Related papers: The Failure of the Ergodic Assumption

Starting from the quantum mechanics for $N$ particles, we show that we can directly derive the microcanonical ensemble average of the physical quantity $A$ by using only the long time average and the equal probability assumption for the…

We proposed a learning algorithm for nonparametric estimation and on-line prediction for general stationary ergodic sources. We prepare histograms each of which estimates the probability as a finite distribution, and mixture them with…

We consider the problems of parameter estimation for several models of threshold ergodic diffusion processes in the asymptotics of large samples. These models are the direct continuous time analogues of the well-known in time series…

We initiate the study of effective pointwise ergodic theorems in resource-bounded settings. Classically, the convergence of the ergodic averages for integrable functions can be arbitrarily slow. In contrast, we show that for a class of…

We show that for every ergodic system $(X,\mu,T_1,\ldots,T_d)$ with commuting transformations, the average \[\frac{1}{N^{d+1}} \sum_{0\leq n_1,\ldots,n_d \leq N-1} \sum_{0\leq n\leq N-1} f_1(T_1^n \prod_{j=1}^d T_j^{n_j}x)f_2(T_2^n…

We consider pointwise convergence of weighted ergodic averages along the sequence $\Omega(n)$, where $\Omega(n)$ denotes the number of prime factors of $n$ counted with multiplicities. It was previously shown that $\Omega(n)$ satisfies the…

In the simplest sequential decision problem for an ergodic stochastic process X, at each time n a decision u_n is made as a function of past observations X_0,...,X_{n-1}, and a loss l(u_n,X_n) is incurred. In this setting, it is known that…

We prove some efficient inference results concerning estimation of a Ornstein-Uhlenbeck regression model, which is driven by a non-Gaussian stable Levy process and where the output process is observed at high-frequency over a fixed time…

We obtain a description of the Poincar\'e recurrences of chaotic systems in terms of the ergodic theory of transient chaos. It is based on the equivalence between the recurrence time distribution and an escape time distribution obtained by…

Quantum mechanics is essentially a statistical theory. Classical mechanics, however, is usually not viewed as being inherently statistical. Nevertheless, the latter can also be formulated statistically. Furthermore, a statistical…

Variance estimation is important for statistical inference. It becomes non-trivial when observations are masked by serial dependence structures and time-varying mean structures. Existing methods either ignore or sub-optimally handle these…

Bayesian inference in complex generative models is often obstructed by the absence of tractable likelihoods and the infeasibility of computing gradients of high-dimensional simulators. Existing likelihood-free methods for generalized…

Let $X_n$ be a discrete time Markov chain with state space $S$ (countably infinite, in general) and initial probability distribution $\mu^{(0)} = (P(X_0=i_1),P(X_0=i_2),\cdots,)$. What is the probability of choosing in random some $k \in…

We expand the ergodic theory developed by Furstenberg and Hochman on dynamical systems that are obtained from magnifications of measures. We prove that any fractal distribution in the sense of Hochman is generated by a uniformly scaling…

We show the relation between processes which are modeled by a Langevin equation with multiplicative noise and infinite ergodic theory. We concentrate on a spatially dependent diffusion coefficient that behaves as ${D(x)}\sim…

We describe and experimentally investigate a method to construct forecasting algorithms for stationary and ergodic processes based on universal measures (or so-called universal data compressors). Using some geophysical and economical time…

Let $(X_{\underline{\ell}})_{\underline{\ell} \in \mathbb Z^d}$ be a real random field (r.f.) indexed by $\mathbb Z^d$ with common probability distribution function $F$. Let $(z_k)_{k=0}^\infty$ be a sequence in $\mathbb Z^d$. The empirical…

Let B be a p-uniformly convex Banach space, with p >= 2. Let T be a linear operator on B, and let A_n x denote the ergodic average (1 / n) sum_{i< n} T^n x. We prove the following variational inequality in the case where T is power bounded…

The mean absolute deviation about the mean is an alternative to the standard deviation for measuring dispersion in a sample or in a population. For stationary, ergodic time series with a finite first moment, an asymptotic expansion for the…

We consider the spectral form factor of random unitary matrices as well as of Floquet matrices of kicked tops. For a typical matrix the time dependence of the form factor looks erratic; only after a local time average over a suitably large…