A Dynamic Model for Double Bounded Time Series With Chaotic Driven Conditional Averages

In this work we introduce a class of dynamic models for time series taking values on the unit interval. The proposed model follows a generalized linear model approach where the random component, conditioned on the past information, follows a beta distribution, while the conditional mean specification may include covariates and also an extra additive term given by the iteration of a map that can present chaotic behavior. The resulting model is very flexible and its systematic component can accommodate short and long range dependence, periodic behavior, laminar phases, etc. We derive easily verifiable conditions for the stationarity of the proposed model, as well as conditions for the law of large numbers and a Birkhoff-type theorem to hold. A Monte Carlo simulation study is performed to assess the finite sample behavior of the partial maximum likelihood approach for parameter estimation in the proposed model. Finally, an application to the proportion of stored hydroelectrical energy in Southern Brazil is presented

Simulações numéricas na mecânica geral

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Thermodynamic formalism for general iterated function systems with measures

This paper introduces a theory of Thermodynamic Formalism for Iterated Function Systems with Measures (IFSm). We study the spectral properties of the Transfer and Markov operators associated to a IFSm. We introduce variational formulations for the topological entropy of holonomic measures and the topological pressure of IFSm given by a potential. A definition of equilibrium state is then natural and we prove its existence for any continuous potential. We show, in this setting, a uniqueness result for the equilibrium state requiring only the G\^ateaux differentiability of the pressure functional.Comment: 25 pages, 1 figure. arXiv admin note: text overlap with arXiv:1707.0189

The Analyticity of a Generalized Ruelle's Operator

In this work we propose a generalization of the concept of Ruelle operator for one dimensional lattices used in thermodynamic formalism and ergodic optimization, which we call generalized Ruelle operator, that generalizes both the Ruelle operator proposed in [BCLMS] and the Perron Frobenius operator defined in [Bowen]. We suppose the alphabet is given by a compact metric space, and consider a general a-priori measure to define the operator. We also consider the case where the set of symbols that can follow a given symbol of the alphabet depends on such symbol, which is an extension of the original concept of transition matrices from the theory of subshifts of finite type. We prove the analyticity of the Ruelle operator and present some examples

Cálculo do coeficiente de correlação dos iterados de uma função caótica através do uso da teoria ergódica

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Análise espectral de uma classe de transformações caóticas

O objetivo deste trabalho é calcular explicitamente a função densidade espectral do processo estocástico estacionário. α : é um parâmetro em (0,1) e X0 tem distribuição v , onde v é a (única) medida invariante absolutamente contínua em relação a Lebesgue. Mostramos ainda que vale a Lei Forte dos Grandes Números para o processo { Xt} teN e obtemos uma estimativa de α: baseada em uma série temporal.The purpose of this work isto show explicitly the spectral density function of the stationary stochastic process. α is a parameter in (0,1) and X0 has distribution v, where vis the (unique) invariant measure for Tα absolutely continuous with respect to the Lebesgue measure. We also show that the Strong Law of Large Numbers holds for the process { Xt} tEN and obtain an estimate for the parameter α: based on a time senes

Simulações numéricas na mecânica geral

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