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Assessing transfer functions in control systems
Journal of Statistical Theory and Practice. 2019. Vol. 13. No. 1. P. 1–33.
Gribkova N., Zitikis R.
When dealing with control systems, it is useful and even necessary to assess the performance of underlying transfer functions. The functions may or may not be linear, may or may not be monotonic. They may have structural breaks and other aberrations that require monitoring and quantification to aid decision making. The present paper develops such a methodology, which is based on an index of increase that naturally arises as the solution to an optimization problem. The performance of an empirical counterpart of the index is explored theoretically and illustrated numerically.
N.V. Gribkova, Su J., Zitikis R., ASTIN Bulletin 2023 Vol. 53 No. 3 P. 619–635
The prominence of the Euler allocation rule (EAR) is rooted in the fact that it is the only return on risk-adjusted capital (RORAC) compatible capital allocation rule. When the total regulatory capital is set using the value-at-risk (VaR), the EAR becomes – using a statistical term – the quantile-regression (QR) function. Although the cumulative QR ...
Added: October 23, 2023
N. V. Gribkova, Su J., Zitikis R., Insurance: Mathematics and Economics 2022 Vol. 107 P. 199–222
We derive consistency, asymptotic normality, and standard error estimation for the tail conditional allocation, also known as the marginal expected shortfall, under minimal conditions and thus geared toward widest applicability. These advances have become possible due to a newly developed technique that hinges on compound sums of concomitants. An insurance inspired numerical study has been designed to illustrate the ...
Added: October 18, 2022
N. V. Gribkova, Su J., Zitikis R., Annals of the Institute of Statistical Mathematics 2022 Vol. 74 P. 713–735
Under minimal assumptions, we prove that an empirical estimator of the tail conditional allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are provided to confirm the minimality of the assumptions. A simulation study illustrates the performance of the estimator in the context of developing confidence intervals for the TCA. The philosophy adopted in the present ...
Added: March 14, 2022
Gribkova Nadezhda, Journal of Statistics and Management System ISSN 0972-0510 (Print), ISSN 2169-0014 (Online) Taylor & Francis 2020 Vol. 23 No. 8 P. 1285–1304
Control systems are exposed to unintentional errors, deliberate intrusions, false data injection attacks, and various other disruptions. In this paper we propose, justify, and illustrate a rule of thumb for detecting, or confirming the absence of, such disruptions. To facilitate the use of the rule, we rigorously discuss underlying results that delineate the boundaries of the rule’s applicability. We ...
Added: October 17, 2020
Gribkova N., Zitikis R., Risks 2018 Vol. 6 No. 3 P. 1–11
Background, or systematic, risks are integral parts of many systems and models in insurance and finance. These risks can, for example, be economic in nature, or they can carry more technical connotations, such as errors or intrusions, which could be intentional or unintentional. A most natural question arises from the practical point of view: is ...
Added: February 28, 2020
Gribkova N., Zitikis R., Annals of the Institute of Statistical Mathematics 2019 Vol. 71 No. 4 P. 811–835
Various members of the class of weighted insurance premiums and risk capital allocation rules have been researched from a number of perspectives. Corresponding formulas in the case of parametric families of distributions have been derived, and they have played a pivotal role when establishing parametric statistical inference in the area. Nonparametric inference results have also ...
Added: February 28, 2020
Osipov D., , in: 2019 XVI International Symposium "Problems of Redundancy in Information and Control Systems" (REDUNDANCY).: IEEE, 2019. P. 36–41.
In what follows a modified version of a coded DHA FH OFDMA communication system that combines multi-tone transmission, reception based on order statistics and concatenated coding is proposed. It is demonstrated that the proposed approach outperforms conventional (single-tone) coded DHA FH OFDMA while having lower decoding complexity. ...
Added: October 27, 2019
Polyvyanyy A., Kalenkova A. A., , in: 2019 International Conference on Process Mining (ICPM).: IEEE, 2019. P. 81–88.
Conformance checking is a subarea of process mining that studies relations between designed processes, also called process models, and records of observed processes, also called event logs. In the last decade, research in conformance checking has proposed a plethora of techniques for characterizing the discrepancies between process models and event logs. Often, these techniques are ...
Added: October 13, 2019
Ulyanov S., Проблемы разработки перспективных микро- и наноэлектронных систем (МЭС) 2016 № 1 С. 124–130
The paper presents a new approach to the construction
of reduced linear system in the form of rational transfer
functions. The approach is based on the minimization of
approximation error defined by an integral criterion. The
approach modification aimed at the model order
minimization under the given error norm is also provided.
The approach extension to the case of vector transfer
functions ...
Added: February 19, 2018
Ivanova E., Safonov S., М.: НИУ ВШЭ, 2017.
The aim is to consolidate the theoretical knowledge in areas of "Analog circuit design", "Transistors", "Transfer function". In this manual describes the features of the software package Micro-Cap. Provides a means of simulating transistors, the build time diagrams, research the transmission characteristics of different keys without load and with load. At the end of the ...
Added: January 26, 2018
Гурарий М. М., Жаров М. М., Русаков С. Г. et al., Мехатроника, автоматизация, управление 2015 Т. 16 № 12 С. 801–806
Приведены эффективные вычислительные алгоритмы цикла исследования устойчивости динамических систем. Алгоритмы используют принцип модальной аппроксимации. Для оценки устойчивости предложен вычислительный алгоритм определения полюсов передаточной функции, лежащих в правой полуплоскости комплексной плоскости. Обсуждается алгоритм вычисления полюсов схемной функции, обладающих наибольшей чувствительностью к параметрам электрической цепи. Приведены экспериментальные результаты проверки предложенных алгоритмов. ...
Added: October 5, 2017
Jovanovic M., Milosevic B., Y.Y.Nikitin et al., Computational Statistics & Data Analysis 2015 Vol. 90 P. 100–113
Abstract Two families of scale-free exponentiality tests based on the recent characterization of exponentiality by Arnold and Villasenor are proposed. The test statistics are constructed using suitable functionals of U-empirical distribution functions. The family of integral statistics can be reduced to V- or U-statistics with relatively simple non-degenerate kernels. They are asymptotically normal and have ...
Added: September 3, 2015