Sample Size and Accuracy of Estimation of the Fractional Differencing Parameter

Stadnytska, Tetiana; Werner, Joachim

doi:10.1027/1614-2241.02.4.135

Cited by 4 publications

(5 citation statements)

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“…Using the lag-1 autocorrelation function (ACF), it is possible to determine the relationship between successive tetragram sequences and identify whether dependency lasts beyond the tetragram set (Bailey & Thompson, 2006 ). ACFs that rapidly decay, fluctuating around zero, are indicative of a completely random, or memoryless process (Stadnytska & Werner, 2006 ), i.e. a Markovian process (Reynolds, 2010 ).…”

Section: Methodsmentioning

confidence: 99%

The Free-movement pattern Y-maze: A cross-species measure of working memory and executive function

et al. 2020

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Numerous neurodegenerative and psychiatric disorders are associated with deficits in executive functions such as working memory and cognitive flexibility. Progress in developing effective treatments for disorders may benefit from targeting these cognitive impairments, the success of which is predicated on the development of animal models with validated behavioural assays. Zebrafish offer a promising model for studying complex brain disorders, but tasks assessing executive function are lacking. The Free-movement pattern (FMP) Y-maze combines aspects of the common Y-maze assay, which exploits the inherent motivation of an organism to explore an unknown environment, with analysis based on a series of sequential two-choice discriminations. We validate the task as a measure of working memory and executive function by comparing task performance parameters in adult zebrafish treated with a range of glutamatergic, cholinergic and dopaminergic drugs known to impair working memory and cognitive flexibility. We demonstrate the cross-species validity of the task by assessing performance parameters in adapted versions of the task for mice and Drosophila, and finally a virtual version in humans, and identify remarkable commonalities between vertebrate species' navigation of the maze. Together, our results demonstrate that the FMP Y-maze is a sensitive assay for assessing working memory and cognitive flexibility across species from invertebrates to humans, providing a simple and widely applicable behavioural assay with exceptional translational relevance.

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Section: Methodsmentioning

confidence: 99%

The Free-movement pattern Y-maze: A cross-species measure of working memory and executive function

et al. 2020

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“…In addition, DFA has been evaluated as reliable and robust (Eke et al, 2002), does not require the arbitrary setting of parameters, and is not susceptible to most statistical artifacts, but it can falsely classify certain types of signals as fractal (see Rangarajan & Ding, 2000, for details). Stadnytska and Werner (2006) demonstrated that the conditional sum of squares (CSS) procedure, a computationally convenient technique available in current versions of SAS for Windows, and the exact maximum likelihood (EML) approach of Sowell (1992) provide very accurate estimates of d for sample sizes of 1,000-1,600 observations. Taqqu and Teverovsky (1998) and Taqqu, Teverovsky, and Willinger (1995) described and evaluated various methods for estimating d and H for models with different innovation structures.…”

Section: Modeling Long-range Dependencementioning

confidence: 99%

Estimating long-range dependence in time series: An evaluation of estimators implemented in R

Stroe-Kunold

Stadnytska

Werner

et al. 2009

Behavior Research Methods

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“…Simulation studies on fractal analysis have demonstrated that the performance of the various methods depends very much on aspects such as the complexity of the underlying process or the parameterizations (Stadnytska and Werner, 2006). As a result, comprehensive strategies are required to Granger and Joyeux (1980) and Hosking (1981Hosking ( , 1984.…”

Section: Fractal Analysis Approachmentioning

confidence: 99%

“…Its main disadvantages are that it is valid only for stationary series and needs a sufficiently large sample size for acceptable measurement accuracy (Stadnitski, 2012;Stadnytska and Werner, 2006). Its validness only for stationary series can lead to situations where nonstationary processes are classified as having long memory.…”

Section: Fractal Parameter Estimation For Conditional Meanmentioning

confidence: 99%

Bidding structure, market efficiency and persistence in a multi-time tariff setting

2016

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The purpose of this study is to examine the fractal dynamics of day ahead electricity prices by using parametric and semi parametric approaches for each time zone in a multi-time tariff setting in the framework of bidding strategies, market efficiency and persistence of exogenous shocks. We find that that electricity prices have long term correlation structure for the first and third time zones indicating that market participants bid hyperbolically and not at their marginal costs, market is not weak form efficient at these hours and exogenous shocks to change the mean level of prices will have permanent effect and be effective. On the other hand, for the second time zone we find that price series does not exhibit long term memory. This finding suggests the weak form efficiency of the market in these hours and that market participants bid at their marginal costs. Furthermore this indicates that exogenous shocks will have temporary effect on electricity prices in these hours. These findings constitute an important foundation for policy makers and market participants to develop appropriate electricity price forecasting tools, market monitoring indexes and to conduct ex-ante impact assessment. © 2015 Elsevier B.V

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Sample Size and Accuracy of Estimation of the Fractional Differencing Parameter

Cited by 4 publications

References 0 publications

The Free-movement pattern Y-maze: A cross-species measure of working memory and executive function

The Free-movement pattern Y-maze: A cross-species measure of working memory and executive function

Estimating long-range dependence in time series: An evaluation of estimators implemented in R

Bidding structure, market efficiency and persistence in a multi-time tariff setting

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