Related papers: Regime variance testing - a quantile approach
A method for detecting possible non-deterministic dynamics underlying a time series is introduced. Non-deterministic dynamics may arise due to the failure of the Lipschitz condition in the equations of motion. At a singular point, the phase…
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered…
We present a particle filter construction for a system that exhibits time-scale separation. The separation of time-scales allows two simplifications that we exploit: i) The use of the averaging principle for the dimensional reduction of the…
The experimental detection of multipartite entanglement usually requires a number of appropriately chosen local quantum measurements which are aligned with respect to a previously shared common reference frame. The latter, however, can be a…
We develop a monitoring procedure to detect changes in a large approximate factor model. Letting $r$ be the number of common factors, we base our statistics on the fact that the $\left( r+1\right) $-th eigenvalue of the sample covariance…
Quantum metrology aims to exploit quantum phenomena to overcome classical limitations in the estimation of relevant parameters. We consider a probe undergoing a phase shift $\varphi$ whose generator is randomly sampled according to a…
Correlations between random variables play an important role in applications, e.g.\ in financial analysis. More precisely, accurate estimates of the correlation between financial returns are crucial in portfolio management. In particular,…
This paper reconsiders the problem of testing the equality of two unspecified continuous distributions. The framework, which we propose, allows for readable and insightful data visualisation and helps to understand and quantify how two…
Jamming is a phenomenon shared by a wide variety of systems, such as granular materials, foams, and glasses in their high density regime. This has motivated the development of a theoretical framework capable of explaining many of their…
Statistically simulated time series of wave parameters are required for many coastal and offshore engineering applications, often at the resolution of approximately one hour. Various studies have relied on autoregressive moving-average…
We consider the change point testing problem for high-dimensional time series. Unlike conventional approaches, where one tests whether the difference $\delta$ of the mean vectors before and after the change point is equal to zero, we argue…
We propose a wavelet based method for the characterization of the scaling behavior of non-stationary time series. It makes use of the built-in ability of the wavelets for capturing the trends in a data set, in variable window sizes.…
Using cumulative residual processes, we propose joint goodness-of-fit tests for conditional means and variances functions in the context of nonlinear time series with martingale difference innovations. The main challenge comes from the fact…
In panel data we observe a usually high number N of individuals over a time period T. Even if T is large one often assumes stability of the model over time. We propose a nonparametric and robust test for a change in location and derive its…
We propose a novel two-regime regression model where regime switching is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the principal component analysis of a panel data set. We show…
This thesis investigates critical phenomena and equilibrium states in various stochastic models through three interconnected studies. In the first chapter, we analyze the Activated Random Walk model on a one-dimensional ring in the…
Measuring time means counting the occurrence of periodic phenomena. Over the past centuries a major effort was put to make stable and precise oscillators to be used as clock regulators. Here we consider a different class of clocks based on…
While previous distribution shift detection approaches can identify if a shift has occurred, these approaches cannot localize which specific features have caused a distribution shift -- a critical step in diagnosing or fixing any underlying…
Permutations of particle labels are usually used to illustrate the relationship between classical and quantum statistics. We use permutations of attributes/properties of particles to express properties of waves. We express events of the…
Two roads are presently being followed in order to establish the existence of a liquid-gas phase transition in finite nuclear systems from nuclear reactions at high energy. The clean experiment of observing the thermodynamic properties of a…