The probabilistic stability evolution analysis of reservoir bank slopes is a crucial aspect of risk assessment,with core challenges including the consideration of deformation mechanisms and accurate determination of m...The probabilistic stability evolution analysis of reservoir bank slopes is a crucial aspect of risk assessment,with core challenges including the consideration of deformation mechanisms and accurate determination of mechanical parameters.In this study,a novel time-varying reliability analysis framework based on sequential Bayesian updating of mechanical parameters is proposed.The inverse parameters account for damage time-dependent behavior,incorporating water effect and a strain-driven softening-hardening process that depends on sliding states.The likelihood function is enhanced to simultaneously consider observation error,surrogate model prediction error,and model structural error,with the introduction of physical penalty.Exploration of the high-dimensional parameter space is achieved via the Hamiltonian Monte Carlo(HMC)method and the physics knowledge-based time-dependent deformation surrogate model.The time-varying reliability analysis of the slope is performed using the multi-grid method.Taking a reservoir bank slope as a case study,the sequential updating of 12 mechanical parameters is conducted based on deformation time series from 16 monitoring points,thereby validating the proposed framework.The results indicate that the proposed framework effectively captures the posterior distribution of mechanical parameters,with the case slope remaining in a critically stable state after overall sliding,showing a high failure probability.Introducing model structural error can reduce parameter compensation,and a reasonable sequential updating step size can improve inversion accuracy.展开更多
This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The margin...This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.展开更多
We consider state and parameter estimation for compartmental models having both timevarying and time-invariant parameters.In this manuscript,we first detail a general Bayesian computational framework as a continuation...We consider state and parameter estimation for compartmental models having both timevarying and time-invariant parameters.In this manuscript,we first detail a general Bayesian computational framework as a continuation of our previous work.Subsequently,this framework is specifically tailored to the susceptible-infectious-removed(SIR)model which describes a basic mechanism for the spread of infectious diseases through a system of coupled nonlinear differential equations.The SIR model consists of three states,namely,the susceptible,infectious,and removed compartments.The coupling among these states is controlled by two parameters,the infection rate and the recovery rate.The simplicity of the SIR model and similar compartmental models make them applicable to many classes of infectious diseases.However,the combined assumption of a deterministic model and time-invariance among the model parameters are two significant impediments which critically limit their use for long-term predictions.The tendency of certain model parameters to vary in time due to seasonal trends,non-pharmaceutical interventions,and other random effects necessitates a model that structurally permits the incorporation of such time-varying effects.Complementary to this,is the need for a robust mechanism for the estimation of the parameters of the resulting model from data.To this end,we consider an augmented state vector,which appends the time-varying parameters to the original system states whereby the time evolution of the time-varying parameters are driven by an artificial noise process in a standard manner.Distinguishing between time-varying and time-invariant parameters in this fashion limits the introduction of artificial dynamics into the system,and provides a robust,fully Bayesian approach for estimating the timeinvariant system parameters as well as the elements of the process noise covariance matrix.This computational framework is implemented by leveraging the robustness of the Markov chain Monte Carlo algorithm permits the estimation of time-invariant parameters while nested nonlinear filters concurrently perform the joint estimation of the system states and time-varying parameters.We demonstrate performance of the framework by first considering a series of examples using synthetic data,followed by an exposition on public health data collected in the province of Ontario.展开更多
We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factor...We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factors is determined using Chan and Grant's(2016)deviation information criteria.The predictors in our model include lagged daily,weekly,and monthly volatility variables,the corresponding volatility factors,and a speculation variable.In addition,the time-varying properties of the best-performing DMA(DMS)-HAR-2FX models,including size,inclusion probabilities,and coefficients,are examined.We find that the proposed DMA(DMS)-HAR-2FX model outperforms the competing models for both in-sample and out-of-sample forecasts.Furthermore,the speculation variable displays strong predictability for forecasting the realized volatility of financial futures in China.展开更多
基金supported by the National Natural Science Foundation of China(Grant No.41961134032).
