Related papers: Linearization effect in multifractal analysis: Ins…
Linear mixed models with large imbalanced crossed random effects structures pose severe computational problems for maximum likelihood estimation and for Bayesian analysis. The costs can grow as fast as $N^{3/2}$ when there are N…
Based on heuristic arguments we conjecture that an intimate relation exists between the eigenfunction multifractal dimensions $D_q$ of the eigenstates of critical random matrix ensembles $D_{q'} \approx qD_q[q'+(q-q')D_q]^{-1}$, $1\le q \le…
Boltzmann-Gibbs measures generated by logarithmically correlated random potentials are multifractal. We investigate the abrupt change ("pre-freezing") of multifractality exponents extracted from the averaged moments of the measure - the…
Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(\epsilon)^{-1} at which a stochastic process with stationary increments \xi should be sampled, for the sampled process \xi(\lfloor\cdot…
Multifractal analysis has become a standard signal processing tool,for which a promising new formulation, the p-leader multifractal formalism, has recently been proposed. It relies on novel multiscale quantities, the p-leaders, defined as…
Compared to the nominal scale, the ordinal scale for a categorical outcome variable has the property of making a monotonicity assumption for the covariate effects meaningful. This assumption is encoded in the commonly used proportional odds…
Processes occurring in real open systems are far from equilibrium state and they can lead to synergetic effects, which are caused by coordinated behavior of system units. Traditional methods of analysis often just establish such behavior,…
Multifractal analysis of stochastic processes deals with the fine scale properties of the sample paths and seeks for some global scaling property that would enable extracting the so-called spectrum of singularities. In this paper we…
We consider the hierarchic tree Random Energy Model with continuous branching and calculate the moments of the corresponding partition function. We establish the multifractal properties of those moments. We derive formulas for the normal…
Scattering moments provide nonparametric models of random processes with stationary increments. They are expected values of random variables computed with a nonexpansive operator, obtained by iteratively applying wavelet transforms and…
In this paper we present multivariate space-time fractional Poisson processes by considering common random time-changes of a (finite-dimensional) vector of independent classical (non-fractional) Poisson processes. In some cases we also…
Stochastic linearization is a method used in Quasilinear Control (QLC) to replace a nonlinearity by an equivalent gain and a bias, utilizing the statistical properties of random inputs. In this paper, the theory of stochastic linearization…
The critical dynamics of conformal field theories on random surfaces is investigated beyond the previously studied dynamics of the overall area and the genus. It is found that the evolution of the order parameter in physical time performs a…
We achieve the multifractal analysis of a class of complex valued statistically self-similar continuous functions. For we use multifractal formalisms associated with pointwise oscillation exponents of all orders. Our study exhibits new…
We study coarsening phenomena in three different simple exclusion processes with quenched disordered jump rates. In the case of the totally asymmetric process, an earlier phenomenological description is improved, yielding for the time…
We propose a generalization of multifractal analysis that is applicable to the critical regime of the Anderson localization-delocalization transition. The approach reveals that the behavior of the probability distribution of wavefunction…
We derive fractional Brownian motion and stochastic processes with multifractal properties using a framework of network of Gaussian conditional probabilities. This leads to the derivation of new representations of fractional Brownian…
Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In a previous paper of one of the authors it was established that one of these…
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with…
For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution.…