Copula Processes

We define a copula process which describes the dependencies between arbitrarily many random variables independently of their marginal distributions. As an example, we develop a stochastic volatility model, Gaussian Copula Process Volatility (GCPV), to predict the latent standard deviations of a sequence of random variables. To make predictions we use Bayesian inference, with the Laplace approximation, and with Markov chain Monte Carlo as an alternative. We find both methods comparable. We also find our model can outperform GARCH on simulated and financial data. And unlike GARCH, GCPV can easily handle missing data, incorporate covariates other than time, and model a rich class of covariance structures.

Generalised Wishart Processes

We introduce a stochastic process with Wishart marginals: the generalised Wishart process (GWP). It is a collection of positive semi-definite random matrices indexed by any arbitrary dependent variable. We use it to model dynamic (e.g. time varying) covariance matrices. Unlike existing models, it can capture a diverse class of covariance structures, it can easily handle missing data, the dependent variable can readily include covariates other than time, and it scales well with dimension; there is no need for free parameters, and optional parameters are easy to interpret. We describe how to construct the GWP, introduce general procedures for inference and predictions, and show that it outperforms its main competitor, multivariate GARCH, even on financial data that especially suits GARCH. We also show how to predict the mean of a multivariate process while accounting for dynamic correlations.

Scalar and its dissipation in the near field of turbulent lifted jet flame

In this study various scalar dissipation rates and their modelling in the context of partially premixed flame are investigated. A DNS dataset of the near field of a turbulent hydrogen lifted jet flame is processed to analyse the mixture fraction and progress variable dissipation rates and their cross dissipation rate at several axial positions. It is found that the classical model for the passive scalar dissipation rate ε{lunate}̃ZZ gives good agreement with the DNS, while models developed based on premixed flames for the reactive scalar dissipation rate ε{lunate}̃cc only qualitatively capture the correct trend. The cross dissipation rate ε{lunate}̃cZ is mostly negative and can be reasonably approximated at downstream positions once ε{lunate}̃ZZ and ε{lunate}̃cc are known, although the sign cannot be determined. This approach gives better results than one employing a constant ratio of turbulent timescale and the scalar covariance c'Z'̃. The statistics of scalar gradients are further examined and lognormal distributions are shown to be very good approximations for the passive scalar and acceptable for the reactive scalar. The correlation between the two gradients increases downstream as the partially premixed flame in the near field evolves ultimately to a diffusion flame in the far field. A bivariate lognormal distribution is tested and found to be a reasonable approximation for the joint PDF of the two scalar gradients. © 2011 The Combustion Institute.

Gaussian Process Vine Copulas for Multivariate Dependence

Copulas allow to learn marginal distributions separately from the multivariate dependence structure (copula) that links them together into a density function. Vine factorizations ease the learning of high-dimensional copulas by constructing a hierarchy of conditional bivariate copulas. However, to simplify inference, it is common to assume that each of these conditional bivariate copulas is independent from its conditioning variables. In this paper, we relax this assumption by discovering the latent functions that specify the shape of a conditional copula given its conditioning variables We learn these functions by following a Bayesian approach based on sparse Gaussian processes with expectation propagation for scalable, approximate inference. Experiments on real-world datasets show that, when modeling all conditional dependencies, we obtain better estimates of the underlying copula of the data.

Statistics of reaction progress variable and mixture fraction gradients from DNS of turbulent partially premixed flames

Statistically planar turbulent partially premixed flames for different initial intensities of decaying turbulence have been simulated for global equivalence ratios = 0.7 and 1.0 using three-dimensional, simplified chemistry-based direct numerical simulations (DNS). The simulation parameters are chosen such that the flames represent the thin reaction zones regime combustion. A random bimodal distribution of equivalence ratio is introduced in the unburned gas ahead of the flame to account for the mixture inhomogeneity. The results suggest that the probability density functions (PDFs) of the mixture fraction gradient magnitude |Δξ| (i.e., P(|Δξ|)) can be reasonably approximated using a log-normal distribution. However, this presumed PDF distribution captures only the qualitative nature of the PDF of the reaction progress variable gradient magnitude |Δc| (i.e., P(|Δc|)). It has been found that a bivariate log-normal distribution does not sufficiently capture the quantitative behavior of the joint PDF of |Δξ| and |Δc| (i.e., P(|Δξ|, |Δc|)), and the agreement with the DNS data has been found to be poor in certain regions of the flame brush, particularly toward the burned gas side of the flame brush. Moreover, the variables |Δξ| and |Δc| show appreciable correlation toward the burned gas side of the flame brush. These findings are corroborated further using a DNS data of a lifted jet flame to study the flame geometry dependence of these statistics. © 2013 Copyright Taylor and Francis Group, LLC.