Related papers: Long range dependence and the dynamics of exploite…
Representation and learning of long-range dependencies is a central challenge confronted in modern applications of machine learning to sequence data. Yet despite the prominence of this issue, the basic problem of measuring long-range…
Stochastic processes with long memories, known as long memory processes, are ubiquitous in various science and engineering problems. Superposing Markovian stochastic processes generates a non-Markovian long memory process serving as…
We analyse large deviations of time-averaged quantities in stochastic processes with long-range memory, where the dynamics at time t depends itself on the value q_t of the time-averaged quantity. First we consider the elephant random walk…
Long memory or long range dependency is an important phenomenon that may arise in the analysis of time series or spatial data. Most of the definitions of long memory of a stationary process $X=\{X_1, X_2,\cdots,\}$ are based on the…
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has…
We investigate long and short memory in $\alpha$-stable moving averages and max-stable processes with $\alpha$-Fr\'echet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence suggested…
We consider the effects of long-range temporal correlations in many-particle systems, focusing particularly on fluctuations about the typical behaviour. For a specific class of memory dependence we discuss the modification of the large…
Despite successful applications across a broad range of NLP tasks, conditional random fields ("CRFs"), in particular the linear-chain variant, are only able to model local features. While this has important benefits in terms of inference…
Many scientific areas, from computer science to the environmental sciences and finance, give rise to multivariate time series which exhibit long memory, or loosely put, a slow decay in their autocorrelation structure. Efficient modelling…
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…
Extreme events are an important theme in various areas of science because of their typically devastating effects on society and their scientific complexities. The latter is particularly true if the underlying dynamics does not lead to…
On infinitesimally short time interval various processes contributing to population change tend to operate independently so that we can simply add their contributions (Metz and Diekmann (1986)). This is one of the cornerstones for…
Long range connections play an essential role in dynamical processes on networks, on the processing of information in biological networks, on the structure of social and economical networks and in the propagation of opinions and epidemics.…
Multivariate processes with long-range dependent properties are found in a large number of applications including finance, geophysics and neuroscience. For real data applications, the correlation between time series is crucial. Usual…
Characterizing temporal dependence patterns is a critical step in understanding the statistical properties of sequential data. Long Range Dependence (LRD) --- referring to long-range correlations decaying as a power law rather than…
In this paper we report the existence of long-range memory in the opening moves of a chronologically ordered set of chess games using an extensive chess database. We used two mapping rules to build discrete time series and analyzed them…
Time non-locality, or memory, is a non-equilibrium property shared by all physical systems. Here, we show that memory is sufficient to induce a phase of spatial long-range order (LRO) even if the system's primary dynamical variables are…
It is empirically established that order flow in the financial markets is positively auto-correlated and can serve as an example of a social system with long-range memory. Nevertheless, widely used long-range memory estimators give varying…
As most natural resources, fisheries are affected by random disturbances. The evolution of such resources may be modelled by a succession of deterministic process and random perturbations on biomass and/or growth rate at random times. We…
Long-range correlation, a property of time series exhibiting long-term memory, is mainly studied in the statistical physics domain and has been reported to exist in natural language. Using a state-of-the-art method for such analysis,…