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Stochastic Prediction of Drought Class Transitions

Paulo, Ana; Pereira, Luis - In: Water Resources Management 22 (2008) 9, pp. 1277-1296

This paper aims at the stochastic characterization of droughts applying Markov chains modeling to drought class … considered. The drought class probabilities, the expected residence time in each class of severity, the expected time for the … transition between drought classes and the drought severity class predictions 1, 2, or 3 months ahead have been obtained. Those …

Persistent link: https://www.econbiz.de/10010997956

Trend analysis of the rainfall erosivity index at different time scales in Iran

Sadeghi, Seyed; Hazbavi, Zeinab - In: Natural Hazards 77 (2015) 1, pp. 383-404

The minute study of the magnitude of changeability and the trend of the rainfall erosivity index has not been taken carried out yet in Iran. The present research therefore aimed to analyze the trends of the rainfall erosivity index as an initial step in the study of the consequences of climatic...

Persistent link: https://www.econbiz.de/10011241163

Synchronization of competitive neural networks with different time scales

Lou, Xuyang; Cui, Baotong - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 563-576

In this paper, the exponential synchronization problem for a class of competitive neural networks is investigated. Moreover, without assuming the active functions to be differentiable and bounded, some exponential synchronization criteria are devised by Lyapunov functionals, linear matrix...

Persistent link: https://www.econbiz.de/10010590741

The quadratic variation of Brownian motion on a time scale

Grow, David; Sanyal, Suman - In: Statistics & Probability Letters 82 (2012) 9, pp. 1677-1680

The quadratic variation of a Brownian motion indexed by a nonempty closed subset of the reals, i.e. a time scale, is investigated and examples are given for various time scales to illustrate the result.

Persistent link: https://www.econbiz.de/10010597159

The Financing of a Public Utility

Smith, Eric; Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2012

The interaction of capital stock with overlapping generations is investigated where the time structures of human capital and other physical capital does not match. We consider the economies with either gold or fiat as the outside money and consider the financing problems that appear in the...

Persistent link: https://www.econbiz.de/10010895678

Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales

Wang, Gang-Jin; Xie, Chi; He, Ling-Yun; Chen, Shou - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 70-79

In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at...

Persistent link: https://www.econbiz.de/10010931558

Effects of dynamic response time in an evolving market

Zhong, Li-Xin; Qiu, Tian; Chen, Bi-Hui; Liu, Cai-Feng - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 5, pp. 673-681

Considering the time scales of global information and personal reaction, we study the role of dynamic response time in the evolution of collective behavior in an evolving market. The insensitiveness to the market information makes the population cluster around a kind of extreme behavior, in...

Persistent link: https://www.econbiz.de/10010873958

Multifractal Hurst analysis of crude oil prices

Alvarez-Ramirez, Jose; Cisneros, Myriam; Ibarra-Valdez, … - In: Physica A: Statistical Mechanics and its Applications 313 (2002) 3, pp. 651-670

Daily records of international crude oil prices are studied using multifractal analysis methods. Rescaled range Hurst analysis provides evidence that the crude oil market is a persistent process with long-run memory effects. On the other hand, height–height correlation analysis reveals...

Persistent link: https://www.econbiz.de/10010874774

Exploring exchange rate returns at different time horizons

Nekhili, Ramzi; Altay-Salih, Aslihan; Gençay, Ramazan - In: Physica A: Statistical Mechanics and its Applications 313 (2002) 3, pp. 671-682

This paper explores and compares the empirical distribution of the US dollar–deutsche mark exchange rate returns with well-known continuous-times processes at different frequencies. We use a variety of parametric models to simulate the unconditional density of the exchange rate returns at...

Persistent link: https://www.econbiz.de/10010874783

Time scale evaluation of economic forecasts

Michis, Antonis A. - In: Economics Letters 123 (2014) 3, pp. 279-281

A maximal overlap discrete wavelet transform is used to obtain time scale decompositions of economic forecasts and their errors. The generated time scale components can be used in loss measures and tests for comparing forecast accuracy to evaluate whether the forecasts accurately capture the...

Persistent link: https://www.econbiz.de/10010776613