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We consider robust covariance estimation with group symmetry constraints. Non-Gaussian covariance estimation, e.g., Tyler scatter estimator and Multivariate Generalized Gaussian distribution methods, usually involve non-convex minimization…
We propose a general framework for non-normal multivariate data analysis called multivariate covariance generalized linear models (McGLMs), designed to handle multivariate response variables, along with a wide range of temporal and spatial…
We propose a general framework to simulate stochastic trajectories with arbitrarily long memory dependence and efficiently evaluate large deviation functions associated to time-extensive observables. This extends the "cloning" procedure of…
Koopman analysis provides a general framework from which to analyze a nonlinear dynamical system in terms of a linear operator acting on an infinite-dimensional observable space. This theoretical framework provides a rigorous underpinning…
We introduce the bivariate jump-diffusion process, comprising two-dimensional diffusion and two-dimensional jumps, that can be coupled to one another. We present a data-driven, non-parametric estimation procedure of higher-order (up to 8)…
The generalized Langevin equation (GLE), derived by projection from a general many-body Hamiltonian, exactly describes the dynamics of an arbitrary coarse-grained variable in a complex environment. However, analysis and prediction of…
A generalized Langevin equation is suggested to describe a system with memory($u(t,t') = \frac{1}{\Gamma (\nu )}(t - t')^\nu $) as well as with positive and negative damping. The equation can be transformed into the Fokker-Planck equation…
We explore the relation between quantum geometry in non-Hermitian systems and physically measurable phenomena. We highlight various situations in which the behavior of a non-Hermitian system is best understood in terms of quantum geometry,…
Shape-constrained inference has wide applicability in bioassay, medicine, economics, risk assessment, and many other fields. Although there has been a large amount of work on monotone-constrained univariate curve estimation, multivariate…
We develop a method for computing policies in Markov decision processes with risk-sensitive measures subject to temporal logic constraints. Specifically, we use a particular risk-sensitive measure from cumulative prospect theory, which has…
Many modern applications of Bayesian inference, such as in cosmology, are based on complicated forward models with high-dimensional parameter spaces. This considerably limits the sampling of posterior distributions conditioned on observed…
Trapped atomic ions enable a precise quantification of the flow of information between internal and external degrees of freedom by employing a non-Markovianity measure [H.-P. Breuer et al., Phys. Rev. Lett. 103, 210401 (2009)]. We reveal…
In this article, we primarily propose a novel Bayesian characterization of stationary and nonstationary stochastic processes. In practice, this theory aims to distinguish between global stationarity and nonstationarity for both parametric…
A nonhomogeneous hidden semi-Markov model is proposed to segment toroidal time series according to a finite number of latent regimes and, simultaneously, estimate the influence of time-varying covariates on the process' survival under each…
We introduce a multivariate hidden Markov model to jointly cluster time-series observations with different support, i.e. circular and linear. Relying on the general projected normal distribution, our approach allows for bimodal and/or…
In this paper we introduce new estimators of the coefficient functions in the varying coefficient regression model. The proposed estimators are obtained by projecting the vector of the full-dimensional kernel-weighted local polynomial…
Quantum Markov models are employed ubiquitously in quantum physics and in quantum information theory due to their relative simplicity and analytical tractability. In particular, these models are known to give accurate approximations for a…
We present a generalized picture of intermittency in turbulence that is based on the theory of stochastic processes. To this end, we rely on the experimentally and numerically verified finding by R.~Friedrich and J.~Peinke [Phys. Rev. Lett.…
An all-optical scheme for simulating non-Markovian evolution of a quantum system is proposed. It uses only linear optics elements and by controlling the system parameters allows one to control the presence or absence of information backflow…
The Mat\'ern covariance function is a popular choice for modeling dependence in spatial environmental data. Standard Mat\'ern covariance models are, however, often computationally infeasible for large data sets. In this work, recent results…