NON-GAUSSIAN STATISTICS OF OIL PRICING TIME-SERIES: A CASE STUDY

The stochastic nature of oil price fluctuations is investigated over a twelve-year period, borrowing feedback from an existing database (USA Energy Information Administration database, available online). We evaluate the scaling exponents of the fluctuations by employing different statistical analysis methods, namely rescaled range analysis (R/S), scale windowed variance analysis (SWV) and the generalized Hurst exponent (GH) method. Relying on the scaling exponents obtained, we apply a rescaling procedure to investigate the complex characteristics of the probability density functions (PDFs) dominating oil price fluctuations. It is found that PDFs exhibit scale invariance, and in fact collapse onto a single curve when increments are measured over microscales (typically less than 30 days). The time evolution of the distributions is well fitted by a Levy-type stable distribution. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer. Our results also exhibit a degree of multifractality as the PDFs change and converge toward to a Gaussian distribution at the macroscales.

Spatial evolution of a q-Gaussian laser beam in relativistic plasma

In a recent experimental study, the beam intensity profile of the Vulcan petawatt laser beam was measured; it was found that only 20% of the energy was contained within the full width at half maximum of 6.9 mu m and 50% within 16 mu m, suggesting a long-tailed non-Gaussian transverse beam profile. A q-Gaussian distribution function was suggested therein to reproduce this behavior. The spatial beam profile dynamics of a q-Gaussian laser beam propagating in relativistic plasma is investigated in this article. A non-paraxial theory is employed, taking into account nonlinearity via the relativistic decrease of the plasma frequency. We have studied analytically and numerically the dynamics of a relativistically guided beam and its dependence on the q-parameter. Numerical simulation results are shown to trace the dependence of the focusing length on the q-Gaussian profile.

Response characteristics of optical sensors for oxygen: models based on a distribution in tau(o) or kappa(q)

The features of two popular models used to describe the observed response characteristics of typical oxygen optical sensors based on luminescence quenching are examined critically. The models are the 'two-site' and 'Gaussian distribution in natural lifetime, tau(o),' models. These models are used to characterise the response features of typical optical oxygen sensors; features which include: downward curving Stern-Volmer plots and increasingly non-first order luminescence decay kinetics with increasing partial pressures of oxygen, pO(2). Neither model appears able to unite these latter features, let alone the observed disparate array of response features exhibited by the myriad optical oxygen sensors reported in the literature, and still maintain any level of physical plausibility. A model based on a Gaussian distribution in quenching rate constant, k(q), is developed and, although flawed by a limited breadth in distribution, rho, does produce Stern-Volmer plots which would cover the range in curvature seen with real optical oxygen sensors. A new 'log-Gaussian distribution in tau(o) or k(q)' model is introduced which has the advantage over a Gaussian distribution model of placing no limitation on the value of rho. Work on a 'log-Gaussian distribution in tau(o)' model reveals that the Stern-Volmer quenching plots would show little degree in curvature, even at large rho values and the luminescence decays would become increasingly first order with increasing pO(2). In fact, with real optical oxygen sensors, the opposite is observed and thus the model appears of little value. In contrast, a 'log-Gaussian distribution in k(o)' model does produce the trends observed with real optical oxygen sensors; although it is technically restricted in use to those in which the kinetics of luminescence decay are good first order in the absence of oxygen. The latter model gives a good fit to the major response features of sensors which show the latter feature, most notably the [Ru(dpp)(3)(2+)(Ph4B-)(2)] in cellulose optical oxygen sensors. The scope of a log-Gaussian model for further expansion and, therefore, application to optical oxygen sensors, by combining both a log-Gaussian distribution in k(o) with one in tau(o) is briefly discussed.

Inverse Gaussian Modeling of Turbulence-Induced Fading in Free-Space Optical Systems

We propose the inverse Gaussian distribution, as a less complex alternative to the classical log-normal model, to describe turbulence-induced fading in free-space optical (FSO) systems operating in weak turbulence conditions and/or in the presence of aperture averaging effects. By conducting goodness of fit tests, we define the range of values of the scintillation index for various multiple-input multiple-output (MIMO) FSO configurations, where the two distributions approximate each other with a certain significance level. Furthermore, the bit error rate performance of two typical MIMO FSO systems is investigated over the new turbulence model; an intensity-modulation/direct detection MIMO FSO system with Q-ary pulse position modulation that employs repetition coding at the transmitter and equal gain combining at the receiver, and a heterodyne MIMO FSO system with differential phase-shift keying and maximal ratio combining at the receiver. Finally, numerical results are presented that validate the theoretical analysis and provide useful insights into the implications of the model parameters on the overall system performance. © 2011 IEEE.

Performance assessment of cascade control loopswith non-Gaussian disturbances using entropy information

Cascade control is one of the routinely used control strategies in industrial processes because it can dramatically improve the performance of single-loop control, reducing both the maximum deviation and the integral error of the disturbance response. Currently, many control performance assessment methods of cascade control loops are developed based on the assumption that all the disturbances are subject to Gaussian distribution. However, in the practical condition, several disturbance sources occur in the manipulated variable or the upstream exhibits nonlinear behaviors. In this paper, a general and effective index of the performance assessment of the cascade control system subjected to the unknown disturbance distribution is proposed. Like the minimum variance control (MVC) design, the output variances of the primary and the secondary loops are decomposed into a cascade-invariant and a cascade-dependent term, but the estimated ARMA model for the cascade control loop based on the minimum entropy, instead of the minimum mean squares error, is developed for non-Gaussian disturbances. Unlike the MVC index, an innovative control performance index is given based on the information theory and the minimum entropy criterion. The index is informative and in agreement with the expected control knowledge. To elucidate wide applicability and effectiveness of the minimum entropy cascade control index, a simulation problem and a cascade control case of an oil refinery are applied. The comparison with MVC based cascade control is also included.

