Showing 111 - 120 of 483
Persistent link: https://www.econbiz.de/10005615997
We propose a new estimator of the Lyapunov, exponent for one-dimensional chaotic dynamical systems. We prove its consistency, and show that it has good practical properties, such as weak data requirements, on a set of standard examples.
Persistent link: https://www.econbiz.de/10005641147
In both estimation and calibration studies, the notion of ergodicity plays a fundamental role, permitting time series … quantitative modeling do not satisfy the classical ergodicity conditions. In this paper we develop a new set of ergodicity …’s notable that the classical ergodicity results can be recovered as a special case of our main theorem. …
Persistent link: https://www.econbiz.de/10010743115
This paper investigates a class of multiple-threshold models, called Multiple Threshold Double AR (MTDAR) models. A sufficient condition is obtained for the existence and uniqueness of a strictly stationary and ergodic solution to the first-order MTDAR model. We study the Quasi-Maximum...
Persistent link: https://www.econbiz.de/10010747015
This series of working papers explores a theme enjoying a tremendous resurgence: the functional distribution of income--the division of aggregate income by factor share. This first installment surveys some landmark theories of income distribution. Some provide a technology-based account of the...
Persistent link: https://www.econbiz.de/10010775075
. Lett. 63 (2003) 173] have established a hierarchical connection between mixing, ergodicity, and the fluctuation …–dissipation theorem (FDT). This hierarchy means that ergodicity is a necessary condition for the validity of the FDT, and mixing is a … necessary condition for ergodicity. In this work, we compare those results with recent investigations using the Lee recurrence …
Persistent link: https://www.econbiz.de/10010588727
critical point is governed by fluctuations violating fluctuation–dissipation theorem (FDT). The temperature of ergodicity …
Persistent link: https://www.econbiz.de/10010588829
In this article, our primary objective is to develop an estimator of the power-law exponent based on the observable individual wealth in the mean-field Bouchaud–Mézard model. As a result, a simple and strongly consistent estimator of the power-law exponent in the mean-field Bouchaud–Mézard...
Persistent link: https://www.econbiz.de/10010589001
restoration of ergodicity. We discuss some of the general implications of our work, including the direct connection to topological …
Persistent link: https://www.econbiz.de/10010589692
According to a recently given ergodic condition for Hermitian many-body models the thermodynamic limit and irreversibility are necessary but by themselves not sufficient. The sufficient condition turns out to be the existence of a zero-frequency mode. It is measured by an infinite product of the...
Persistent link: https://www.econbiz.de/10010590211