Consistency issues in PDF methods
AbstractConcentrations of chemical species transported in random environments need to be statistically characterized by probability density functions (PDF). Solutions to evolution equations…
Numerical Modeling
A Fokker-Planck approach for probability distributions of species concentrations transported in heterogeneous media
AbstractWe identify sufficient conditions under which evolution equations for probability density functions (PDF) of random concentrations are equivalent to Fokker–Planck…
Order 1 autoregressive process of finite length
AbstractThe stochastic processes of finite length defined by recurrence relations request additional relations specifying the first terms of the process analogously to…
Towards a filtered density function approach for reactive transport in groundwater
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
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
AbstractA preliminary essential procedure in time series analysis is the separation of the deterministic component from the random one. If…
Building a Bridge from Moments to PDF’s: A new approach to finding PDF mixing models
AbstractProbability density function (PDF) methods are a promising alternative to predicting the transport of solutes in groundwater under uncertainty. They…
Separation of components from a scale mixture of Gaussian white noises
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
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
AbstractTime series generated by a complex hierarchical system exhibit various types of dynamics at different time scales. A financial time…