Related papers: Multifractal Diffusion Entropy Analysis: Optimal B…
Statistical quality control methods are noteworthy to producing standard production in manufacturing processes. In this regard, there are many classical manners to control the process. Many of them have a global assumption around the…
In this manuscript, we present a novel approach for sampling from a continuous multivariate probability distribution, which may either be explicitly known (up to a normalization factor) or represented via empirical samples. Our method…
A method for extracting the Levy stability index $\mu$ from the multi-fractal spectrum $f(\alpha)$ in high energy multiparticle production is proposed. This index is an important parameter, characterizing the non-linear behaviour of…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
In this paper, we propose a time-fractional molecular beam epitaxy (MBE) model with slope selection and its efficient, accurate, full discrete, linear numerical approximation. The numerical scheme utilizes the fast algorithm for the Caputo…
Entropy estimation plays a crucial role in various fields, such as information theory, statistical data science, and machine learning. However, traditional entropy estimation methods often struggle with complex data distributions.…
We study statistical inference and distributionally robust solution methods for stochastic optimization problems, focusing on confidence intervals for optimal values and solutions that achieve exact coverage asymptotically. We develop a…
Traffic forecasting is a complex multivariate time-series regression task of paramount importance for traffic management and planning. However, existing approaches often struggle to model complex multi-range dependencies using local…
We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen…
We present a maximum entropy approach to analyze the internal dynamics of a small system in contact with a large bath e.g. a solute-solvent system. For the small solute, the fluctuations around the mean values of observables are not…
The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (MEDM) to detect the structure scale of a given time series,…
The central subspace of a pair of random variables $(y,x) \in \mathbb{R}^{p+1}$ is the minimal subspace $\mathcal{S}$ such that $y \perp \hspace{-2mm} \perp x\mid P_{\mathcal{S}}x$. In this paper, we consider the minimax rate of estimating…
Using a maximum entropy principle to assign a statistical weight to any graph, we introduce a model of random graphs with arbitrary degree distribution in the framework of standard statistical mechanics. We compute the free energy and the…
The R\'enyi entropy is a generalization of the Shannon entropy and is widely used in mathematical statistics and applied sciences for quantifying the uncertainty in a probability distribution. We consider estimation of the quadratic R\'enyi…
In confirmatory clinical trials, it has been proposed to use a simple iterative graphical approach to construct and perform intersection hypotheses tests with a weighted Bonferroni-type procedure to control type I errors in the strong…
Topological entropy measures the number of distinguishable orbits in a dynamical system, thereby quantifying the complexity of chaotic dynamics. One approach to computing topological entropy in a two-dimensional space is to analyze the…
Multifractal detrended fluctuation analysis (MFDFA) has become a central method to characterise the variability and uncertainty in empiric time series. Extracting the fluctuations on different temporal scales allows quantifying the strength…
The finite sample effect on the Hurst exponent (HE) of realized volatility time series is examined using Bitcoin data. This study finds that the HE decreases as the sampling period $\Delta$ increases and a simple finite sample ansatz…
We perform a systematic investigation on the components of the empirical multifractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 as an example. The temporal structure and…
We report multipronged progress on the stochastic averaging approach to numerical analytic continuation of quantum Monte Carlo data. With the sampled spectrum parametrized with delta-functions in continuous frequency space, a calculation of…