Απλή διατύπωση του φαινομένου Hurst και του κλασματικού Γκαουσιανού θορύβου

D. Koutsoyiannis, The Hurst phenomenon and fractional Gaussian noise made easy, Hydrological Sciences Journal, 47 (4), 573–595, doi:10.1080/02626660209492961, 2002.

[Απλή διατύπωση του φαινομένου Hurst και του κλασματικού Γκαουσιανού θορύβου]

[doc_id=511]

[Αγγλικά]

Το φαινόμενο Hurst, το οποίο χαρακτηρίζει τις υδρολογικές και λοιπές γεωφυσικές χρονοσειρές, διατυπώνεται και μελετάται με εύκολο και κατανοητό τρόπο σε όρους διασποράς και αυτοσυσχέτισης μιας στοχαστικής ανέλιξης σε πολλαπλές χρονικές κλίμακες. Επιπλέον, παρουσιάζεται μια απλή εξήγηση του φαινομένου Hurst, βασισμένη στη διακύμανση των υδρολογικών διεργασιών σε διαφορετικές χρονικές κλίμακες. Εξετάζεται ακόμη στο ίδιο γενικό πλαίσιο η στοχαστική ανέλιξη που έχει επινοηθεί για την αναπαράσταση του φαινομένου Hurst, γνωστή ως κλασματικός Γκαουσιανός θόρυβος. Με βάση τις ιδιότητες που προκύπτουν, προτείνονται τρεις απλές και γρήγορες μέθοδοι για τη γέννηση κλασματικού Γκαουσιανού θορύβου ή ικανοποιητικών προσεγγίσεών του.

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Βλέπε επίσης: http://dx.doi.org/10.1080/02626660209492961

Σημείωση:

Εναλλακτικοί όροι για το φαινόμενο Hurst είναι: φαινόμενο Ιωσήφ, μακροπρόθεσμη εμμονή, εμμονή μακράς εμβέλειας, ομοιοθετική συμπεριφορά (στο χρόνο), διακύμανση πολλαπλής κλίμακας, πραγματικότητα Hurst-Kolmogorov, κ.ά.

Εργασίες μας στις οποίες αναφέρεται αυτή η εργασία:

1. D. Koutsoyiannis, A generalized mathematical framework for stochastic simulation and forecast of hydrologic time series, Water Resources Research, 36 (6), 1519–1533, doi:10.1029/2000WR900044, 2000.
2. D. Koutsoyiannis, Coupling stochastic models of different time scales, Water Resources Research, 37 (2), 379–391, doi:10.1029/2000WR900200, 2001.

Εργασίες μας που αναφέρονται σ' αυτή την εργασία:

