Search results for "autocorrelation"
showing 10 items of 146 documents
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.
An Improved Method for Estimating the Time ACF of a Sum of Complex Plane Waves
2010
Time averaging is a well-known technique for evaluating the temporal autocorrelation function (ACF) from a sample function of a stochastic process. For stochastic processes that can be modelled as a sum of plane waves, it is shown that the ACF obtained by time averaging can be expressed as a sum of auto-terms (ATs) and cross-terms (CTs). The ATs result from the autocorrelation of the individual plane waves, while the CTs are due to the cross-correlation between different plane wave components. The CTs cause an estimation error of the ACF. This estimation error increases as the observation time decreases. For the practically important case that the observation time interval is limited, we pr…
13C NMR Spin−Lattice Relaxation and Conformational Dynamics in a 1,4-Polybutadiene Melt
2001
We have performed molecular dynamics (MD) simulations of a melt of 1,4-polybutadiene (PBD, 1622 Da) over the temperature range 400-273 K. 13 C NMR spin-lattice relaxation times (T 1 ) and nuclear Overhauser enhancement (NOE) values have been measured from 357 to 272 K for 12 different resonances. The T 1 and NOE values obtained from simulation C-H vector P 2 (t) orientational autocorrelation functions were in good agreement with experiment over the entire temperature range. Analysis of conformational dynamics from MD simulations revealed that T 1 depends much less strongly on the local chain microstructure than does the mean conformational transition time. Spin-lattice relaxation for a give…
An Ergodic Sum-of-Cisoids Simulator for Multiple Uncorrelated Rayleigh Fading Channels Under Generalized Scattering Conditions
2012
In this paper, we present a new method for the design of ergodic sum-of-sinusoids (SOS) simulators for multiple uncorrelated narrowband Rayleigh fading channels. The method, which is intended for a special class of SOS models known as sum-of-cisoids (SOC) models, enables the generation of an unlimited number of mutually uncorrelated Rayleigh fading waveforms with specified autocorrelation properties. This is in contrast to all known methods proposed for SOS simulators, which are restricted to the simulation of multiple uncorrelated Rayleigh fading channels characterized by autocorrelation functions (ACFs) derived under the isotropic scattering assumption. The excellent performance of this n…
A theory for long-memory in supply and demand
2004
Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large orders are broken up into pieces and executed incrementally. If the size of such large orders is power law distributed, this gives rise to power law decaying autocorrelations in the signs of executed orders. More specifically, we show that if the cumulative distribution of large orders of volume v is proportional to v to the power -alpha and the size of executed orders is constant, the autocorrelation of order signs as a function of the lag tau is asymptotica…
Smart load prediction analysis for distributed power network of Holiday Cabins in Norwegian rural area
2020
Abstract The Norwegian rural distributed power network is mainly designed for Holiday Cabins with limited electrical loading capacity. Load prediction analysis, within such type of network, is necessary for effective operation and to manage the increasing demand of new appliances (e. g. electric vehicles and heat pumps). In this paper, load prediction of a distributed power network (i.e. a typical Norwegian rural area power network of 125 cottages with 478 kW peak demand) is carried out using regression analysis techniques for establishing autocorrelations and correlations among weather parameters and occurrence time in the period of 2014–2018. In this study, the regression analysis for loa…
An ergodic wideband MIMO channel simulator based on the geometrical T-junction scattering model for vehicle-to-vehicle communications
2010
In this paper, a wideband multiple-input multiple-output (MIMO) simulation model for vehicle-to-vehicle (V2V) channels in T-junction propagation environments is proposed. This simulation model takes the exact relationship between the angle-of-arrival (AOA) and the angle-of-departure (AOD) into account. In order to determine the parameters of the simulation model, the Riemann sum method (RSM) is applied. Furthermore, the statistical and ergodic properties of the simulation model are studied. Closed-form solutions are derived for the space-time-frequency cross-correlation function (STF-CCF), the two-dimensional (2D) spatial cross-correlation function (CCF), the temporal autocorrelation functi…
Why Is Equity Order Flow so Persistent?
2014
Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by brokerage. O…
On new efficient algorithms for PIMC and PIMD
2002
Abstract The properties of various algorithms, estimators, and high-temperature density matrix (HTDM) decompositions relevant for path integral simulations are discussed. It is shown that Fourier accelerated path integral molecular dynamics (PIMD) completely eliminates slowing down with increasing Trotter number P . A new primitive estimator of the kinetic energy for use in PIMD simulations is found to behave less pathologically than the original virial estimator. In particular, its variance does not increase significantly with P . Two non-primitive HTDM decompositions are compared as well: one decomposition used in the Takahashi Imada algorithm and another one based on an effective propaga…
Modelling of non-stationary mobile radio channels using two-dimensional brownian motion processes
2013
The interdisciplinary idea of this paper is to employ a two-dimensional (2D) Brownian motion (BM) process to model non-stationary mobile fading channels. It is assumed that the mobile station (MS) starts moving from a fixed point along a random path in the 2D plane. We model such a moving scenario by a 2D BM process, in which the variance of the process determines the deviation of the MS from its starting point. The propagation area is modelled by a non-centred one-ring scattering model, where the local scatterers are uniformly distributed on a ring centred not necessarily on the MS. The random movement of the MS in the proposed scattering model results in local angles-of-arrival (AOAs) and…