Long-term correlations in hourly wind speed records in Pernambuco, Brazil

AbstractWe study the statistical properties of hourly wind speed time series detected at four weather stations in the state of Pernambuco, Brazil, in the period 2008–2009. We find that the average and maximum hourly wind speeds deviate from a mutual linear relationship, and that they may be well explained individually by a Weibull distribution, however, with different shape parameter values. On the other hand, the long-term correlations of both of these observables obey the same power-law behavior, with two distinct scaling regimes. Our results agree with previous studies on wind speed series correlations in other regions of the world, which is suggestive of universal behavior

A new look at calendar anomalies: Multifractality and day of the week effect

Stock markets can become inefficient due to calendar anomalies known as day-of-the-week effect. Calendar anomalies are well-known in financial literature, but the phenomena remain to be explored in econophysics. In this paper we use multifractal analysis to evaluate if the temporal dynamics of market returns also exhibits calendar anomalies such as day-of-the-week effects. We apply the multifractal detrended fluctuation analysis (MF-DFA) to daily returns of market indices around the world for each day of the week. Our results indicate that individual days of the week are characterized by distinct multifractal properties. Monday returns tend to exhibit more persistent behavior and richer multifractal structures than other day-resolved returns. Shuffling the series reveals that multifractality arises both from a broad probability density function and from long-term correlations. From the time-dependent multifractal analysis we find that multifractal spectra for Monday returns are much wider than for other days during periods of financial crises. The presence of day-of-the-week effects in multifractal dynamics of market returns motivates further research on calendar anomalies from an econophysics perspective

Análise estatística da velocidade do vento em Petrolina-PE utilizando as distribuições Weibull e a Burr

Dentre algumas fontes renováveis de energia, destacam-se os ventos. No Brasil, em especial na região Nordeste, tem-se observado avanços quanto aos estudos e investimentos em localidades consideradas potenciais produtoras de energia eólica. Neste contexto, podem ser empregadas as funções densidade de probabilidade de modelos de distribuição como forma auxiliar à tomada de decisão sobre a escolha de uma determinada região para a instalação de parques eólicos. Neste trabalho, buscou-se analisar o potencial eólico para geração de energia proveniente dos ventos em Petrolina-PE, com a série histórica de velocidade do vento de 01/01/2015 a 31/12/2016 e através da comparação entre os ajustes realizados pelas distribuições Weibull com dois parâmetros (Weibull-2p) e Burr, bem como a partir da análise da velocidade média do vento verificada na região. Além disso, observar a direção predominante dos ventos por meio da Rosa dos Ventos. Para a estimação dos parâmetros das distribuições, foi adotado o Método da Máxima Verossimilhança (MMV) que tem alcançado valores ótimos em relação a outros métodos de estimativa de parâmetros. Os critérios de seleção AIC e BIC, a estatística de Anderson-Darling e as acurácias MAPE e MAD foram adotadas para a avaliação da bondade dos ajustes das distribuições, onde se verificou que a Weibull-2p forneceu melhor modelagem aos dados analisados. A direção predominante dos ventos encontrada foi a sudeste, com variação entre ~105º e ~135º e velocidade média de 8,4m/s. Com os resultados obtidos, a região estudada alcançou, segundo classificação do NREL, avaliação esplêndida para a viabilidade de geração de energia eólica

Use of multivariate statistical methods for classification of olive oil

Multivariate statistical methods can contribute significantly to classification studies of extra virgin and common olive oil groups. Therefore, nuclear magnetic resonance (NMR) was used to discriminate olive oil samples, multivariate statistical techniques Principal Component Analysis - PCA, Fuzzy Cluster, Silhouette Validation Method to describe and classify. The groups' distinction into organic and common was observed by applying the non-hierarchical Fuzzy grouping with a distinction between the two groups with a 65% confidence interval. The validation was performed by the silhouette index that presented S (i) of 0.73, which showed that the adopted grouping presented adequate strength and distinction criterion. However, PCA only analyzed the behaviors of data from extra virgin olive oil. Thus, the Fuzzy clustering method was the most suitable for classifying extra virgin olive oil

Multifractal behavior of commodity markets: Fuel versus non-fuel products

We investigate multifractal properties of commodity time series using multifractal detrended fluctuation analysis (MF-DFA). We find that agricultural and energy-related commodities exhibit very similar behavior, while the multifractal behavior of daily and monthly commodity series is rather different. Daily series demonstrate overall uncorrelated behavior, lower degree of multifractality and the dominance of small fluctuations. On the other hand, monthly commodity series show overall persistent behavior, higher degree of multifractality and the dominance of large fluctuations. After shuffling the series, we find that the multifractality is due to a broad probability density function for daily commodities series, while for monthly commodities series multifractality is caused by both a broad probability density function and long term correlations.Fil: Delbianco, Fernando Andrés. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Matemática Bahía Blanca. Universidad Nacional del Sur. Departamento de Matemática. Instituto de Matemática Bahía Blanca; ArgentinaFil: Tohmé, Fernando Abel. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Matemática Bahía Blanca. Universidad Nacional del Sur. Departamento de Matemática. Instituto de Matemática Bahía Blanca; ArgentinaFil: Stosic, Tatijana. Universidade Federal de Pernambuco; BrasilFil: Stosic, Borko. Universidade Federal Rural Pernambuco; Brasi

Trends and Persistence of Dry–Wet Conditions in Northeast Brazil

We analyze trend and persistence in Standardized Precipitation Index (SPI) time series derived from monthly rainfall data at 133 gauging stations in Pernambuco state, Brazil, using a suite of complementary methods to address the spatially explicit tendencies, and persistence. SPI was calculated for 1-, 3-, 6-, and 12-month time scales from 1950 to 2012. We use Mann–Kendall test and Sen’s slope to determine sign and magnitude of the trend, and detrended fluctuation analysis (DFA) method to quantify long-term correlations. For all time scales significant negative trends are obtained in the Sertão (deep inland) region, while significant positive trends are found in the Agreste (intermediate inland), and Zona da Mata (coastal) regions. The values of DFA exponents show different scaling behavior for different time scales. For short-term conditions described by SPI-1 the DFA exponent is close to 0.5 indicating weak persistency and low predictability, while for medium-term conditions (SPI-3 and SPI-6) DFA exponents are greater than 0.5 and increase with time scale indicating stronger persistency and higher predictability. For SPI-12 that describes long-term precipitation patterns, the values of DFA exponents for inland regions are around 1, indicating strong persistency, while in the shoreline the value of the DFA exponent is between 1.0 and 1.5, indicating anti-persistent fractional Brownian motion. These results should be useful for agricultural planning and water resource management in the region