Related papers: Measuring stationarity in long-memory processes
We investigate stability of invariant measures of diffusion processes with respect to $L^p$ distances on the coefficients, under an assumption of log-concavity. The method is a variant of a technique introduced by Crippa and De Lellis to…
In this paper we propose a new test for the hypothesis of a constant coefficient of variation in the common nonparametric regression model. The test is based on an estimate of the $L^2$-distance between the square of the regression function…
Most physical data sets contain a stochastic contribution produced by measurement noise or other random sources along with the signal. Usually, neither the signal nor the noise are accurately known prior to the measurement so that both have…
Applications in machine learning and data mining require computing pairwise Lp distances in a data matrix A. For massive high-dimensional data, computing all pairwise distances of A can be infeasible. In fact, even storing A or all pairwise…
In this work, we propose a new inference procedure for understanding non-stationary processes, under the framework of evolutionary spectra developed by Priestley. Among various frameworks of modeling non-stationary processes, the…
Classical machine learning approaches are sensitive to non-stationarity. Transfer learning can address non-stationarity by sharing knowledge from one system to another, however, in areas like machine prognostics and defense, data is…
In this work we define a spatial concordance coefficient for second-order stationary processes. This problem has been widely addressed in a non-spatial context, but here we consider a coefficient that for a fixed spatial lag allows one to…
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…
Recent work in distance metric learning has focused on learning transformations of data that best align with provided sets of pairwise similarity and dissimilarity constraints. The learned transformations lead to improved retrieval,…
Subjective evaluations are critical for assessing the perceptual realism of sounds in audio-synthesis driven technologies like augmented and virtual reality. However, they are challenging to set up, fatiguing for users, and expensive. In…
We present a purely deep neural network-based approach for estimating long memory parameters of time series models that incorporate the phenomenon of long-range dependence. Parameters, such as the Hurst exponent, are critical in…
Unpredictable sensor-to-estimator delays fundamentally distort what matters for wireless remote state estimation: not just freshness, but how delay interacts with sensor informativeness and energy efficiency. In this paper, we present a…
By integrating two powerful methods of density reduction and intrinsic dimensionality estimation, a new data-driven method, referred to as OLPP-MLE (orthogonal locality preserving projection-maximum likelihood estimation), is introduced for…
Gaussian processes (GPs) are commonplace in spatial statistics. Although many non-stationary models have been developed, there is arguably a lack of flexibility compared to equipping each location with its own parameters. However, the…
Stochastic versions of proximal methods have gained much attention in statistics and machine learning. These algorithms tend to admit simple, scalable forms, and enjoy numerical stability via implicit updates. In this work, we propose and…
This paper deals with M$^2$-signals, namely multivariate (or vector-valued) signals defined over a multidimensional domain. In particular, we propose an optimization technique to solve the covariance extension problem for stationary random…
We introduce a new class of stochastic processes which are stationary, Markovian and characterized by an infinite range of time-scales. By transforming the Fokker-Planck equation of the process into a Schrodinger equation with an…
This study develops an asymptotic theory for estimating the time-varying characteristics of locally stationary functional time series (LSFTS). We investigate a kernel-based method to estimate the time-varying covariance operator and the…
The analysis of nonstationary time series is of great importance in many scientific fields such as physics and neuroscience. In recent years, Gaussian process regression has attracted substantial attention as a robust and powerful method…
The maximum likelihood estimation for a time-dependent nonstationary (NS) extreme value model is often too sensitive to influential observations, such as large values toward the end of a sample. Thus, alternative methods using L-moments…