Related papers: Nonlinear GARCH model and 1/f noise
Heteroscedastic regression considering the varying noises among observations has many applications in the fields like machine learning and statistics. Here we focus on the heteroscedastic Gaussian process (HGP) regression which integrates…
Empirical power--law scaling has been widely observed across modern deep learning systems, yet its theoretical origins and scope of validity remain incompletely understood. The Generalized Resolution--Shell Dynamics (GRSD) framework models…
We herein report a new class of impulsive fractional stochastic differential systems driven by mixed fractional Brownian motions with infinite delay and Hurst parameter $\hat{\cal H} \in ( 1/2, 1)$. Using fixed point techniques, a…
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market…
In this article, we consider the one-dimensional stochastic wave and heat equations driven by a linear multiplicative Gaussian noise which is white in time and behaves in space like a fractional Brownian motion with Hurst index $H\in (\frac…
It has been observed that an interesting class of non-Gaussian stationary processes is obtained when in the harmonics of a signal with random amplitudes and phases, frequencies can also vary randomly. In the resulting models, the…
In this paper we focus on the parameter estimation of dynamic load models with stochastic terms, in particular, load models where protection settings are uncertain, such as in aggregated air conditioning units. We show how the uncertainty…
With latent variables, stochastic recurrent models have achieved state-of-the-art performance in modeling sound-wave sequence. However, opposite results are also observed in other domains, where standard recurrent networks often outperform…
In this paper we present a general mathematical construction that allows us to define a parametric class of $H$-sssi stochastic processes (self-similar with stationary increments), which have marginal probability density function that…
In recent work, the authors have developed a generic methodology for calibrating the noise in fluid dynamics stochastic partial differential equations where the stochasticity was introduced to parametrize subgrid-scale processes. The…
We explore the use of non homogenous noise kernels in Gaussian process modelling to improve the potential energy curve models describing stochastic electronic structure data. We use the same noise kernels on energy curves describing…
Multiplicative random processes in (not necessaryly equilibrium or steady state) stochastic systems with many degrees of freedom lead to Boltzmann distributions when the dynamics is expressed in terms of the logarithm of the normalized…
In turbulent magnetized plasmas, charged particles can be accelerated to high energies through their interactions with the turbulent motions. As they do so, they draw energy from the turbulence, possibly up to the point where they start…
In this paper we consider suitable families of power series distributed random variables, and we study their asymptotic behavior in the fashion of large (and moderate) deviations. We also present two examples of fractional counting…
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of…
We show by explicit closed form calculations that a Hurst exponent H that is not 1/2 does not necessarily imply long time correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of…
Correlation between microstructure noise and latent financial logarithmic returns is an empirically relevant phenomenon with sound theoretical justification. With few notable exceptions, all integrated variance estimators proposed in the…
This paper introduces a new periodic fractional autoregressive process (PFAR) driven by fractional Gaussian noise (fGn) to model time series of precipitation evapotranspiration. Compared with the similar model in [\emph{Water Resources…
The Hawkes self-excited point process provides an efficient representation of the bursty intermittent dynamics of many physical, biological, geological and economic systems. By expressing the probability for the next event per unit time…
Gaussian process is a theoretically appealing model for nonparametric analysis, but its computational cumbersomeness hinders its use in large scale and the existing reduced-rank solutions are usually heuristic. In this work, we propose a…