Dependence structure of sojourn times via partition separated ordering

2003 ◽  
Vol 31 (6) ◽  
pp. 462-472
Author(s):  
Hans Daduna ◽  
Ryszard Szekli
2006 ◽  
Vol 43 (4) ◽  
pp. 1013-1027 ◽  
Author(s):  
Predrag R. Jelenković ◽  
Ana Radovanović ◽  
Mark S. Squillante

It was recently proved by Jelenković and Radovanović (2004) that the least-recently-used (LRU) caching policy, in the presence of semi-Markov-modulated requests that have a generalized Zipf's law popularity distribution, is asymptotically insensitive to the correlation in the request process. However, since the previous result is asymptotic, it remains unclear how small the cache size can become while still retaining the preceding insensitivity property. In this paper, assuming that requests are generated by a nearly completely decomposable Markov-modulated process, we characterize the critical cache size below which the dependency of requests dominates the cache performance. This critical cache size is small relative to the dynamics of the modulating process, and in fact is sublinear with respect to the sojourn times of the modulated chain that determines the dependence structure.


2006 ◽  
Vol 43 (04) ◽  
pp. 1013-1027 ◽  
Author(s):  
Predrag R. Jelenković ◽  
Ana Radovanović ◽  
Mark S. Squillante

It was recently proved by Jelenković and Radovanović (2004) that the least-recently-used (LRU) caching policy, in the presence of semi-Markov-modulated requests that have a generalized Zipf's law popularity distribution, is asymptotically insensitive to the correlation in the request process. However, since the previous result is asymptotic, it remains unclear how small the cache size can become while still retaining the preceding insensitivity property. In this paper, assuming that requests are generated by a nearly completely decomposable Markov-modulated process, we characterize the critical cache size below which the dependency of requests dominates the cache performance. This critical cache size is small relative to the dynamics of the modulating process, and in fact is sublinear with respect to the sojourn times of the modulated chain that determines the dependence structure.


2017 ◽  
Vol 6 (3) ◽  
pp. 43
Author(s):  
Nikolai Kolev ◽  
Jayme Pinto

The dependence structure between 756 prices for futures on crude oil and natural gas traded on NYMEX is analyzed  using  a combination of novel time-series and copula tools.  We model the log-returns on each commodity individually by Generalized Autoregressive Score models and account for dependence between them by fitting various copulas to corresponding  error terms. Our basic assumption is that the dependence structure may vary over time, but the ratio between the joint distribution of error terms and the product of marginal distributions (e.g., Sibuya's dependence function) remains the same, being time-invariant.  By performing conventional goodness-of-fit tests, we select the best copula, being member of the currently  introduced class of  Sibuya-type copulas.


2020 ◽  
Vol 20 (2) ◽  
pp. 489-504 ◽  
Author(s):  
Anaïs Couasnon ◽  
Dirk Eilander ◽  
Sanne Muis ◽  
Ted I. E. Veldkamp ◽  
Ivan D. Haigh ◽  
...  

Abstract. The interaction between physical drivers from oceanographic, hydrological, and meteorological processes in coastal areas can result in compound flooding. Compound flood events, like Cyclone Idai and Hurricane Harvey, have revealed the devastating consequences of the co-occurrence of coastal and river floods. A number of studies have recently investigated the likelihood of compound flooding at the continental scale based on simulated variables of flood drivers, such as storm surge, precipitation, and river discharges. At the global scale, this has only been performed based on observations, thereby excluding a large extent of the global coastline. The purpose of this study is to fill this gap and identify regions with a high compound flooding potential from river discharge and storm surge extremes in river mouths globally. To do so, we use daily time series of river discharge and storm surge from state-of-the-art global models driven with consistent meteorological forcing from reanalysis datasets. We measure the compound flood potential by analysing both variables with respect to their timing, joint statistical dependence, and joint return period. Our analysis indicates many regions that deviate from statistical independence and could not be identified in previous global studies based on observations alone, such as Madagascar, northern Morocco, Vietnam, and Taiwan. We report possible causal mechanisms for the observed spatial patterns based on existing literature. Finally, we provide preliminary insights on the implications of the bivariate dependence behaviour on the flood hazard characterisation using Madagascar as a case study. Our global and local analyses show that the dependence structure between flood drivers can be complex and can significantly impact the joint probability of discharge and storm surge extremes. These emphasise the need to refine global flood risk assessments and emergency planning to account for these potential interactions.


2021 ◽  
pp. 1-17
Author(s):  
Apostolos Serletis ◽  
Libo Xu

Abstract This paper examines correlation and dependence structures between money and the level of economic activity in the USA in the context of a Markov-switching copula vector error correction model. We use the error correction model to focus on the short-run dynamics between money and output while accounting for their long-run equilibrium relationship. We use the Markov regime-switching model to account for instabilities in the relationship between money and output, and also consider different copula models with different dependence structures to investigate (upper and lower) tail dependence.


1980 ◽  
Vol 12 (04) ◽  
pp. 1000-1018 ◽  
Author(s):  
J. Walrand ◽  
P. Varaiya

Consider an open multiclass Jacksonian network in equilibrium and a path such that a customer travelling along it cannot be overtaken directly by a subsequent arrival or by the effects of subsequent arrivals. Then the sojourn times of this customer in the nodes constituting the path are all mutually independent and so the total sojourn time is easily calculated. Two examples are given to suggest that the non-overtaking condition may be necessary to ensure independence when there is a single customer class.


2021 ◽  
Vol 13 (5) ◽  
pp. 853
Author(s):  
Mohsen Soltani ◽  
Julian Koch ◽  
Simon Stisen

This study aims to improve the standard water balance evapotranspiration (WB ET) estimate, which is typically used as benchmark data for catchment-scale ET estimation, by accounting for net intercatchment groundwater flow in the ET calculation. Using the modified WB ET approach, we examine errors and shortcomings associated with the long-term annual mean (2002–2014) spatial patterns of three remote-sensing (RS) MODIS-based ET products from MODIS16, PML_V2, and TSEB algorithms at 1 km spatial resolution over Denmark, as a test case for small-scale, energy-limited regions. Our results indicate that the novel approach of adding groundwater net in water balance ET calculation results in a more trustworthy ET spatial pattern. This is especially relevant for smaller catchments where groundwater net can be a significant component of the catchment water balance. Nevertheless, large discrepancies are observed both amongst RS ET datasets and compared to modified water balance ET spatial pattern at the national scale; however, catchment-scale analysis highlights that difference in RS ET and WB ET decreases with increasing catchment size and that 90%, 87%, and 93% of all catchments have ∆ET < ±150 mm/year for MODIS16, PML_V2, and TSEB, respectively. In addition, Copula approach captures a nonlinear structure of the joint relationship with multiple densities amongst the RS/WB ET products, showing a complex dependence structure (correlation); however, among the three RS ET datasets, MODIS16 ET shows a closer spatial pattern to the modified WB ET, as identified by a principal component analysis also. This study will help improve the water balance approach by the addition of groundwater net in the ET estimation and contribute to better understand the true correlations amongst RS/WB ET products especially over energy-limited environments.


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