This paper proposes a simple testing procedure to detect the presence of nonlinear but global stationary logistic smooth transition autoregressive processes. This testing procedure nests the one developed by Kapetanios et al. (2003) that accommodates specifically the alternative of a global stationary ESTAR process. The present work makes a threefold contribution to the literature. First, it de...

The prime objective of the study is to identify the long-run and short-run relationship between Indian stock price viz., BSE SENSEX (hereafter named as BSE) and gold price (GOLD) in India. The daily closing price data were collected for the period of ten years ranging from 1st April 2004 to 31st March 2014 with 2490 observations. The study employed two models: Model one us...

this paper attempts to compare the forecasting performance of the arima model and hybrid arma-garch models by using daily data of the iran’s exchange rate against the u.s. dollar (irr/usd) for the period of 20 march 2014 to 20 june 2015. the period of 20 march 2014 to 19 april 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...

It is well known that the discrete Fourier transform (DFT) of a second order stationary time series between two distinct Fourier frequencies are asymptotically uncorrelated. In contrast we show that for a large class of second order nonstationary time series, including locally stationary time series, the covariance between the Fourier frequencies is non-zero. Indeed the correlations between the...

in recent years there has been considerable interest in the synthesis and separation of enantiomers of organic compounds especially because of their importance in the biochemistry and pharmaceutical industry. high-performance liquid chromatography is a very useful method for the direct separation of enantiomers. however, about 30−40 years ago, commercially available chiral stationary phases wer...

in analyzing a signal, especially a non-stationary signal, it is often necessarythe desired signal to be segmented into small epochs. segmentation can beperformed by splitting the signal at time instances where signal amplitude orfrequency change. in this paper, the signal is initially decomposed into signals withdifferent frequency bands using wavelet transform. then, fractal dimension of thed...

Abstract A network traffic time series analysis and forecasting method based on wavelet decomposition is proposed in the paper. Firstly, non-stationary network traffic time series are decomposed into multiple stationary components, then various stationary components are modeled using the autoregressive moving average method and at last models of all components are composed to get the prediction...

The increment ratio (IR) statistic was first defined and studied in Surgailis et al. (2007) for estimating the memory parameter either of a stationary or an increment stationary Gaussian process. Here three extensions are proposed in the case of stationary processes. Firstly, a multidimensional central limit theorem is established for a vector composed by several IR statistics. Secondly, a good...

This paper investigates the performance of a column classification system developed at the Katholieke Universiteit Leuven applied to pharmaceutical chromatographic analyses. The liquid chromatography assay of lamotrigine and related compounds was carried out according to the method prescribed in the European Pharmacopoeia monograph, using 28 brands of stationary phases. A ranking was built base...