| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480665 | Physica A: Statistical Mechanics and its Applications | 2012 | 9 Pages |
Abstract
⺠We apply functional principal component analysis (FPCA) to the occupation times of the Ornstein-Uhlenbeck process. ⺠With the FPCA, we examine the covariance structure of the occupation times in the limit of large time. ⺠Empirical evidence from energy price time series exhibits a similar structure. ⺠The analysis helps to build low-dimensional scenarios in stochastic large-scale models.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
M. Densing,