<p> We study the problem of finding approximate significance points of random variables whose exact distributions are unknown or extremely complicated . We consider the case where at least the first three moments, and possibly the lower or upper endpoint of the distribution are known. </p> <p> The methods of approximation studied include the Johnson system of transformations, Pearson curves, Pearson curves with known lower terminal, Cornish-Fisher expansions and the approximation a+bW, where W is chi-squared with p degrees of freedom . A new three-moment approximation of the form (cW)^k, with W as defined above, is also considered. These methods of approximation are discussed, with special attention to fitting procedures and computer implementation. </p> <p> The methods of approximation are compared, with respect to ease of application and accuracy of approximation, over a wide variety of exact distributions. The accuracy of each approximation is discussed and guidelines are given for determining which of several approximations should be used in a particular case. </p> / Thesis / Master of Science (MSc)

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<p>We investigate mathematical tools, Edgeworth series expansion and the saddle point method, which are approximation techniques that help us to estimate the distribution function for the standardized mean of independent identical distributed random variables where we will take into consideration the lattice case. Later on we will describe one important application for these mathematical tools where game developing companies can use them to reduce the amount of time needed to satisfy their standard requests before they approve any game</p>

O intuito deste trabalho é fazer uma análise sobre o processo de integração de funções. Existem muitas generalizações do conceito de integração abordado inicialmente por meio da integral de Riemann, como por exemplo, a integral de Riemann-Stieltjes, Lebesgue, Henstock-Kurzweil entre outras. Abordaremos especialmente a integral de Riemann-Stieltjes, e mostraremos a limitação da integral de Riemann no estudo de convergência de funções, indicando a necessidade de se generalizar o processo de integração. Faremos uma aplicação da integral de Riemann-Stieltjes no estudo de variáveis aleatórias e apresentamos uma proposta de abordagem, para a sala de aula, sobre o deslocamento e distância percorrida por um objeto em movimento retilíneo uniforme associado a área. / The aim of this work is analizing the process of integration of functions. There are many generalizations of the integration concept originally addressed by Riemann integral such as the Riemann-Stieltjes integral, Lebesgue integral, Henstock-Kurzweil integral, among others. We will be specially concerned with the integral of Riemann-Stieltjes and we will show the limitations of Riemann integral about convergence of functions, leading to the need to generalize the integration process. We will apply Riemann-Stieltjes integral for the study of random variables and present an approach to the classroom, on the displacement and distance traveled by an object in uniform rectilinear motion associated to concept of area.

In this thesis, we study the queueing systems with heterogeneous servers and service rate uncertainty under the Halfin-Whitt heavy traffic regime. First, we analyse many server queues with abandonments when service rates are i.i.d. random variables. We derive a diffusion approximation using a novel method. The diffusion has a random drift, and hence depending on the realisations of service rates, the system can be in Quality Driven (QD), Efficiency Driven (ED) or Quality-Efficiency-Driven (QED) regime. When the system is under QD or QED regime, the abandonments are negligible in the fluid limit, but when it is under ED regime, the probability of abandonment will converge to a non-zero value. We then analyse the optimal staffing levels to balance holding costs with staffing costs combining these three regimes. We also analyse how the variance of service rates influence abandonment rate. Next, we focus on the state space collapse (SSC) phenomenon. We prove that under some assumptions, the system process will collapse to a lower dimensional process without losing essential information. We first formulate a general method to prove SSC results inside pools for heavy traffic systems using the hydrodynamic limit idea. Then we work on the SSC in multi-class queueing networks under the Halfin-Whitt heavy traffic when service rates are i.i.d. random variables within pools. For such systems, exact analysis provides limited insight on the general properties. Alternatively, asymptotic analysis by diffusion approximation proves to be effective. Further, limit theorems, which state the diffusively scaled system process weakly converges to a diffusion process, are usually the central part in such asymptotic analysis. The SSC result is key to proving such a limit. We conclude by giving examples on how SSC is applied to the analysis of systems.

