Related papers: An explicit representation of Verblunsky coefficie…
Long memory processes driven by L\'evy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here,…
BV functions cannot be approximated well by piecewise constant functions, but this work will show that a good approximation is still possible with (countably) piecewise affine functions. In particular, this approximation is area-strictly…
Standard sparse pseudo-input approximations to the Gaussian process (GP) cannot handle complex functions well. Sparse spectrum alternatives attempt to answer this but are known to over-fit. We suggest the use of variational inference for…
Phase space tomography estimates correlation functions entirely from snapshots in the evolution of the wave function along a time or space variable. In contrast, traditional interferometric methods require measurement of multiple two-point…
In this article, we develop comprehensive frequency domain methods for estimating and inferring the second-order structure of spatial point processes. The main element here is on utilizing the discrete Fourier transform (DFT) of the point…
In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a three-parameter family, which constitutes a natural…
This article develops a periodic version of a time varying parameter fractional process in the stationary region. It is a partial extension of Hosking (1981)'s article which dealt with the case where the coefficients are invariant in time.…
Transport properties of a hard-sphere colloidal fluid are investigated by Brownian dynamics simulations. We implement a novel algorithm for the time-dependent velocity-autocorrelation function (VACF) essentially eliminating the noise of the…
We describe and implement a technique for extracting forces from the relaxation of an overdamped thermal system with normal modes. At sufficiently short time intervals, the evolution of a normal mode is well described by a one-dimensional…
This paper provides a semiparametric model of estimating states of the volatility defined as the squared diffusion coefficient of a stochastic differential equation. Without assuming any functional form of the volatility function, we…
We consider a Vlasov-Fokker-Planck equation governing the evolution of the density of interacting and diffusive matter in the space of positions and velocities. We use a probabilistic interpretation to obtain convergence towards equilibrium…
We analyse a nonadiabatic self-consistent field method by means of an exactly-solvable model. The method is based on nuclear and electronic orbitals that are functions of the cartesian coordinates in the laboratory-fixed frame. The kinetic…
The goal of this paper is to develop a measure for characterizing complex dependence between stationary time series that cannot be captured by traditional measures such as correlation and coherence. Our approach is to use copula models of…
We extend the Wigner-Weyl-Moyal phase-space formulation of quantum mechanics to general curved configuration spaces. The underlying phase space is based on the chosen coordinates of the manifold and their canonically conjugate momenta. The…
The goal of this paper is twofold. In the first part we discuss a general approach to determine Lyapunov exponents from ensemble- rather than time-averages. The approach passes through the identification of locally stable and unstable…
There is a class of physical filtration processes where the input is adequately modeled by a continuous periodic function f (x) of bounded variation over its period, and the output depends only on certain harmonics of the Fourier expansion…
We study asymptotic behavior of orthogonal polynomials on the unit circle with varying Verblunsky coefficients $\alpha_{n,N}$ when the ratio $n/N$ converges as $n,N\to\infty$. First, we give a streamlined proof of ratio asymptotics for…
We discuss simulation schemes for continuous-time autoregressive moving average (CARMA) processes driven by tempered stable L\'evy noises. CARMA processes are the continuous-time analogue of ARMA processes as well as a generalization of…
In this paper we study the convergence to fractional Brownian motion for long memory time series having independent innovations with infinite second moment. For the sake of applications we derive the self-normalized version of this theorem.…
We calculate the steady-state and first-order time varying atom-field correlation functions in the weak-excitation limit of absorptive optical bistability from a linearized theory of quantum fluctuations. We formulate a Fokker-Planck…