Related papers: A new structure for analyzing discrete scale invar…
Large high-dimensional datasets are becoming more and more popular in an increasing number of research areas. Processing the high dimensional data incurs a high computational cost and is inherently inefficient since many of the values that…
In an absorptive system the Wigner reaction $K-$matrix (directly related to the impedance matrix in acoustic or electromagnetic wave scattering) is non-selfadjoint, hence its eigenvalues are complex. The most interesting regime arises when…
We study statistical/computational tradeoffs for the following density estimation problem: given $k$ distributions $v_1, \ldots, v_k$ over a discrete domain of size $n$, and sampling access to a distribution $p$, identify $v_i$ that is…
We formulate a novel approach to solve a class of stochastic problems, referred to as data-consistent inverse (DCI) problems, which involve the characterization of a probability measure on the parameters of a computational model whose…
Wavelets provide the flexibility to analyse stochastic processes at different scales. Here, we apply them to multivariate point processes as a means of detecting and analysing unknown non-stationarity, both within and across data streams.…
For continuous-time linear stochastic dynamical systems driven by Wiener processes, we consider the problem of designing ensemble filters when the observation process is randomly time-sampled. We propose a continuous-discrete McKean--Vlasov…
While covariance matrices have been widely studied in many scientific fields, relatively limited progress has been made on estimating conditional covariances that permits a large covariance matrix to vary with high-dimensional subject-level…
This study presents a comprehensive spatial eigenanalysis of fully-discrete discontinuous spectral element methods, now generalizing previous spatial eigenanalysis that did not include time integration errors. The influence of discrete time…
We consider a $d$-dimensional continuous martingale $X(t)$ with quadratic variation matrix $\langle X\rangle_t=\int_0^t \Sigma(s)\,ds$ and develop tests for the rank of its spot covariance matrix $\Sigma(t)$, $t\in[0,1]$. The process $X$ is…
Previous results pertaining to algebraic state and parameter estimation of linear systems based on a special construction of a forward-backward kernel representation of linear differential invariants are extended to handle large noise in…
Coherent surface scattering imaging (CSSI) is an emerging experimental technique uniquely suited to probing the structure of thin nanostructures. In these experiments, a specimen is placed on a substrate, and a series of X-ray diffraction…
Modern data collecting methods and computation tools have made it possible to monitor high-dimensional processes. In this article, Phase II monitoring of high-dimensional processes is investigated when the available number of samples…
The spectral density of various ensembles of sparse symmetric random matrices is analyzed using the cavity method. We consider two cases: matrices whose associated graphs are locally tree-like, and sparse covariance matrices. We derive a…
Most protocols for the high-throughput directed evolution of enzymes rely on random encapsulation to link phenotype and genotype. In order to optimize these approaches, or compare one to another, one needs a measure of their performance at…
We study discrete time Markov processes with periodic or open boundary conditions and with inhomogeneous rates in the bulk. The Markov matrices are given by the inhomogeneous transfer matrices introduced previously to prove the…
The solution to a multivariate linear Stochastic Differential Equation (SDE) with constant initial state is well known to be a Gaussian Markov process, but its covariance kernel involves the solution to an integral equation in the general…
Counting processes often written $N=(N_t)_{t\in\mathbb{R}^+}$ are used in several applications of biostatistics, notably for the study of chronic diseases. In the case of respiratory illness it is natural to suppose that the count of the…
Spectral density matrix estimation of multivariate time series is a classical problem in time series and signal processing. In modern neuroscience, spectral density based metrics are commonly used for analyzing functional connectivity among…
The second in a two-part series, this paper extends the 3rd-order Spectral Representation Method for simulation of ergodic multi-variate stochastic processes according to a prescribed cross power spectral density and cross bispectral…
We introduce a general algorithm for the computation of the scale functions of a spectrally negative L\'evy process $X$, based on a natural weak approximation of $X$ via upwards skip-free continuous-time Markov chains with stationary…