Stationary process
Identification of Mathematical Model Parameters of Stationary Process
... In work the problem of synthesis of mathematical model of stationary process is examined in de- terministic statement. It is supposed that the amount of measurements by each variable minimally and coincides ...
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Is CPI generated from stationary process? An investigation on unit root hypothesis of India’s CPI
... a stationary process for the purpose of which, a set of time series data on CPI with 4,420 observation arranged on daily basis from November 10, 2003 to December 16, 2015 is retrieved from the official ...
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Truncated Geometric Bootstrap Method for Time Series Stationary Process
... This paper introduced a bootstrap method called truncated geometric bootstrap method for time series stationary process. We estimate the parameters of a geometric distribution which has been truncated as a ...
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Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
... Option pricing is one of the most important problems in quantitative finance and many researchers are involved in it. As a description, down–and–out barrier option is that option which deactivated (knock–out) if the ...
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A Mathematical Model for the Non-Stationary Process of Compression Molding of Plates from Granulate of Thermoplastic Composites
... the process of compression molding of plates and calculating the dimensions of the mold without costly and long-term ...the process isothermicity and inde- pendence of the thermal-physical coefficients from ...
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Estimating population means in covariance stationary process
... The simplest fixed sample size confidence interval method is based on generating, for the process under consideration, k>1 independent replications of size m using independent steams of random numbers. When k ...
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A novel stochastic linearization framework for seismic demand estimation of hysteretic MDOF systems subject to linear response spectra
... A computationally efficient nonlinear stochastic dynamics based framework has been proposed for estimating the peak inelastic response of hysteretic MDOF structural systems subject to a given family of linear response ...
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Can the Law of One Price be tested?
... adjustment process, such as for example stationary process if the price differential is positive (probably after taking into account the transaction costs band, but a non-stationary ...
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SHIFT OPERATOR FOR PERIODICALLY CORRELATED PROCESSES
... any stationary stochastic pro- cess has a bounded shift and that it is a unitary ...non-stationary process as we saw above the shift may not even exist and in order for a stochastic process to ...
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Martingale approximation for common factor representation
... In this paper we do not rely on the asymptotics developed for dynamic factor models, but assume that a multivariate time series is generated by a linear stationary process of a fixed cross- section ...
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Unit Roots in White Noise
... general stationary or non-stationary process, converges to the uniform distri- bution over the unit circle on the complex plane, when both T and n tend to infinity so that (ln T) /n → 0 and n 3 /T → ...
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The effect of autocorrelation on the performance of MEWMA control chart with controlled correlation
... detect process shift. [9] considered process observations following a first order autoregressive vector(VAR(1)) stationary process and they proposed a method for monitoring the mean of the ...
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Outlier-Tolerant Identification and Abrupt Change Detection for Stationary Multi-dimensional Process
... Abstract—Covariance matrix and location vector (Σ,μ) are widely used to describe the multi-dimensional stationary process. A lot of practice in data analysis show that classical approaches, such as the mean ...
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Joint time-frequency representation of simulated earthquake accelerograms via the adaptive chirplet transform
... The stationary part y(t) of the non-stationary process of Equation 15 is defined by an appropri- ately filtered Kanai-Tajimi power ...of stationary seismic waves, with unbiased frequency ...
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Random walks on activity-driven networks with attractiveness
... tween simulations and analytical predictions is clear. Taken together, the two figures present a rich picture. First, they show that the larger the activity, the larger the capability of gathering walkers. The trend ...
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Computationally Efficient Estimation of Non-stationary Gaussian Process Models for Large Spatial Data.
... In this dissertation, we described new computational methods for two non-stationary Gaussian process models in the case of large spatial data. We describe an algorithm to estimate partitions of the domain ...
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THE PIVOTAL TESSELLATION
... Concerning the planar pivotal Poisson tessellation Ψ, the main conclusion is that it is not stationary, as illustrated by the results (Eqs.11, 18, and 23). The asymptotic mean number of vertices of a polygon is 4, ...
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On the almost sure running maxima of solutions of affine stochastic functional differential equations
... Abstract. This paper studies the large fluctuations of solutions of scalar and finite-dimensional affine stochastic functional differential equations with finite memory as well as related nonlinear equations. We find conditions ...
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Most probable paths and performance formulae for buffers with Gaussian input traffic
... In this paper, performance formulae for a queue serving Gaussian traffic are presented. The main technique employed is motivated by a general form of Schilder’s theorem, the large deviation result for Gaussian processes. ...
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Functional generalized autoregressive conditional heteroskedasticity
... A first step to introduce a functional heteroskedastic framework in the tradition of Engle (1982) was un- dertaken in H¨ormann et al. (2013). These authors found conditions for the existence of functional ARCH(1) ...
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