Titlebook: Cyclostationarity: Theory and Methods – IV; Contributions to the Fakher Chaari,Jacek Leskow,Anna Dudek Conference proceedings 2020 Springer

時(shí)代

Application of the CIR Model for Spot Short Interest Rates Modelling on the Polish Market,r studying the short interest rates, i.e. the Cox, Ingersoll, Ross model (.) (henceforth CIR). We propose a new approach to estimating an instantaneous short interest rate: our attention is shifted from the whole term structure of the interest rate to the artificial notation of the short rate. In pa

condemn

synovitis

Subsampling for Heavy Tailed, Nonstationary and Weakly Dependent Time Series,one of the possible ways of selection the length the subsampling window. We illustrate our results with simulated data as well as with real data set corresponding to Nord Spool data. For such data we consider practical issues of constructing the confidence band for the periodic mean function and the

miracle

Bootstrapping the Autocovariance of PC Time Series - A Simulation Study, Minimum Volatility Method and the approach based on the logarithm of quantile are verified not to be valid for periodic nonstationary case. Finally, a heuristic method of the block length choice is proposed.

啟發(fā)

Misnomer

On Extreme Values in Stationary Weakly Dependent Random Fields, LARCH(.) fields. We show that, under suitable weak-dependence conditions, the maximum may be regarded as the maximum of an approximately independent sequence of sub-maxima, although there may be high local dependence leading to clustering of high values. These results on asymptotic max-independence

engrossed

Subordinated Processes with Infinite Variance,ed processes. We examine the characteristic function, the codifference, the probability density function, asymptotic tail behaviour and the fractional order moments. To make the application of these processes possible we propose a simulation procedure. Finally, we demonstrate how to estimate the tai

Mindfulness

Ornstein-Uhlenbeck Process Delayed by Gamma Subordinator,in-Uhlenbeck process delayed (subordinated) by Gamma subordinator. The Gamma subordinator is Lévy process of Gamma distribution. The main properties are studied, like the influence of the initial condition on the stationarity of the new subordinated process. Moreover, the formulas for the expected v

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Combination of Kolmogorov-Smirnov Statistic and Time-Frequency Representation for P-Wave Arrival Denov (KS) statistic analysis. We apply two-sample one-sided Kolmogorov-Smirnov statistic to spectra vectors obtained from the spectrogram. On the basis of KS map it is possible to find the regime switching point which indicates the P-wave onset moment. The method is tested on a real life signal origi

放逐

,Estimation of the Pointwise H?lder Exponent in Time Series Analysis,e H?lder exponents allows for the analysis of the variability of a process in the surrounding of any argument of the domain. The aim of the article is to select the right surrounding in the process of estimation of the pointwise H?lder exponents for different analytical forms of generating function