Related papers: Signal processing with Levy information
In a variety of disciplines such as social sciences, psychology, medicine and economics, the recorded data are considered to be noisy measurements of latent variables connected by some causal structure. This corresponds to a family of…
Ito's construction of Markovian solutions to stochastic equations driven by a L\'evy noise is extended to nonlinear distribution dependent integrands aiming at the effective construction of linear and nonlinear Markov semigroups and the…
We give a review of the state of the art with regard to the theory of scale functions for spectrally negative Levy processes. From this we introduce a general method for generating new families of scale functions. Using this method we…
This paper considers a sequential estimation and sensor scheduling problem with one sensor and one estimator. The sensor makes sequential observations about the state of an underlying memoryless stochastic process, and makes a decision as…
The problem of estimating a random vector x from noisy linear measurements y = A x + w with unknown parameters on the distributions of x and w, which must also be learned, arises in a wide range of statistical learning and linear inverse…
We present a new form of intermittency, L\'evy on-off intermittency, which arises from multiplicative $\alpha$-stable white noise close to an instability threshold. We study this problem in the linear and nonlinear regimes, both…
A linear transmitter with correlated Gaussian white additive and multiplicative noises and a periodic signal coupled either additively or multiplicatively is considered. The correlations have a weak destructive effect in case of the…
A waveform channel is considered where the transmitted signal is corrupted by Wiener phase noise and additive white Gaussian noise. A discrete-time channel model that takes into account the effect of filtering on the phase noise is…
We employ a unified framework for computing the information capacity of biological signaling systems using Fisher Information. By deriving closed-form or easily computable information capacity formulas, we quantify how well different…
Self-similar processes are useful in modeling diverse phenomena that exhibit scaling properties. Operator scaling allows a different scale factor in each coordinate. This paper develops practical methods for modeling and simulating…
We consider the motion of an overdamped particle in a periodic potential lacking spatial symmetry under the influence of symmetric L\'evy noise, being a minimal setup for a ``L\'evy ratchet.'' Due to the non-thermal character of the L\'evy…
We present the analysis of the first passage time problem on a finite interval for the generalized Wiener process that is driven by L\'evy stable noises. The complexity of the first passage time statistics (mean first passage time,…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
Bayesian filtering is a general framework for recursively estimating the state of a dynamical system. Classical solutions such that Kalman filter and Particle filter are introduced in this report. Gaussian processes have been introduced as…
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A…
The phase locking value (PLV) is a widely used measure to detect phase connectivity. Main drawbacks of the standard PLV are it can be sensitive to noisy observations and does not provide uncertainty measures under finite samples. To…
We derive explicitly the coupling property for the transition semigroup of a L\'{e}vy process and gradient estimates for the associated semigroup of transition operators. This is based on the asymptotic behaviour of the symbol or the…
Focussing on a paradigmatic small system consisting of two coupled damped oscillators, we survey the role of the L\'evy-It\^o nature of the noise in the thermal conductance. For white noises, we prove that the L\'evy-It\^o composition…
The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…
Trawl processes belong to the class of continuous-time, strictly stationary, infinitely divisible processes; they are defined as Levy bases evaluated over deterministic trawl sets. This article presents the first nonparametric estimator of…