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Time series analysis of ozone data in Isfahan
Omidvari, M.; Hassanzadeh, S.; Hosseinibalam, F. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4393-4403
Time series analysis used to investigate the stratospheric ozone formation and decomposition processes. Different time series methods are applied to detect the reason for extreme high ozone concentrations for each season. Data was convert into seasonal component and frequency domain, the latter...
Persistent link: https://www.econbiz.de/10010873425
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Empirical evidence of long-range correlations in stock returns
Grau-Carles, Pilar - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 396-404
A major issue in financial economics is the behaviour of stock returns over long horizons. This study provides empirical evidence of the long-range behaviour of various speculative returns. Using different techniques such as R/S and modified R/S analysis, detrended fluctuation analysis (DFA),...
Persistent link: https://www.econbiz.de/10010871685
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The spectra and periodograms of anti-correlated discrete fractional Gaussian noise
Raymond, G.M.; Percival, D.B.; Bassingthwaighte, J.B. - In: Physica A: Statistical Mechanics and its Applications 322 (2003) C, pp. 169-179
actual spectra. The most basic spectral estimator is the periodogram. The expected value of the periodogram for dFGN with … sampled from a dFGN process, the expected value of the periodogram for H approaching zero varies as f0 rather than f1−2H. For … finite N and small H, the expected value of the periodogram can in fact exhibit a local power-law behavior with a spectral …
Persistent link: https://www.econbiz.de/10011058089
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The relationship between different price indices: Evidence from Turkey
Akdi, Yilmaz; Berument, Hakan; Mümin Cilasun, Seyit - In: Physica A: Statistical Mechanics and its Applications 360 (2006) 2, pp. 483-492
two series. The model-free and seasonally robust periodogram-based test fails to reject the null of no …
Persistent link: https://www.econbiz.de/10011059377
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Analysis of maximum traffic flow and its breakdown on congested freeways
Bassan, Shy; (Avi) Ceder, Avishai - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4349-4366
This study analyzes the dynamic behavior of traffic flow over time by deriving the theoretical value of flow oscillations convergence (F̃) following the breakdown of traffic flow. Modeling traffic flow fluctuations over time reflects two basic zones: the increasing demand zone that terminates...
Persistent link: https://www.econbiz.de/10011063453
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Interest rates factor model
Lee, Sangwook; Kim, Min Jae; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 13, pp. 2531-2548
indices from Archimedean copulas, including an empirical copula. In contrast to other pairs, the US–UK first factor pair has …
Persistent link: https://www.econbiz.de/10010874326
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Susceptibility and transport coefficients in a transient state on a one-dimensional lattice I. Extended linear response and diffusion
Kutner, R. - In: Physica A: Statistical Mechanics and its Applications 224 (1996) 3, pp. 558-588
In this paper (Part I) we extend the linear response analysis to calculate the complex dynamic susceptibility and the complex dynamic mobility/conductivity for a system in a transient state relaxing to equilibrium. This analysis has a meaning in the intermediate time and frequency region; for...
Persistent link: https://www.econbiz.de/10010874914
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Studies of spectral properties of short genes using the wavelet subspace Hilbert–Huang transform (WSHHT)
Jiang, Rong; Yan, Hong - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4223-4247
This paper presents a new algorithm for the analysis of spectral properties of short genes using the wavelet transform and the Hilbert–Huang transform (HHT). A wavelet subspace algorithm combined with the empirical mode decomposition (EMD) is introduced to create subdivided intrinsic mode...
Persistent link: https://www.econbiz.de/10010872223
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Random networks: eigenvalue spectra
Dorogovtsev, S.N.; Goltsev, A.V.; Mendes, J.F.F.; … - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 76-83
We analyze the spectra of eigenvalues for random graphs with a local tree-like structure. The exact equations to the spectra of networks with a local tree-like structure are presented. We propose a simple approximation, and in the framework of effective medium approximation, calculate spectra of...
Persistent link: https://www.econbiz.de/10010872314
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Spectral analysis informs the proper frequency in the sampling of financial time series data
Taufemback, Cleiton; Da Silva, Sergio - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 11, pp. 2067-2073
Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices...
Persistent link: https://www.econbiz.de/10010590579