Researchers in psychology are paying increasing attention to temporal correlations in performance on cognitive tasks. Recently, T. Thornton and D. L. Gilden (2005) introduced a spectral method for analysing psychological time series; in particular, this method is tailored to distinguish transient serial correlations from the persistent correlations characterised by 1/f noise. Thornton and Gilde...

The elevation of Great Salt Lake (GSL) has a great impact on the people of Utah. The flood of GSL in 1982 has caused a loss of millions of dollars. Therefore, it is very important to predict the GSL levels as precisely as possible. This paper points out the reason why conventional methods failed to describe adequately the rise and fall of the GSL levels – the long-range dependence (LRD) propert...

We study the autocorrelation structure and the spectral density function of aggregates from a discrete-time process. The underlying discrete-time process is assumed to be a stationary AutoRegressive Fractionally Integrated Moving-Average (ARFIMA) process, after suitable number of differencing if necessary. We derive closed-form expressions for the limiting autocorrelation function and the norma...

We present a generalisation of the double long memory ARFIMA-FIGARCH model introducing time-varying memory coefficients both in the mean and in the variance. The model satisfies the empirical evidence of changing memory observed in average temperature series and can provide useful improvements in the forecasting, simulation and pricing issues related to weather derivatives. We provide an applic...

در این پژوهش سعی می‌­شود مدلی برای شبیه‌­سازی چرخه عمر صنعت برق با استفاده از شبیه‌سازی عامل­بنیان ارائه شود، مدل، 5 عامل استخراج شد و شبیه­‌سازی به کمک نرم‌افزار Anylogic صورت پذیرفت. بهینه‌­سازی مدل چهار سناریو نظر خبرگان شد. سناریوی نخست، جذابیت نیروگاه گازی سیکل ترکیبی کاهش یافت بر دو دیگر افزوده نتیجه افزایش تولید آبی است که توجه کمبود منابع کشور به‌صرفه نیست. دوم ورود یک فناوری جدید میزان...

We address the question of unemployment hysteresis within the context of ARFIMA models. Our results suggest that in the post-1973 era, hysteresis is considerably less of a stylized fact for the unemployment rates of key OECD economies. JEL Categories C22, E30 Please address all correspondence to: Philip Rothman, Department of Economics, Brewster * Building, East Carolina University, Greenville,...

In this paper, we consider a continuous-time autoregressive fractionally integrated moving average (CARFIMA) model, which is defined as the stationary solution of a stochastic differential equation driven by a standard fractional Brownian motion. Like the discrete-time ARFIMA model, the CARFIMA model is useful for studying time series with short memory, long memory and antipersistence. We inves...