Search results for "deviation"
showing 10 items of 367 documents
Empirical investigation of stock price dynamics in an emerging market
1999
Abstract We study the development of an emerging market – the Budapest Stock Exchange – by investigating the time evolution of some statistical properties of heavily traded stocks. Moving quarter by quarter over a period of two and a half years we analyze the scaling properties of the standard deviation of intra-day log-price changes. We observe scaling using both seconds and ticks as units of time. For the investigated stocks a Levy shape is a good approximation to the probability density function of tick-by-tick log-price changes in each quarter: the index of the distribution follows an increasing trend, suggesting it could be used as a measure of market efficiency.
Tests of multinormality based on location vectors and scatter matrices
2007
Classical univariate measures of asymmetry such as Pearson’s (mean-median)/σ or (mean-mode)/σ often measure the standardized distance between two separate location parameters and have been widely used in assessing univariate normality. Similarly, measures of univariate kurtosis are often just ratios of two scale measures. The classical standardized fourth moment and the ratio of the mean deviation to the standard deviation serve as examples. In this paper we consider tests of multinormality which are based on the Mahalanobis distance between two multivariate location vector estimates or on the (matrix) distance between two scatter matrix estimates, respectively. Asymptotic theory is develop…
Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates
2021
We consider continuous-time Markov chains on integers which allow transitions to adjacent states only, with alternating rates. We give explicit formulas for probability generating functions, and also for means, variances and state probabilities of the random variables of the process. Moreover we study independent random time-changes with the inverse of the stable subordinator, the stable subordinator and the tempered stable subodinator. We also present some asymptotic results in the fashion of large deviations. These results give some generalizations of those presented in Di Crescenzo A., Macci C., Martinucci B. (2014).
A PHASE TRANSITION FOR LARGE VALUES OF BIFURCATING AUTOREGRESSIVE MODELS
2019
We describe the asymptotic behavior of the number $$Z_n[a_n,\infty )$$ of individuals with a large value in a stable bifurcating autoregressive process, where $$a_n\rightarrow \infty $$ . The study of the associated first moment is equivalent to the annealed large deviation problem of an autoregressive process in a random environment. The trajectorial behavior of $$Z_n[a_n,\infty )$$ is obtained by the study of the ancestral paths corresponding to the large deviation event together with the environment of the process. This study of large deviations of autoregressive processes in random environment is of independent interest and achieved first. The estimates for bifurcating autoregressive pr…
MODERATE DEVIATION PRINCIPLES FOR BIFURCATING MARKOV CHAINS: CASE OF FUNCTIONS DEPENDENT OF ONE VARIABLE
2021
The main purpose of this article is to establish moderate deviation principles for additive functionals of bifurcating Markov chains. Bifurcating Markov chains are a class of processes which are indexed by a regular binary tree. They can be seen as the models which represent the evolution of a trait along a population where each individual has two offsprings. Unlike the previous results of Bitseki, Djellout \& Guillin (2014), we consider here the case of functions which depend only on one variable. So, mainly inspired by the recent works of Bitseki \& Delmas (2020) about the central limit theorem for general additive functionals of bifurcating Markov chains, we give here a moderate deviatio…
A Procedure for the Producibility Curve Identification of a Dish-Stirling Plant, Starting from Experimental Data
2019
This article presents a procedure for the producibility curve identification of a dish-Stirling plant, starting from experimental data. The producibility data was measured, recorded, analysed, filtered and monthly aggregated. Moreover, the incidence of the ambient temperature and of the mirrors cleaning on producibility data is highlighted and a procedure to normalize the measured data in temperature and cleaning level was developed. To provide a validation of the developed procedure the producibility curves at 25 °C have been obtained and compared with the one issued by the manufacturer. The two curves are in good agreement, presenting a maximum deviation of the 7 %.
Calibration of the Norwegian motion laboratory using conformal geometric algebra
2017
This paper applies Conformal Geometric Algebra (CGA) as a tool for calibrating the robotic equipment found in the Norwegian Motion Laboratory. By using the inner product of CGA to measure the distance between a point and the surface of a plane/sphere, the least-squares method can be used to solve for the unknown parameters describing the plane/sphere in an efficient and intuitive way given n measured points. Positional data samples were acquired from using a high precision Laser tracker (FARO Xi), and the overall calibration error was found to be no more than 4.90mm, and the maximum standard deviation 3.25mm. In addition, the applied least-squares algorithm using CGA was twice as fast, when…
Kinetics of Surface Chemical Reactions from a Digital Video
2020
In the last few years, the color analysis of the studied surface has been regarded as a nonexpensive way to obtain not only the spectrochemical data but also the spatiotemporal information of the entire surface. Mean color intensities and standard deviation calculated from the red, green, and blue color histograms of digital images of surfaces have been considered particularly useful for the chemical understanding of surface kinetics. The shape of curves, the maximum of peaks, or the half-peak widths depend on the kinetic constants and on the kinetic order of the surface chemical process. Some strategies used for obtaining the kinetics from RGB color intensities and their standard deviation…
Surface temperature and water vapour retrieval from MODIS data
2003
This paper gives operational algorithms for retrieving sea (SST), land surface temperature (LST) and total atmospheric water vapour content (W) using Moderate Resolution Imaging Spectroradiometer (MODIS) data. To this end, the MODTRAN 3.5 radiative transfer program was used to predict radiances for MODIS channels 31, 32, 2, 17, 18 and 19. To analyse atmospheric effects, a simulation with a set of radiosonde observations was used to cover the variability of surface temperature and water vapour concentration on a worldwide scale. These simulated data were split into two sets (DB1 and DB2), the first one (DB1) was used to fit the coefficients of the algorithms, while the second one (DB2) was u…
Automatic correction of the effects of the light source on spherical objects. An application to the analysis of hyperspectral images of citrus fruits
2008
This study proposes a method for correcting the adverse effects produced by the curvature of spherical objects in acquiring images with a computer vision system. Its suitability has been illustrated in a specific case of citrus fruits. The images of this kind of fruit are darker in areas nearer the edge than in the centre, and this makes them more difficult to analyse. This methodology considers the fruit as being a Lambertian ellipsoidal surface and produces a 3D model of the fruit. By doing it becomes possible to calculate the part of the radiation that should really reach the camera and to make the intensity of the radiation uniform over the whole of the fruit surface captured by the cam…