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Beare, Brendan - Department of Economics, University of California-San … - 2008

in stationary Markov chains using copula functions. We obtain conditions that imply a geometric rate of mixing in models … of this kind. A geometric rate of beta-mixing is shown to obtain under a rather strong condition that rules out asymmetry … and tail dependence in the copula function. Rho-mixing, which implies a geometric rate of alpha-mixing, is obtained under …

Persistent link: https://www.econbiz.de/10010817527

Archimedean Copulas and Temporal Dependence

Beare, Brendan K. - Department of Economics, University of California-San … - 2010

We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric orgodicityof the associated Markov chain. We verify our...

Persistent link: https://www.econbiz.de/10010817548

A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution

Wied, Dominik; Dehling, Herold; van Kampen, Maarten; … - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 723-736

A CUSUM type test for constant correlation that goes beyond a previously suggested correlation constancy test by considering Spearman’s rho in arbitrary dimensions is proposed. Since the new test does not require the existence of any moments, the applicability on usually heavy-tailed financial...

Persistent link: https://www.econbiz.de/10010776987

Hydrodynamic Model of the Lower Hudson River Estuarine System and its Application for Water Quality Management

Novikov, Andrei; Bagtzoglou, Amvrossios - In: Water Resources Management 20 (2006) 2, pp. 257-276

In this paper a hydrodynamic model and associated post-processing tools for the Lower Hudson River (LHR) are presented. The model computes the two-dimensional (2D), depth-averaged Eulerian time-dependent velocity field in response to various external signals. The paper documents the mathematical...

Persistent link: https://www.econbiz.de/10010847338

Modelling time trend via spline confidence band

Wang, Jing - In: Annals of the Institute of Statistical Mathematics 64 (2012) 2, pp. 275-301

Persistent link: https://www.econbiz.de/10010848638

Planktonic interactions and chaotic advection in Langmuir circulation

Bees, M.A.; Mezic, I.; McGlade, J. - In: Mathematics and Computers in Simulation (MATCOM) 44 (1998) 6, pp. 527-544

The role of unsteady laminar flows for planktonic communities is investigated. Langmuir circulation is used, as a typical medium-scale structure, to illustrate mechanisms for the generation of plankton patches. Two behaviours are evident: chaotic regions that help to spread plankton and locally...

Persistent link: https://www.econbiz.de/10010870731

Tsallis’ q-triplet and the ozone layer

Ferri, G.L.; Reynoso Savio, M.F.; Plastino, A. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 9, pp. 1829-1833

Tsallis’ q-triplet [C. Tsallis, Dynamical scenario for nonextensive statistical mechanics, Physica A 340 (2004) 1–10] is the best empirical quantifier of nonextensivity. Here we study it with reference to an experimental time-series related to the daily depth-values of the stratospheric...

Persistent link: https://www.econbiz.de/10010873239

U-processes, U-quantile processes and generalized linear statistics of dependent data

Wendler, Martin - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 787-807

which are strongly mixing or L1 near epoch dependent on an absolutely regular process. For this purpose, we prove an almost …

Persistent link: https://www.econbiz.de/10010875083

A Nonparametric Study of Real Exchange Rate Persistence over a Century

Kim, Hyeongwoo; Ryu, Deockhyun - Department of Economics, Auburn University - 2013

This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short memory in mean (SMM) and the short...

Persistent link: https://www.econbiz.de/10010862348

Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach

Kim, Hyeongwoo; Ryu, Deockhyun - Department of Economics, Auburn University - 2013

This paper evaluates the speed of convergence across national stock markets employing a nonlinear, nonparametric stochastic model of relative stock prices. We use operational algorithms for estimating general measures of persistence of the relative stock price that are based on two statistical...

Persistent link: https://www.econbiz.de/10010862364