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…
Time Series
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…
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…
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…