Seminario di Raj Bhansali a Bologna

[Simone Giannerini <giannerini@stat.unibo.it>]

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                  AVVISO DI SEMINARIO
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Lunedi' 30 maggio alle ore 11:00, presso il Dipartimento di Scienze 
Statistiche
dell'Universitą di Bologna, via Delle Belle Arti 41, Bologna, aula III

                        Raj Bhansali
                    University of Liverpool, U.K.

terrą il seminario

Intermittency, long-memory and chaos

Abstract
It is widely recognised that time series exhibiting long-memory, in the 
sense of slowly-decaying correlations, occur in many different
fields of applications; two well-known examples being the network traffic 
and the volatility in financial returns.  The established
stochastic models for characterizing the slow decay of correlations are 
typically linear and based on a Gaussian assumption.  There has however 
lately been much development in Dynamical Systems Theory on chaotic 
intermittency maps which also realize long-range dependence. These maps are 
typically non-linear and non-Gaussian and incorporate the dynamical 
characteristics of intermittency and chaos.  The intermittency maps thus 
produce orbits which alternate between laminar and chaotic regions, and 
theoretical models for describing a behaviour of this type have been used 
previously for a variety of different physical phenomena; for example, 
chattering in impacting structures and chaotic motion in turbulence.  The 
empirical statistical properties of three different categories of 
intermittency maps, namely the Polynomial, Logarithmic and Cusp maps, and 
their instantaneous transformations are investigated by a simulation study, 
focusing particularly on their dependence structure, especially the 
estimated correlations, the invariant density, the sample paths (orbits), 
and the behaviour of the linear autoregressive model selection procedures.


Per informazioni:
http://www.stat.unibo.it/ScienzeStatistiche/Bacheca/Eventi/2005/05/seminari_intermittency_chaos.htm



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Simone Giannerini
Dipartimento di Scienze Statistiche "Paolo Fortunati"
Universita' di Bologna
Via delle belle arti 41 - 40126  Bologna,  ITALY
Tel: +39 051 2098248  Fax: +39 051 232153
E-mail: giannerini@stat.unibo.it
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