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We introduce a novel method for obtaining a wide variety of moments of a random variable with a well-defined moment-generating function (MGF). We derive new expressions for fractional moments and fractional absolute moments, both central and non-central moments. The new moment expressions are relatively simple integrals that involve the MGF, but do not require its derivatives. We label the new method CMGF because it uses a complex extension of the MGF and can be used to obtain complex moments. We illustrate the new method with three applications where the MGF is available in closed-form, while the corresponding densities and the derivatives of the MGF are either unavailable or very difficult to obtain.

This paper presents a novel method to quantify seafarers' good seamanship during navigation scenarios with multi-vessel encounters -- in open and confined waters --, and to compute COLREG's-compliant trajectories for avoiding collision and grounding. The quantification of good seamanship requires knowledge about the state of the vessels (position, heading, and speed) and the surrounding sailing environment. Such information is accessible through the AIS system and the electronic nautical chart. The proposed method evaluates mutual collision risk by examining domain violations of each vessel, and comparing them to the seaman's actions. This results in a comprehensive metric of good seamanship. As risk free actions are not always possible in the resolution of a potential collision and grounding, the method adopts a branch-and-bound scheme to identify achievable maneuvers that minimize the risk. Further, the dynamic nature of vessel speed in congested scenarios is considered, recognizing potential changes in both own and target vessels' forward speeds. The proposed method is experimentally evaluated using historical AIS data and sea charts of Danish waters. This research contributes to the field by providing a more realistic perspective on seamanship in complex maritime environments., Comment: The 15th IFAC Conference on Control Applications in Marine Systems, Robotics, and Vehicles (CAMS 2024)

We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it can accommodate cluster structures in the conditional correlation matrix and in the tail dependencies. The expressions for the log-likelihood function and its derivatives are tractable, and the latter facilitate a score-drive model for the dynamic correlation structure. We apply the Cluster GARCH model to daily returns for 100 assets and find it outperforms existing models, both in-sample and out-of-sample. Moreover, the convolution-t distribution provides a better empirical performance than the conventional multivariate t-distribution.

We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distributions, the multivariate convolution-t distributions embody cluster structures with flexible nonlinear dependencies and heterogeneous marginal distributions. Importantly, convolution-t distributions have simple density functions that facilitate estimation and likelihood-based inference. The characteristic features of convolution-t distributions are found to be important in an empirical analysis of realized volatility measures and help identify their underlying factor structure.

The encounter situation between marine vessels determines how they should navigate to obey COLREGs, but time-varying and stochastic uncertainty in estimation of angles of encounter, and of closest point of approach, easily give rise to different assessment of situation at two approaching vessels. This may lead to high-risk conditions and could cause collision. This article considers decision making under uncertainty and suggests a novel method for probabilistic interpretation of vessel encounters that is explainable and provides a measure of uncertainty in the evaluation. The method is equally useful for decision support on a manned bridge as on Marine Autonomous Surface Ships (MASS) where it provides input for automated navigation. The method makes formal safety assessment and validation feasible. We obtain a resilient algorithm for machine interpretation of COLREGs under uncertainty and show its efficacy by simulations., Comment: Submitted to IEEE Transactions on Intelligent Transportation Systems