The continuous fields associated to the corpuscular systems
Book summarySummary of the book… TitleEnglish title The continuous fields associated to the corpuscular systems Original title (in Romanian) Campurile…
Time Series
Automatic Trend Estimation
Book summaryOriginal automatic algorithms for processing nonstationary time series containing a stationary noise superposed over a nonmonotonic trend are presented.…
Average conditional jump for a white noise superposed on a linear trend
AbstractThe average conditional jumps for a white noise superposed on a linear trend are computed both theoretically and numerically and…
Detrended fluctuation analysis of autoregressive processes
AbstractAutoregressive processes (AR) have typical short-range memory. Detrended Fluctuation Analysis (DFA) was basically designed to reveal long-range correlations in non…
Automatic algorithm for monotone trend removal
AbstractThe available numerical algorithms for trend removal require a direct subjective intervention in choosing critical parameters. In this paper an…
Is Bucharest Stock Exchange Influenced by the Five Traded Financial Investment Companies?
AbstractThe present paper will try to determine if Bucharest Stock Exchange activity is under the influence of the five traded…
On the multi-decadal oscillation of Atlantic tropical storm activity
AbstractLong term Atlantic tropical storm activity is described by the time series of the yearly Accumulated Cyclone Energy (ACE) Index…
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…
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…