Partial correlation vines and the onion method are presented for generating random correlation matrices. As a special case, a uniform distribution over the set of d× d positive definite correlation matrices obtains. Byproducts are: (a) For a uniform distribution over the space of d × d correlation matrices, the marginal distribution of each correlation is Beta(d/2, d/2) on (−1, 1). (b) An ident...

[1] Cross-beam wind is usually estimated using a full correlation analysis (FCA) method applied to signals from spaced antennas. In this paper we present a cross-correlation ratio (CCR) method for wind measurements. The CCR method is illustrated using theory, and data obtained with the National Center for Atmospheric Research’s multiple antenna profiling radar. The standard errors of estimated ...

The fair price for an American option where the underlying asset follows a jump diffusion process can be formulated as a partial integral differential linear complementarity problem. We develop an implicit discretization method for pricing such American options. The jump diffusion correlation integral term is computed using an iterative method coupled with an FFT while the American constraint i...

An implicit, but not necessarily obvious, assumption in all of the current techniques for assessing satellite collision probability is that the relative position uncertainty is perfectly correlated in time. If there is any mis-modeling of the dynamics in the propagation of the relative position error covariance matrix, time-wise de-correlation of the uncertainty will increase the probability of...

A new integration technique based on use of Quasi Monte Carlo Integration (QMCI) technique is proposed for Method of Moments (MoM) solution of Integral equation for capacitance computation. The integral equation for unknown charge distribution over the capacitors is formulated. The solutions are obtained by MoM using the QMCI technique. It is observed that the proposed method is not only capabl...

This paper is devoted to the approximation by a piecewise linear finite element method of a noncoercive system of elliptic quasi-variational inequalities arising in the management of energy production. A quasi-optimal L∞ error estimate is established, using the concept of subsolution.