Related papers: Regime variance testing - a quantile approach

The development of an algorithm with related mathematical concepts and supporting hypothesis for detecting changes in system dynamics from time series along with empirical analysis and theoretical justification is presented. For the method,…

Contagion arising from clustering of multiple time series like those in the stock market indicators can further complicate the nature of volatility, rendering a parametric test (relying on asymptotic distribution) to suffer from issues on…

This work explores the potential of an information-theoretical causality detection method for unraveling the relation between fluctuating variables in complex nonlinear systems. The method is tested on some simple though nonlinear models,…

We present a method that allows to distinguish between nearly periodic and strictly periodic time series. To this purpose, we employ a conservative criterion for periodicity, namely that the time series can be interpolated by a periodic…

In a variety of different settings cumulative sum (CUSUM) procedures have been applied for the sequential detection of structural breaks in the parameters of stochastic models. Yet their performance depends strongly on the time of change…

Particle dynamics are investigated in plasma turbulence, using self-consistent kinetic simulations, in two dimensions. In steady state, the trajectories of single protons and proton-pairs are studied, at different values of plasma "beta"…

In this manuscript, we calculate the scalar curvature of a two-dimensional thermodynamic space to study the properties of two thermodynamic systems. In particular, we study the stability and possible anyonic behavior of quantum group…

We consider a threshold factor model for high-dimensional time series in which the dynamics of the time series is assumed to switch between different regimes according to the value of a threshold variable. This is an extension of threshold…

Multiparticle production processes provide valuable information about the mechanism of the conversion of the initial energy of projectiles into a number of secondaries by measuring their multiplicity distributions and their distributions in…

Determining accurately when regime and structural changes occur in various time-series data is critical in many social and natural sciences. We develop and show further the equivalence of two consistent estimation techniques in locating the…

We derive tests of stationarity for univariate time series by combining change-point tests sensitive to changes in the contemporary distribution with tests sensitive to changes in the serial dependence. The proposed approach relies on a…

Probabilistic cellular automata with deterministic updating are quantum systems. We employ the quantum formalism for an investigation of random probabilistic cellular automata, which start with a probability distribution over initial…

We develop a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are identified: the first, which we largely focus on, features a…

Stochastic simulation is a widely used method for estimating quantities in models of chemical reaction networks where uncertainty plays a crucial role. However, reducing the statistical uncertainty of the corresponding estimators requires…

In this paper we introduce a novel statistical framework based on the first two quantile conditional moments that facilitates effective goodness-of-fit testing for one-sided L\'evy distributions. The scale-ratio framework introduced in this…

The absence of time-reversal symmetry is a fundamental property of many nonlinear time series. Here, we propose a new set of statistical tests for time series irreversibility based on standard and horizontal visibility graphs. Specifically,…

Warm dense matter--an exotic, highly compressed state on the boarder between solid and plasma phases is of high current interest, in particular for compact astrophysical objects, high pressure laboratory systems, and inertial confinement…

A method for testing nonlinearity in time series is described based on information-theoretic functionals -- redundancies, linear and nonlinear forms of which allow either qualitative, or, after incorporating the surrogate data technique,…

This paper addresses the issue of detecting change-points in multivariate time series. The proposed approach differs from existing counterparts by making only weak assumptions on both the change-points structure across series, and the…

Information from frequency bands in biomedical time series provides useful summaries of the observed signal. Many existing methods consider summaries of the time series obtained over a few well-known, pre-defined frequency bands of…