Related papers: Algorithm to estimate the Hurst exponent of high-d…
We present a physical model for turbulent friction on rough surfaces with regularly distributed roughness elements. Wall shear stresses are expressed as functions of physical quantities. Surfaces with varying roughness densities and…
We address high dimensional covariance estimation for elliptical distributed samples, which are also known as spherically invariant random vectors (SIRV) or compound-Gaussian processes. Specifically we consider shrinkage methods that are…
Due to the highly non-convex nature of large-scale robust parameter estimation, avoiding poor local minima is challenging in real-world applications where input data is contaminated by a large or unknown fraction of outliers. In this paper,…
Algorithmic fractal dimensions quantify the algorithmic information density of individual points and may be defined in terms of Kolmogorov complexity. This work uses these dimensions to bound the classical Hausdorff and packing dimensions…
In this article, we present the least squares estimator for the drift parameter in a linear regression model driven by the increment of a fractional Brownian motion sampled at random times. For two different random times, Jittered and…
In this paper, We propose a new style panel data factor stochastic volatility model with observable factors and unobservable factors based on the multivariate stochastic volatility model, which is mainly composed of three parts, such as the…
The science of fractography revolves around the correlation between topographic characteristics of the fracture surface and the mechanisms and external conditions leading to their creation. While being a topic of investigation for…
This paper provides a mixture modeling framework using the bivariate generalized exponential distribution. We study different properties of this mixture distribution. Hierarchical EM algorithm is developed for finding the estimates of the…
In this paper, we apply rough paths techniques to provide an approximation of the solution of stochastic functional differential equations driven by fractional Brownian motion with Hurst parameter $H>1/2$. Here, the involved stochastic…
Selecting relevant features is an important and necessary step for intelligent machines to maximize their chances of success. However, intelligent machines generally have no enough computing resources when faced with huge volume of data.…
We define an asymptotically normal wavelet-based strongly consistent estimator for the Hurst parameter of any Hermite processes. This estimator is obtained by considering a modified wavelet variation in which coefficients are wisely chosen…
Recent progress in multi-object filtering has led to algorithms that compute the first-order moment of multi-object distributions based on sensor measurements. The number of targets in arbitrarily selected regions can be estimated using the…
A numerical study of the transfer across random fractal surfaces shows that their responses are very close to the response of deterministic model geometries with the same fractal dimension. The simulations of several interfaces with…
Low-rank approximations of large kernel matrices are ubiquitous in machine learning, particularly for scaling Gaussian Processes to massive datasets. The Pivoted Cholesky decomposition is a standard tool for this task, offering a…
In this paper, we propose, analyze, and test an efficient algorithm for computing ensemble average of incompressible magnetohydrodynamics (MHD) flows, where instances/members correspond to varying kinematic viscosity, magnetic diffusivity,…
We show a new method of estimating the Hausdorff measure (of the proper dimension) of a fractal set from below. The method requires computing the subsequent closest return times of a point to itself.
This paper presents a method for computing two-dimensional constant mean curvature surfaces. The method in question uses the variational aspect of the problem to implement an efficient algorithm. In principle it is a flow like method in…
Simulation of rough volatility models involves discretization of stochastic integrals where the integrand is a function of a (correlated) fractional Brownian motion of Hurst index $H \in (0,1/2)$. We obtain results on the rate of…
This work outlines a diffuse interface method for the study of fracture and fragmentation in ductile metals at high strain-rates in Eulerian finite volume simulations. The work is based on an existing diffuse interface method capable of…
Estimation procedures based on recursive algorithms are interesting and powerful techniques that are able to deal rapidly with (very) large samples of high dimensional data. The collected data may be contaminated by noise so that robust…