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Record W2000994900 · doi:10.1103/physreve.81.016107

Volatility of unevenly sampled fractional Brownian motion: An application to ice core records

2010· article· en· W2000994900 on OpenAlexaff
Jörn Davidsen, James T. Griffin

Bibliographic record

VenuePhysical Review E · 2010
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Risk and Volatility Modeling
Canadian institutionsUniversity of Calgary
FundersNatural Environment Research CouncilSight Research UK
KeywordsFractional Brownian motionStatistical physicsBrownian motionIce coreVolatility (finance)GeologyMathematicsEconometricsPhysicsStatisticsClimatology

Abstract

fetched live from OpenAlex

The analysis of many natural time series and especially those related to ice core records often suffers from uneven sampling intervals. For fractional Brownian motion, we show that standard estimates of the volatility can be strongly biased due to uneven sampling. Taking these limitations into account, we study high-resolution records of temperature proxies obtained from Antarctic ice cores. We find that the volatility properties reveal a strong nonlinear component in the temperature time series for time scales of 5-200 kyr extending earlier results. These findings suggest in particular that temperature increments over these time scales appear in clusters of big and small increments-a big (positive or negative) change is most likely followed by a big (positive or negative) change and a small change is most likely followed by a small change.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.001
metaresearch head score (Gemma)0.001
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.342
Threshold uncertainty score0.543

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0010.001
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.057
GPT teacher head0.318
Teacher spread0.260 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designTheoretical or conceptual
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations6
Published2010
Admission routes1
Has abstractyes

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