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 Modeling
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…
Automatic algorithm to decompose discrete paths of fractional Brownian motion into self-similar intrinsic components
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
AbstractThe Algol type binary system WW Cygni is known to display an intricate orbital period variability phenomenon which consists in…
Analysis and generation of groundwater concentration time series
AbstractConcentration time series are provided by simulated concentrations of a nonreactive solute transported in groundwater, integrated over the transverse direction…
Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields
AbstractUpscaled coefficients for diffusion in ergodic velocity fields are derived by summing up correlations of increments of the position process,…
Multiscale structure of time series revealed by the monotony spectrum
AbstractObservation of complex systems produces time series with specific dynamics at different time scales. The majority of the existing numerical…