A Filtering Process to Remove the Stochastic Component from Intraday Seasonal Volatility

2012 ◽  
Vol 34 (5) ◽  
pp. 479-495 ◽  
Author(s):  
Jang Hyung Cho ◽  
Robert T. Daigler
Keyword(s):  
Stochastic Component ◽  
Seasonal Volatility

Robust Control for Urban Living Water System with Seasonal Volatility

2013 ◽  
Vol 295-298 ◽  
pp. 1927-1930
Author(s):  
Ke Bai Li
Keyword(s):  
Water Management ◽  
Robust Control ◽  
Control Method ◽  
Supply And Demand ◽  
Water System ◽  
Management Model ◽  
State Variables ◽  
Urban Living ◽  
Target Value ◽  
Seasonal Volatility

Established urban living water management model. With capital and labor as state variables, using the pole assignment robust control method, realize the urban living water system supply and demand balance tending to target value.

scholarly journals Effects of cell-cycle-dependent expression on random fluctuations in protein levels

2016 ◽  
Vol 3 (12) ◽  
pp. 160578 ◽  
Author(s):  
Mohammad Soltani ◽  
Abhyudai Singh
Keyword(s):  
Cell Cycle ◽  
Cell Division ◽  
Protein Levels ◽  
Stochastic Component ◽  
Stochastic Expression ◽  
A Cell ◽  
Intrinsic Stochasticity ◽  
Cycle Dependent ◽  
Random Fluctuations ◽  
Cell To Cell Variability

Expression of many genes varies as a cell transitions through different cell-cycle stages. How coupling between stochastic expression and cell cycle impacts cell-to-cell variability (noise) in the level of protein is not well understood. We analyse a model where a stable protein is synthesized in random bursts, and the frequency with which bursts occur varies within the cell cycle. Formulae quantifying the extent of fluctuations in the protein copy number are derived and decomposed into components arising from the cell cycle and stochastic processes. The latter stochastic component represents contributions from bursty expression and errors incurred during partitioning of molecules between daughter cells. These formulae reveal an interesting trade-off: cell-cycle dependencies that amplify the noise contribution from bursty expression also attenuate the contribution from partitioning errors. We investigate the existence of optimum strategies for coupling expression to the cell cycle that minimize the stochastic component. Intriguingly, results show that a zero production rate throughout the cell cycle, with expression only occurring just before cell division, minimizes noise from bursty expression for a fixed mean protein level. By contrast, the optimal strategy in the case of partitioning errors is to make the protein just after cell division. We provide examples of regulatory proteins that are expressed only towards the end of the cell cycle, and argue that such strategies enhance robustness of cell-cycle decisions to the intrinsic stochasticity of gene expression.

Formulation of Statistical Linearization for M-D-O-F Systems Subject to Combined Periodic and Stochastic Excitations

2019 ◽  
Vol 86 (10) ◽  
Author(s):  
Pol D. Spanos ◽  
Ying Zhang ◽  
Fan Kong
Keyword(s):  
Harmonic Balance ◽  
Equation Of Motion ◽  
Periodic Component ◽  
Statistical Moments ◽  
System Response ◽  
Statistical Linearization ◽  
Ensemble Averaging ◽  
Stochastic Component ◽  
Stochastic Excitations ◽  
Linear Elements

A formulation of statistical linearization for multi-degree-of-freedom (M-D-O-F) systems subject to combined mono-frequency periodic and stochastic excitations is presented. The proposed technique is based on coupling the statistical linearization and the harmonic balance concepts. The steady-state system response is expressed as the sum of a periodic (deterministic) component and of a zero-mean stochastic component. Next, the equation of motion leads to a nonlinear vector stochastic ordinary differential equation (ODE) for the zero-mean component of the response. The nonlinear term contains both the zero-mean component and the periodic component, and they are further equivalent to linear elements. Furthermore, due to the presence of the periodic component, these linear elements are approximated by averaging over one period of the excitation. This procedure leads to an equivalent system whose elements depend both on the statistical moments of the zero-mean stochastic component and on the amplitudes of the periodic component of the response. Next, input–output random vibration analysis leads to a set of nonlinear equations involving the preceded amplitudes and statistical moments. This set of equations is supplemented by another set of equations derived by ensuring, in a harmonic balance sense, that the equation of motion of the M-D-O-F system is satisfied after ensemble averaging. Numerical examples of a 2-D-O-F nonlinear system are considered to demonstrate the reliability of the proposed technique by juxtaposing the semi-analytical results with pertinent Monte Carlo simulation data.

scholarly journals Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests

2015 ◽  
Vol 7 (2) ◽  
Author(s):  
Benjamin Born ◽  
Matei Demetrescu
Keyword(s):  
Likelihood Ratio ◽  
Linear Trend ◽  
Generalized Least Squares ◽  
Ratio Test ◽  
Finite Sample ◽  
Vector Autoregressions ◽  
Rank Tests ◽  
Testing Procedures ◽  
Stochastic Component ◽  
Deterministic Components

