Parallelization algorithms for modeling ARM processes
Let \(U_0\) have uniform distribution on \([0,1)\) and let \(\{V_n\}\) be iid random variables independent of \(U_0\). Denote the fractional part of \(x\) by \(\langle x \rangle\). A background TES\({}^+\) process \(U_n^+\) is defined by \(U_0^+=U_0\), \(U_n^+ = \langle U_{n-1}^+ + V_n \rangle\) for \(n>0\). A foreground TES\({}^+\) process \(X_n^+\) is given by \(X_n^+ = D(U_n^+)\), where \(D\) is a measurable transformation from \([0,1)\) to the reals, called a distortion. Given an empirical time series \(Y_0,\dots,Y_N\), the authors deal with \(D_{Y,\xi}(x)= \hat H_Y^{-1}(S_{\xi}(x))\), \(x\in[0,1)\), where \(S_{\xi}(y)=y/\xi\) for \(0\leq y\leq \xi\) and \(S_{\xi}(y)=(1-y)/(1-\xi)\) for \(\xi\leq y <1\) is a stitching transformation and \(\hat H_Y^{-1}\) is the inverse of the empirical distribution function of \(Y_0,\dots,Y_N\). Then \(X_n^+=\hat H_Y^{-1}(S_{\xi}(U_n^+))\) has empirical distribution \(\hat H_y\) regardless of innovation density \(f_V\) and parameter \(\xi\in[0,1]\). TES (Transform Expand Sample) processes are a subclass of ARM (AutoRegressive Modular) processes which can capture empirical distributions and autocovariance functions simultaneously. The modelling procedure has two steps: a global search for locating minima of a nonlinear function over a large parametric space and a local optimization of models found in the first step. Two space-partitioning methods, called interleaving and segmentation, are investigated in this paper and their performances are compared. The methods are based on parallelization of the global search using parallel processors.
This page was built for publication: Parallelization algorithms for modeling ARM processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5932232)