1. D. Koutsoyiannis, Climate change, the Hurst phenomenon, and hydrological statistics, Hydrological Sciences Journal, 48 (1), 3–24, doi:10.1623/hysj.48.1.3.43481, 2003.
2. D. Koutsoyiannis, Statistics of extremes and estimation of extreme rainfall, 1, Theoretical investigation, Hydrological Sciences Journal, 49 (4), 575–590, doi:10.1623/hysj.49.4.575.54430, 2004.
3. D. Koutsoyiannis, Uncertainty, entropy, scaling and hydrological stochastics, 2, Time dependence of hydrological processes and time scaling, Hydrological Sciences Journal, 50 (3), 405–426, doi:10.1623/hysj.50.3.405.65028, 2005.
4. A. Langousis, and D. Koutsoyiannis, A stochastic methodology for generation of seasonal time series reproducing overyear scaling behaviour, Journal of Hydrology, 322, 138–154, 2006.
5. D. Koutsoyiannis, A toy model of climatic variability with scaling behaviour, Journal of Hydrology, 322, 25–48, doi:10.1016/j.jhydrol.2005.02.030, 2006.
6. D. Koutsoyiannis, Nonstationarity versus scaling in hydrology, Journal of Hydrology, 324, 239–254, doi:10.1016/j.jhydrol.2005.09.022, 2006.
7. D. Koutsoyiannis, An entropic-stochastic representation of rainfall intermittency: The origin of clustering and persistence, Water Resources Research, 42 (1), W01401, doi:10.1029/2005WR004175, 2006.
8. D. Koutsoyiannis, A. Efstratiadis, and K. Georgakakos, Uncertainty assessment of future hydroclimatic predictions: A comparison of probabilistic and scenario-based approaches, Journal of Hydrometeorology, 8 (3), 261–281, doi:10.1175/JHM576.1, 2007.
9. D. Koutsoyiannis, and A. Montanari, Statistical analysis of hydroclimatic time series: Uncertainty and insights, Water Resources Research, 43 (5), W05429, doi:10.1029/2006WR005592, 2007.
10. D. Koutsoyiannis, H. Yao, and A. Georgakakos, Medium-range flow prediction for the Nile: a comparison of stochastic and deterministic methods, Hydrological Sciences Journal, 53 (1), 142–164, doi:10.1623/hysj.53.1.142, 2008.
11. D. Koutsoyiannis, A. Efstratiadis, N. Mamassis, and A. Christofides, On the credibility of climate predictions, Hydrological Sciences Journal, 53 (4), 671–684, doi:10.1623/hysj.53.4.671, 2008.
12. Δ. Κουτσογιάννης, Παλιότερες και σύγχρονες υδρολογικές θεωρήσεις στο σχεδιασμό και τη διαχείριση των ταμιευτήρων, των φραγμάτων και των υδροηλεκτρικών εγκαταστάσεων (Προσκεκλημένη ομιλία), 1ο Πανελλήνιο Συνέδριο Μεγάλων Φραγμάτων, Λάρισα, doi:10.13140/RG.2.1.3213.5922, Ελληνική Επιτροπή Μεγάλων Φραγμάτων, Τεχνικό Επιμελητήριο Ελλάδας, 2008.
13. D. Koutsoyiannis, A. Montanari, H. F. Lins, and T.A. Cohn, Climate, hydrology and freshwater: towards an interactive incorporation of hydrological experience into climate research—DISCUSSION of “The implications of projected climate change for freshwater resources and their management”, Hydrological Sciences Journal, 54 (2), 394–405, doi:10.1623/hysj.54.2.394, 2009.
14. D. Koutsoyiannis, and A. Langousis, Precipitation, Treatise on Water Science, edited by P. Wilderer and S. Uhlenbrook, 2, 27–78, doi:10.1016/B978-0-444-53199-5.00027-0, Academic Press, Oxford, 2011.
15. D. Koutsoyiannis, Hurst-Kolmogorov dynamics and uncertainty, Journal of the American Water Resources Association, 47 (3), 481–495, doi:10.1111/j.1752-1688.2011.00543.x, 2011.
16. D. Koutsoyiannis, A. Paschalis, and N. Theodoratos, Two-dimensional Hurst-Kolmogorov process and its application to rainfall fields, Journal of Hydrology, 398 (1-2), 91–100, doi:10.1016/j.jhydrol.2010.12.012, 2011.
17. D. Koutsoyiannis, Hurst-Kolmogorov dynamics as a result of extremal entropy production, Physica A: Statistical Mechanics and its Applications, 390 (8), 1424–1432, doi:10.1016/j.physa.2010.12.035, 2011.
