IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v392y2013i22p5592-5603.html
   My bibliography  Save this article

Construction of a Langevin model from time series with a periodical correlation function: Application to wind speed data

Author

Listed:
  • Czechowski, Zbigniew
  • Telesca, Luciano

Abstract

A Langevin-type equation for stochastic processes with a periodical correlation function is introduced. A procedure of reconstruction of the equation from time series is proposed and verified on simulated data. The method is applied to geophysical time series–hourly time series of wind speed measured in northern Italy–constructing the macroscopic model of the phenomenon.

Suggested Citation

  • Czechowski, Zbigniew & Telesca, Luciano, 2013. "Construction of a Langevin model from time series with a periodical correlation function: Application to wind speed data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5592-5603.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:22:p:5592-5603
    DOI: 10.1016/j.physa.2013.07.041
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437113006511
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2013.07.041?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Stanton, Richard, 1997. "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1973-2002, December.
    2. Telesca, Luciano & Czechowski, Zbigniew, 2012. "Discriminating geoelectrical signals measured in seismic and aseismic areas by using Ito models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 809-818.
    3. Czechowski, Zbigniew & Telesca, Luciano, 2011. "The construction of an Ito model for geoelectrical signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2511-2519.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Montagnon, C.E., 2021. "Forecasting by splitting a time series using Singular Value Decomposition then using both ARMA and a Fokker Planck equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
    2. Montagnon, Chris, 2017. "Forecasting with the Fokker–Planck model: Bayesian setting of parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 253-262.
    3. Montagnon, Chris, 2015. "A closed solution to the Fokker–Planck equation applied to forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 14-22.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Czechowski, Zbigniew & Telesca, Luciano, 2024. "Effect of nonlinearity of discrete Langevin model on behavior of extremes in generated time series," Chaos, Solitons & Fractals, Elsevier, vol. 183(C).
    2. Zhao, Zhibiao & Wu, Wei Biao, 2009. "Nonparametric inference of discretely sampled stable Lévy processes," Journal of Econometrics, Elsevier, vol. 153(1), pages 83-92, November.
    3. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
    4. Chris Kenyon & Andrew Green & Mourad Berrahoui, 2015. "Which measure for PFE? The Risk Appetite Measure, A," Papers 1512.06247, arXiv.org.
    5. Yang, Nian & Chen, Nan & Wan, Xiangwei, 2019. "A new delta expansion for multivariate diffusions via the Itô-Taylor expansion," Journal of Econometrics, Elsevier, vol. 209(2), pages 256-288.
    6. Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2005. "The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 423-438, August.
    7. Bonsoo Koo & Oliver Linton, 2010. "Semiparametric Estimation of Locally Stationary Diffusion Models," STICERD - Econometrics Paper Series 551, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
    9. Mahdavi, Mahnaz, 2008. "A comparison of international short-term rates under no arbitrage condition," Global Finance Journal, Elsevier, vol. 18(3), pages 303-318.
    10. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â," Finance Working Papers 22469, East Asian Bureau of Economic Research.
    11. Sarnitsky, Grigory & Heinz, Stefan, 2022. "Nonparametric inference for diffusion processes in systems with smooth evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    12. Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016. "Reducible diffusions with time-varying transformations with application to short-term interest rates," Economic Modelling, Elsevier, vol. 52(PA), pages 266-277.
    13. Yu, Jun, 2012. "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, vol. 169(1), pages 114-122.
    14. Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes," CIRJE F-Series CIRJE-F-573, CIRJE, Faculty of Economics, University of Tokyo.
    15. Aït-Sahalia, Yacine & Park, Joon Y., 2016. "Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models," Journal of Econometrics, Elsevier, vol. 192(1), pages 119-138.
    16. Griselda Deelstra & Michèle Vanmaele & David Vyncke, 2010. "Minimizing the Risk of a Financial Product Using a Put Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 767-800, December.
    17. repec:mth:ijafr8:v:8:y:2018:i:4:p:248-286 is not listed on IDEAS
    18. Kris James Mitchener & Mari Ohnuki, 2007. "Capital Market Integration in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 25(2), pages 129-154, November.
    19. Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 679-716, July.
    20. Choi Seungmoon, 2009. "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-41, March.
    21. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:392:y:2013:i:22:p:5592-5603. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.