The aim of this study is to develop a bias-correction method for realized variance (RV) estimation, where the equilibrium price process is contaminated with market microstructure noise, such as bid-ask bounces and price changes discreteness. Though RV constitutes the simplest estimator of daily integrated variance, it remains strongly biased and many estimators proposed in previous studies requ...

fgN and fARIMA (0,d,0) are two of the models frequently employed in Internet traffic. However, there is not a set of data traces available. In this work, a set of 187 fGN data traces each one of 64KPoints were generated with three tools: SPlus, SelQoS; and a fGN-MatlabScript; and a cumulative analysis with 1144 files was done. From this study, it is concluded that the best algorithms respect to...

Much effort is put into minimizing noise in optical tweezers experiments because noise and drift can mask fundamental behaviours of, e.g., single molecule assays. Various initiatives have been taken to reduce or eliminate noise but it has been difficult to quantify their effect. We propose to use Allan variance as a simple and efficient method to quantify noise in optical tweezers setups.We app...

This paper uses the Allan variance to analyze frequency deviations that accumulate throughout single-molecule detection in extract information about processes even when individual events are obscured by noises.

In this paper we discuss the stability of heterodyne terahertz receivers based on small volume NbN phonon cooled hot electron bolometers HEBs . The stability of these receivers can be broken down in two parts: the intrinsic stability of the HEB mixer and the stability of the local oscillator LO signal injection scheme. Measurements show that the HEB mixer stability is limited by gain fluctuatio...

Long term memory has frequently been observed in physical time series. Statistical theory for long term memory stochastic processes is radically different from the standard time series analysis, which assumes short term memory. The Allen variance is a particular measure of variability developed for long term memory processes. This variance can be interpreted as a Haar wavelet coefficient varian...

Stability tests based on the Allan variance method have become a standard procedure for the evaluation of the quality of radio-astronomical instrumentation. They are very simple and simulate the situation when detecting weak signals buried in large noise fluctuations. For the special conditions during observations an outline of the basic properties of the Allan variance is given, and some guide...