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…
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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…
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…
Solution of a polylocal problem with a pseudospectral method
Abstract Consider the problem: $$y”(x) + f(x, y) = 0, \ \ x \in [0, 1], y(a) = \alpha, y(b)…
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…
On computational complexity in solving equations by Steffensen type methods
Abstract AuthorsIon Păvăloiu Tiberiu Popoviciu Institute of Numerical Analysis, Romanian Academy Keywordsnonlinear equations in R; iterative methods; Steffensen method.…