Driven by increased complexity of dynamical systems, the solution of system of differential equations through numerical simulation in optimization problems has become computationally expensive. This paper provides a smart data driven mechanism to construct low dimensional surrogate models. These...

In this paper we investigate trading with optimal mean reverting portfolios subject to cardinality constraints. First, we identify the parameters of the underlying VAR(1) model of asset prices and then the quantities of the corresponding Ornstein-Uhlenbeck (OU) process are estimated by pattern...

We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$H1/2$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <mi>H</mi> <mo></mo> <mn>1</mn> <mo stretchy="false">/</mo> <mn>2</mn> </mrow> </math> </EquationSource> </InlineEquation>. The estimator is based on discrete time observations of the stochastic differential...</equationsource></equationsource></inlineequation>

Consider a compound Poisson process which is discretely observed with sampling interval <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\Delta $$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi mathvariant="normal">Δ</mi> </math> </EquationSource> </InlineEquation> until exactly <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$n$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>n</mi> </math> </EquationSource> </InlineEquation> nonzero increments are obtained. The jump density and the intensity of the Poisson process are unknown. In this paper, we build and study parametric estimators...</equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>

Unit hydrograph method is usually used to resolve surface runoff concentration process. Empirical unit hydrograph is sometimes jagged and not smooth because of estimation errors. Owing to the randomicity of correction method, there is some localization in its application. The application of...

In this study, a numerical least squares (NLS) method for estimating the parameters of five-parameter Wakeby distribution was introduced. To asses the right tail estimate performances of the method, Monte Carlo simulated data and annual peak flows of 50 stations on Turkish rivers were used. Its...

Estimation of pipe roughness coefficients is an important task to be carried out before any water distribution network model is used for online applications such as monitoring and control. In this study, a combined state and parameter estimation model for water distribution networks is...