Work

Asymmetric Finite-Range Persistence in Time Series Generated by the Modified Discrete Langevin Model

Year: 2025

Type: article

Abstract: The concept of asymmetric persistence in time series was proposed and an appropriate stochastic Langevin-type model was presented. The influence of this particular form of memory on the behavior of the generated time series was examined. It has been shown that asymmetry causes a significant distortion of the effect of drift forces and has a weaker impact on stochastic diffusion forces. Due to this, current known methods for reconstructing the Langevin-type model fail. The results of this work may help in deriving a new reconstruction method.

Source: Symmetry

DOI: 10.3390/sym17020287

Author: Zbigniew Czechowski

Institutions: Institute of Geophysics Polish Academy of Sciences, Polish Academy of Sciences

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $2,896

Funder: Narodowym Centrum Nauki