18. S.M. Papalexiou, D. Koutsoyiannis, and A. Montanari, Can a simple stochastic model generate rich patterns of rainfall events?, Journal of Hydrology, 411 (3-4), 279–289, 2011.
19. F. Lombardo, E. Volpi, and D. Koutsoyiannis, Rainfall downscaling in time: Theoretical and empirical comparison between multifractal and Hurst-Kolmogorov discrete random cascades, Hydrological Sciences Journal, 57 (6), 1052–1066, 2012.
20. Y. Markonis, and D. Koutsoyiannis, Climatic variability over time scales spanning nine orders of magnitude: Connecting Milankovitch cycles with Hurst–Kolmogorov dynamics, Surveys in Geophysics, 34 (2), 181–207, doi:10.1007/s10712-012-9208-9, 2013.
21. D. Koutsoyiannis, Hydrology and Change, Hydrological Sciences Journal, 58 (6), 1177–1197, doi:10.1080/02626667.2013.804626, 2013.
22. F. Lombardo, E. Volpi, D. Koutsoyiannis, and S.M. Papalexiou, Just two moments! A cautionary note against use of high-order moments in multifractal models in hydrology, Hydrology and Earth System Sciences, 18, 243–255, doi:10.5194/hess-18-243-2014, 2014.
23. G. Tsekouras, and D. Koutsoyiannis, Stochastic analysis and simulation of hydrometeorological processes associated with wind and solar energy, Renewable Energy, 63, 624–633, doi:10.1016/j.renene.2013.10.018, 2014.
24. C. Pappas, S.M. Papalexiou, and D. Koutsoyiannis, A quick gap-filling of missing hydrometeorological data, Journal of Geophysical Research-Atmospheres, 119 (15), 9290–9300, doi:10.1002/2014JD021633, 2014.
25. A. Efstratiadis, Y. Dialynas, S. Kozanis, and D. Koutsoyiannis, A multivariate stochastic model for the generation of synthetic time series at multiple time scales reproducing long-term persistence, Environmental Modelling and Software, 62, 139–152, doi:10.1016/j.envsoft.2014.08.017, 2014.
26. P. Dimitriadis, and D. Koutsoyiannis, Climacogram versus autocovariance and power spectrum in stochastic modelling for Markovian and Hurst–Kolmogorov processes, Stochastic Environmental Research & Risk Assessment, 29 (6), 1649–1669, doi:10.1007/s00477-015-1023-7, 2015.
27. D. Koutsoyiannis, Generic and parsimonious stochastic modelling for hydrology and beyond, Hydrological Sciences Journal, 61 (2), 225–244, doi:10.1080/02626667.2015.1016950, 2016.
28. P.E. O’Connell, D. Koutsoyiannis, H. F. Lins, Y. Markonis, A. Montanari, and T.A. Cohn, The scientific legacy of Harold Edwin Hurst (1880 – 1978), Hydrological Sciences Journal, 61 (9), 1571–1590, doi:10.1080/02626667.2015.1125998, 2016.
29. Y. Markonis, S. C. Batelis, Y. Dimakos, E. C. Moschou, and D. Koutsoyiannis, Temporal and spatial variability of rainfall over Greece, Theoretical and Applied Climatology, doi:10.1007/s00704-016-1878-7, 2016.
30. F. Lombardo, E. Volpi, D. Koutsoyiannis, and F. Serinaldi, A theoretically consistent stochastic cascade for temporal disaggregation of intermittent rainfall, Water Resources Research, 53 (6), 4586–4605, doi:10.1002/2017WR020529, 2017.
31. H. Tyralis, and D. Koutsoyiannis, On the prediction of persistent processes using the output of deterministic models, Hydrological Sciences Journal, 62 (13), 2083–2102, doi:10.1080/02626667.2017.1361535, 2017.
32. T. Iliopoulou, S.M. Papalexiou, Y. Markonis, and D. Koutsoyiannis, Revisiting long-range dependence in annual precipitation, Journal of Hydrology, 556, 891–900, doi:10.1016/j.jhydrol.2016.04.015, 2018.
33. P. Dimitriadis, and D. Koutsoyiannis, Stochastic synthesis approximating any process dependence and distribution, Stochastic Environmental Research & Risk Assessment, 32 (6), 1493–1515, doi:10.1007/s00477-018-1540-2, 2018.
