With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed asset returns contain error or noise, for example, in the form of microstructure noise. The former (consistency) has been addressed heavily in the recent liter...

Nowadays, in a competitive and dynamic environment of businesses, organizations need to moni-tor, analyze and improve business processes with the use of Business Process Management Systems(BPMSs). Management, prediction and time control of events in BPMS is one of the major chal-lenges of this area of research that has attracted lots of researchers. In this paper, we present a...

A full characterization of the far-field noise obtained from cylindrical nearto far-field transformation, for a white Gaussian, space stationary, near-field noise is derived. A possible source for such noise is the receiver additive noise. The noise characterization is done by obtaining the autocorrelation of the far-field noise, which is shown to be easily computed during the transformation pr...

In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary and nonrenewal. We give three examples of non-stationary and non-renewal point processes: Hawkes proces...

The detection of weak signals is addressed in additive noise described by the first order moving average of a Gaussian process. We derive decision regions of the maximum likelihood (ML) and suboptimum ML (SML) detectors, and obtain specific examples of the ML and SML decision regions. The ML and SML detectors are employed in the antipodal signaling system, and compared in terms of the bit-error...

objective the hippocampal circuit integrity is crucial for learning and memory. despite the existing reports on hippocampal–dependent memory impairment due to noise stress, there are only a few studies on the effect of noise stress on anatomical structure of hippocampus. the present study is aimed to investigate the likely effects of chronic noise exposure on the volume of rat hippocampus. mate...

background: noise prediction is considered to be the best method for evaluating cost-preventative noise controls in industrial workrooms. one of the most important issues is the development of accurate models for analysis of the complex relationships among acoustic features affecting noise level in workrooms. in this study, advanced fuzzy approaches were employed to develop relatively accurate ...

We extend the standard covariance function used in the Gaussian Process prior nonparametric modelling approach to include correlated (ARMA) noise models. The improvement in performance is illustrated on some simulation examples of data generated by nonlinear static functions corrupted with additive ARMA noise. 1 Gaussian Process priors In recent years many flexible parametric and semi-parametri...