scholarly journals Parameter Resolution of the Estimation Methods for Power Law Indices

2021 ◽  
Vol 2021 ◽  
pp. 1-9
Author(s):  
Zheng-Yun Zhou ◽  
Yi-Ming Ding
Keyword(s):  
Power Law ◽  
Linear Relation ◽  
Interval Estimation ◽  
Estimation Algorithm ◽  
Estimation Methods ◽  
Power Law Distribution ◽  
Significance Level ◽  
Asymptotically Normal ◽  
Non Gaussian ◽  
Rich Data

The accuracy of parameter estimation plays an important role in economic and social models and experiments. Parameter resolution is the capability of an estimation algorithm to distinguish different parameters effectively under given noise level, which can be used to select appropriate algorithm for experimental or empirical data. We use a flexible distinguishing criterion and present a framework to compute the parameter resolution by bootstrap and simulation, which can be used in different models and algorithms, even for non-Gaussian noises. The parameter resolutions are computed for power law models and corresponding algorithms. For power law signal, with the increase of SNR, parameter resolution is finer; with the decrease of parameter, the resolution is finer. The standard deviation of noise and parameter resolution satisfies the linear relation; it relates to interval estimation naturally if the estimation algorithm is asymptotically normal. For power law distribution, parameter and resolution satisfy the linear relation, and experimental slope and theoretical slope tend to be consistent when significance level approaches zero. Last, we select an algorithm with finer resolution to estimate the Pareto index for the Forbes list of global rich data in recent 10 years and analyze the changes in the gap between the rich and the poor.

scholarly journals On the stiffness of surfaces with non-Gaussian height distribution

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Francesc Pérez-Ràfols ◽  
Andreas Almqvist
Keyword(s):  
Weibull Distribution ◽  
Power Law ◽  
Linear Relation ◽  
Hurst Exponent ◽  
Height Distribution ◽  
Fractal Surfaces ◽  
Separation Curve ◽  
Load Separation ◽  
Dimensionality Analysis ◽  
Non Gaussian

AbstractIn this work, the stiffness, i.e., the derivative of the load-separation curve, is studied for self-affine fractal surfaces with non-Gaussian height distribution. In particular, the heights of the surfaces are assumed to follow a Weibull distribution. We find that a linear relation between stiffness and load, well established for Gaussian surfaces, is not obtained in this case. Instead, a power law, which can be motivated by dimensionality analysis, is a better descriptor. Also unlike Gaussian surfaces, we find that the stiffness curve is no longer independent of the Hurst exponent in this case. We carefully asses the possible convergence errors to ensure that our conclusions are not affected by them.

scholarly journals The structure of co-publications multilayer network

2021 ◽  
Vol 8 (1) ◽  
Author(s):  
Ghislain Romaric Meleu ◽  
Paulin Yonta Melatagia
Keyword(s):  
Power Law ◽  
Degree Distribution ◽  
Preferential Attachment ◽  
Small World ◽  
Generation Model ◽  
Small World Network ◽  
Power Law Distribution ◽  
Multilayer Networks ◽  
Multilayer Network ◽  
Scientific Papers

AbstractUsing the headers of scientific papers, we have built multilayer networks of entities involved in research namely: authors, laboratories, and institutions. We have analyzed some properties of such networks built from data extracted from the HAL archives and found that the network at each layer is a small-world network with power law distribution. In order to simulate such co-publication network, we propose a multilayer network generation model based on the formation of cliques at each layer and the affiliation of each new node to the higher layers. The clique is built from new and existing nodes selected using preferential attachment. We also show that, the degree distribution of generated layers follows a power law. From the simulations of our model, we show that the generated multilayer networks reproduce the studied properties of co-publication networks.

Learning for infinitely divisible GARCH models in option pricing

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Fumin Zhu ◽  
Michele Leonardo Bianchi ◽  
Young Shin Kim ◽  
Frank J. Fabozzi ◽  
Hengyu Wu
Keyword(s):  
Option Pricing ◽  
Stock Returns ◽  
Bayesian Learning ◽  
Space Structure ◽  
Estimation Methods ◽  
Garch Models ◽  
Learning Approaches ◽  
Infinitely Divisible ◽  
Asymmetric Garch ◽  
Non Gaussian

