Related papers: Coupled uncertainty provided by a multifractal ran…
Extreme events gain the attention of researchers due to their utmost importance in various contexts ranging from finance to climatology. This brings such recurrent events to the limelight of attention in interdisciplinary research. A…
Using 1-loop renormalisation group equations, we analyze the effect of randomness on multi-critical unitary minimal conformal models. We study the case of two randomly coupled $M_p$ models and found that they flow in two decoupled $M_{p-1}$…
The generalization of the Glauber formula for cumulative production events is derived. On its basis the multiplicity distribution in such events is related to the one in the minimum bias events. As compared to the rare events of type $C$,…
The authors transpose a discrete notion of indetermination coupling in the case of continuous probabilities. They show that this coupling, expressed on densities, cannot be captured by a specific copula which acts on cumulative distribution…
An important challenge in several disciplines is to understand how sudden changes can propagate among coupled systems. Examples include the synchronization of business cycles, population collapse in patchy ecosystems, markets shifting to a…
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…
A coupling method is developed for univariate extreme value theory , providing an alternative to the use of the tail empirical/quantile processes. Emphasizing the Peak-over-Threshold approach that approximates the distribution above high…
The critical dynamics of conformal field theories on random surfaces is investigated beyond the previously studied dynamics of the overall area and the genus. It is found that the evolution of the order parameter in physical time performs a…
We study multifractality in a broad class of disordered systems which includes, e.g., the diluted x-y model. Using renormalized field theory we analyze the scaling behavior of cumulant averaged dynamical variables (in case of the x-y model…
We give a series of combinatorial results that can be obtained from any two collections (both indexed by $\Z\times \N$) of left and right pointing arrows that satisfy some natural relationship. When applied to certain self-interacting…
We define a large class of continuous time multifractal random measures and processes with arbitrary log-infinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined…
Recent progress in theories of quantum information has determined nonclassical correlation defined differently from widely-used entanglement as an important property to evaluate computation and communication with mixed quantum states. We…
The emergence of nontrivial collective behavior in networks of coupled chaotic maps is investigated by means of a nonlinear mutual prediction method. The resulting prediction error is used to measure the amount of information that a local…
Randomly coupled Ising spins constitute the classical model of collective phenomena in disordered systems, with applications covering ferromagnetism, combinatorial optimization, protein folding, stock market dynamics, and social dynamics.…
In Part I (arXiv:1911.00619) of this article, we proposed an importance sampling algorithm to compute rare-event probabilities in forward uncertainty quantification problems. The algorithm, which we termed the "Bayesian Inverse Monte Carlo…
We consider one of the most basic multiple testing problems that compares expectations of multivariate data among several groups. As a test statistic, a conventional (approximate) $t$-statistic is considered, and we determine its rejection…
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to…
We consider the group of permutations of the vertices of a lattice. A random walk is generated by unit steps that each interchange two nearest neighbor vertices of the lattice. We study the heat equation on the permutation group, using the…
The dynamics of a complex system is usually recorded in the form of time series, which can be studied through its visibility graph from a complex network perspective. We investigate the visibility graphs extracted from fractional Brownian…
Probabilistic forecasting of multivariate time series is essential for various downstream tasks. Most existing approaches rely on the sequences being uniformly spaced and aligned across all variables. However, real-world multivariate time…