34. H. Tyralis, P. Dimitriadis, D. Koutsoyiannis, P.E. O’Connell, K. Tzouka, and T. Iliopoulou, On the long-range dependence properties of annual precipitation using a global network of instrumental measurements, Advances in Water Resources, 111, 301–318, doi:10.1016/j.advwatres.2017.11.010, 2018.
35. I. Tsoukalas, C. Makropoulos, and D. Koutsoyiannis, Simulation of stochastic processes exhibiting any-range dependence and arbitrary marginal distributions, Water Resources Research, 54 (11), 9484–9513, doi:10.1029/2017WR022462, 2018.
36. G. Koudouris, P. Dimitriadis, T. Iliopoulou, N. Mamassis, and D. Koutsoyiannis, A stochastic model for the hourly solar radiation process for application in renewable resources management, Advances in Geosciences, 45, 139–145, doi:10.5194/adgeo-45-139-2018, 2018.
37. I. Tsoukalas, A. Efstratiadis, and C. Makropoulos, Building a puzzle to solve a riddle: A multi-scale disaggregation approach for multivariate stochastic processes with any marginal distribution and correlation structure, Journal of Hydrology, 575, 354–380, doi:10.1016/j.jhydrol.2019.05.017, 2019.
38. P. Dimitriadis, K. Tzouka, D. Koutsoyiannis, H. Tyralis, A. Kalamioti, E. Lerias, and P. Voudouris, Stochastic investigation of long-term persistence in two-dimensional images of rocks, Spatial Statistics, 29, 177–191, doi:10.1016/j.spasta.2018.11.002, 2019.
39. P. Kossieris, I. Tsoukalas, C. Makropoulos, and D. Savic, Simulating marginal and dependence behaviour of water demand processes at any fine time scale, Water, 11 (5), 885, doi:10.3390/w11050885, 2019.
40. T. Iliopoulou, and D. Koutsoyiannis, Projecting the future of rainfall extremes: better classic than trendy, Journal of Hydrology, 588, doi:10.1016/j.jhydrol.2020.125005, 2020.
41. I. Tsoukalas, P. Kossieris, and C. Makropoulos, Simulation of non-Gaussian correlated random variables, stochastic processes and random fields: Introducing the anySim R-Package for environmental applications and beyond, Water, 12 (6), 1645, doi:10.3390/w12061645, 2020.
42. A. Efstratiadis, I. Tsoukalas, and D. Koutsoyiannis, Generalized storage-reliability-yield framework for hydroelectric reservoirs, Hydrological Sciences Journal, 66 (4), 580–599, doi:10.1080/02626667.2021.1886299, 2021.
43. P. Dimitriadis, D. Koutsoyiannis, T. Iliopoulou, and P. Papanicolaou, A global-scale investigation of stochastic similarities in marginal distribution and dependence structure of key hydrological-cycle processes, Hydrology, 8 (2), 59, doi:10.3390/hydrology8020059, 2021.
44. S. Vavoulogiannis, T. Iliopoulou, P. Dimitriadis, and D. Koutsoyiannis, Multiscale temporal irreversibility of streamflow and its stochastic modelling, Hydrology, 8 (2), 63, doi:10.3390/hydrology8020063, 2021.
45. P. Kossieris, I. Tsoukalas, A. Efstratiadis, and C. Makropoulos, Generic framework for downscaling statistical quantities at fine time-scales and its perspectives towards cost-effective enrichment of water demand records, Water, 13 (23), 3429, doi:10.3390/w13233429, 2021.
46. D. Koutsoyiannis, Stochastics of Hydroclimatic Extremes - A Cool Look at Risk, Εκδοση 3, ISBN: 978-618-85370-0-2, 391 pages, doi:10.57713/kallipos-1, Kallipos Open Academic Editions, Athens, 2023.

Άλλες εργασίες που αναφέρονται σ' αυτή την εργασία: Δείτε τις στο Google Scholar ή στο ResearchGate

Άλλες εργασίες που αναφέρονται σ' αυτή την εργασία (αυτός ο κατάλογος μπορεί να μην είναι ενημερωμένος):

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Κατηγορίες: Βιβλιογραφία μαθήματος: Στοχαστικές μέθοδοι, Δυναμική Hurst-Kolmogorov, Άρθρα που αρχικώς απορρίφθηκαν, Στοχαστική