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The basic assumption of common extreme value statistics is that different events in a time record are uncorrelated. In this case, the return intervals rq of events above a given threshold size q are uncorrelated and follow the Poisson distribution. In recent years there is growing evidence that...
Persistent link: https://www.econbiz.de/10011063336
The present study investigates linear and volatile (nonlinear) correlations of first-order auto-regressive process with uncorrelated AR (1) and long-range correlated CAR (1) Gaussian innovations as a function of the process parameter (θ). In the light of recent findings [A. Király, I.M....
Persistent link: https://www.econbiz.de/10011063484
We study the multifractal temporal scaling properties of river discharge and precipitation records. We compare the results for the multifractal detrended fluctuation analysis method with the results for the wavelet-transform modulus maxima technique and obtain agreement within the error margins....
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A new algorithm for clustering life course trajectories is presented and tested with large register data. Life courses … clustering result for this kind of data provides interesting subgroups with similar life course trajectories. The high sampling … information. The new algorithm deals with this problem by simultaneously clustering and identifying critical junctures for each of …
Persistent link: https://www.econbiz.de/10010304330
series model for each ATMs. For clustering, the succession of 7 continuous daily withdrawal seasonality parameters of ATMs is … result of Andrawis et al. (2011). This is due to clustering followed by a forecasting phase. Further, the proposed approach … yielded much smaller SMAPE values than the approach of direct prediction on the entire sample without clustering. From a …
Persistent link: https://www.econbiz.de/10011083095
series model for each ATMs. For clustering, the succession of seven continuous daily withdrawal seasonality parameters of … better than the result of Andrawis, Atiya, and El-Shishiny (2011). This is due to clustering followed by a forecasting phase … without clustering. From a managerial perspective, the clusterwise cash demand forecast helps the bank’s top management to …
Persistent link: https://www.econbiz.de/10011052405
including transaction costs. Computational results based on clustering selection are compared to those of random techniques and … show the importance of clustering in noise reduction and robust forecasting applications, in particular for enhanced index …
Persistent link: https://www.econbiz.de/10010589147
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