ISI/JCR

List of papers published in JCR journals by the members of ICTP (in progress).

Other papers will be added soon.

Consistency issues in PDF methods

6 years ago

AbstractConcentrations of chemical species transported in random environments need to be statistically characterized by probability density functions (PDF). Solutions to evolution equations…

A Fokker-Planck approach for probability distributions of species concentrations transported in heterogeneous media

6 years ago

AbstractWe identify sufficient conditions under which evolution equations for probability density functions (PDF) of random concentrations are equivalent to Fokker–Planck…

Towards a filtered density function approach for reactive transport in groundwater

6 years ago

AbstractEvolution equations for probability density functions (PDFs) and filtered density functions (FDFs) of random species concentrations weighted by conserved scalars…

Influence of deterministic trend on the estimated parameters of GARCH(1,1) model

6 years ago

AbstractThe log returns of financial time series are usually modeled by means of the stationary GARCH(1,1) stochastic process or its…

Serial correlation of detrended time series

6 years ago

AbstractA preliminary essential procedure in time series analysis is the separation of the deterministic component from the random one. If…

Separation of components from a scale mixture of Gaussian white noises

6 years ago

AbstractThe time evolution of a physical quantity associated with a thermodynamic system whose equilibrium fluctuations are modulated in amplitude by…

Numerical demodulation of a Gaussian white noise modulated in amplitude by a deterministic volatility

6 years ago

AbstractThe Gaussian white noise modulated in amplitude is defined as the product of a Gaussian white noise and a slowly…

Intrinsic superstatistical components of financial time series

6 years ago

AbstractTime series generated by a complex hierarchical system exhibit various types of dynamics at different time scales. A financial time…

Automatic algorithm to decompose discrete paths of fractional Brownian motion into self-similar intrinsic components

6 years ago

AbstractFractional Brownian motion (fBm) is a nonstationary self-similar continuous stochastic process used to model many natural phenomena. A realization of…

Evidence for quasiperiodicity in orbital period modulation of WW Cygni

6 years ago

AbstractThe Algol type binary system WW Cygni is known to display an intricate orbital period variability phenomenon which consists in…

ISI/JCR

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