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Scale-invariance is a ubiquitous observation in the dynamics of large distributed complex systems. The computation of its scaling exponents, which provide clues on its origin, is often hampered by the limited available sampling data, making…

Alterations in brain connectivity have been associated with a variety of clinical disorders using functional magnetic resonance imaging (fMRI). We investigated empirically how the number of brain parcels (or scale) impacted the results of a…

Fractional Brownian motion is a self-affine, non-Markovian and translationally invariant generalization of Brownian motion, depending on the Hurst exponent $H$. Here we investigate fractional Brownian motion where both the starting and the…

Multifractal analysis has become a powerful signal processing tool that characterizes signals or images via the fluctuations of their pointwise regularity, quantified theoretically by the so-called multifractal spectrum. The practical…

The fractal or Hausdorff dimension is a measure of roughness (or smoothness) for time series and spatial data. The graph of a smooth, differentiable surface indexed in $\mathbb{R}^d$ has topological and fractal dimension $d$. If the surface…

Spontaneous brain activity, as observed in functional neuroimaging, has been shown to display reproducible structure that expresses brain architecture and carries markers of brain pathologies. An important view of modern neuroscience is…

In finance, the price of a volatile asset can be modeled using fractional Brownian motion (fBm) with Hurst parameter $H>1/2.$ The Black-Scholes model for the values of returns of an asset using fBm is given as, [Y_t=Y_0…

The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…

We study the problem of parameter estimation for the homogenization limit of multiscale systems involving fractional dynamics. In the case of stochastic multiscale systems driven by Brownian motion, it has been shown that in order for the…

The distribution of galaxies, halo abundance, and peculiar velocities are influenced by non-linear gravitational interactions, making the study of non-linear evolution crucial for accurate cosmological predictions. We explore these aspects…

Scaling temporal dynamics in functional MRI (fMRI) signals have been evidenced for a decade as intrinsic characteristics of ongoing brain activity (Zarahn et al., 1997). Recently, scaling properties were shown to fluctuate across brain…

Scale-free dynamics, formalized by selfsimilarity, provides a versatile paradigm massively and ubiquitously used to model temporal dynamics in real-world data. However, its practical use has mostly remained univariate so far. By contrast,…

Estimating probability of failure in aerospace systems is a critical requirement for flight certification and qualification. Failure probability estimation involves resolving tails of probability distribution, and Monte Carlo sampling…

We introduce a family of random measures $M_{H,T} (d t)$, namely log S-fBM, such that, for $H>0$, $M_{H,T}(d t) = e^{\omega_{H,T}(t)} d t$ where $\omega_{H,T}(t)$ is a Gaussian process that can be considered as a stationary version of an…

We propose and test a method to interpolate sparsely sampled signals by a stochastic process with a broad range of spatial and/or temporal scales. To this end, we extend the notion of a fractional Brownian bridge, defined as fractional…

We construct a wavelet-based almost sure uniform approximation of fractional Brownian motion (fBm) B_t^(H), t in [0, 1], of Hurst index H in (0, 1). Our results show that by Haar wavelets which merely have one vanishing moment, an almost…

Distance multivariance is a multivariate dependence measure, which can detect dependencies between an arbitrary number of random vectors each of which can have a distinct dimension. Here we discuss several new aspects, present a concise…

Analyzing time series in the frequency domain enables the development of powerful tools for investigating the second-order characteristics of multivariate processes. Parameters like the spectral density matrix and its inverse, the coherence…

Analysis of brain connectivity is important for understanding how information is processed by the brain. We propose a novel Bayesian vector autoregression (VAR) hierarchical model for analyzing brain connectivity in a resting-state fMRI…

The presence of multifractality in a time series shows different correlations for different time scales as well as intermittent behaviour that cannot be captured by a single scaling exponent. The identification of a multifractal nature…