long-range autocorrelation dependence
Effects of aggregation on estimators of long-range dependence
... a long time, the most celebrated example being the level of the river ...alternating long periods of dryness with long periods of ...apparent long-term trend, despite the existence of local ...
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A Practical Method for Weak Stationarity Test of Network Traffic with Long-Range Dependence
... Note that the meaning of ‘considerably’ or ‘significantly’ is characterized by the correlation threshold. The selection of the correlation threshold γ , however, relies on the individual researchers, usually ranging from ...
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Spurious long range dependence: evidence from Malaysian equity markets
... Long-range dependence (LRD) financial time series (Mandelbrot,1997) has received great interests from academicians and researchers particularly in financial risks management as well as new finding ...
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Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range
... the case of significant short-term memory in the process, the method of Lo would lead to biased estimates of H. Moreover, if the short-term memory is not significant or low, the method of Lo does not significantly differ ...
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Long Range Dependence and Structural Breaks in the Gold Markets
... the long memory pattern is consistently significant over the whole sample ...for long memory in gold futures daily returns, which suggest that the autocorrelation function in the 24-year period from ...
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Long-Range Dependence of Markov Processes
... gji2yfg w@oWcf@klhgjunWpuhg{y!g{yfcf@kwHpupklcfkswHpi wHcfehg upkitctyksoWnpcfkswHv nppcfklwH8w@vcfehg itg{y klg cfklq gji@Wu8cfehg ifctynpcfnhyfgw@vcfepg w@y[r] ...
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The electrochemical deposition of mercury on glassy carbon electrodes : a thesis in partial fulfilment of the requirements for the degree of Masters in Science in Chemistry at Massey University, Palmerston North, New Zealand
... A range of experiments were undertaken including concentration dependence, rotation dependence, scan rate dependence, electrochemical-cleaning, and the dependence of the length of time l[r] ...
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A distance test of normality for a wide class of stationary processes
... the dependence parameter of the data nor of the appropriate norming factor for the test ...short-range dependence, long-range dependence and ...
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The topological properties of QCD at high temperature: problems and perspectives
... the autocorrelation time of Q gets larger and larger as the continuum limit is ap- proached is quite easy to understand: since Q is a topological invariant, to change its value it is necessary to pass through ...
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Multilevel Modelling with Spatial Effects
... positive dependence, the outcome could be that, since the actual information content is smaller than that implied by the actual sample size, using the data as though they were independent leads to standard errors ...
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Study and mitigation of calibration factor instabilities in a water vapor Raman lidar
... External calibration of the lidar WVMR profiles was achieved with two types of auxiliary measurements: relative humidity measurements from PTU sensors and ZWD data derived from GPS measurements following the methodology ...
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Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets
... The contribution of this paper has been twofold: first we have uncovered the high degree of volatility persistency, strong fractional comovement and risk premia of Latin American EBM’s and, second, we have proposed a new ...
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Linearization of randomly weighted empiricals under long range dependence with application to nonlinear regression quantiles
... with long range depen- dent errors+ In P +M+ Robinson & M+ Rosenblatt ~eds+!, Athens Conference on Applied Probability and Time Series, vol+ 2, Springer Verlag Lecture Notes Series 115+ New York: ...
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Long range dependence in South African Platinum prices under heavy tailed error distributions
... In this chapter, we use methods discussed in the previous chapters to investigate the distributional properties of platinum return series and inherent volatility dynamics. In the literature it has been found that ...
157
Mixed Fractional Merton Model to Evaluate European Options with Transaction Costs
... the long memory property of financial markets, a mixed fractional version of the Merton model is introduced, which is based on a combination of Poisson jumps and MFBM ...have long memory and fatter tails ...
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Effect of the Illuminating Point Spread Function and Roughness on the Speckle Correlation Field
... the range from − π to + π and the number of the interfering waves contributing to any point of the observation plane is large enough [1] [8] [9] [10] [11] ...addition, long and ringing tails of the ...
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Long Range District Plan
... Examples of the county and local level scanning include the District Governing Board’s county- wide community survey, YC-facilitated health summits with local health care providers and [r] ...
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Temporal fractals in movies and mind
... a long or medium- long shot, then the camera moves in on the characters as they converse, and then it often backs off at the end of the scene (Cutting et ...
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Long-range WindScanner System
... LRWSs were configured to intersect the laser beams above a 116-meter met mast (reference mast), where a cup anemometer and wind vane are mounted. Since low elevation angles were used to direct the laser beams (< 6 ◦ ...
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Research on Cutting Tool Wear Based on Fractional Brownian Motion
... Abstract: Cutting tool wear is a very complex process. Various factors have a direct or indirect effect on cutting tool wear, resulting in uncertainty, so it is difficult for experimental data and result to have good ...
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