Related papers: Analysis of fractional Gaussian noises using level…
In this work, we are interested in building the fully discrete scheme for stochastic fractional diffusion equation driven by fractional Brownian sheet which is temporally and spatially fractional with Hurst parameters $H_{1}, H_{2}…
This paper introduces a new kind of seasonal fractional autoregressive process (SFAR) driven by fractional Gaussian noise (fGn). The new model includes a standard seasonal AR model and fGn. {The estimation of the parameters of this new…
Gaussian process regression in its most simplified form assumes normal homoscedastic noise and utilizes analytically tractable mean and covariance functions of predictive posterior distribution using Gaussian conditioning. Its…
Fluctuations affect nanoporous transport in complex and intricate ways, making optimization of signal-to-noise in artificial designs challenging. Here we focus on the simplest nanopore system, where non-interacting particles diffuse through…
In this work, we provide the first strong convergence result of numerical approximation of a general second order semilinear stochastic fractional order evolution equation involving a Caputo derivative in time of order $\alpha\in(\frac 34,…
Modeling real-world systems requires accounting for noise - whether it arises from unpredictable fluctuations in financial markets, irregular rhythms in biological systems, or environmental variability in ecosystems. While the behavior of…
Statistical early warning signs can be used to identify an approaching bifurcation in stochastic dynamical systems and are now regularly employed in applications concerned with the identification of potential rapid, non-linear change or…
We present a statistical analysis of a variant of the periodogram method that forms power spectral density estimates by cross-correlating the discrete Fourier transforms of adjacent time windows. The proposed estimator is closely related to…
Given nonstationary data, one generally wants to extract the trend from the noise by smoothing or filtering. However, it is often important to delineate a third intermediate category, that we call high frequency (HF) features: this is the…
Consider the noisy underdetermined system of linear equations: y=Ax0 + z0, with n x N measurement matrix A, n < N, and Gaussian white noise z0 ~ N(0,\sigma^2 I). Both y and A are known, both x0 and z0 are unknown, and we seek an…
We have analyzed the phenomenon of stochastic resonance in a system driven by non Gaussian noises. We have considered both white and colored noises. In the latter case we have obtained a consistent Markovian approximation that enables us to…
Noise-induced phase transitions are common in various complex systems, from physics to biology. In this article, we investigate the emergence of crucial events in noise-induced phase transition processes and their potential significance for…
In this paper, we characterize the convergence of the (rescaled logarithmic) empirical spectral distribution of wavelet random matrices. We assume a moderately high-dimensional framework where the sample size $n$, the dimension $p(n)$ and,…
The Hurst coefficient $H$ of a stochastic fractal signal is estimated using the function $\sigma_{MA}^2=\frac{1}{N_{max}-n}\sum_{i=n}^{N_{max}} [y(i)-\widetilde{y}_n(i)]^2$, where $\widetilde{y}_n(i)$ is defined as $1/n \sum_{k=0}^{n-1}…
Time changes of noise level at Warsaw Stock Market are analyzed using a recently developed method basing on properties of the coarse grained entropy. The condition of the minimal noise level is used to build an efficient portfolio. Our…
Variational quantum algorithms (VQAs) are expected to become a practical application of near-term noisy quantum computers. Although the effect of the noise crucially determines whether a VQA works or not, the heuristic nature of VQAs makes…
Hard-threshold estimators are popular in signal processing applications. We provide a detailed study of using hard-threshold estimators for estimating an unknown deterministic signal when additive white Gaussian noise corrupts observations.…
The goal of this paper is to propose a new approach to asymptotic analysis of the finite predictor for stationary sequences. It produces the exact asymptotics of the relative prediction error and the partial correlation coefficients. The…
In this paper, we focus on the following testing problem: assume that we are given observations of a real-valued signal along the grid $0,1,\ldots,N-1$, corrupted by white Gaussian noise. We want to distinguish between two hypotheses: (a)…
A signal with discrete frequency components, has a zero bispectrum if no linear combination of the frequencies equals one of the frequency components. We introduce fractional bispectrum in which for such signals the fractional bispectrum is…