long-range dependent models
Modeling long range dependent Gaussian processes with application in continuous time financial models
... continuous-time long–range dependent processes has become a common feature of many applications, especially in econometrics and finance (see Baillie and King 1996; Comte and Renault 1996, ...
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Econometric estimation in long range dependent volatility models: Theory and practice
... There is a long history about the study of stochastic volatilities. More than thirty years ago, Black and Scholes (1973) assume a constant volatility to derive their famous option pricing equation. The implied ...
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A long range dependent model with nonlinear innovations for simulating daily river flows
... Innovations can be regarded as shocks to the linear system. They are uncorrelated but their squares and absolute values are autocorrelated and, additionally, they exhibit nonseasonal periods of high and low variances ...
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Long-range Heisenberg models in quasiperiodically driven crystals of trapped ions
... of long-range XYZ models using cur- rent trapped-ion ...of long- range interactions on the phase diagram by combining an adiabatic protocol with the quasi-periodic drivings, and test ...
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Statistical Analysis of Long-Range Dependent Processes via a Stochastic Intensity Approach, with Applications in Networking
... In order for computers to connect with one another and with peripheral devices to exchange information with as little error as possible, they have to follow a set of rules or standards called protocols (Stallings 1997). ...
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Linearization of randomly weighted empiricals under long range dependence with application to nonlinear regression quantiles
... and long range depen- dent ~L + R + D +! ~see ~3 + 1!, which follows , for the definition!, respectively , in linear models with nonrandom regressors ...
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Long-range WindScanner System
... flow models [16,18,19] or to develop new CDL instruments that do not demand the horizontal homogeneity of the flow to produce accurate ...heavily dependent on the flow model choice and parametrization ...
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On the Long Range Dependent Behaviour of Unidirectional Packet Delay of Wireless Traffic
... However, not many studies have focused on investigating the existence (or otherwise) of LRD within finer-grained end-to- end performance metrics at the level of individual flows. A few studies have reported ...
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Statistical modeling of the long-range-dependent structure of barrier island framework geology and surface geomorphology
... Our findings extend previous framework geology stud- ies from Outer Banks, NC (e.g., Browder and McNinch, 2006; McNinch, 2004; Riggs et al., 1995; Schupp et al., 2006), Fire Island, NY (e.g., Hapke et al., 2010; Lentz ...
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Long range dependent processes and fractional Brownian motion
... There has been diverse applications of stochastic differential equations in other disciplines. For exam ple, given the apparent random fluctuations of share prices on the stock exchange, it has seemed n atu ral to use ...
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Long Short Range Context Neural Networks for Language Modeling
... and long range dependencies in language modeling led to what is known as multi-span LMs (Bellegarda, ...these models is to learn the various constraints, both local and global, that are present in a ...
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Range-Based Threshold Spot Volatility Estimation for Jump Diffusion Models
... Realized range-based variance (developed in [21], [22], [23]) is formed from entire price process, so this technique for volatility estimation reveals more information than the realized method in which returns are ...
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Experimental plan of Σp scatterings at J-PARC
... The nuclear force is one of the most important phenomena which form all the “matter” in nature. However, our understanding of the nuclear force is quite unsatisfactory yet. In view of the current nuclear physics, ...
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Long range predictability of atmospheric flows
... In fact, a study of the formation of the coherent struc- tures shows that it is precisely the small scale turbulent chaos which causes the local mixing of the vorticity field and this is the mechanism responsible for the ...
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Neurophysiological signals as predictive translational biomarkers for Alzheimer’s disease treatment: effects of donepezil on neuronal network oscillations in TgF344-AD rats
... For data acquisition, LFPs were amplified and filtered between 1 and 300 Hz using A-M System (Carlsborg, WA, USA) with an additional notch filter at 60 Hz. The signal was simultaneously sampled at 2 kHz and stored on a ...
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A distance test of normality for a wide class of stationary processes
... also long-range dependence and an- ...of long-range dependence, slowly enough to be non-summable. Models that allow for long-range dependence have been found to be useful ...
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On Delay-Range-Dependent and Delay-Rate-Dependent Stability for Delayed Systems
... In this paper, we develop the delay-range-dependent stability criterion for delayed systems. The Jensen’s integral inequality, together with the reciprocally convex lemma, was employed and the derivative of ...
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NET Generation Thinking outside the box by using online learning methods
... Modern society is based on the widespread use of ICT. These technologies are used by a large number of people and no longer represent just the domain of professionals. Therefore, skills in using ICT have become a ...
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Analysis and modelling of a 9 3 kyr palaeoflood record: correlations, clustering, and cycles
... quantifying long-range correlations. Meth- ods for quantifying long-range correlations have systematic and random errors in the resultant estimator for time se- ries with very asymmetric ...
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The Effect of Cryptocurrency on Exchange Rate of China: Case Study of Bitcoin
... In this step, F-statistic will be compared to the critical value that tabulated by Pesaran (1997) and Pesaran et al (2001). If the F-statistic is higher than upper critical, null hypothesis (no cointegration) can be ...
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