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• W2012809563 abstract "The time evolution of a physical quantity associated with a thermodynamic system whose equilibrium fluctuations are modulated in amplitude by a slowly varying phenomenon can be modeled as the product of a Gaussian white noise ${{Z}_{t}}$ and a stochastic process with strictly positive values ${{V}_{t}}$ referred to as volatility. The probability density function (pdf) of the process ${X}_{t}={V}_{t}{Z}_{t}$ is a scale mixture of Gaussian white noises expressed as a time average of Gaussian distributions weighted by the pdf of the volatility. The separation of the two components of ${{X}_{t}}$ can be achieved by imposing the condition that the absolute values of the estimated white noise be uncorrelated. We apply this method to the time series of the returns of the daily S index, which has also been analyzed by means of the superstatistics method that imposes the condition that the estimated white noise be Gaussian. The advantage of our method is that this financial time series is processed without partitioning or removal of the extreme events and the estimated white noise becomes almost Gaussian only as result of the uncorrelation condition." @default.
• W2012809563 created "2016-06-24" @default.
• W2012809563 creator A5036343962 @default.
• W2012809563 creator A5037408017 @default.
• W2012809563 date "2010-05-19" @default.
• W2012809563 modified "2023-10-17" @default.
• W2012809563 title "Separation of components from a scale mixture of Gaussian white noises" @default.
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• W2012809563 doi "https://doi.org/10.1103/physreve.81.051125" @default.
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