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Scaling in Non-stationary time series I  [PDF]
M. Ignaccolo,P. Allegrini,P. Grigolini,P. Hamilton,B. J. West
Physics , 2003, DOI: 10.1016/j.physa.2003.12.034
Abstract: Most data processing techniques, applied to biomedical and sociological time series, are only valid for random fluctuations that are stationary in time. Unfortunately, these data are often non stationary and the use of techniques of analysis resting on the stationary assumption can produce a wrong information on the scaling, and so on the complexity of the process under study. Herein, we test and compare two techniques for removing the non-stationary influences from computer generated time series, consisting of the superposition of a slow signal and a random fluctuation. The former is based on the method of wavelet decomposition, and the latter is a proposal of this paper, denoted by us as step detrending technique. We focus our attention on two cases, when the slow signal is a periodic function mimicking the influence of seasons, and when it is an aperiodic signal mimicking the influence of a population change (increase or decrease). For the purpose of computational simplicity the random fluctuation is taken to be uncorrelated. However, the detrending techniques here illustrated work also in the case when the random component is correlated. This expectation is fully confirmed by the sociological applications made in the companion paper. We also illustrate a new procedure to assess the existence of a genuine scaling, based on the adoption of diffusion entropy, multiscaling analysis and the direct assessment of scaling. Using artificial sequences, we show that the joint use of all these techniques yield the detection of the real scaling, and that this is independent of the technique used to detrend the original signal.
Orbits of rotor-router operation and stationary distribution of random walks on directed graphs  [PDF]
Trung Van Pham
Mathematics , 2014, DOI: 10.1016/j.aam.2015.06.006
Abstract: The rotor-router model is a popular deterministic analogue of random walk. In this paper we prove that all orbits of the rotor-router operation have the same size on a strongly connected directed graph (digraph) and give a formula for the size. By using this formula we address the following open question about orbits of the rotor-router operation: Is there an infinite family of non-Eulerian strongly connected digraphs such that the rotor-router operation on each digraph has a single orbit? It turns out that on a strongly connected digraph the stationary distribution of the simple random walk coincides with the frequency of vertices in a rotor walk. In this common aspect a rotor walk simulates a random walk. This gives one similarity between two models on (finite) digraphs.
Nonparametric specification for non-stationary time series regression  [PDF]
Zhou Zhou
Statistics , 2014, DOI: 10.3150/12-BEJ477
Abstract: We investigate the behavior of the Generalized Likelihood Ratio Test (GLRT) (Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153-193]) for time varying coefficient models where the regressors and errors are non-stationary time series and can be cross correlated. It is found that the GLRT retains the minimax rate of local alternative detection under weak dependence and non-stationarity. However, in general, the Wilks phenomenon as well as the classic residual bootstrap are sensitive to either conditional heteroscedasticity of the errors, non-stationarity or temporal dependence. An averaged test is suggested to alleviate the sensitivity of the test to the choice of bandwidth and is shown to be more powerful than tests based on a single bandwidth. An alternative wild bootstrap method is proposed and shown to be consistent when making inference of time varying coefficient models for non-stationary time series.
Forecasting for stationary binary time series  [PDF]
Gusztav Morvai,Benjamin Weiss
Mathematics , 2007,
Abstract: The forecasting problem for a stationary and ergodic binary time series $\{X_n\}_{n=0}^{\infty}$ is to estimate the probability that $X_{n+1}=1$ based on the observations $X_i$, $0\le i\le n$ without prior knowledge of the distribution of the process $\{X_n\}$. It is known that this is not possible if one estimates at all values of $n$. We present a simple procedure which will attempt to make such a prediction infinitely often at carefully selected stopping times chosen by the algorithm. We show that the proposed procedure is consistent under certain conditions, and we estimate the growth rate of the stopping times.
