In statistical data analysis it is often important to compare, classify, and cluster di¤erent time series. For these purposes various methods have been proposed in the literature, but they usually assume time series with the same sample size. In this paper, we propose a spectral domain method for handling time series of unequal length. The method make the spectral estimates comparable by produc...

The paper mainly focuses on the statistical dependence/independence relationship existing in the Rössler map and on the possibility to sample the chaotic system to obtain experimental data complying with the i.i.d. model (data coming out from independent and identically distributed random variables). The overall investigation relies on Smirnov tests on two experimental data sets, a Monte Carlo ...

We present the program EvolFMC v.2 that solves the evolution equations in QCD for the parton momentum distributions by means of the Monte Carlo technique based on the Markovian process. The program solves the DGLAP-type evolution as well as modified-DGLAP ones. In both cases the evolution can be performed in the LO or NLO approximation. The quarks are treated as massless. The overall technical ...

Monte Carlo (MC) is a well known method for quantifying uncertainty arising for example in subsurface flow problems. Although robust and easy to implement, MC suffers from slow convergence. Extending MC by means of multigrid techniques yields the multilevel Monte Carlo (MLMC) method. MLMC has proven to greatly accelerate MC for several applications including stochastic ordinary equations in fin...

For years limited Monte Carlo simulations have led to the suspicion that the time to failure of hierarchically organized load-transfer models of fracture is nonzero for sets of infinite size. This fact could have profound significance in engineering practice and also in geophysics. Here, we develop an exact algebraic iterative method to compute the successive time intervals for individual break...

A model is proposed for addressing investment risk of the free reserve, in the form of credit or currency risk. This risk is expressed by a constant factor α that represents the recovery rate of a bond or a devaluation factor. Securitization (e.g. with a CAT-bond like product) yields a constant amount K upon such an event. The model equation is an integro-differential equation with deviating ar...