The Parabolic Variance (PVAR): A Wavelet Variance Based on the Least-Square Fit
نویسندگان
چکیده
منابع مشابه
The Wavelet Variance , Allan Variance and Leakage
Wavelets have recently been a subject of great interest in geophysics, mathematics and signal processing. The discrete wavelet transform can be used to decompose a time series with respect to a set of basis functions, each one of which is associated with a particular scale. The properties of a time series at different scales can then be summarized by the wavelet variance, which decomposes the v...
متن کاملInferences on the Generalized Variance under Normality
Generalized variance is applied for determination of dispersion in a multivariate population and is a successful measure for concentration of multivariate data. In this article, we consider constructing confidence interval and testing the hypotheses about generalized variance in a multivariate normal distribution and give a computational approach. Simulation studies are performed to compare thi...
متن کاملOn the Variance-Type Graph Irregularity Measures
Bell's degree-variance Var$!{}_{B}$ for a graph $G$, with the degree sequence ($d_1,d_2,cdots,d_n$) and size $m$, is defined as$Var!_{B} (G)=frac{1}{n} sum _{i=1}^{n}left[d_{i} -frac{2m}{n}right]^{2}$.In this paper, a new version of the irregularity measures of variance-type, denoted by $Var_q$, is introduced and discussed. Based on a comparative study, it is demonstrated that the n...
متن کاملModeling Variance of Variance: The Square-Root, the Affine, and the CEV GARCH Models∗
This paper develops a new econometric framework for investigating how the sensitivity of the financial market volatility to shocks varies with the volatility level. For this purpose, the paper first introduces the square-root (SQ) GARCH model for financial time series. It is an ARCH analogue of the continuous-time square-root stochastic volatility model popularly used in derivatives pricing and...
متن کاملLeast-squares variance component estimation
Least-squares variance component estimation (LS-VCE) is a simple, flexible and attractive method for the estimation of unknown variance and covariance components. LS-VCE is simple because it is based on the well-known principle of LS; it is flexible because it works with a userdefined weight matrix; and it is attractive because it allows one to directly apply the existing body of knowledge of L...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IEEE Transactions on Ultrasonics, Ferroelectrics, and Frequency Control
سال: 2016
ISSN: 0885-3010
DOI: 10.1109/tuffc.2015.2499325