Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward...

Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward...

The present paper proposes certain statistical tests, both conceptually simple and computationally easy, for analysing state-specific prima facie probabilistic causality and error correction mechanism in the context of a Markov chain of time series data arranged in a contingency table of present...

Droughts are regional incidents that threat the environment and limit most of the socio-economic activities. Given the dry and wet state sequences for two sites, <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$X_t^{\left( 1 \right)} $</EquationSource> </InlineEquation> and <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$X_t^{\left( 2 \right)} $</EquationSource> </InlineEquation>, this paper presents a procedure to reduce the two sequences <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$X_t^{\left(...</equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation>

A reliable assessment of drought return periods is essential to help decision makers in setting effective drought preparedness and mitigation measures. However, often an inferential approach is unsuitable to model the marginal or joint probability distributions of drought characteristics, such...

The classical extreme value theory based on generalized extreme value (GEV) distribution and generalized Pareto distribution (GPD) is applied to the wave height estimate based on wave hindcast data covering a period of 31 years for a location in the eastern Arabian Sea. Practical concern such...

Data for tsunamigenic earthquakes and observed tsunami run-up are used to estimate tsunami-risk for the coasts of Peru and northern Chile for zones bounded by 5–35° S latitude. Tsunamigenic earthquake estimates yield magnitudes of 8.52, 8.64, and 8.73 for recurrence periods of 50, 100, and...

The importance of the historical information in flood analysis has previously been underlined. In this context, we present an integral methodology aimed at the establishment of return periods of different flood units on the unique basis of historical data. Specifically, the reconstruction of the...

Flood mapping requires the combination and integration of geomorphological and hydrological-hydraulic methods; however, despite this, there is very little scientific literature that compares and validates both methods. Two types of analysis are addressed in the present article. On the one hand,...

The seismic hazard for the Lake Van basin is computed using a probabilistic approach, along with the earthquake data from 1907 to present. The spatial distribution of seismic events between the longitudes of 41–45° and the latitudes of 37.5–40°, which encompasses the region, indicates...