Search results for "Gaussian"
showing 10 items of 652 documents
Dynamic copula models for the spark spread
2011
We propose a non-symmetric copula to model the evolution of electricity and gas prices by a bivariate non-Gaussian autoregressive process. We identify the marginal dynamics as driven by normal inverse Gaussian processes, estimating them from a series of observed UK electricity and gas spot data. We estimate the copula by modeling the difference between the empirical copula and the independent copula. We then simulate the joint process and price options written on the spark spread. We find that option prices are significantly influenced by the copula and the marginal distributions, along with the seasonality of the underlying prices.
Stochastic acceleration in generalized squared Bessel processes
2015
We analyze the time behavior of generalized squared Bessel processes, which are useful for modeling the relevant scales of stochastic acceleration problems. These nonstationary stochastic processes obey a Langevin equation with a non-Gaussian multiplicative noise. We obtain the long-time asymptotic behavior of the probability density function for non-Gaussian white and colored noise sources. We find that the functional form of the probability density functions is independent of the statistics of the noise source considered. Theoretical results are in good agreement with those obtained by numerical simulations of the Langevin equation with pulse noise sources.
Stability under influence of noise with regulated periodicity
2009
A very simple stochastic differential equation with quasi‐periodical multiplicative noise is investigated analytically. For fixed noise intensity the system can be stable at high noise periodicity and unstable at low noise periodicity.
Stochastic response of combined primary-secondary structures under seismic input
1992
A technique for non-stationary stochastic analysis of linear combined primary and secondary subsystems subjected to a zero-mean Gaussian base excitation is presented. The proposed technique, based on the use of the Taylor's expansion in evaluating the operators which appear in the step-by-step procedure, does not require the evaluation of the complex eigenproperties of the combined system. Operating in this way, even though the numerical procedure is a conditionally stable one, appears to be more efficient than existing methods to evaluate the dynamic response of such composite systems. It is also shown that the proposed procedure is available whether the seismic input is idealized as a fil…
BROWNIAN DYNAMICS SIMULATIONS WITHOUT GAUSSIAN RANDOM NUMBERS
1991
We point out that in a Brownian dynamics simulation it is justified to use arbitrary distribution functions of random numbers if the moments exhibit the correct limiting behavior prescribed by the Fokker-Planck equation. Our argument is supported by a simple analytical consideration and some numerical examples: We simulate the Wiener process, the Ornstein-Uhlenbeck process and the diffusion in a Φ4 potential, using both Gaussian and uniform random numbers. In these examples, the rate of convergence of the mean first exit time is found to be nearly identical for both types of random numbers.
Evidence of stochastic resonance in the mating behavior of Nezara viridula (L.)
2008
We investigate the role of the noise in the mating behavior between individuals of Nezara viridula (L.), by analyzing the temporal and spectral features of the non-pulsed type female calling song emitted by single individuals. We have measured the threshold level for the signal detection, by performing experiments with the calling signal at different intensities and analyzing the insect response by directionality tests performed on a group of male individuals. By using a sub-threshold signal and an acoustic Gaussian noise source, we have investigated the insect response for different levels of noise, finding behavioral activation for suitable noise intensities. In particular, the percentage…
Linear and nonlinear approximations for periodically driven bistable systems
2005
We analyze periodically driven bistable systems by two different approaches. The first approach is a linearization of the stochastic Langevin equation of our system by the response on small external force. The second one is based on the Gaussian approximation of the kinetic equations for the cumulants. We obtain with the first approach the signal power amplification and output signal-to-noise ratio for a model piece-wise linear bistable potential and compare with the results of linear response approximation. By using the second approach to a bistable quartic potential, we obtain the set of nonlinear differential equations for the first and the second cumulants.
Cluster Algorithm Integrated with Modification of Gaussian Elimination to Solve a System of Linear Equations
2020
The data accumulation and their inhomogeneous distribution lead to the issue of large and sparse systems solving in various fields: industrials, emergency management, etc. Complex structure in the data error creates additional risk to obtain an adequate solution. To facilitate problem-solving, we describe the technique that is based on intellectual division of data with following application of cluster algorithm and the modification of Gaussian elimination to different portions of data. In this paper, we present results of developed technique that was applied to samples of synthetic and real data. We compare them with outcomes of other algorithms (intelligence and classical) by using of num…
Efficient energy conversion for cubic third-harmonic generation that is phase matched in KTiOPO(4).
2000
We demonstrate, for the first time to our knowledge, that efficient third-harmonic generation can be achieved with a cubic contribution much larger than the quadratic processes. An energy-conversion efficiency of 2.4% is achieved for cubic third-harmonic generation that is phase matched along the x axis of a KTiOPO(4) crystal by use of a picosecond fundamental laser emitting at 1618 nm. The associated cascading processes are only 10% of the pure cubic interaction, which is very suitable for study of the specific quantum optical correlations. Calculations of the third-harmonic generation conversion efficiency with respect to group-velocity dispersion and to the longitudinal Gaussian beam pro…
Comparison of leaf surface roughness analysis methods by sensitivity to noise analysis
2015
International audience; Surface roughness is of great interest in agricultural spraying because it is used to characterise leaf surface wettability to predict the behaviour of droplets on a leaf surface. In recent years, the use of texture analysis to estimate surface roughness has emerged. In this paper we propose to estimate leaf surface roughness by using an optimisation of the Generalized Fourier Descriptors method. This approach is then compared with two other standard methods in the literature, one based on grey level intensity variation and the other on wavelet decomposition. Since roughness has many definitions and each method is calculated differently, we propose a new approach to …