We suggest that there exists a critical point H=0.70 of the local Hölder exponent H(t) for describing the weak stationary (stationary for short) property of the modified multifractional Gaussian noise (mmGn) from the point of view of engineering. More precisely, when H(t)0.70 for t∈[0,∞],...

In this paper the reformulation of Trofimov–Park (TP) model, [V.I. Trofimov, Appl. Surf. Sci. 219 (2003) 93), of thin film roughness evolution during nucleation and growth of islands in case of simultaneous nucleation is presented. The calculation of TP restricted to one-dimensional triangular...

We apply the Pesaran (2007) pair-wise approach of convergence to the per capita outputs of 195 European regions for the period 1980–2006. Pesaran's approach is based on the computation of the percentage ratio of output gaps which fulfil a given convergence criterion. A high ratio will be...

The properties of wind persistence are an essential parameter in carrying out a complete analysis of possible sites for a wind farm. This parameter can be defined as a measure of the mean duration of wind speed within a given interval of values for a concrete site. In this study the persistence...

This paper suggests to model jointly time delay and random effects in economics and finance. It proposes to explain the random and often cyclical fluctuations in commodity prices as a consequence of the interplay between external noise and time delays caused by the time between initiation of...

This paper derives the autocorrelation function of the squared values of long-memory GARCH processes. The latter are of much interest since they can produce the long-memory conditional heteroscedasticity that many high-frequency financial time series exhibit. An empirical application...

In statistical data analysis it is often important to compare, classify, and cluster different time series. For these purposes various methods have been proposed in the literature, but they usually assume time series with the same sample size. In this paper, we propose a spectral domain method...

We provide existence conditions and analytical expressions of the moments of logarithmic autoregressive conditional duration (Log-ACD) models. We focus on the dispersion index and the autocorrelation function and compare them with those of ACD (Engle and Russell 1998) and SCD models. Using...

This paper uses an AutoCorrelation Function approach to develop new tests for international output convergence. Using per capita GDP for 15 OECD countries observed over a century, we find that the hypothesis of conditional convergence is unsupported; that, the United States apart, the linearized...

Analysts using data from official statistical authorities often neglect the fact that data frequently are collected using sample surveys. In this paper the impact of sampling error on the estimation of the autocovariance and the autocorrelation function is studied under a micro based...