Field validation of controlled Monte Carlo data generation for statistical damage identification employing Mahalanobis squared distance

This article presents the field applications and validations for the controlled Monte Carlo data generation scheme. This scheme was previously derived to assist the Mahalanobis squared distance–based damage identification method to cope with data-shortage problems which often cause inadequate data multinormality and unreliable identification outcome. To do so, real-vibration datasets from two actual civil engineering structures with such data (and identification) problems are selected as the test objects which are then shown to be in need of enhancement to consolidate their conditions. By utilizing the robust probability measures of the data condition indices in controlled Monte Carlo data generation and statistical sensitivity analysis of the Mahalanobis squared distance computational system, well-conditioned synthetic data generated by an optimal controlled Monte Carlo data generation configurations can be unbiasedly evaluated against those generated by other set-ups and against the original data. The analysis results reconfirm that controlled Monte Carlo data generation is able to overcome the shortage of observations, improve the data multinormality and enhance the reliability of the Mahalanobis squared distance–based damage identification method particularly with respect to false-positive errors. The results also highlight the dynamic structure of controlled Monte Carlo data generation that makes this scheme well adaptive to any type of input data with any (original) distributional condition.

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.