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This category marks all the ICTP posts containing the pdf file of the paper/book.

Influence of deterministic trend on the estimated parameters of GARCH(1,1) model

8 years ago

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

8 years ago

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

8 years ago

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

8 years ago

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

8 years ago

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

8 years ago

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

8 years ago

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

8 years ago

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

8 years ago

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

8 years ago

AbstractConcentration time series are provided by simulated concentrations of a nonreactive solute transported in groundwater, integrated over the transverse direction…

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