This thesis is concerned with simulation output analysis. In particular, we are inter-ested in estimating the variance parameter of a steady-state output process. The estimationof the variance parameter has immediate applications in problems involving (i) the precisionof the sample mean as a...

Purpose ? To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long-term dependence.Design/methodology/approach ? The paper utilises the random-walk framework to develop a stochastic forecast model wherein the sign (positive or...

An important assumption underlying traditional theories of financial time-series behaviour is that consecutive changes in the price of an asset (ie. asset returns) are independent of each other. For analysts seeking to predict the future value of an asset, this implies that the best step-ahead...

This study aims to investigate whether the phenomena found by Shnoll et al. when applying histogrampattern analysis techniques to stochastic processes from chemistry and physics are also present infinancial time series, particularly exchange rate and index data. The phenomena are related to...

My research over this period has focused on the theory and application of non-linear time series forecasting. The purpose of time series forecasting is to predict apparently random behavior about which we have little or no knowledge. A time series is a set of values that change in time, for...

Performance Measures, and the trend information that results from their analyses, can help managers in their decision making process. The business decisions that are to be discussed are: Assignment of limited Resources, Funding, Budget; Contractor Rewards/Incentives; Where to focus Process...

1991 was continued rapid growth for the Santa Fe Institute (SFI) as it broadened its interdisciplinary research into the organization, evolution and operation of complex systems and sought deeply the principles underlying their dynamic behavior. Research on complex systems--the focus of work at...

The efficient characterization of nonlinear systems is an important goal of vibration and model testing. The authors build a nonlinear system model based on the acceleration time series response of a single input, multiple output system. A series of local linear models are used as a template to...

1991 was continued rapid growth for the Santa Fe Institute (SFI) as it broadened its interdisciplinary research into the organization, evolution and operation of complex systems and sought deeply the principles underlying their dynamic behavior. Research on complex systems--the focus of work at...

Electricity markets in the United States are evolving. Accurate wind power forecasts are beneficial for wind plant operators, utility operators, and utility customers. An accurate forecast allows grid operators to schedule economically efficient generation to meet the demand of electrical...