Related papers: Statistical mixing and aggregation in Feller diffu…
We apply macroscopic fluctuation theory to study the diffusion of a tracer in a one-dimensional interacting particle system with excluded mutual passage, known as single-file diffusion. In the case of Brownian point particles with hard-core…
Simulation studies are commonly used to evaluate the performance of newly developed meta-analysis methods. For methodology that is developed for an aggregated data meta-analysis, researchers often resort to simulation of the aggregated data…
We consider statistical inference for a class of dynamic mixed-effect models described by stochastic differential equations whose drift and diffusion coefficients simultaneously depend on fixed- and random-effect parameters. Assuming that…
Taylor's fluctuation scaling (FS) has been observed in many natural and man-made systems revealing an amazing universality of the law. Here we give strong theoretical foundations for the origins and abundance of Taylor's FS in different…
It recently has been found that methods of the statistical theories of spectra can be a useful tool in the analysis of spectra far from levels of Hamiltonian systems. Several examples originate from areas, such as quantitative linguistics…
We review various methods to investigate the statics and the dynamics of collective composition fluctuations in dense polymer mixtures within fluctuating-field approaches. The central idea of fluctuating-field theories is to rewrite the…
Mixed membership models are an extension of finite mixture models, where each observation can partially belong to more than one mixture component. A probabilistic framework for mixed membership models of high-dimensional continuous data is…
We study the density fluctuations at equilibrium of the multi-species stirring process, a natural multi-type generalization of the symmetric (partial) exclusion process. In the diffusive scaling limit, the resulting process is a system of…
Stochastic models of diffusion with excluded-volume effects are used to model many biological and physical systems at a discrete level. The average properties of the population may be described by a continuum model based on partial…
The statistical distribution of the ratio of two normal random variables is characterized by its heavy-tailed nature and absence of finite moments. The shape of its density function is highly variable, capable of exhibiting unimodal or…
We study voter models defined on large sets. Through a perspective emphasizing the martingale property of voter density processes, we prove that in general, their convergence to the Wright-Fisher diffusion only involves certain averages of…
The dynamics of diffusion in complex networks are widely studied to understand how entities, such as information, diseases, or behaviors, spread in an interconnected environment. Complex networks often present community structure, and tools…
A novel statistical method is proposed and investigated for estimating a heavy tailed density under mild smoothness assumptions. Statistical analyses of heavy-tailed distributions are susceptible to the problem of sparse information in the…
We experimentally investigate the steady states of two granular assemblies differing in their material properties and allowed to exchange volume with each other under external agitation in the vicinity of their jamming transition. We…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverage for a general form of the stochastic term. We also discuss…
We calculate the self diffusion coefficients $D_S$ for the species $s=1,2$ of a mixture, and show that a general scaling relation $D_2{\sim}D_1^a$ with a non universal exponent $a$ holds. The generalized diffusion coefficients, dependent on…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…
Seifert derived an exact fluctuation relation for diffusion processes using the concept of "stochastic system entropy". In this note we extend his formalism to entropic transport. We introduce the notion of relative stochastic entropy, or…
This thesis evaluates most of the extreme mixture models and methods that have appended in the literature and implements them in the context of finance and insurance. The paper also reviews and studies extreme value theory, time series,…