Discrete Gaussian Sampling for Low-Power Devices

Thesis (Master's)--University of Washington, 2015

A probabilistic methodology for distributed generation location in isolated electrical service area

Distributed generation unlike centralized electrical generation aims to generate electrical energy on small scale as near as possible to load centers, interchanging electric power with the network. This work presents a probabilistic methodology conceived to assist the electric system planning engineers in the selection of the distributed generation location, taking into account the hourly load changes or the daily load cycle. The hourly load centers, for each of the different hourly load scenarios, are calculated deterministically. These location points, properly weighted according to their load magnitude, are used to calculate the best fit probability distribution. This distribution is used to determine the maximum likelihood perimeter of the area where each source distributed generation point should preferably be located by the planning engineers. This takes into account, for example, the availability and the cost of the land lots, which are factors of special relevance in urban areas, as well as several obstacles important for the final selection of the candidates of the distributed generation points. The proposed methodology has been applied to a real case, assuming three different bivariate probability distributions: the Gaussian distribution, a bivariate version of Freund’s exponential distribution and the Weibull probability distribution. The methodology algorithm has been programmed in MATLAB. Results are presented and discussed for the application of the methodology to a realistic case and demonstrate the ability of the proposed methodology for efficiently handling the determination of the best location of the distributed generation and their corresponding distribution networks.

Some characterization problems associated with the bivariate exponential and geometric distributions

It is highly desirable that any multivariate distribution possessescharacteristic properties that are generalisation in some sense of the corresponding results in the univariate case. Therefore it is of interest to examine whether a multivariate distribution can admit such characterizations. In the exponential context, the question to be answered is, in what meaning— ful way can one extend the unique properties in the univariate case in a bivariate set up? Since the lack of memory property is the best studied and most useful property of the exponential law, our first endeavour in the present thesis, is to suitably extend this property and its equivalent forms so as to characterize the Gumbel's bivariate exponential distribution. Though there are many forms of bivariate exponential distributions, a matching interest has not been shown in developing corresponding discrete versions in the form of bivariate geometric distributions. Accordingly, attempt is also made to introduce the geometric version of the Gumbel distribution and examine several of its characteristic properties. A major area where exponential models are successfully applied being reliability theory, we also look into the role of these bivariate laws in that context. The present thesis is organised into five Chapters

Gaussian anamorphosis in the analysis step of the EnKF: a joint state-variable/observation approach

The analysis step of the (ensemble) Kalman filter is optimal when (1) the distribution of the background is Gaussian, (2) state variables and observations are related via a linear operator, and (3) the observational error is of additive nature and has Gaussian distribution. When these conditions are largely violated, a pre-processing step known as Gaussian anamorphosis (GA) can be applied. The objective of this procedure is to obtain state variables and observations that better fulfil the Gaussianity conditions in some sense. In this work we analyse GA from a joint perspective, paying attention to the effects of transformations in the joint state variable/observation space. First, we study transformations for state variables and observations that are independent from each other. Then, we introduce a targeted joint transformation with the objective to obtain joint Gaussianity in the transformed space. We focus primarily in the univariate case, and briefly comment on the multivariate one. A key point of this paper is that, when (1)-(3) are violated, using the analysis step of the EnKF will not recover the exact posterior density in spite of any transformations one may perform. These transformations, however, provide approximations of different quality to the Bayesian solution of the problem. Using an example in which the Bayesian posterior can be analytically computed, we assess the quality of the analysis distributions generated after applying the EnKF analysis step in conjunction with different GA options. The value of the targeted joint transformation is particularly clear for the case when the prior is Gaussian, the marginal density for the observations is close to Gaussian, and the likelihood is a Gaussian mixture.

Influence of the size distribution of particles on the viscous property of an electrorheological fluid

The influence of the size distribution of particles on the viscous property of an electrorheological fluid has been investigated by the molecular dynamic simulation method. The shear stress of the fluid is found to decrease with the increase of the variance sigma(2) of the Gaussian distribution of the particle size, and then reach a steady value when sigma is larger than 0.5. This phenomenon is attributed to the influence of the particle size distribution on the dynamic structural evolution in the fluid as well as the strength of the different chain-like structures formed by the particles.

Random number generators for the generalized Birnbaum-Saunders distribution

The generalized Birnbaum-Saunders distribution pertains to a class of lifetime models including both lighter and heavier tailed distributions. This model adapts well to lifetime data, even when outliers exist, and has other good theoretical properties and application perspectives. However, statistical inference tools may not exist in closed form for this model. Hence, simulation and numerical studies are needed, which require a random number generator. Three different ways to generate observations from this model are considered here. These generators are compared by utilizing a goodness-of-fit procedure as well as their effectiveness in predicting the true parameter values by using Monte Carlo simulations. This goodness-of-fit procedure may also be used as an estimation method. The quality of this estimation method is studied here. Finally, through a real data set, the generalized and classical Birnbaum-Saunders models are compared by using this estimation method.

Wrong-way risk in stock swaps : measuring counterparty credit risk and CVA

Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.

Control charts for individual observations of a bivariate Poisson process

In this paper, three single-control charts are proposed to monitor individual observations of a bivariate Poisson process. The specified false-alarm risk, their control limits, and ARLs were determined to compare their performances for different types and sizes of shifts. In most of the cases, the single charts presented better performance rather than two separate control charts ( one for each quality characteristic). A numerical example illustrates the proposed control charts.

Attribute charts for monitoring the mean vector of bivariate processes

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)