Related papers: Statistical mixing and aggregation in Feller diffu…
We consider a class of multiplicative processes which, added with stochastic reset events, give origin to stationary distributions with power-law tails -- ubiquitous in the statistics of social, economic, and ecological systems. Our main…
This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small…
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been…
Under natural assumptions, a Feller type diffusion approximation is derived for critical, irreducible multi-type continuous state and continuous time branching processes with immigration. Namely, it is proved that a sequence of…
Model-based clustering imposes a finite mixture modelling structure on data for clustering. Finite mixture models assume that the population is a convex combination of a finite number of densities, the distribution within each population is…
Parametric distributions are an important part of statistics. There is now a voluminous literature on different fascinating formulations of flexible distributions. We present a selective and brief overview of a small subset of these…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
We consider the gelation of particles which are permanently connected by random crosslinks, drawn from an ensemble of finite-dimensional continuum percolation. To average over the randomness, we apply the replica trick, and interpret the…
We consider individuals of two species distributed over m patches, each with a hosting capacity $d_i N$ , where $d_i \in (0, 1]$. We assume that all the patches are linked by the dispersal of individuals. This work examines how the…
We derive a unified stochastic picture for the duality of a resampling-selection model with a branching-coalescing particle process (cf. http://www.ams.org/mathscinet-getitem?mr=MR2123250) and for the self-duality of Feller's branching…
Permutations of correlated sequences of random variables appear naturally in a variety of applications such as graph matching and asynchronous communications. In this paper, the asymptotic statistical behavior of such permuted sequences is…
Given an arbitrary continuous probability density function, it is introduced a conjugated probability density, which is defined through the Shannon information associated with its cumulative distribution function. These new densities are…
In the study of heavy tail data, several models have been introduced. If the interest is in the tail of the distribution, block maxima or excess over thresholds are the typical approaches, wasting relevant information in the bulk of the…
We find in measurements of microwave transmission through quasi-1D dielectric samples for both diffusive and localized waves that the field normalized by the square root of the spatially averaged flux in a given sample configuration is a…
In a mixture of scalar fields undergoing diffusive processes governed by Fick's law, the concentration at each point evolves linearly in the concentrations at all points and independently from the other concentrations, when one considers a…
There have been increasing reports that the diffusion coefficient of macromolecules depends on time and fluctuates randomly. Here, a novel method to elucidate the fluctuating diffusivity from trajectory data is developed. The time-averaged…
The effect of introducing a mass dependent diffusion rate ~ m^{-alpha} in a model of coagulation with single-particle break up is studied both analytically and numerically. The model with alpha=0 is known to undergo a nonequilibrium phase…
We investigate statistical properties of trails formed by a random process incorporating aggregation, fragmentation, and diffusion. In this stochastic process, which takes place in one spatial dimension, two neighboring trails may combine…
Two main features of the observable distribution of visible matter are the space correlations of galaxy positions and the mass function of galaxies. As discussed in Pietronero and Sylos Labini on this issue ([1], see also [2],[3]), the…
This article proposes a mixture modeling approach to estimating cluster-wise conditional distributions in clustered (grouped) data. We adapt the mixture-of-experts model to the latent distributions, and propose a model in which each…