Zobrazeno 1 - 10
of 71
pro vyhledávání: '"Raischel, Frank"'
Publikováno v:
Physical Review E 93, 033006 (2016)
An accurate understanding of the interplay between random and deterministic processes in generating extreme events is of critical importance in many fields, from forecasting extreme meteorological events to the catastrophic failure of materials and i
Externí odkaz:
http://arxiv.org/abs/1604.01666
Autor:
Scholz, Teresa, Raischel, Frank, Lopes, Vitor V., Lehle, Bernd, Wächter, Matthias, Peinke, Joachim, Lind, Pedro G.
This paper presents a direct method to obtain the deterministic and stochastic contribution of the sum of two independent sets of stochastic processes, one of which is composed by Ornstein-Uhlenbeck processes and the other being a general (non-linear
Externí odkaz:
http://arxiv.org/abs/1510.07285
Publikováno v:
Phys. Rev. E 93, 032135 (2016)
We present an approach for testing for the existence of continuous generators of discrete stochastic transition matrices. Typically, the known approaches to ascertain the existence of continuous Markov processes are based in the assumption that only
Externí odkaz:
http://arxiv.org/abs/1510.07282
Publikováno v:
Phys. Rev. E 93, 052122 (2016)
We present a framework for describing the evolution of stochastic observables having a non-stationary distribution of values. The framework is applied to empirical volume-prices from assets traded at the New York stock exchange. Using Kullback-Leible
Externí odkaz:
http://arxiv.org/abs/1510.07280
Autor:
Raischel, Frank
Publikováno v:
Kostenfrei.
Stuttgart, Univ., Diss., 2007.
Externí odkaz:
http://nbn-resolving.de/urn:nbn:de:bsz:93-opus-29619
We present a simple framework to easily pre-select the most essential data for accurately forecasting the concentration of the pollutant PM$_{10}$, based on pollutants observations for the years 2002 until 2006 in the metropolitan region of Lisbon, P
Externí odkaz:
http://arxiv.org/abs/1411.0701
We present evidence that the best model for empirical volume-price distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that one wants to model and (ii) the period in time that is being modelled.
Externí odkaz:
http://arxiv.org/abs/1409.6257
Publikováno v:
European Physical Journal Special Topics 223 2107-2118 (2014)
We address and discuss recent trends in the analysis of big data sets, with the emphasis on studying multiscale phenomena. Applications of big data analysis in different scientific fields are described and two particular examples of multiscale phenom
Externí odkaz:
http://arxiv.org/abs/1406.2489
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each $10$-minute lag: the Gamma distribution, the inverse Gamma distribution, the Weibull di
Externí odkaz:
http://arxiv.org/abs/1404.1730
We introduce a measure for estimating the best risk-return relation of power production in wind farms within a given time-lag, conditioned to the velocity field. The velocity field is represented by a scalar that weighs the influence of the velocity
Externí odkaz:
http://arxiv.org/abs/1404.0375