Related papers: Dynamics of multivariate default system in random …
In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example being firms and financial bonds. The main…
Prediction becomes more challenging with missing covariates. What method is chosen to handle missingness can greatly affect how models perform. In many real-world problems, the best prediction performance is achieved by models that can…
Considering deterministic classical lattice systems with continuous variables, we show that, if the initial conditions are sampled according to a probability distribution in which the dynamical variables are statistically independent, the…
Contextuality is usually defined as absence of a joint distribution for a set of measurements (random variables) with known joint distributions of some of its subsets. However, if these subsets of measurements are not disjoint,…
Multistability is a phenomenon prevalent in many natural systems. In climate, for example, it allows the possibility of irreversible consequences on planetary scale as a result of climate change. Indeed, a climate ``tipping element'' is a…
Populations interact non-linearly and are influenced by environmental fluctuations. In order to have realistic mathematical models, one needs to take into account that the environmental fluctuations are inherently stochastic. Often,…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
We consider a random walker in a dynamic random environment given by a system of independent simple symmetric random walks. We obtain ballisticity results under two types of perturbations: low particle density, and strong local drift on…
In this paper, a new reliability model has been developed for a single system degrading stochastically which experiences soft and hard failure. Soft failure occurs when the physical deterioration level of the system is greater than a…
We explicitly test if the reliability of credit ratings depends on the total number of admissible states. We analyse open access credit rating data and show that the effect of the number of states in the dynamical properties of ratings…
The exchange of "information" between a system and its environment based on the reduced dynamics is investigated. The association of trace distance with information cannot be stated, because of lack of symmetry between leakage from the…
Beginning with the Bell theorem, cyclic systems of dichotomous random variables have been the object of many foundational findings in quantum mechanics. Here, we ask the question: if one chooses a cyclic system "at random" (uniformly within…
Learning models that can handle distribution shifts is a key challenge in domain generalization. Invariance learning, an approach that focuses on identifying features invariant across environments, improves model generalization by capturing…
Dealing with distribution shifts is one of the central challenges for modern machine learning. One fundamental situation is the covariate shift, where the input distributions of data change from training to testing stages while the…
In this paper we study the dynamics of nonlinear random walks. While typical random walks on networks consist of standard Markov chains whose static transition probabilities dictate the flow of random walkers through the network, nonlinear…
Over fifty years ago, Robert May applied random matrix theory to show that as ecological systems grow in size, stability decreases. What emerged from this and the critique that followed was decades of what has been called the…
Microfinance, despite its significant potential for poverty reduction, is facing sustainability hardships due to high default rates. Although many methods in regular finance can estimate credit scores and default probabilities, these…
Systems biology models are useful models of complex biological systems that may require a large amount of experimental data to fit each model's parameters or to approximate a likelihood function. These models range from a few to thousands…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
The dynamical evolution of many economic, sociological, biological and physical systems tends to be dominated by a relatively small number of unexpected, large changes (`extreme events'). We study the large, internal changes produced in a…