Search results for "autocorrelation"
showing 10 items of 146 documents
A Scenario Simulation Model of Stock's Volatility Based on a Stationary Markovian Process
2013
In this paper we discuss univariate statistical properties of volatility. We present a parsimonious univariate model that well reproduces two stylized facts of volatility: the power-law decay of the volatility probability density function with exponent α and the power-law decay of the autocorrelation function with exponent β. Such model also reproduces, at least qualitatively, the empirical observation than when the probability density function decays faster, then the autocorrelation decays slower. Another important feature investigated within the model is the mean First Passage Time (mFPT) Tx0 (Λ) of volatility time-series. We show that the proposed model allows to obtain the mFPT in terms…
Design and analysis of a one-dimensional sea surface simulator using the sum-of-sinusoids principle
2015
Simulators for sea surface waves are useful for many practical applications, such as the construction of offshore structures and ocean surface animations. This paper studies three methods for the design of one-dimensional sea surface waves simulators with given wave spectra using the sum-of-sinusoids (SOS) principle. The wave spectrum provides insight into important statistical properties of the sea surface waves, such as the autocorrelation function (ACF) of the sea surface waves, significant wave height, and the moments of the spectrum. The sea surface simulator is designed by applying the concept of deterministic channel modelling on two main classical wave spectra, namely the Pierson-Mo…
Design and Simulation of Narrowband Indoor Radio Propagation Channels under LOS and NLOS Propagation Conditions
2010
Paper presented at the 2010 IEEE 71st Vehicular Technology Conference. (c) 2010 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other users, including reprinting/ republishing this material for advertising or promotional purposes, creating new collective works for resale or redistribution to servers or lists, or reuse of any copyrighted components of this work in other works. Paper also available from the publisher: http://dx.doi.org/10.1109/VETECS.2010.5494116 This paper deals with the design and simulation of narrowband indoor propagation channels under line-of-sight (LOS) and non-LOS (NLOS) propagation conditions. We propose a reference cha…
On the Correlation and Ergodic Properties of the Squared Envelope of SOC Rayleigh Fading Channel Simulators
2012
Published version of an article in the journal: Wireless Personal Communications. Also available from the publisher at: http://dx.doi.org/10.1007/s11277-011-0493-2 In this paper, we investigate the correlation and ergodic properties of the squared envelope of a class of autocorrelation-ergodic (AE) sum-of-cisoids (SOC) simulation models for mobile Rayleigh fading channels. Novel closed-form expressions are presented for both the ensemble and the time autocorrelation functions (ACFs) of the SOC simulation model’s squared envelope. These expressions have been derived by assuming that the SOC model’s inphase and quadrature (IQ) components have arbitrary autocorrelation and cross-correlation pr…
The Riemann sum method for the design of sum-of-cisoids simulators for Rayleigh fading channels in non-isotropic scattering environments
2009
©2009 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE. Article also available from publisher: http://dx.doi.org/10.1109/ICUMT.2009.5345371 In this paper, we introduce the Riemann sum method (RSM) as an effective tool for the design of sum-of-cisoids (SOC) simulators for narrowband mobile Rayleigh fading channels under non-isotropic scattering conditions. We show that the RSM results in an excellent approximation of…
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…
Dynamics of Polymer Melts above the Glass Transition: Monte Carlo Studies of the Bond Fluctuation Model
1997
The bond fluctuation model on the simple cubic lattice with a bond-length dependent potential energy favoring long bonds exhibits a glassy freezing in as the temperature is lowered, many properties being qualitatively similar to experiment. The present paper studies the dynamical properties of the model (as they result from the random hopping algorithm), using configurations of undercooled polymer melts that have been carefully equilibrated by the slithering snake algorithm. In this way quantitatively reliable data can be obtained for distinctly lower temperatures than in the previous work on the dynamics of this model that used the random hopping algorithm for equilibration as well. If var…
Parameter-free adaptive step-size multiobjective optimization applied to remote photoplethysmography
2018
International audience; In this work, we propose to reformulate the objective function of Independent Component Analysis (ICA) to make it a better posed problem in the context of Remote photoplethysmography (rPPG). In recent previous works, linear combination coefficients of RGB channels are estimated maximizing the non-Gaussianity of ICA output components. However, in the context of rPPG a priori knowledge of the pulse signal can be incorporated into the component extraction algorithm. To this end, the contrast function of regular ICA is extended with a measure of periodicity formulated using autocorrelation. This novel semi-blind source extraction method for measuring rPPG has the interes…