文摘The probabilistic stability evolution analysis of reservoir bank slopes is a crucial aspect of risk assessment,with core challenges including the consideration of deformation mechanisms and accurate determination of mechanical parameters.In this study,a novel time-varying reliability analysis framework based on sequential Bayesian updating of mechanical parameters is proposed.The inverse parameters account for damage time-dependent behavior,incorporating water effect and a strain-driven softening-hardening process that depends on sliding states.The likelihood function is enhanced to simultaneously consider observation error,surrogate model prediction error,and model structural error,with the introduction of physical penalty.Exploration of the high-dimensional parameter space is achieved via the Hamiltonian Monte Carlo(HMC)method and the physics knowledge-based time-dependent deformation surrogate model.The time-varying reliability analysis of the slope is performed using the multi-grid method.Taking a reservoir bank slope as a case study,the sequential updating of 12 mechanical parameters is conducted based on deformation time series from 16 monitoring points,thereby validating the proposed framework.The results indicate that the proposed framework effectively captures the posterior distribution of mechanical parameters,with the case slope remaining in a critically stable state after overall sliding,showing a high failure probability.Introducing model structural error can reduce parameter compensation,and a reasonable sequential updating step size can improve inversion accuracy.
文摘This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.
基金the funding from the New Frontiers in Research Fund(NFRF)2022 Special Call e Research for Postpandemic Recovery(Grant no:NFRFR-2022-00395).
文摘We consider state and parameter estimation for compartmental models having both timevarying and time-invariant parameters.In this manuscript,we first detail a general Bayesian computational framework as a continuation of our previous work.Subsequently,this framework is specifically tailored to the susceptible-infectious-removed(SIR)model which describes a basic mechanism for the spread of infectious diseases through a system of coupled nonlinear differential equations.The SIR model consists of three states,namely,the susceptible,infectious,and removed compartments.The coupling among these states is controlled by two parameters,the infection rate and the recovery rate.The simplicity of the SIR model and similar compartmental models make them applicable to many classes of infectious diseases.However,the combined assumption of a deterministic model and time-invariance among the model parameters are two significant impediments which critically limit their use for long-term predictions.The tendency of certain model parameters to vary in time due to seasonal trends,non-pharmaceutical interventions,and other random effects necessitates a model that structurally permits the incorporation of such time-varying effects.Complementary to this,is the need for a robust mechanism for the estimation of the parameters of the resulting model from data.To this end,we consider an augmented state vector,which appends the time-varying parameters to the original system states whereby the time evolution of the time-varying parameters are driven by an artificial noise process in a standard manner.Distinguishing between time-varying and time-invariant parameters in this fashion limits the introduction of artificial dynamics into the system,and provides a robust,fully Bayesian approach for estimating the timeinvariant system parameters as well as the elements of the process noise covariance matrix.This computational framework is implemented by leveraging the robustness of the Markov chain Monte Carlo algorithm permits the estimation of time-invariant parameters while nested nonlinear filters concurrently perform the joint estimation of the system states and time-varying parameters.We demonstrate performance of the framework by first considering a series of examples using synthetic data,followed by an exposition on public health data collected in the province of Ontario.
基金supported by grants from the National Natural Science Foundation of China(72171088,71803049,72003205)the Ministry of Education of the People's Republic of China of Humanities and Social Sciences Youth Fundation(20YJC790142)the General Project of Social Science Planning in Guangdong Province,China(GD22CYJ12).
文摘We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factors is determined using Chan and Grant's(2016)deviation information criteria.The predictors in our model include lagged daily,weekly,and monthly volatility variables,the corresponding volatility factors,and a speculation variable.In addition,the time-varying properties of the best-performing DMA(DMS)-HAR-2FX models,including size,inclusion probabilities,and coefficients,are examined.We find that the proposed DMA(DMS)-HAR-2FX model outperforms the competing models for both in-sample and out-of-sample forecasts.Furthermore,the speculation variable displays strong predictability for forecasting the realized volatility of financial futures in China.
