We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In...

We introduce a weighted-moving-average analysis for the tick-by-tick data of yen–dollar exchange rates. The weights are determined automatically for given data by applying the Yule–Walker formula for autoregressive model. Although the data are non-stationary, the resulting moving average...

На основе непрерывных дробей разработан алгоритм моделирования стационарного случайного процесса, установлено соответствие между непрерывной и дискретной...

This paper formulated a short-run model, with an explicit role for monetary policy, for analyzing world oil and gas markets. The model described carefully the parameters of these markets and their vulnerability to business cycles. Estimates showed that short-run demand for oil and gas was price-...

This paper presents an algorithm for synchronizing two different chaotic systems by using a combination of Unscented Kalman–Bucy Filter (UKBF) and sliding mode controller. It is assumed that the drive chaotic system is perturbed by white noise and shows stochastic chaotic behavior. In addition...

In this paper, the leader-following consensus problem of noise perturbed multi-agent systems with time-varying delays is investigated. We analyze two different cases of coupling topologies: fixed topology and switching topology. Based on the Lyapunov functional and combining with the linear...