We consider estimates of the parameters of GARCH models obtained using auxiliary information on latent variance which may be available from higher-frequency data, for example from an estimate of the daily quadratic variation such as the realized variance. We obtain consistent estimates of the parameters of the infinite ARCH representation via a regression using the estimated quadratic variation...

detention rockfill dams are an easy and common tool for flood control. due to their coarse pores, the flow in void spaces is turbulent and non-darcy. different relationships introduced by researchers are used to define the hydraulics of the flow within the rockfill materials. the present research is aimed at gaining a better understanding of the differ-ence among these relationships and the sou...

Introduction This extended abstract summarizes a methodology along with the experimental results to adaptively reduce timevarying lateral tape motion (LTM) in a Linear Tape-Open (LTO) drive. For the adaptive regulation, the LTO actuator dynamics is modeled with a Linear Time Invariant (LTI) model and control of time-varying LTM disturbances is done via an adaptable linear feedback controller. A...

This paper deals with a theoretical approach to assessing the effects of parameter estimation uncertainty both on Kriging estimates and on their estimated error variance. Although a comprehensive treatment of parameter estimation uncertainty is covered by full Bayesian Kriging at the cost of extensive numerical integration, the proposed approach has a wide field of application, given its relati...

Optimal or unbiased estimators are widely used for state estimation and tracking. We propose a new minimum variance unbiased (MVU) finite impulse response (FIR) filter which minimizes the estimation error variance in the unbiased FIR (UFIR) filter. The relationship between the filter gains of the MVU FIR, UFIR and optimal FIR (OFIR) filters is found analytically. Simulations provided using a po...

Estimation of the regression parameters and variance components in a longitudinal mixed model with measurement error in a time-varying covariate is considered. The positive bias in variance estimators caused by covariate measurement error in a normal linear mixed model has recently been identified and studied (Tosteson, Buonaccorsi and Demidenko (1997)). The methods suggested there for correcti...

The estimation of the frequencies of multiple superimposed exponentials in noise is an important research problem due to its various applications from engineering to chemistry. In this paper, we propose an efficient and accurate algorithm that estimates the frequency of each component iteratively and consecutively by combining an estimator with a leakage subtraction scheme. During the iterative...