Related papers: Correlated time-changed L\'evy Processes
We analize the relational quantum evolution of generally covariant systems in terms of Rovelli's evolving constants of motion and the generalized Heisenberg picture. In order to have a well defined evolution, and a consistent quantum…
This paper develops general approaches for pricing various types of American-style Parisian options (down-in/-out, perpetual/finite-maturity) with general payoff functions based on continuous-time Markov chain (CTMC) approximation under…
Evaluating the performance of a prediction model is a common task in medical statistics. Standard accuracy metrics require the observation of the true outcomes. This is typically not possible in the setting with time-to-event outcomes due…
For a uniform process $\{ X_t: t\in E\}$ (by which $X_t $ is uniformly distributed on $(0,1)$ for $t\in E$) and a function $w(x)>0$ on $(0,1)$, we give a sufficient condition for the weak convergence of the empirical process based on $\{…
The time series theory is set in this work under the domain of general elliptically contoured distributions. The advent of a time series approach that is in accordance with the expected reality of dependence between errors, transfers the…
This paper proposes a method for modeling event sequences with ambiguous timestamps, a time-discounting convolution. Unlike in ordinary time series, time intervals are not constant, small time-shifts have no significant effect, and…
Cyber-physical systems often consist of entities that interact with each other over time. Meanwhile, as part of the continued digitization of industrial processes, various sensor technologies are deployed that enable us to record…
In this work, we present a novel conformal prediction method for time-series, which we call Kernel-based Optimally Weighted Conformal Prediction Intervals (KOWCPI). Specifically, KOWCPI adapts the classic Reweighted Nadaraya-Watson (RNW)…
We introduce a Gaussian process-based model for handling of non-stationarity. The warping is achieved non-parametrically, through imposing a prior on the relative change of distance between subsequent observation inputs. The model allows…
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. This is a widely useful assumption, but there are…
This paper proposes a novel online data-driven adaptive control for unknown linear time-varying systems. Initialized with an empirical feedback gain, the algorithm periodically updates this gain based on the data collected over a short time…
We discuss a concept denoted as Conformal Prediction (CP) in this paper. While initially stemming from the world of machine learning, it was never applied or analyzed in the context of short-term electricity price forecasting. Therefore, we…
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…
We consider estimation of quantile curves for a general class of nonstationary processes. Consistency and central limit results are obtained for local linear quantile estimates under a mild short-range dependence condition. Our results are…
A generalized version of the Wilson-Cowan (WC) model is proposed which accounts for the evolution of the synaptic resources. Adiabatic elimination of the fast variables is performed to yield a simplified framework for the coupled…
We study the composition of bivariate L\'evy process with bivariate inverse subordinator. The explicit expressions for its dispersion and auto correlation matrices are obtained. Also, the time-changed two parameter L\'evy processes with…
In this paper, we consider a type of time-changed Markov process, where the time-change is an inverse killed subordinator. This can be seen as an extension of Chen (Chen, Z., Time fractional equations and probabilistic representation, Chaos…
This paper deals with the convergence time analysis of a class of fixed-time stable systems with the aim to provide a new non-conservative upper bound for its settling time. Our contribution is fourfold. First, we revisit the well-known…
We revisit the question of time reversal and $CP$ invariance in Calabi-Yau compactifications. We show that time reversal invariance is respected by quantum corrections to the prepotential. In particular, field independent $\theta$ angles…
In this study, we explore an emerging research area of Continual Learning for Temporal Sensitive Question Answering (CLTSQA). Previous research has primarily focused on Temporal Sensitive Question Answering (TSQA), often overlooking the…