Related papers: Testing for explosive bubbles: a review
This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips et al. (2011) test depends on the variance function and usually requires a…
We propose constructing confidence sets for the emergence, collapse, and recovery dates of a bubble separately by inverting tests for the location of the break date. We examine both likelihood ratio-type tests and the Elliott-Muller-type…
This paper is devoted to testing time series that exhibit behavior related to two or more regimes with different statistical properties. Motivation of our study are two real data sets from plasma physics with observable two-regimes…
This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio…
In this study, we consider a four-regime bubble model under the assumption of time-varying volatility and propose the algorithm of estimating the break dates with volatility correction: First, we estimate the emerging date of the explosive…
Contagion arising from clustering of multiple time series like those in the stock market indicators can further complicate the nature of volatility, rendering a parametric test (relying on asymptotic distribution) to suffer from issues on…
A method for testing nonlinearity in time series is described based on information-theoretic functionals -- redundancies, linear and nonlinear forms of which allow either qualitative, or, after incorporating the surrogate data technique,…
We study scalar bubble collisions in first-order phase transitions focusing on the relativistic limit. We propose 'trapping equation' which describes the wall behavior after collision, and test it with numerical simulations in several…
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the…
Methods for the testing of nanopowders produced by wires electric explosion were considered. The following characteristics were proposed for the testing of nanopowders : main substance content, characteristic sizes of particles, specific…
We consider a quantum system that is being continuously monitored, giving rise to a measurement signal. From such a stream of data, information needs to be inferred about the underlying system's dynamics. Here we focus on hypothesis testing…
The continued digitization of societal processes translates into a proliferation of time series data that cover applications such as fraud detection, intrusion detection, and energy management, where anomaly detection is often essential to…
Discrete-value time series are sequences of measurements where each measurement is a discrete (categorical or integer) value. These time series are widely used in various fields, and their classification and clustering are essential for…
Many embedded and real-time systems have a inherent probabilistic behaviour (sensors data, unreliable hardware,...). In that context, it is crucial to evaluate system properties such as "the probability that a particular hardware fails".…
This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive episode. Departing from traditional definitions of bubbles as…
Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series. Typically, this is done via hypothesis…
The increasing use of model-based tools enables further use of formal verification techniques in the context of distributed real-time systems. To avoid state explosion, it is necessary to construct verification models that focus on the…
System modeling is a classical approach to ensure their reliability since it is suitable both for a formal verification and for software testing techniques. In the context of model-based testing an approach combining random testing and…
This survey is an in-depth development of the theoretical aspects of the method of Evolving Sets, a method which has been used in several of my papers. It is fairly esoteric as to a large degree it stems from my efforts to ascertain whether…
The physics of foams and emulsions has traditionally been studied using bulk foam/emulsion tests and single film platforms such as the Scheludko cell. Recently there has been a renewed interest in a third class of techniques that we term as…