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dc.contributor.advisorMjølhus, Einar
dc.contributor.authorSund, Martin Jong Yul Shon
dc.date.accessioned2010-01-29T09:41:02Z
dc.date.available2010-01-29T09:41:02Z
dc.date.issued2009-12-15
dc.description.abstractIn this thesis we have analyzed the Auroral Electrojet (AE) Index over the years 2000 to 2005, a time series consisting of over 3 000 000 data points. The aim is to describe this data as a multi-fractal stochastic process. We first introduce a class of random multiplicative measures, which provide the multi-fractality in the stochastic processes that will be defined later. We also review the theory of fractal dimensions and scaling functions, before introducing the Multifractal Model of Asset Returns (MMAR), Mandelbrot (1997). The scaling properties of various versions of the MMAR model are compared with the scaling function of the AE Index, and through this we describe the multi-fractal properties of the AE Index. Additionally, we have studied probability density functions (pdf) at different time scales, and used this to compare the stochastic models with the AE data. Finally we have tested our diagnostic tools on simulated multi-fractal models. These experiments show that the methods are capable of detecting multi-fractality. The results are good if we average over several independent realizations of the processes.en
dc.format.extent4105509 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10037/2374
dc.identifier.urnURN:NBN:no-uit_munin_2124
dc.language.isoengen
dc.publisherUniversitetet i Tromsøen
dc.publisherUniversity of Tromsøen
dc.rights.accessRightsopenAccess
dc.rights.holderCopyright 2009 The Author(s)
dc.subject.courseIDMAT-3921nor
dc.subjectVDP::Matematikk og naturvitenskap: 400::Matematikk: 410::Anvendt matematikk: 413en
dc.subjectVDP::Matematikk og naturvitenskap: 400::Matematikk: 410::Analyse: 411en
dc.titleMulti-fractal stochastic modeling of the auroral electrojet indexen
dc.typeMaster thesisen
dc.typeMastergradsoppgaveen


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