Related papers: Path prediction of aggregated $\alpha$-stable movi…
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for…
By analyzing empirical time headway distributions of traffic flow, a hypothesis about the underlying stochastic process can be drawn. The results found lead to the assumption that the headways $T_i$ of individual vehicles follow a linear…
We consider the Halfin-Whitt diffusion process $X_d(t)$, which is used, for example, as an approximation to the $m$-server $M/M/m$ queue. We use recently obtained integral representations for the transient density $p(x,t)$ of this diffusion…
We explore the distribution of paths followed in fluctuation-induced switching between coexisting stable states. We introduce a quantitative characteristic of the path distribution in phase space that does not require a priori knowledge of…
We study the motion of a one-dimensional particle which reverses its direction of acceleration stochastically. We focus on two contrasting scenarios, where the waiting-times between two consecutive acceleration reversals are drawn from (i)…
Extreme events occur across the natural, engineering, and socioeconomic sciences, where rare but high-impact episodes can lead to disproportionate consequences that pose major challenges for prediction and risk management. Existing studies…
Recursive max-linear vectors provide models for causal dependence between large values of random variables that are supported on directed acyclic graphs, but the standard assumption that all nodes of such a graph are observed can be…
We investigate the standard stable manifold theorem in the context of a partially hyperbolic singu-larity of a vector field depending on a parameter. We prove some estimates on the size of the neighbourhood where the local stable manifold…
Existing methods for the estimation of stable distribution parameters, such as those based on sample quantiles, sample characteristic functions or maximum likelihood generally assume an independent sample. Little attention has been paid to…
We suggest a governing equation which describes the process of polymer chain translocation through a narrow pore and reconciles the seemingly contradictory features of such dynamics: (i) a Gaussian probability distribution of the…
A new probabilistic post-processing method for wind vectors is presented in a distributional regression framework employing the bivariate Gaussian distribution. In contrast to previous studies all parameters of the distribution are…
We investigate the correspondence between a non-equilibrium ensemble defined via the distribution of phase-space paths of a Hamiltonian system, and a system driven into a steady-state by non-equilibrium boundary conditions. To discover…
Let $\alpha_n(\cdot)=P\bigl(X_{n+1}\in\cdot\mid X_1,\ldots,X_n\bigr)$ be the predictive distributions of a sequence $(X_1,X_2,\ldots)$ of $p$-dimensional random vectors. Suppose $$\alpha_n= \mathcal{N} _p (M_n,Q_n)$$ where…
Asymptotics deviation probabilities of the sum S n = X 1 + $\times$ $\times$ $\times$ + X n of independent and identically distributed real-valued random variables have been extensively investigated , in particular when X 1 is not…
Recent interest in the external validity of prediction models (i.e., the problem of different train and test distributions, known as dataset shift) has produced many methods for finding predictive distributions that are invariant to dataset…
We re-analyze the quasi-linear self consistent dynamics for the beam-plasma instability, by comparing the theory predictions to numerical simulations of the corresponding Hamiltonian system. While the diffusive features of the asymptotic…
We propose a variational tail bound for norms of random vectors under moment assumptions on their one-dimensional marginals. A simplified version of the bound that parametrizes the ``aggregating distribution'' using a certain pushforward of…
A finite point process is characterized by the distribution of the number of points (the size) of the process. In some applications, for example, in the context of packet flows in modern communication networks, it is of interest to infer…
Noncausal, or anticipative, heavy-tailed processes generate trajectories featuring locally explosive episodes akin to speculative bubbles in financial time series data. For $(X_t)$ a two-sided infinite $\alpha$-stable moving average (MA),…
Adaptive multilevel splitting algorithms have been introduced rather recently for estimating tail distributions in a fast and efficient way. In particular, they can be used for computing the so-called reactive trajectories corresponding to…