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Dynamic moment analysis of non-stationary temperature data in Alberta
(Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010, 2010) Zhou, Qixuan; Asem, Ebenezer
Strong seasonality is observed in the volatile hourly Alberta temperature and its low- and high-order statistical moments. We propose a time series model consisting of a linear combination of an annual sinusoidal model, a diurnal sinusoidal model and a fractional residual model, to study the characteristics of these spatial and time-dependent Alberta temperatures. Wavelet multi-resolution analysis is used to measure Hurst exponents of the temperature series. Our empirical results show that these Hurst exponents vary over various time scales, indicating the existence of multi-fractality in the temperatures. Such temperature models are of importance for the pricing and insurance of agricultural crops, of tourist resorts and of all forms of energy extraction and generation of importance to the resource-based economy of Alberta. Of particular interests are the observed extreme volatilities in the winters, caused by the unpredictable Chinook winds, which may be an important reason to introduce a Chinook insurance option.