Comments on: Klemeš on Stochastic Processes

By: Geoff Sherrington

Geoff Sherrington — Wed, 02 Jul 2008 11:01:40 +0000

Re Peter Hartley # 1

Is the following a non-climate example of a shock as you decribe-

one explanation for an MA error term is that a shock to the system lasts for a longer period than the time gap between observations.

Possible example. Taking antibiotics to shock kill a bacterial infection. If several doses are prescribed, it is also needed to prescribe how far apart they should be spaced as “shocks” otherwise the infection grows back between doses and might approach or exceed the starting level. If taken too close together, they admit the possibility of incomplete extermination and regrowth of the bacteria after the dose regime has ended. (I have predator-prey maths in mind, partly, Hartley). Do clinical mathmaticians have relevant models? I have no idea.

By: Professional Arachnid Dart Board

Professional Arachnid Dart Board — Wed, 02 Jul 2008 08:50:39 +0000

I just don’t get some of the points. Is it different from La Nina phenomenon?

By: Halex Dartboards

Halex Dartboards — Wed, 02 Jul 2008 08:48:32 +0000

awesome post. Very informative. It really shows your expertise in your field.

By: Dart Boards for Sale

Dart Boards for Sale — Wed, 02 Jul 2008 08:45:06 +0000

I’m also interested to know your background.

By: TCO

TCO — Tue, 27 Sep 2005 14:49:11 +0000

You seem to know your stuff. What is your background?

By: Peter Hartley

Peter Hartley — Tue, 27 Sep 2005 13:56:50 +0000

TCO — the “classic” example of a moving average error structure in financial markets occurs when relevant information is realeased more infrequently than the period of observation. A given piece of unanticipated information then affects a finite number of successive observations.

As regards forces tended to move variables back to average — yes indeed in economics people do make analogies to classical control theory. The idea that aspects of the economy can behave like dampers etc is one theory behing business “cycles” (in quotes because these are stochastic tendencies rather than something deterministic that you could “set your watch by”.)

By: TCO

TCO — Tue, 27 Sep 2005 02:47:23 +0000

1. Thanks, good examples. Just to nail it down, are there some other processes from other fields that are even more classical? (non climate examples?) P.s. I really liked the water level thing. I guess that is the slutsky that you refer to offhand.

2. the stuff about forcing back to the average is interesting. Does anyone ever make analogies to classical controls theory (dampers and springs and 2nd order diffeqs)?

By: Peter Hartley

Peter Hartley — Mon, 26 Sep 2005 13:26:45 +0000

TCO — Sorry, I lost my internet connection for about 12 hours. Here are two examples of AR and MA processes related to weather. We can think of climate as the long term average weather conditions in a given location that result from the usual locations of pressure belts, ocean currents etc. resulting from oceanic and atmospheric circulations in 3D. Unusual weather for a given location involves a departure from the long term average, but the forces that create the average weather conditions for that location are still operative. They gradually reassert themselves and bring the weather conditions back toward the average. The result would be an AR type of error structure. A hurricane passing a given location might lead to an MA type of structure. The weather over a couple of successive days will be correlated as the hurricane approaches, passes over, then moves on, but the correlation will only be for a few days — an MA structure.

By: TCO

TCO — Mon, 26 Sep 2005 03:00:34 +0000

Do you correspond with Keme?

Your first two would be MA process no? (storage). The last one I’m not sure of. Is it AR? Something else?

By: TCO

TCO — Mon, 26 Sep 2005 02:57:22 +0000

2: I know you know this, but of course to some extent the Pareto effect (80-20 rule) has to be in effect. I mean…I once saw a chart that said that less then half of stocks ogt more than half of the gains and I was like…DUH!

5. Thanks.