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The aim of this paper is to shed light on the analysis of non-stationary time series by means of the method of diffusion entropy. For this purpose, we first study the case when infinitely many time series, as different realizations of the…
Estimating the entropy of a discrete random variable is a fundamental problem in information theory and related fields. This problem has many applications in various domains, including machine learning, statistics and data compression. Over…
Diagrammatic expansions are a central tool for treating correlated electron systems. At thermal equilibrium, they are most naturally defined within the Matsubara formalism. However, extracting any dynamic response function from a Matsubara…
Graph spectra have been successfully used to classify network types, compute the similarity between graphs, and determine the number of communities in a network. For large graphs, where an eigen-decomposition is infeasible, iterative moment…
An index of uniformity is developed as an alternative to the maximum-entropy principle for selecting continuous, differentiable probability distributions $\mathcal{P}$ subject to constraints $C$. The uniformity index developed in this paper…
Properties of scalar quantization with $r$th power distortion and constrained R\'enyi entropy of order $\alpha\in (0,1)$ are investigated. For an asymptotically (high-rate) optimal sequence of quantizers, the contribution to the R\'enyi…
The entropy accumulation theorem, and its subsequent generalized version, is a powerful tool in the security analysis of many device-dependent and device-independent cryptography protocols. However, it has the drawback that the finite-size…
Brenier and Grenier [SIAM J. Numer. Anal., 1998] proved that sticky particle dynamics with a large number of particles allow to approximate the entropy solution to scalar one-dimensional conservation laws with monotonic initial data. In…
We address the problem of estimating the spherical-harmonic power spectrum of a statistically isotropic scalar signal from noise-contaminated data on a region of the unit sphere. Three different methods of spectral estimation are…
We introduce a method for analyzing radio interferometry data which produces maps which are optimal in the Bayesian sense of maximum posterior probability density, given certain prior assumptions. It is similar to maximum entropy…
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model provides a proper method of volatility estimation…
Let $p$ be an unknown and arbitrary probability distribution over $[0,1)$. We consider the problem of {\em density estimation}, in which a learning algorithm is given i.i.d. draws from $p$ and must (with high probability) output a…
Multifractal analysis has become a powerful signal processing tool that characterizes signals or images via the fluctuations of their pointwise regularity, quantified theoretically by the so-called multifractal spectrum. The practical…
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…
Multiscale entropy (MSE) has been a prevalent algorithm to quantify the complexity of fluctuations in the local mean value of biomedical time series. Recent developments in the field have tried to improve the MSE by reducing its variability…
In this article we propose a method of performing arithmetic operations on varia-bles with unknown distribution. The approach to the evaluation results of arithme-tic operations can select probability intervals of the algebraic equations…
Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series. Typically, this is done via hypothesis…
Short-term patterns in financial time series form the cornerstone of many algorithmic trading strategies, yet extracting these patterns reliably from noisy market data remains a formidable challenge. In this paper, we propose an…
The calculation of the band-gap by density-functional theory (DFT) methods is examined by considering the behavior of the energy as a function of number of electrons. It is found that the incorrect band-gap prediction with most approximate…