AbstractThis paper discusses tests for the cointegration rank of integrated vector autoregressions when the series are recursively adjusted for deterministic components. To this end, the asymptotic properties of recursive, or adaptive, procedures for the removal of general additive deterministic components are analyzed in two different, complementary, situations. When the stochastic component of the examined time series is weakly stationary (as would be the equilibrium errors), the effect of recursive adjustment vanishes with increasing sample size. When the suitably normalized stochastic component converges weakly to some limiting continuous-time process with integrable paths (as would be the case with the common stochastic trends), recursive adjustment has a permanent effect even asymptotically: the normalized recursively adjusted process converges weakly to a recursively adjusted version of the limiting process. The null limiting distributions of the cointegration rank tests can be expressed in terms of recursively adjusted Brownian motions. Moreover, the finite-sample properties of the cointegration rank tests with recursive adjustment are examined in cases of empirical relevance: the considered deterministic components are a constant, and a constant and a linear trend, respectively. Compared to the likelihood ratio tests or the tests with generalized least squares adjustment, improvements in terms of empirical rejection frequencies under the null are found in finite samples; improvements are found under the alternative as well, with the likelihood ratio test performing increasingly better as the magnitude of the initial condition increases. Regarding rank selection, a very simple combination of the three testing procedures with different adjustments performs best.

scholarly journals Evaluating a stochastic parametrization for a fast–slow system using the Wasserstein distance

2018 ◽  
Vol 25 (2) ◽  
pp. 413-427 ◽  
Author(s):  
Gabriele Vissio ◽  
Valerio Lucarini
Keyword(s):  
Numerical Modeling ◽  
Original System ◽  
Wasserstein Distance ◽  
Curse Of Dimensionality ◽  
Response Theory ◽  
Stochastic Component ◽  
Statistical Mechanical ◽  
Geophysical Fluids ◽  
Slow System

Abstract. Constructing accurate, flexible, and efficient parametrizations is one of the great challenges in the numerical modeling of geophysical fluids. We consider here the simple yet paradigmatic case of a Lorenz 84 model forced by a Lorenz 63 model and derive a parametrization using a recently developed statistical mechanical methodology based on the Ruelle response theory. We derive an expression for the deterministic and the stochastic component of the parametrization and we show that the approach allows for dealing seamlessly with the case of the Lorenz 63 being a fast as well as a slow forcing compared to the characteristic timescales of the Lorenz 84 model. We test our results using both standard metrics based on the moments of the variables of interest as well as Wasserstein distance between the projected measure of the original system on the Lorenz 84 model variables and the measure of the parametrized one. By testing our methods on reduced-phase spaces obtained by projection, we find support for the idea that comparisons based on the Wasserstein distance might be of relevance in many applications despite the curse of dimensionality.

The stochastic component in choice and regression to the mean

2010 ◽  
Vol 71 (2) ◽  
pp. 251-267 ◽  
Author(s):  
Aurora García-Gallego ◽  
Nikolaos Georgantzís ◽  
Daniel Navarro-Martínez ◽  
Gerardo Sabater-Grande
Keyword(s):  
Regression To The Mean ◽  
Stochastic Component ◽  
The Mean

An analysis of the effect of the stochastic component of urban cellular automata models

2011 ◽  
Vol 35 (4) ◽  
pp. 289-296 ◽  
Author(s):  
Andrés Manuel García ◽  
Inés Santé ◽  
Rafael Crecente ◽  
David Miranda
Keyword(s):  
Cellular Automata ◽  
Stochastic Component

Plum Island Coffee Roasters: a perfect blend of coffee, business and community

2016 ◽  
Vol 12 (2) ◽  
pp. 179-188
Author(s):  
Gregory C. Foudray
Keyword(s):  
Digital Media ◽  
Coffee Shop ◽  
Content Type ◽  
Business Courses ◽  
Subject Areas ◽  
The Subject ◽  
Seasonal Volatility ◽  
Facebook Advertising ◽  
The Impact ◽  
Formal Business

Synopsis The owner of an independent coffee shop is looking for methods to improve the sales performance of his business. He has strong customer sales and service skills but limited formal business education. He believes his sales are growing but seasonal volatility in sales is affecting his profitability. The manager of the coffee shop is a college student and is attempting to use methods from her business courses to analyze the impact of Facebook Advertising on the sales of the coffee shop. On a busy Friday in May, they are meeting to make key marketing decisions. Research methodology This case is a field researched case. The author had full access to the owner of the business, meeting with him frequently over a two-year period. The business owner has reviewed the case to verify its accuracy. Relevant courses and levels This case is intended for use in undergraduate business courses in the subject areas of Business, Marketing and Social/Digital Media Marketing.

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