AbstractThis paper studies the option valuation problem of non-Gaussian and asymmetric GARCH models from a state-space structure perspective. Assuming innovations following an infinitely divisible distribution, we apply different estimation methods including filtering and learning approaches. We then investigate the performance in pricing S&P 500 index short-term options after obtaining a proper change of measure. We find that the sequential Bayesian learning approach (SBLA) significantly and robustly decreases the option pricing errors. Our theoretical and empirical findings also suggest that, when stock returns are non-Gaussian distributed, their innovations under the risk-neutral measure may present more non-normality, exhibit higher volatility, and have a stronger leverage effect than under the physical measure.

scholarly journals Power-law behavior of transcription factor dynamics at the single-molecule level implies a continuum affinity model

2021 ◽  
Author(s):  
David A Garcia ◽  
Gregory Fettweis ◽  
Diego M Presman ◽  
Ville Paakinaho ◽  
Christopher Jarzynski ◽  
...  
Keyword(s):  
Transcription Factor ◽  
Single Molecule ◽  
Power Law ◽  
Dwell Time ◽  
Specific Binding ◽  
Power Law Distribution ◽  
Single Molecule Level ◽  
Binding Behavior ◽  
Chromatin Template ◽  
Nuclear Domains

Abstract Single-molecule tracking (SMT) allows the study of transcription factor (TF) dynamics in the nucleus, giving important information regarding the diffusion and binding behavior of these proteins in the nuclear environment. Dwell time distributions obtained by SMT for most TFs appear to follow bi-exponential behavior. This has been ascribed to two discrete populations of TFs—one non-specifically bound to chromatin and another specifically bound to target sites, as implied by decades of biochemical studies. However, emerging studies suggest alternate models for dwell-time distributions, indicating the existence of more than two populations of TFs (multi-exponential distribution), or even the absence of discrete states altogether (power-law distribution). Here, we present an analytical pipeline to evaluate which model best explains SMT data. We find that a broad spectrum of TFs (including glucocorticoid receptor, oestrogen receptor, FOXA1, CTCF) follow a power-law distribution of dwell-times, blurring the temporal line between non-specific and specific binding, suggesting that productive binding may involve longer binding events than previously believed. From these observations, we propose a continuum of affinities model to explain TF dynamics, that is consistent with complex interactions of TFs with multiple nuclear domains as well as binding and searching on the chromatin template.

scholarly journals Computational Geometry-Based Surface Reconstruction for Volume Estimation: A Case Study on Magnitude-Frequency Relations for a LiDAR-Derived Rockfall Inventory

2021 ◽  
Vol 10 (3) ◽  
pp. 157
Author(s):  
Paul-Mark DiFrancesco ◽  
David A. Bonneau ◽  
D. Jean Hutchinson
Keyword(s):  
Computational Geometry ◽  
Surface Reconstruction ◽  
Power Law ◽  
Point Cloud ◽  
Point Clouds ◽  
Volume Estimation ◽  
Estimation Methods ◽  
Small Scale ◽  
Reconstruction Methods ◽  
3D Volume

Key to the quantification of rockfall hazard is an understanding of its magnitude-frequency behaviour. Remote sensing has allowed for the accurate observation of rockfall activity, with methods being developed for digitally assembling the monitored occurrences into a rockfall database. A prevalent challenge is the quantification of rockfall volume, whilst fully considering the 3D information stored in each of the extracted rockfall point clouds. Surface reconstruction is utilized to construct a 3D digital surface representation, allowing for an estimation of the volume of space that a point cloud occupies. Given various point cloud imperfections, it is difficult for methods to generate digital surface representations of rockfall with detailed geometry and correct topology. In this study, we tested four different computational geometry-based surface reconstruction methods on a database comprised of 3668 rockfalls. The database was derived from a 5-year LiDAR monitoring campaign of an active rock slope in interior British Columbia, Canada. Each method resulted in a different magnitude-frequency distribution of rockfall. The implications of 3D volume estimation were demonstrated utilizing surface mesh visualization, cumulative magnitude-frequency plots, power-law fitting, and projected annual frequencies of rockfall occurrence. The 3D volume estimation methods caused a notable shift in the magnitude-frequency relations, while the power-law scaling parameters remained relatively similar. We determined that the optimal 3D volume calculation approach is a hybrid methodology comprised of the Power Crust reconstruction and the Alpha Solid reconstruction. The Alpha Solid approach is to be used on small-scale point clouds, characterized with high curvatures relative to their sampling density, which challenge the Power Crust sampling assumptions.

scholarly journals Extended power-law scaling of air permeabilities measured on a block of tuff

