Related papers: An entropic characterization of long memory statio…
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 observe an infinite sequence of independent identically distributed random variables $X_1,X_2,\ldots$ drawn from an unknown distribution $p$ over $[n]$, and our goal is to estimate the entropy $H(p)=-\mathbb{E}[\log p(X)]$ within an…
The steady state of a Langevin equation with short ranged memory and coloured noise is analyzed. When the fluctuation-dissipation theorem of second kind is not satisfied, the dynamics is irreversible, i.e. detailed balance is violated. We…
The characterisation of information processing is an important task in complex systems science. Information dynamics is a quantitative methodology for modelling the intrinsic information processing conducted by a process represented as a…
We investigate a family of multiple-stable processes that may exhibit either long-range or short-range dependence, depending on the parameters. There are two parameters for the processes, the memory parameter $\beta\in(0,1)$ and the…
Long-range dependence induced by heavy tails is a widely reported feature of internet traffic. Long-range dependence can be defined as the regular variation of the variance of the integrated process, and half the index of regular variation…
The estimation of entropy rates for stationary discrete-valued stochastic processes is a well studied problem in information theory. However, estimating the entropy rate for stationary continuous-valued stochastic processes has not received…
We consider Stochastic Volatility processes with heavy tails and possible long memory in volatility. We study the limiting conditional distribution of future events given that some present or past event was extreme (i.e. above a level which…
In this article, we aim to further clarify certain subtle aspects of processes that exhibit long memory in the second-order sense. We construct a long-memory stochastic sequence, in the sense that the series of absolute autocovariances…
In this paper we consider the convergence of the conditional entropy to the entropy rate for Markov chains. Convergence of certain statistics of long range dependent processes, such as the sample mean, is slow. It has been shown in Carpio…
Many non-equilibrium, active processes are observed at a coarse-grained level, where different microscopic configurations are projected onto the same observable state. Such "lumped" observables display memory, and in many cases the…
There are three ways to conceptualize entropy: entropy as an extensive thermodynamic quantity of physical systems (Clausius, Boltzmann, Gibbs), entropy as a measure for information production of ergodic sources (Shannon), and entropy as a…
The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cases a notion of spurious memory is introduced. A good example…
Conventional wisdom indicates that initial memory should decay away exponentially in time for general (noncritial) equilibration processes. In particular, time-integrated quantities such as heat are presumed to lose initial memory in a…
In the paper the memory effect in the system consisting from a trajectory of process and an environment is considered. The environment is presented by scalar potential and noise. The evolution of system is interpreted as process of the…
The purpose of this note is to prove a lower bound for the estimation of the memory parameter of a stationary long memory process. The memory parameter is defined here as the index of regular variation of the spectral density at 0. The…
I study the physical nature of traces (or memories). Surprisingly, (i) systems separation with (ii) temperature differences and (iii) long thermalization times, are sufficient conditions to produce macroscopic traces. Traces of the past are…
A stationary Gaussian process is said to be long-range dependent (resp., anti-persistent) if its spectral density $f(\lambda)$ can be written as $f(\lambda)=|\lambda|^{-2d}g(|\lambda|)$, where $0<d<1/2$ (resp., $-1/2<d<0$), and $g$ is…
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…
Using statistical thermodynamics, we derive a general expression of the stationary probability distribution for thermodynamic systems driven out of equilibrium by several thermodynamic forces. The local equilibrium is defined by imposing…