Search results for " autocorrelation"
showing 10 items of 24 documents
Convergence of European regions (an approach by spatial econometrics)
2000
The aim of this paper is the analysis of spatial dependence in convergence processes applied to European regions. First, we apply the recently developed exploratory spatial data analysis (Anselin, 1996) in order to describe more precisely the geographical dynamics of European regional income growth patterns. New insights are brought to the usual cr-convergence measure, which hides geographical patterns that may fluctuate over time. Second, we test the presence of spatial autocorrelation in /^-convergence models by using spatial econometrics methods (Anselin, 1988 ; Anselin and Florax, 1995). We compare the results with and without spatial autocorrelation in order to assess the effect of geo…
The resemblance of an autocorrelation function to a power spectrum density for a spike train of an auditory model
2013
In this work we develop an analytical approach for calculation of the all-order interspike interval density (AOISID), show its connection with the autocorrelation function, and try to explain the discovered resemblance of AOISID to the power spectrum of the same spike train.
Self-normalized and randomly centered spectral estimates
1996
We review some limit theory for the periodogram and for integrated versions of it and explain the use of random normalizing and centering techniques.
Analyse spatiale des disparités régionales dans l'Europe élargie
2004
The aim of this paper is to study the regional inequalities in the enlarged European Union using Exploratory Spatial Data Analysis applied to per capita GDP for 258 regions of EU27 over the period 1995-2000. Strong evidence in favor of global and local autocorrelation as well as spatial heterogeneity is found for the wealth distribution. We also show that the enlargement process leads to a new North-West - East polarization scheme instead of the previous results obtained in the literature highlighting a North-South polarization scheme. Implications for regional development and cohesion policies are finally explored.
Multi-speckle autocorrelation spectroscopy — a new strategy to monitor ultraslow dynamics in dense and nonergodic media
2007
We present a modification of the conventional dynamic light scattering set-up which allows to monitor the intensity fluctuations of many independent spatial Fourier components of the density fluctuations, i.e. “speckles”, simultaneously by using a charge-coupled device (CCD) camera as area detector. By averaging over the intensity autocorrelation function the final 10–20% decay of the intermediate scattering function in very dense colloidal dispersions is obtained with much higher accuracy. At the same time this multi-speckle autocorrelation spectroscopy provides an alternative route for constructing ensemble-averaged intermediate scattering functions in nonergodic media by replacing the av…
On Independent Component Analysis with Stochastic Volatility Models
2017
Consider a multivariate time series where each component series is assumed to be a linear mixture of latent mutually independent stationary time series. Classical independent component analysis (ICA) tools, such as fastICA, are often used to extract latent series, but they don't utilize any information on temporal dependence. Also financial time series often have periods of low and high volatility. In such settings second order source separation methods, such as SOBI, fail. We review here some classical methods used for time series with stochastic volatility, and suggest modifications of them by proposing a family of vSOBI estimators. These estimators use different nonlinearity functions to…
Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models
2013
This paper aims to analyse the market risk (estimated by Value-at-Risk) on the Romanian capital market using modern econometric tools to estimate volatility, such as EWMA, GARCH models. In this respect, I want to identify the most appropriate volatility forecasting model to estimate the Value-at-Risk (VaR) of a portofolio of representative indices (BET, BET-FI and RASDAQ-C). VaR depends on the volatility, time horizon and confidence interval for the continuous returns under analysis. Volatility tends to happen in clusters. The assumption that volatility remains constant at all times can be fatal. It is determined that the most recent data have asserted more influence on future volatility th…
Spatio-temporal Vegetation Recuperation after a Grassland Fire in Lithuania
2013
The aim of this work is to study the spatio-temporal effects of a grassland fire in Lithuania. Immediately after the fire, a experimental plot was designed in a east-faced slope. Vegetation cover and height were measured 10, 17, 31 and 46 days after the fire (vegetation cover was only measured until 31 days after the fire because in the last measurement campaign the plot was completely covered). The results showed that vegetation recovered very fast. Ten days after the fire vegetation cover and height distribution were heterogeneous, decreasing with the time due to vegetation spread. Vegetation recovered was specially observed between 17 and 31 days after the fire due vegetation recuperatio…
Beyond GDP: an analysis of the socio-economic diversity of European regions
2019
International audience; This paper aims to analyze the socioeconomic diversity of the European Union (EU-28) regions from a dynamic perspective. For that purpose, we combine a series of exploratory space-time analysis approaches to multiple Factor Analysis (MFA) applied to a large range of indicators collected at the NUTS-2 level for the period 2000–2015 for the EU-28. First, we find that the first factor of MFA, interpreted as economic development (ECO-DEV), is spatially clustered and that a moderate convergence process is at work between European regions from 2000 to 2015. Second, when comparing these results with those obtained for Gross Domestic Product (GDP) per capita, we show that th…
Does Airbnb Disrupt the Private Rental Market? An Empirical Analysis for French Cities
2019
This article evaluates whether Airbnb rentals affect the rents in the private rental sector in eight cities in France. We estimate a hedonic equation for each city on individual data for apartments, allowing for heteroscedasticity and spatial error autocorrelation of unknown forms and using a large variety of structural and contextual characteristics of the apartments. We show that the density of Airbnb rentals puts upward pressure on rents in Lyon, Montpellier, and Paris, whereas it has no significant effect in other cities. If we restrict the analysis to the professional business of Airbnb rentals, which we define as the lodgings owned by an investor who rents either several “entire home…