A Frequency-selective Filter for Short-Length Time Series

An effective and easy-to-implement frequency filter is designed by convolving a Hamming window with the ideal rectangular filter response function. Three other filters, Hodrick-Prescott, Baxter-King, and Christiano-Fitzgerald, are critically reviewed. The behavior of the Hamming-windowed filter is compared to the others through their frequency responses and their application to both an artificial, known-structure series and to the Euro zone quarterly GDP series. The Hamming-windowed filter has almost no leakage and is thus much better than the others in eliminating high-frequency components and has a significantly flatter bandpass response. Its low-frequency behavior demonstrates better removal of undesired long-term components. These improvements are particularly evident when working with short-length time series, such as are common in macroeconomics. The proposed filter is stationary, symmetric, uses all the information contained in the raw data, and stationarizes series integrated up to order two. It thus proves to be a good candidate for extracting frequency-defined business-cycle componentsspectral analysis, bandpass filtering

Negative magnetic eddy diffusivities from test-field method and multiscale stability theory

The generation of large-scale magnetic field in the kinematic regime in the absence of an alpha-effect is investigated by following two different approaches, namely the test-field method and multiscale stability theory relying on the homogenisation technique. We show analytically that the former, applied for the evaluation of magnetic eddy diffusivities, yields results that fully agree with the latter. Our computations of the magnetic eddy diffusivity tensor for the specific instances of the parity-invariant flow-IV of G.O. Roberts and the modified Taylor-Green flow in a suitable range of parameter values confirm the findings of previous studies, and also explain some of their apparent contradictions. The two flows have large symmetry groups; this is used to considerably simplify the eddy diffusivity tensor. Finally, a new analytic result is presented: upon expressing the eddy diffusivity tensor in terms of solutions to auxiliary problems for the adjoint operator, we derive relations between magnetic eddy diffusivity tensors that arise for opposite small-scale flows v(x) and -v(x).Comment: 29 pp., 19 figures, 42 reference

Bifractality of the Devil's staircase appearing in the Burgers equation with Brownian initial velocity

It is shown that the inverse Lagrangian map for the solution of the Burgers equation (in the inviscid limit) with Brownian initial velocity presents a bifractality (phase transition) similar to that of the Devil's staircase for the standard triadic Cantor set. Both heuristic and rigorous derivations are given. It is explained why artifacts can easily mask this phenomenon in numerical simulations.Comment: 12 pages, LaTe

Going forth and back in time: a fast and parsimonious algorithm for mixed initial/final-value problems

We present an efficient and parsimonious algorithm to solve mixed initial/final-value problems. The algorithm optimally limits the memory storage and the computational time requirements: with respect to a simple forward integration, the cost factor is only logarithmic in the number of time-steps. As an example, we discuss the solution of the final-value problem for a Fokker-Planck equation whose drift velocity solves a different initial-value problem -- a relevant issue in the context of turbulent scalar transport.Comment: 12 pages, 4 figure

Fluctuations of energy injection rate in a shear flow

We study the instantaneous and local energy injection in a turbulent shear flow driven by volume forces. The energy injection can be both positive and negative. Extremal events are related to coherent streaks. The probability distribution is asymmetric, deviates slightly from a Gaussian shape and depends on the position in shear direction. The probabilities for positive and negative injection are exponentially related, but the prefactor in the exponent varies across the shear layer.Comment: 10 pages, 4 Postscript figure

Pdf's of Derivatives and Increments for Decaying Burgers Turbulence

A Lagrangian method is used to show that the power-law with a -7/2 exponent in the negative tail of the pdf of the velocity gradient and of velocity increments, predicted by E, Khanin, Mazel and Sinai (1997 Phys. Rev. Lett. 78, 1904) for forced Burgers turbulence, is also present in the unforced case. The theory is extended to the second-order space derivative whose pdf has power-law tails with exponent -2 at both large positive and negative values and to the time derivatives. Pdf's of space and time derivatives have the same (asymptotic) functional forms. This is interpreted in terms of a "random Taylor hypothesis".Comment: LATEX 8 pages, 3 figures, to appear in Phys. Rev.

Single-point velocity distribution in turbulence

We show that the tails of the single-point velocity probability distribution function (PDF) are generally non-Gaussian in developed turbulence. By using instanton formalism for the Navier-Stokes equation, we establish the relation between the PDF tails of the velocity and those of the external forcing. In particular, we show that a Gaussian random force having correlation scale $L$ and correlation time $\tau$ produces velocity PDF tails $\ln{\cal P}(v)\propto-v^4$ at $v\gg v_{rms}, L/\tau$. For a short-correlated forcing when $\tau\ll L/v_{rms}$ there is an intermediate asymptotics $\ln {\cal P}(v)\propto-v^3$ at $L/\tau\gg v\gg v_{rms}$.Comment: 9 pages, revtex, no figure