Related papers: Slide Statistics And Financial Returns
The purpose of this paper is to study the dynamics of a square billiard with a non-standard reflection law such that the angle of reflection of the particle is a linear contraction of the angle of incidence. We present numerical and…
Simpson's paradox, a long-standing statistical phenomenon, describes the reversal of an observed association when data are disaggregated into sub-populations. It has critical implications across statistics, epidemiology, economics, and…
We introduce a family of probabilistic {\it scale-invariant} Leibniz-like pyramids and $(d+1)$-dimensional hyperpyramids ($d=1,2,3,...$), characterized by a parameter $\nu>0$, whose value determines the degree of correlation between $N$…
This paper is concerned with the theoretical understanding of $\alpha$-stable sheets $U$ on $\mathbb{R}^d$. Our motivation for this is in the context of Bayesian inverse problems, where we consider these processes as prior distributions,…
Wide class of elliptically contoured distributions is a popular model of stock returns distribution. However the important question of adequacy of the model is open. There are some results which reject and approve such model. Such results…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
A randomized misfit approach is presented for the efficient solution of large-scale PDE-constrained inverse problems with high-dimensional data. The purpose of this paper is to offer a theory-based framework for random projections in this…
Modern statistical inference tasks often require iterative optimization methods to compute the solution. Convergence analysis from an optimization viewpoint only informs us how well the solution is approximated numerically but overlooks the…
We propose an efficient Bayesian approach to infer a fault displacement from geodetic data in a slow slip event. Our physical model of the slip process reduces to a multiple linear regression subject to constraints. Assuming a Gaussian…
For deterministic continuous time nonlinear control systems, epsilon-practical stabilization entropy and practical stabilization entropy are introduced. Here the rate of attraction is specified by a KL-function. Upper and lower bounds for…
In this paper, we identify a class of absolutely continuous probability distributions, and show that the differential entropy is uniformly convergent over this space under the metric of total variation distance. One of the advantages of…
We introduce a new broad and exible class of multivariate elliptically symmetric distributions in- cluding the elliptically symmetric logistic and multivariate normal. Various probabilistic properties of the new distribution are studied,…
We derive functional equations for distributions of six classical statistics (ascents, descents, left-to-right maxima, right-to-left maxima, left-to-right minima, and right-to-left minima) on separable and irreducible separable…
This paper considers properties of an optimization based sampler for targeting the posterior distribution when the likelihood is intractable and auxiliary statistics are used to summarize information in the data. Our reverse sampler…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
The present paper is meant to give a simple introduction to the problem of the connection between microscopic dynamics and statistical laws. For sake of simplicity, we mostly refer to non-dissipative dynamics, since dissipation adds…
Using statistical physics methods, we study generative diffusion models in the regime where the dimension of space and the number of data are large, and the score function has been trained optimally. Our analysis reveals three distinct…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
This paper introduces "swiveled Renyi entropies" as an alternative to the Renyi entropic quantities put forward in [Berta et al., Phys. Rev. A 91, 022333 (2015)]. What distinguishes the swiveled Renyi entropies from the prior proposal of…
Heavy rainfall distributional modeling is essential in any impact studies linked to the water cycle, e.g.\ flood risks. Still, statistical analyses that both take into account the temporal and multivariate nature of extreme rainfall are…