دورية أكاديمية
Performance Classification Of Ornstein-Uhlenbeck-Type Models Using Fractal Analysis Of Time Series Data.
| العنوان: | Performance Classification Of Ornstein-Uhlenbeck-Type Models Using Fractal Analysis Of Time Series Data. |
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| المؤلفون: | Asante, Peter Kwadwo |
| المصدر: | Open Access Theses & Dissertations |
| بيانات النشر: | ScholarWorks@UTEP |
| سنة النشر: | 2023 |
| المجموعة: | University of Texas at El Paso: Digital Commons@UTEP |
| مصطلحات موضوعية: | Background driving process, Diffusion Entropy Analysis, Gamma process, Inverse-Gaussian process, Long-range correlation, Ornstein-Uhlenbeck Model, Finance and Financial Management, Geophysics and Seismology, Statistics and Probability |
| الوصف: | This dissertation aims to assess the performance of Ornstein-Uhlenbeck-type models by examining the fractal characteristics of time series data from various sources, including finance, volcanic and earthquake events, US COVID-19 reported cases and deaths, and two simulated time series with differing properties. The time series data is categorized as either a Gaussian or a Lévy process (Lévy walk or Lévy flight) by using three scaling methods: Rescaled range analysis, Detrended fluctuation analysis, and Diffusion entropy analysis. The outcomes of this analysis indicate that the financial indices are classified as Lévy walks, while the volcanic, earthquake, and COVID-19 data are classified as Lévy flights. The two simulated Brownian motions are classified as Gaussian processes, as expected. The simulation results of the time series using Ornstein-Uhlenbeck models emphasize the need for selecting an appropriate background driving process, combining solutions of Ornstein-Uhlenbeck-type SDEs, and considering the correlations between time series events to improve the performance of the Ornstein-Uhlenbeck-type models. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| العلاقة: | https://scholarworks.utep.edu/open_etd/3760Test; https://scholarworks.utep.edu/context/open_etd/article/4759/viewcontent/Asante_utep_0459D_14041.pdfTest |
| الإتاحة: | https://scholarworks.utep.edu/open_etd/3760Test https://scholarworks.utep.edu/context/open_etd/article/4759/viewcontent/Asante_utep_0459D_14041.pdfTest |
| رقم الانضمام: | edsbas.40DD5393 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |