Testing the normality of the gravitational wave data with a low cost recursive estimate of the kurtosis
We propose a monitoring indicator of the normality of the output of a gravitational wave detector. This indicator is based on the estimation of the kurtosis (i.e., the 4th order statistical moment normalized by the variance squared) of the data selected in a time sliding window. We show how a low cost (because recursive) implementation of such estimation is possible and we illustrate the validity of the presented approach with a few examples using simulated random noises.
The modelling of short-term interest rates in emerging markets is an important research area, especially in view of the growth of new financial markets and of the financial securities traded in these countries. Over the last decade, a number of researchers have looked at different models of short-term interest rates. An important paper in this area is the study by Chan, Karolyi, Longstaff and Sanders (1992, CKLS hereafter), who considered various one-factor models nested in their general interest rate model. The CKLS general model captured various aspects of interest rate behaviour, including drift and mean reversion of interest rates. It also allowed for a general relationship between the level of interest rates and the volatility of rates. By imposing restrictions on these parameters, various well-known models in the literature that are used extensively by financial market operators can be utilized.