long range dependence
A non-linear approach with long range dependence based on chebyshev polynomials
... of long range dependence in the context of non-linear ...displays long memory behavior. We use a general definition of long memory that allows the inclusion of one or more poles or ...
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Investigation of the IOT Network of Packet Loss’s Long-Range Dependence and QOE
... First, introduce NS2’s principles of generating self similar traffic. Second, discuss the number of superimposed source N, shape parameter, Hurst parameter, the output link speed has impacts on long correlation, ...
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Statistical estimation of nonstationaryGaussian processes with long range dependence and intermittency
... of long-range dependence and intermittency of the time series has facilitated the use of modern regression analysis to model the dependence of the maximum daily ozone on some factors such as ...
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Recent advances on the semi-parametric estimation of the long-range dependence coefficient
... up to a nite number of parameters. In the semi-parametric context, only the long- range dependence of the time-series is assumed and the exact formof L is not known. There are dierent techniques for ...
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Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range
... of long-range dependence are biased by presence of short-range dependence in the underlying time ...rescaled range and modified rescaled ...any long-range ...
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Linearization of randomly weighted empiricals under long range dependence with application to nonlinear regression quantiles
... exhibit long range dependence ~characterized by hyperbolic decay of correlations!+ More specifi- cally , L + R + D + models with a regression trend to arise in many fundamental ap- plications of ...
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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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Effects of aggregation on estimators of long-range dependence
... where long range dependence arises the amount of data collected can be such that it is often convenient to aggregate it in bins for analysis ...
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True and apparent scaling: the proximity of the markov switching multifractal model to long range dependence
... This specification implies that replacement happens with probability of one half at the highest cascade level. Various approaches have been employed to estimate multifractal models. The parameters of the combinatorial ...
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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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Modelling Long Range Dependence and Non linearity in the Infant Mortality Rates of Africa Countries
... such that the higher the value of d is, the higher the degree of association is between observations distant in time. The parameter d actually plays a very crucial role in determining the degree of persistence of the ...
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Long Range Dependence and Structural Breaks in the Gold Markets
... The dynamics of the gold market has long been studied. For example, Tandon and Urich (1987) found that the daily gold price is influenced by the unanticipated factors of U.S. money supply and producer price index ...
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Are Pound and Euro the Same Currency? Updated
... on long range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes ...
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Mixed Fractional Merton Model to Evaluate European Options with Transaction Costs
... describing long-range dependence in financial return series, a mixed fractional Brownian ( MFBM ) model has been proposed as an improvement of the classical BS model ...and long-range ...
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Testing for a change in mean under fractional integration
... Abstract: We consider testing for the presence of a change in mean, at an unknown point in the sample, in data that are possibly fractionally integrated, and of unknown order. This testing problem has recently been ...
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Research on Cutting Tool Wear Based on Fractional Brownian Motion
... the long-range dependence advantages of time series, combined FBM theory with Wigner-Ville spectrum, the cutting tool wear state can be determined according to fractal dimension and average slope of ...
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A deep learning framework for predicting cyber attacks rates
... We proposed a BRNN-LSTM framework for predict- ing cyber attack rates. The framework can accommo- date complex phenomena exhibited by datasets, including long-range dependence and highly ...
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Temporal fractals in movies and mind
... a long-range dependence measure, neither of which is sensitive to the vector lengths of their inputs within the ranges explored ...increased long-range dependence is related to, ...
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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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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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