In the thesis, the reliability analysis of structural components and structural details subject to random loading and random resistance degradation is addressed. The study concerns evaluation of the probability of failure due to an overload of a component or structural detail, in consideration of random (environmental) loads and their combination, uncertain resistance parameters, statistical and phenomenological uncertainty and random resistance degradation mechanisms. Special attention is devoted to resistance degradation, as it introduces an additional level of difficulty in the solution of time variant reliability problems. The importance of this study arrives from the ageing of existing infrastructure in a world wide scale and from the lack of standards and codes for the ongoing safety management of general structures past their original design lives. In this context, probabilistic-based risk assessment and reliability analysis provide a framework for the safety management of ageing structures in consideration of inherent load and resistance uncertainty, current state of the structure, further resistance degradation, periodic inspections, in the absence of past experience and on an individual basis. In particular, the critical problem of resistance degradation due to fatigue is addressed. The formal solution of time variant reliability problems involves integration of local crossing rates over a conditional failure domain boundary, over time and over random resistance variables. This solution becomes very difficult in the presence of resistance degradation, as crossing rates become time dependent, and the innermost integration over the failure domain boundary has to be repeated over time. Significant simplification is achieved when the order of integrations is changed, and crossing rates are first integrated over the random failure domain boundary and then over time. In the so-called ensemble crossing rate or Ensemble Up-crossing Rate (EUR) approximation, the arrival rate of the first crossing over a random barrier is approximated by the ensemble average of crossings. This approximation conflicts with the Poisson assumption of independence implied in the first passage failure model, making results unreliable and highly conservative. Despite significant simplification of the solution, little was known to date about the quality of the EUR approximation. In this thesis, a simulation procedure to obtain Poissonian estimates of the arrival rate of the first up-crossing over a random barrier is introduced. The procedure is used to predict the error of the EUR approximation. An error parameter is identified and error functions are constructed. Error estimates are used to correct original EUR failure probability results and to compare the EUR with other common simplifications of time variant reliability problems. It is found that EUR errors can be quite large even when failure probabilities are small, a result that goes against previous ideas. A barrier failure dominance concept is introduced, to characterize those problems where an up-crossing or overload failure is more likely to be caused by a small outcome of the resistance than by a large outcome of the load process. It is shown that large EUR errors are associated with barrier failure dominance, and that solutions which simplify the load part of the problem are more likely to be appropriate in this case. It is suggested that the notion of barrier failure dominance be used to identify the proper (simplified) solution method for a given problem. In this context, the EUR approximation is compared with Turkstra’s load combination rule and with the point-crossing formula. It is noted that in many practical structural engineering applications involving environmental loads like wind, waves or earthquakes, load process uncertainty is larger than resistance uncertainty. In these applications, barrier failure dominance in unlikely and EUR errors can be expected to be small. The reliability problem of fatigue and fracture under random loading is addressed in the thesis. A solution to the problem, based on the EUR approximation, is constructed. The problem is formulated by combining stochastic models of crack propagation with the first passage failure model. The solution involves evaluation of the evolution in time of crack size and resistance distributions, and provides a fresh random process-based approach to the problem. It also simplifies the optimization and planning of non-destructive periodic inspection strategies, which play a major role in the ongoing safety management of fatigue affected structures. It is shown how sensitivity coefficients of a simplified preliminary First Order Reliability solution can be used to characterize barrier failure dominance. In the fatigue and fracture reliability problem, barrier failure dominance can be caused by large variances of resistance or crack growth parameters. Barrier failure dominance caused by resistance parameters leads to problems where overload failure is an issue and where the simplified preliminary solution is likely to be accurate enough. Barrier failure dominance caused by crack growth parameters leads to highly non-linear problems, where critical crack growth dominates failure probabilities. Finally, in the absence of barrier failure dominance, overload failure is again the issue and the EUR approximation becomes not just appropriate but also accurate. The random process-based EUR solution of time-variant reliability problems developed and the concept of barrier failure dominance introduced in the thesis have broad applications in problems involving general forms of resistance degradation as well as in problems of random vibration of uncertain structures. / PhD Doctorate

I give explicit estimates of the Lp-norm of a mean zero infinitely divisible random vector taking values in a Hilbert space in terms of a certain mixture of the L2- and Lp-norms of the Levy measure. Using decoupling inequalities, the stochastic integral driven by an infinitely divisible random measure is defined. As a first application utilizing the Lp-norm estimates, computation of Ito Isomorphisms for different types of stochastic integrals are given. As a second application, I consider the discrete time signal-observation model in the presence of an alpha-stable noise environment. Formulation is given to compute the optimal linear estimate of the system state.

We investigate mathematical tools, Edgeworth series expansion and the saddle point method, which are approximation techniques that help us to estimate the distribution function for the standardized mean of independent identical distributed random variables where we will take into consideration the lattice case. Later on we will describe one important application for these mathematical tools where game developing companies can use them to reduce the amount of time needed to satisfy their standard requests before they approve any game

This paper deals with the applications of symbolic computation of Mathematica 7.0 (Wolfram, 2008) in distribution theory. The purpose of this study is twofold. Firstly, we will implement some functions to extend Mathematica capabilities to handle symbolic computations of the characteristic function for linear combination of independent univariate random variables. These functions utilizes pattern-matching codes that enhance Mathematica's ability to simplify expressions involving the product and summation of algebraic terms. Secondly, characteristic function can be classified into commonly used distributions, including six discrete distributions and seven continuous distributions, via the pattern-matching feature of Mathematica. Finally, several examples will be presented. The examples include calculating limit of characteristic function of linear combinations of independent random variables, and applications of coded functions and illustrate the central limit theorem, the law of large numbers and properties of some distributions.

The novelty and originality of the work consists in the fact that in order to obtain asymptotic expansions with optimal values of the remainder terms in the zone of large deviations, along with the cumulant method the classical method of characteristic functions has to be used. In addition, when solving the problems stated in the work, other than the well known results in the problems of limit theorems of the probability theory and mathematical statistics, we have to estimate constants. Technically it is frequently rather a complicated task. The results obtained in the work have good opportunities to be applied in probability theory, mathematical statistics, econometric, etc. That is illustrated in the last section of the work in which theorems of large deviations are proved in the summation of weighted random variables with weights as well as discounted limit theorems.