Zobrazeno 1 - 10
of 28
pro vyhledávání: '"V. V. Anh"'
Publikováno v:
Nonlinear Processes in Geophysics, Vol 12, Iss 6, Pp 799-806 (2005)
This paper provides a method to predict magnetic storm events based on the time series of the Dst index over the period 1981-2002. This method is based on the multiple scaling of the measure representation of the Dst time series. This measure is mode
Externí odkaz:
https://doaj.org/article/ffad5fbee7d245779e2c9dfc1d5410bb
Publikováno v:
Advances in Applied Probability. 40:1129-1156
We investigate the properties of multifractal products of geometric Ornstein-Uhlenbeck (OU) processes driven by Lévy motion. The conditions on the mean, variance, and covariance functions of the resulting cumulative processes are interpreted in term
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::019b99f63514c407dc0d9fa64df33053
https://doi.org/10.1017/s0001867800002998
https://doi.org/10.1017/s0001867800002998
Publikováno v:
Advances in Applied Probability. 37:366-392
In this paper, we consider a certain type of space- and time-fractional kinetic equation with Gaussian or infinitely divisible noise input. The solutions to the equation are provided in the cases of both bounded and unbounded domains, in conjunction
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::548aaeae82c940ff225716b229fc0e4d
https://doi.org/10.1017/s0001867800000227
https://doi.org/10.1017/s0001867800000227
Publikováno v:
Journal of Applied Probability. 41:35-53
This paper provides a quasi-likelihood or minimum-contrast-type method for the parameter estimation of random fields in the frequency domain based on higher-order information. The estimation technique uses the spectral density of the general kth orde
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1036ec9d1374569166fbef1d807f8cea
https://doi.org/10.1017/s0021900200112197
https://doi.org/10.1017/s0021900200112197
Publikováno v:
Journal of Applied Probability. 39:730-747
A class of continuous-time models is developed for modelling data with heavy tails and long-range dependence. These models are based on the Green function solutions of fractional differential equations driven by Lévy noise. Some exact results on the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7d0cc267620cfd2884db34db286d7002
https://doi.org/10.1017/s0021900200022002
https://doi.org/10.1017/s0021900200022002
Publikováno v:
Advances in Applied Probability. 32:1077-1099
This paper introduces a fractional heat equation, where the diffusion operator is the composition of the Bessel and Riesz potentials. Sharp bounds are obtained for the variance of the spatial and temporal increments of the solution. These bounds esta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab8cf3b71b2be63b15389cc878dbcb0f
https://doi.org/10.1017/s0001867800010478
https://doi.org/10.1017/s0001867800010478
Autor:
V. V. Anh, T. Chelliah
Publikováno v:
Scandinavian Journal of Statistics. 26:31-46
This paper considers a general class of random coefficient regression (RCR) models to represent pooled cross-sectional and time series data. A new method is given to estimate the covariance matrix of the error component in these RCR models. Also, the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fcf1366b92662defa22197c5f759f65f
https://doi.org/10.1111/1467-9469.00135
https://doi.org/10.1111/1467-9469.00135
Autor:
N. M. Spencer, V. V. Anh
Publikováno v:
The Journal of the Australian Mathematical Society. Series B. Applied Mathematics. 33:192-210
This paper considers discrete multivariate processes with time-dependent rational spectral density matrices and gives a solution to the spectral factorisation problem. As a result, the corresponding state space representation for the process is obtai
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::827d45ebc9b772c87131e288719d9938
https://doi.org/10.1017/s0334270000006998
https://doi.org/10.1017/s0334270000006998
Autor:
N. M. Spencer, V. V. Anh
Publikováno v:
Signal Processing. 25:51-68
This paper gives an analytic solution to the unbiased filtering problem of the system X(t) = S(t) + N(t), where {S(t)} has known second-order properties, {N(t)} is an ARMA process with time-dependent coefficients, and {X(t)} is observed for t = 0, 1,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::64bb09c8eae078a91d454976483519bb
https://doi.org/10.1016/0165-1684(91)90038-k
https://doi.org/10.1016/0165-1684(91)90038-k
Autor:
N. M. Spencer, V. V. Anh
Publikováno v:
Signal Processing. 24:137-147
This paper solves the spectral factorization problem for a class of processes with time-dependent rational spectral density. As a consequence, the prediction problem for these processes is solved based on the integral operator method. In addition, th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ca2b08ff59289a8a4328ebe18f94f773
https://doi.org/10.1016/0165-1684(91)90127-5
https://doi.org/10.1016/0165-1684(91)90127-5