相关论文: Almost Periodically Correlated Time Series in Busi…
This paper studies business cycle patterns in UK sectoral output. It analyzes the distinction between white noise processes and their non-white noise counterparts in the frequency domain and further examines the associated features and…
We develop new econometric methods for the comparison of nonparametric time trends. In many applications, practitioners are interested in whether the observed time series all have the same time trend. Moreover, they would often like to know…
The non-stationary evolution of observable quantities in complex systems can frequently be described as a juxtaposition of quasi-stationary spells. Given that standard theoretical and data analysis approaches usually rely on the assumption…
As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks…
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…
In this paper we present an application of the use of autocopulas for modelling financial time series showing serial dependencies that are not necessarily linear. The approach presented here is semi-parametric in that it is characterized by…
In this paper, we consider a simple stochastic epidemic model on large regular random graphs and the stochastic process that corresponds to this dynamics in the standard pair approximation. Using the fact that the nodes of a pair are…
In this letter we present a stochastic dynamic model which can explain economic cycles. We show that the macroscopic description yields a complex dynamical landscape consisting of multiple stable fixed points, each corresponding to a split…
The accurate characterization of the business cycles in the nonlinear dynamic financial and economic systems in the time of globalization represents a formidable research problem. The central banks and other financial institutions make…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
Fluctuations in parameters that are typically treated as fixed play a crucial role in the behavior of complex systems. However, to date, we lack a general non-equilibrium thermodynamic treatment of such a complex system. In this Letter, to…
Wind farms can be regarded as complex systems that are, on the one hand, coupled to the nonlinear, stochastic characteristics of weather and, on the other hand, strongly influenced by supervisory control mechanisms. One crucial problem in…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
This article introduces the class of periodic trawl processes, which are continuous-time, infinitely divisible, stationary stochastic processes, that allow for periodicity and flexible forms of their serial correlation, including both…
This paper introduces a novel sparse latent factor modeling framework using sparse asymptotic Principal Component Analysis (APCA) to analyze the co-movements of high-dimensional panel data over time. Unlike existing methods based on sparse…
Periodic dynamical systems, distinguished by their repetitive behavior over time, are prevalent across various engineering disciplines. In numerous applications, particularly within industrial contexts, the implementation of model…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
Recent measurements of durations of non-equilibrium processes provide valuable information on microscopic mechanisms and energetics. Comprehensive theory for corresponding experiments so far is well developed for single-particle systems…
Irregularly sampled time series analysis is a common problem in various disciplines. Since conventional methods are not directly applicable to irregularly sampled time series, a common interpolation approach is used; however, this causes…