Related papers: Statistical Properties of Microstructure Noise
Pulse stabilization of cycles with Prediction-Based Control including noise and stochastic stabilization of maps with multiple equilibrium points is analyzed for continuous but, generally, non-smooth maps. Sufficient conditions of global…
Noise can induce time order in the dynamics of nonlinear dynamical systems. For example, coherence resonance occurs in various neuron models driven by a noise. In studies of coherence resonance, ensemble-averaged measures of the coherence…
Estimating eigenvectors and low-dimensional subspaces is of central importance for numerous problems in statistics, computer science, and applied mathematics. This paper characterizes the behavior of perturbed eigenvectors for a range of…
We present a new method for the separation of superimposed, independent, auto-correlated components from noisy multi-channel measurement. The presented method simultaneously reconstructs and separates the components, taking all channels…
Analysis of X-ray Photon Correlation Spectroscopy (XPCS) data for non-equilibrium dynamics often requires manual binning of age regions of an intensity-intensity correlation function. This leads to a loss of temporal resolution and…
In this article, we study the statistical and asymptotic properties of break-point estimators in nonstationary autoregressive and predictive regression models for testing the presence of a single structural break at an unknown location in…
Eigenvalues are defined for any element of an algebra of observables and do not require a representation in terms of wave functions or density matrices. A systematic algebraic derivation based on moments is presented here for the harmonic…
In this paper, the consensus problems of the continuous-time integrator systems under noisy measurements are considered. The measurement noises, which appear when agents measure their neighbors' states, are modeled to be multiplicative. By…
We study the small noise asymptotics for two-dimensional Navier-Stokes equa- tions driven by Levy noise. Central limit theorem and moderate deviation are established under appropriate assumptions, which describes the exponen- tial rate of…
This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a continuum of invariant distributions…
We find the asymptotic distribution of the sample autocovariances of long-memory processes in cases of finite and infinite fourth moment. Depending on the interplay of assumptions on moments and the intensity of dependence, there are three…
Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…
The effect of external fluctuations on the formation of spatial patterns is analysed by means of a stochastic Swift-Hohenberg model with multiplicative space-correlated noise. Numerical simulations in two dimensions show a shift of the…
Estimation and inference on causal parameters is typically reduced to a generalized method of moments problem, which involves auxiliary functions that correspond to solutions to a regression or classification problem. Recent line of work on…
A self-consistent theory of shot noise in ballistic two-terminal conductors under the action of long-range Coulomb correlations is presented. Analytical formulas for the electron distribution function and its fluctuation along the…
We present a class of systems for which the signal-to-noise ratio always increases when increasing the noise and diverges at infinite noise level. This new phenomenon is a direct consequence of the existence of a scaling law for the…
We consider a slow passage through a point of loss of stability. If the passage is sufficiently slow, the dynamics are controlled by additive random disturbances, even if they are extremely small. We derive expressions for the `exit value'…
When modelling time series, it is common to decompose observed variation into a "signal" process, the process of interest, and "noise", representing nuisance factors that obfuscate the signal. To separate signal from noise, assumptions must…
We present a method to reconstruct autocorrelated signals together with their autocorrelation structure from nonlinear, noisy measurements for arbitrary monotonous nonlinear instrument response. In the presented formulation the algorithm…
Effect of noise in inducing order on various chaotically evolving systems is reviewed, with special emphasis on systems consisting of coupled chaotic elements. In many situations it is observed that the uncoupled elements when driven by…