Intermittent estimation of stationary time series  [PDF]
G. Morvai,B. Weiss
Mathematics , 2007,
Abstract: Let $\{X_n\}_{n=0}^{\infty}$ be a stationary real-valued time series with unknown distribution. Our goal is to estimate the conditional expectation of $X_{n+1}$ based on the observations $X_i$, $0\le i\le n$ in a strongly consistent way. Bailey and Ryabko proved that this is not possible even for ergodic binary time series if one estimates at all values of $n$. We propose a very simple algorithm which will make prediction infinitely often at carefully selected stopping times chosen by our rule. We show that under certain conditions our procedure is strongly (pointwise) consistent, and $L_2$ consistent without any condition. An upper bound on the growth of the stopping times is also presented in this paper.
On the prediction of stationary functional time series  [PDF]
Alexander Aue,Diogo Dubart Norinho,Siegfried H?rmann
Statistics , 2012,
Abstract: This paper addresses the prediction of stationary functional time series. Existing contributions to this problem have largely focused on the special case of first-order functional autoregressive processes because of their technical tractability and the current lack of advanced functional time series methodology. It is shown here how standard multivariate prediction techniques can be utilized in this context. The connection between functional and multivariate predictions is made precise for the important case of vector and functional autoregressions. The proposed method is easy to implement, making use of existing statistical software packages, and may therefore be attractive to a broader, possibly non-academic, audience. Its practical applicability is enhanced through the introduction of a novel functional final prediction error model selection criterion that allows for an automatic determination of the lag structure and the dimensionality of the model. The usefulness of the proposed methodology is demonstrated in a simulation study and an application to environmental data, namely the prediction of daily pollution curves describing the concentration of particulate matter in ambient air. It is found that the proposed prediction method often significantly outperforms existing methods.
Statistical mechanics of damage phenomena  [PDF]
S. G. Abaimov
Statistics , 2008, DOI: 10.1088/1742-5468/2008/09/P09005
Abstract: This paper applies the formalism of classical, Gibbs-Boltzmann statistical mechanics to the phenomenon of non-thermal damage. As an example, a non-thermal fiber-bundle model with the global uniform (meanfield) load sharing is considered. Stochastic topological behavior in the system is described in terms of an effective temperature parameter thermalizing the system. An equation of state and a topological analog of the energy-balance equation are obtained. The formalism of the free energy potential is developed, and the nature of the first order phase transition and spinodal is demonstrated.
Comment on "Irreversibility and Fluctuation Theorem in Stationary Time Series"  [PDF]
C. Van den Broeck,B. Cleuren
Physics , 2007,
Abstract: In their recent paper [Phys. Rev. Lett. 98, 094101 (2007)], A. Porporato et al. studied the irreversibility and fluctuation theorem for stationary time series. In this comment, we point out that the fluctuation theorem is in fact the trivial outcome of a symmetry operation, and hence its physical contect is less convincing.
Empirical spectral processes for locally stationary time series  [PDF]
Rainer Dahlhaus,Wolfgang Polonik
Mathematics , 2009, DOI: 10.3150/08-BEJ137
Abstract: A time-varying empirical spectral process indexed by classes of functions is defined for locally stationary time series. We derive weak convergence in a function space, and prove a maximal exponential inequality and a Glivenko--Cantelli-type convergence result. The results use conditions based on the metric entropy of the index class. In contrast to related earlier work, no Gaussian assumption is made. As applications, quasi-likelihood estimation, goodness-of-fit testing and inference under model misspecification are discussed. In an extended application, uniform rates of convergence are derived for local Whittle estimates of the parameter curves of locally stationary time series models.
On the Convergence of Finite Order Approximations of Stationary Time Series  [PDF]
Symantak Datta Gupta,Ravi R. Mazumdar,Peter W. Glynn
Mathematics , 2011,
Abstract: The approximation of a stationary time-series by finite order autoregressive (AR) and moving averages (MA) is a problem that occurs in many applications. In this paper we study asymptotic behavior of the spectral density of finite order approximations of wide sense stationary time series. It is shown that when the on the spectral density is non-vanishing in $[-\pi,\pi]$ and the covariance is summable, the spectral density of the approximating autoregressive sequence converges at the origin. Under additional mild conditions on the coefficients of the Wold decomposition it is also shown that the spectral densities of both moving average and autoregressive approximations converge in $L_2$ as the order of approximation increases.
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