Related papers: Techniques for multifractal spectrum estimation in…
Multifractal scaling has been extensively studied for real-valued stochastic processes, but a systematic integer-valued analogue has remained largely unexplored. In this work, we introduce a multifractal framework for integer-valued…
Change detection within an audio stream is an important task in several domains, such as classification and segmentation of a sound or of a music piece, as well as indexing of broadcast news or surveillance applications. In this paper we…
A new type of elasticity of random (multifractal) structures is suggested. A closed system of constitutive equations is obtained on the basis of two proposed phenomenological laws of reversible deformations of multifractal structures. The…
The calculation of disconnected diagram contributions to physical signals is a computationally expensive task in Lattice QCD. To extract the physical signal, the trace of the inverse Lattice Dirac operator, a large sparse matrix, must be…
The matrix-based Renyi's \alpha-order entropy functional was recently introduced using the normalized eigenspectrum of a Hermitian matrix of the projected data in a reproducing kernel Hilbert space (RKHS). However, the current theory in the…
This article investigates the use of Machine Learning and Deep Learning models in multivariate time series analysis within financial markets. It compares small and big data approaches, focusing on their distinct challenges and the benefits…
Conventional information-theoretic quantities assume access to probability distributions. Estimating such distributions is not trivial. Here, we consider function-based formulations of cross entropy that sidesteps this a priori estimation…
This technical report includes an assortment of technical details and extended discussions related to paper "Should we sample a time series more frequently? Decision support via multirate spectrum estimation (with discussion)", which…
Oil price data have a complicated multi-scale structure that may vary with time. We use time-frequency analysis to identify the main features of these variations and, in particular, the regime shifts. The analysis is based on a…
Accounting for the non-normality of asset returns remains challenging in robust portfolio optimization. In this article, we tackle this problem by assessing the risk of the portfolio through the "amount of randomness" conveyed by its…
A type of fractal dimension definition is based on the generalized entropy function. Both entropy and fractal dimension can be employed to characterize complex spatial systems such as cities and regions. Despite the inherent connect between…
The creativity and emergence of biological and psychological behavior are nonlinear. However, that does not necessarily mean only that the measurements of the behaviors are curvilinear. Furthermore, the linear model might fail to reduce…
We are interested to the multifractal analysis of inhomogeneous Bernoulli products which are also known as coin tossing measures. We give conditions ensuring the validity of the multifractal formalism for such measures. On another hand, we…
We are interested to the multifractal analysis of inhomogeneous Bernoulli products which are also known as coin tossing measures. We give conditions ensuring the validity of the multifractal formalism for such measures. On another hand, we…
Parametric statistical methods play a central role in analyzing risk through its underlying frequency and severity components. Given the wide availability of numerical algorithms and high-speed computers, researchers and practitioners often…
An algorithm is presented which generates pairs of oscillatory random time series which have identical periodograms but differ in the number of oscillations. This result indicate the intrinsic limitations of spectral methods when it comes…
This paper concerns a spectral estimation problem for multivariate (i.e., vector-valued) signals defined on a multidimensional domain, abbreviated as M$^2$. The problem is posed as solving a finite number of trigonometric moment equations…
This work introduces a novel, simple, and flexible method to quantify irreversibility in generic high-dimensional time series based on the well-known mapping to a binary classification problem. Our approach utilizes gradient boosting for…
Multi-stage (designed) procedures, obtained by splitting the sampling budget suitably across stages, and designing the sampling at a particular stage based on information about the parameter obtained from previous stages, are often…
We extend the duality between exponential integrals and relative entropy to a variational formula for exponential integrals involving the Renyi divergence. This formula characterizes the dependence of risk-sensitive functionals and related…