A tutorial on reproducing a predefined autocovariance function through AR models: application to stationary homogeneous isotropic turbulence

Sequential methods for synthetic realisation of random processes have a number of advantages compared with spectral methods. In this article, the determination of optimal autoregressive (AR) models for reproducing a predefined target autocovariance function of a random process is addressed. To this end, a novel formulation of the problem is developed. This formulation is linear and generalises the well-known Yule-Walker (Y-W) equations and a recent approach based on restricted AR models (Krenk-Møller approach, K-M). Two main features characterise the introduced formulation: (i) flexibility in the choice for the autocovariance equations employed in the model determination, and (ii) flexibility in the definition of the AR model scheme. Both features were exploited by a genetic algorithm to obtain optimal AR models for the particular case of synthetic generation of homogeneous stationary isotropic turbulence time series. The obtained models improved those obtained with the Y-W and K-M approaches for the same model parsimony in terms of the global fitting of the target autocovariance function. Implications for the reproduced spectra are also discussed. The formulation for the multivariate case is also presented, highlighting the causes behind some computational bottlenecks.

Generalized Transport Equation of The Autocovariance Function of the Density Field and Mass Invariant in Star-forming Clouds

In this Letter, we study the evolution of the autocovariance function of density-field fluctuations in star-forming clouds and thus of the correlation length l c (ρ) of these fluctuations, which can be identified as the average size of the most correlated structures within the cloud. Generalizing the transport equation derived by Chandrasekhar for static, homogeneous turbulence, we show that the mass contained within these structures is an invariant, i.e., that the average mass contained in the most correlated structures remains constant during the evolution of the cloud, whatever dominates the global dynamics (gravity or turbulence). We show that the growing impact of gravity on the turbulent flow yields an increase of the variance of the density fluctuations and thus a drastic decrease of the correlation length. Theoretical relations are successfully compared to numerical simulations. This picture brings a robust support to star formation paradigms where the mass concentration in turbulent star-forming clouds evolves from initially large, weakly correlated filamentary structures to smaller, denser, more correlated ones, and eventually to small, tightly correlated, prestellar cores. We stress that the present results rely on a pure statistical approach of density fluctuations and do not involve any specific condition for the formation of prestellar cores. Interestingly enough, we show that, under average conditions typical of Milky-Way molecular clouds, this invariant average mass is about a solar mass, providing an appealing explanation for the apparent universality of the IMF in such environments.

New estimation method for periodic autoregressive time series of order 1 with additive noise

The periodic behavior of real data can be manifested in the time series or in its characteristics. One of the characteristics that often manifests the periodic behavior is the sample autocovariance function. In this case, the periodically correlated (PC) behavior is considered. One of the main models that exhibits PC property is the periodic autoregressive (PARMA) model that is considered as the generalization of the classical autoregressive moving average (ARMA) process. However, when one considers the real data, practically the observed trajectory corresponds to the “pure” model with the additional noise which is a result of the noise of the measurement device or other external forces. Thus, in this paper we consider the model that is a sum of the periodic autoregressive (PAR) time series and the additive noise with finite-variance distribution. We present the main properties of the considered model indicating its PC property. One of the main goals of this paper is to introduce the new estimation method for the considered model’s parameters. The novel algorithm takes under consideration the additive noise in the model and can be considered as the modification of the classical Yule–Walker algorithm that utilizes the autocovariance function. Here, we propose two versions of the new method, namely the classical and the robust ones. The effectiveness of the proposed methodology is verified by Monte Carlo simulations. The comparison with the classical Yule–Walker method is presented. The approach proposed in this paper is universal and can be applied to any finite-variance models with the additive noise.

Fractional Dynamics Identification via Intelligent Unpacking of the Sample Autocovariance Function by Neural Networks

Many single-particle tracking data related to the motion in crowded environments exhibit anomalous diffusion behavior. This phenomenon can be described by different theoretical models. In this paper, fractional Brownian motion (FBM) was examined as the exemplary Gaussian process with fractional dynamics. The autocovariance function (ACVF) is a function that determines completely the Gaussian process. In the case of experimental data with anomalous dynamics, the main problem is first to recognize the type of anomaly and then to reconstruct properly the physical rules governing such a phenomenon. The challenge is to identify the process from short trajectory inputs. Various approaches to address this problem can be found in the literature, e.g., theoretical properties of the sample ACVF for a given process. This method is effective; however, it does not utilize all of the information contained in the sample ACVF for a given trajectory, i.e., only values of statistics for selected lags are used for identification. An evolution of this approach is proposed in this paper, where the process is determined based on the knowledge extracted from the ACVF. The designed method is intuitive and it uses information directly available in a new fashion. Moreover, the knowledge retrieval from the sample ACVF vector is enhanced with a learning-based scheme operating on the most informative subset of available lags, which is proven to be an effective encoder of the properties inherited in complex data. Finally, the robustness of the proposed algorithm for FBM is demonstrated with the use of Monte Carlo simulations.

Robust Test for Detecting Changes in the Autocovariance Function of a Time Series

We propose a new robust test to detect changes in the autocovariance function of a time series. The test is based on empirical autocovariances of a robust transformation of the original time series. Because of the transformation, we do not require any finite moments of the original time series, making the test especially suitable for heavy tailed time series. We furthermore propose a lag weighting scheme, which puts emphasis on changes of the autocovariance at smaller lags. Our approach is compared to existing ones in some simulations.

POISSON MODELS WITH DYNAMIC RANDOM EFFECTS AND NONNEGATIVE CREDIBILITIES PER PERIOD

This paper provides a toolbox for the credibility analysis of frequency risks, with allowance for the seniority of claims and of risk exposure. We use Poisson models with dynamic and second-order stationary random effects that ensure nonnegative credibilities per period. We specify classes of autocovariance functions that are compatible with positive random effects and that entail nonnegative credibilities regardless of the risk exposure. Random effects with nonnegative generalized partial autocorrelations are shown to imply nonnegative credibilities. This holds for ARFIMA(0, d, 0) models. The AR(p) time series that ensure nonnegative credibilities are specified from their precision matrices. The compatibility of these semiparametric models with log-Gaussian random effects is verified. Gaussian sequences with ARFIMA(0, d, 0) specifications, which are then exponentiated entrywise, provide positive random effects that also imply nonnegative credibilities. Dynamic random effects applied to Poisson distributions are retained as products of two uncorrelated and positive components: the first is time-invariant, whereas the autocovariance function of the second vanishes at infinity and ensures nonnegative credibilities. The limit credibility is related to the three levels for the length of the memory in the random effects. The limit credibility is less than one in the short memory case, and a formula is provided.

SUPERPOSITIONED STATIONARY COUNT TIME SERIES

This paper probabilistically explores a class of stationary count time series models built by superpositioning (or otherwise combining) independent copies of a binary stationary sequence of zeroes and ones. Superpositioning methods have proven useful in devising stationary count time series having prespecified marginal distributions. Here, basic properties of this model class are established and the idea is further developed. Specifically, stationary series with binomial, Poisson, negative binomial, discrete uniform, and multinomial marginal distributions are constructed; other marginal distributions are possible. Our primary goal is to derive the autocovariance function of the resulting series.