Related papers: Exact probability distribution function for the vo…
We derive a simple closed analytical expression for the total entropy production along a single stochastic trajectory of a Brownian particle diffusing on a periodic potential under an external constant force. By numerical simulations we…
In this paper, we develop econometric tools to analyze the integrated volatility of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent…
Probabilistic programs are typically normal-looking programs describing posterior probability distributions. They intrinsically code up randomized algorithms and have long been at the heart of modern machine learning and approximate…
Asymptotic statistical theory for estimating functions is reviewed in a generality suitable for stochastic processes. Conditions concerning existence of a consistent estimator, uniqueness, rate of convergence, and the asymptotic…
We apply random matrix theory to study the impact of measurement uncertainty on dynamic mode decomposition. Specifically, when the measurements follow a normal probability density function, we show how the moments of that density propagate…
A hierarchical approach to the construction of compound distributions for process-induced faults in IC manufacture is proposed. Within this framework, the negative binomial distribution and the compound binomial distribution are treated as…
We investigate the probability distribution of the quantum fluctuations of thermodynamic functions of finite, ballistic, phase-coherent Fermi gases. Depending on the chaotic or integrable nature of the underlying classical dynamics, on the…
Typical causal effects are defined based on the marginal distribution of potential outcomes. However, many real-world applications require causal estimands involving the joint distribution of potential outcomes to enable more nuanced…
The experimentally measured multiplicity distributions exhibit, after closer inspection, peculiarly enhanced void probability and oscillatory behavior of the modified combinants. We show that both these features can be used as additional…
Each year a growing number of wind farms are being added to power grids to generate electricity. The power curve of a wind turbine, which exhibits the relationship between generated power and wind speed, plays a major role in assessing the…
Benchmarking studies in computational chemistry use reference datasets to assess the accuracy of a method through error statistics. The commonly used error statistics, such as the mean signed and mean unsigned errors, do not inform…
The theory of large deviations deals with the probabilities of rare events (or fluctuations) that are exponentially small as a function of some parameter, e.g., the number of random components of a system, the time over which a stochastic…
In statistical analysis, quantifying uncertainties through measures such as entropy, extropy, varentropy, and varextropy is of fundamental importance for understanding distribution functions. This paper investigates several properties of…
Temporal data such as time series can be viewed as discretized measurements of the underlying function. To build a generative model for such data we have to model the stochastic process that governs it. We propose a solution by defining the…
We discuss an event-by-event fluctuation analysis of particle production in heavy ion collisions. We compare different approaches to the evaluation of the event-by-event dynamical fluctuations in quantities defined on groups of particles,…
In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on…
Droplets of electrolyte solutions in an insulating medium are ubiquitous in nature. The net charges of these droplets are normally nonzero, and they fluctuate. However, a theory on the probability distribution function for the net charge of…
The distribution of the sum of independent identically distributed uniform random variables is well-known. However, it is sometimes necessary to analyze data which have been drawn from different uniform distributions. By inverting the…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
Rough volatility models are continuous time stochastic volatility models where the volatility process is driven by a fractional Brownian motion with the Hurst parameter smaller than half, and have attracted much attention since a seminal…