analytical models for special cases. In addition, the study also investigates the effect of parameter (epistemic) uncertainty on the extreme value distribution of the field. Finally, the thesis presents a practical application of the proposed copula-based gamma field by treating the wall profile of a feeder pipe as one- and twodimensional gamma fields. The thesis demonstrates a practical application of the multivariate gamma process model to rutting, cracking, and surface roughness of highway pavements. In summary, the proposed models have advanced the knowledge and techniques of stochastic deterioration modelling in the engineering field.


2017 ◽  
Vol 604 ◽  
pp. A125 ◽  
Author(s):  
J. Pratt ◽  
I. Baraffe ◽  
T. Goffrey ◽  
T. Constantino ◽  
M. Viallet ◽  
...  

Extremes ◽  
2016 ◽  
Vol 19 (3) ◽  
pp. 405-427 ◽  
Author(s):  
Wolfgang Trutschnig ◽  
Manuela Schreyer ◽  
Juan Fernández-Sánchez

2021 ◽  
Author(s):  
Adetola Adegbola ◽  
Arnold Yuan

Deterioration is a major problem facing engineering structures, systems and components (SSCs). To maintain the structural integrity and safe operation of such SSCs all through their service life, it is important to understand how degradation phenomena progress over time and space. Hence degradation modelling has been increasingly used to model existing deterioration, predict future deterioration as well as provide input for infrastructure management in terms of inspection and maintenance decision making. As deterioration is known to be random, modelling of spatial and temporal uncertainty remains a crucial challenge for infrastructure asset professionals. The main objective of the thesis is to develop sophisticated models for characterizing spatial and temporal uncertainties in deterioration modelling with a view to enhancing decision making under uncertainty. The thesis proposes a two-dimensional copula-based gamma distributed random field for the spatial uncertainties, and a copula-based multivariate gamma process model to characterize stochastic dependence of multiple degradation phenomena. Techniques for estimating the model parameters and simulating the field or process, prediction of the remaining lifetime distribution as well as condition-based maintenance optimization are also presented. To study the extreme value distribution of the random field, the thesis also presents a numerical method based on the Karhunen-Loève expansion for evaluating extrema of both one- and two-dimensional homogeneous random fields. The simulation results are benchmarked against existing analytical models for special cases. In addition, the study also investigates the effect of parameter (epistemic) uncertainty on the extreme value distribution of the field. Finally, the thesis presents a practical application of the proposed copula-based gamma field by treating the wall profile of a feeder pipe as one- and twodimensional gamma fields. The thesis demonstrates a practical application of the multivariate gamma process model to rutting, cracking, and surface roughness of highway pavements. In summary, the proposed models have advanced the knowledge and techniques of stochastic deterioration modelling in the engineering field.


1966 ◽  
Vol 24 ◽  
pp. 118-119
Author(s):  
Th. Schmidt-Kaler

I should like to give you a very condensed progress report on some spectrophotometric measurements of objective-prism spectra made in collaboration with H. Leicher at Bonn. The procedure used is almost completely automatic. The measurements are made with the help of a semi-automatic fully digitized registering microphotometer constructed by Hög-Hamburg. The reductions are carried out with the aid of a number of interconnected programmes written for the computer IBM 7090, beginning with the output of the photometer in the form of punched cards and ending with the printing-out of the final two-dimensional classifications.


1966 ◽  
Vol 24 ◽  
pp. 3-5
Author(s):  
W. W. Morgan

1. The definition of “normal” stars in spectral classification changes with time; at the time of the publication of theYerkes Spectral Atlasthe term “normal” was applied to stars whose spectra could be fitted smoothly into a two-dimensional array. Thus, at that time, weak-lined spectra (RR Lyrae and HD 140283) would have been considered peculiar. At the present time we would tend to classify such spectra as “normal”—in a more complicated classification scheme which would have a parameter varying with metallic-line intensity within a specific spectral subdivision.


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