2012 ◽  
Vol 16 (1) ◽  
pp. 29-42 ◽  
Author(s):  
M. Siena ◽  
A. Guadagnini ◽  
M. Riva ◽  
S. P. Neuman
Keyword(s):  
Power Law ◽  
Structure Functions ◽  
Self Similarity ◽  
Scaling Exponents ◽  
Multi Scale ◽  
Sample Structure ◽  
Heavy Tailed ◽  
Non Gaussian ◽  
Nonlinear Fashion ◽  
Extended Power

Abstract. We use three methods to identify power-law scaling of multi-scale log air permeability data collected by Tidwell and Wilson on the faces of a laboratory-scale block of Topopah Spring tuff: method of moments (M), Extended Self-Similarity (ESS) and a generalized version thereof (G-ESS). All three methods focus on q-th-order sample structure functions of absolute increments. Most such functions exhibit power-law scaling at best over a limited midrange of experimental separation scales, or lags, which are sometimes difficult to identify unambiguously by means of M. ESS and G-ESS extend this range in a way that renders power-law scaling easier to characterize. Our analysis confirms the superiority of ESS and G-ESS over M in identifying the scaling exponents, ξ(q), of corresponding structure functions of orders q, suggesting further that ESS is more reliable than G-ESS. The exponents vary in a nonlinear fashion with q as is typical of real or apparent multifractals. Our estimates of the Hurst scaling coefficient increase with support scale, implying a reduction in roughness (anti-persistence) of the log permeability field with measurement volume. The finding by Tidwell and Wilson that log permeabilities associated with all tip sizes can be characterized by stationary variogram models, coupled with our findings that log permeability increments associated with the smallest tip size are approximately Gaussian and those associated with all tip sizes scale show nonlinear variations in ξ(q) with q, are consistent with a view of these data as a sample from a truncated version (tfBm) of self-affine fractional Brownian motion (fBm). Since in theory the scaling exponents, ξ(q), of tfBm vary linearly with q we conclude that nonlinear scaling in our case is not an indication of multifractality but an artifact of sampling from tfBm. This allows us to explain theoretically how power-law scaling of our data, as well as of non-Gaussian heavy-tailed signals subordinated to tfBm, are extended by ESS. It further allows us to identify the functional form and estimate all parameters of the corresponding tfBm based on sample structure functions of first and second orders.

scholarly journals A Fusion Algorithm for Estimating Time-Independent/-Dependent Parameters and States

Sensors ◽  
2021 ◽  
Vol 21 (12) ◽  
pp. 4068
Author(s):  
Zheshuo Zhang ◽  
Jie Zhang ◽  
Jiawen Dai ◽  
Bangji Zhang ◽  
Hengmin Qi
Keyword(s):  
Unscented Kalman Filter ◽  
Time Estimation ◽  
Estimation Algorithm ◽  
Estimation Methods ◽  
Fusion Algorithm ◽  
State Variable ◽  
Current Estimation ◽  
Real Time Estimation ◽  
And Control ◽  
Independent Parameters

Vehicle parameters are essential for dynamic analysis and control systems. One problem of the current estimation algorithm for vehicles’ parameters is that: real-time estimation methods only identify parts of vehicle parameters, whereas other parameters such as suspension damping coefficients and suspension and tire stiffnesses are assumed to be known in advance by means of an inertial parameter measurement device (IPMD). In this study, a fusion algorithm is proposed for identifying comprehensive vehicle parameters without the help of an IPMD, and vehicle parameters are divided into time-independent parameters (TIPs) and time-dependent parameters (TDPs) based on whether they change over time. TIPs are identified by a hybrid-mass state-variable (HMSV). A dual unscented Kalman filter (DUKF) is applied to update both TDPs and online states. The experiment is conducted on a real two-axle vehicle and the test data are used to estimate both TIPs and TDPs to validate the accuracy of the proposed algorithm. Numerical simulations are performed to further investigate the algorithm’s performance in terms of sprung mass variation, model error because of linearization and various road conditions. The results from both the experiment and simulation show that the proposed algorithm can estimate TIPs as well as update TDPs and online states with high accuracy and quick convergence, and no requirement of road information.

scholarly journals Explaining the power-law distribution of human mobility through transportationmodality decomposition

2015 ◽  
Vol 5 (1) ◽  
Author(s):  
Kai Zhao ◽  
Mirco Musolesi ◽  
Pan Hui ◽  
Weixiong Rao ◽  
Sasu Tarkoma
Keyword(s):  
Power Law ◽  
Human Mobility ◽  
Power Law Distribution
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