Related papers: Predictability on finite horizon for processes wit…

We consider the problem of frequency estimation by observations of the periodic diffusion process possesing ergodic properties in two different situations. The first one corresponds to continuously differentiable with respect to parameter…

This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…

In a low-order model of the general circulation of the atmosphere we examine the predictability of threshold exceedance events of certain observables. The likelihood of such binary events -- the cornerstone also for the categoric (as…

There is an abundance of useful fluctuation identities for one-sided L\'evy processes observed up to an independent exponentially distributed time horizon. We show that all the fundamental formulas generalize to time horizons having matrix…

We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…

In this paper, we consider the problem of estimating parameters of a linear regression model. Using a hybrid systems framework, a hybrid algorithm is proposed allowing the estimate to converge to the exact value of the unknown parameters in…

We prove sharp estimates for the decay in time of solutions to a rather general class of non-local in time subdiffusion equations on a bounded domain subject to a homogeneous Dirichlet boundary condition. Important special cases are the…

We investigate the predictability of extreme events in time series. The focus of this work is to understand under which circumstances large events are better predictable than smaller events. Therefore we use a simple prediction algorithm…

Computers are deterministic dynamical systems (CHAOS 19:033124, 2009). Among other things, that implies that one should be able to use deterministic forecast rules to predict their behavior. That statement is sometimes-but not always-true.…

Inferring models, predicting the future, and estimating the entropy rate of discrete-time, discrete-event processes is well-worn ground. However, a much broader class of discrete-event processes operates in continuous-time. Here, we provide…

Accurate prediction of application performance is critical for enabling effective scheduling and resource management in resource-constrained dynamic edge environments. However, achieving predictable performance in such environments remains…

We show that any cadlag predictable process of finite variation is an a.s. limit of elementary predictable processes; it follows that predictable stopping times can be approximated `from below' by predictable stopping times which take…

Using the quantum transition path time probability distribution we show that time averaging of weak values leads to unexpected results. We prove a weak value time energy uncertainty principle and time energy commutation relation. We also…

Lower bounds for persistence probabilities of stationary Gaussian processes in discrete time are obtained under various conditions on the spectral measure of the process. Examples are given to show that the persistence probability can decay…

Fluctuations of observables as functions of time, or "fluctuation patterns", are studied in a chaotic microscopically reversible system that has irreversibly reached a nonequilibrium stationary state. Supposing that during a certain, long…

A condition which guaranties the exponential decay of the solutions of the initial-boundary value problem for the damped wave equation is proved. A method for the effective computability of the coefficient of exponential decay is also…

This paper obtains asymptotic results for parametric inference using prediction-based estimating functions when the data are high frequency observations of a diffusion process with an infinite time horizon. Specifically, the data are…

The asymptotic behavior, as $n\rightarrow \infty $ of the probability of the event that a decomposable critical branching process $\mathbf{Z}(m)=(Z_{1}(m),...,Z_{N}(m)),$ $m=0,1,2,...,$ with $N$ types of particles dies at moment $n$ is…

Under mild non-degeneracy assumptions on branching rates in each generation, we provide a criterion for almost-sure extinction of a multi-type branching process with time-dependent branching rates. We also provide a criterion for the total…

We prove that the scattering matrix at a fixed quasi--energy determines uniquely a time--periodic potential that decays exponentially at infinity. We consider potentials that for each fixed time belong to $L^{3/2}$ in space. The exponent…