On Taylor Series Expansion for Statistical Moments of Functions of Correlated Random Variables dagger
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F20%3APU137276" target="_blank" >RIV/00216305:26110/20:PU137276 - isvavai.cz</a>
Result on the web
<a href="https://www.mdpi.com/2073-8994/12/8/1379" target="_blank" >https://www.mdpi.com/2073-8994/12/8/1379</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/sym12081379" target="_blank" >10.3390/sym12081379</a>
Alternative languages
Result language
angličtina
Original language name
On Taylor Series Expansion for Statistical Moments of Functions of Correlated Random Variables dagger
Original language description
The paper is focused on Taylor series expansion for statistical analysis of functions of random variables with special attention to correlated input random variables. It is shown that the standard approach leads to significant deviations in estimated variance of non-linear functions. Moreover, input random variables are often correlated in industrial applications; thus, it is crucial to obtain accurate estimations of partial derivatives by a numerical differencing scheme. Therefore, a novel methodology for construction of Taylor series expansion of increasing complexity of differencing schemes is proposed and applied on several analytical examples. The methodology is adapted for engineering applications by proposed asymmetric difference quotients in combination with a specific step-size parameter. It is shown that proposed differencing schemes are suitable for functions of correlated random variables. Finally, the accuracy, efficiency, and limitations of the proposed methodology are discussed.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
20101 - Civil engineering
Result continuities
Project
<a href="/en/project/GA18-13212S" target="_blank" >GA18-13212S: Response surface and sensitivity analysis methods in stochastic computational mechanics (RESUS)</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Symmetry
ISSN
2073-8994
e-ISSN
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Volume of the periodical
12
Issue of the periodical within the volume
8
Country of publishing house
CH - SWITZERLAND
Number of pages
14
Pages from-to
1-14
UT code for WoS article
000564671300001
EID of the result in the Scopus database
2-s2.0-85090276408