Related papers: Canonical spectral representation for exchangeable…
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about…
We consider multivariate stationary processes $(\boldsymbol{X}_t)$ satisfying a stochastic recurrence equation of the form $$ \boldsymbol{X}_t= \mathbb{ M}_t \boldsymbol{X}_{t-1} + \boldsymbol{Q}_t,$$ where $(\boldsymbol{Q}_t)$ are iid…
For classical discrete systems under constant composition, canonical average provides equilibrium configuration from a set of many-body interactions, which typically acts as nonlinear map. The nonlinearity has recently been investigated in…
Correlation and spectral analysis represent the standard tools to study interdependence in statistical data. However, for the stochastic processes with heavy-tailed distributions such that the variance diverges, these tools are inadequate.…
We consider stationary time series $\{X_j, j \in Z\} whose finite dimensional distributions are regularly varying with extremal independence. We assume that for each $h \geq 1$, conditionally on $X_0$ to exceed a threshold tending to…
We study extremal statistics and return intervals in stationary long-range correlated sequences for which the underlying probability density function is bounded and uniform. The extremal statistics we consider e.g., maximum relative to…
The aim of this note is to prove that fluctuations of uniformly random alternating sign matrices (equivalently, configurations of the six-vertex model with domain wall boundary conditions) near the boundary are described by the Gaussian…
The Hoeffding-type-inequalities are obtained for the distribution tails of canonical (degenerate) U- and V-statistics of an arbitrary order based on samples from a stationary sequence of observations satisfying $\rho$-mixing.
In systems with long-range interactions, since energy is a non-additive quantity, ensemble inequivalence can arise: it is possible that different statistical ensembles lead to different equilibrium descriptions, even in the thermodynamic…
We study systems of globally coupled interval maps, where the identical individual maps have two expanding, fractional linear, onto branches, and where the coupling is introduced via a parameter - common to all individual maps - that…
We construct a class of nonnegative martingale processes that oscillate indefinitely with high probability. For these processes, we state a uniform rate of the number of oscillations and show that this rate is asymptotically close to the…
Canonical functions are a powerful concept with numerous applications in the study of groups, monoids, and clones on countable structures with Ramsey-type properties. In this short note, we present a proof of the existence of canonical…
Systematic microcanonical inflection-point analysis of precise numerical results obtained in extensive generalized-ensemble Monte Carlo simulations reveals a bifurcation of the coil-globule transition line for polymers with a bending…
This thesis develops exact analytical tools to study strongly correlated stochastic systems, with a focus on extreme value statistics, gap statistics, and full counting statistics in multi-particle processes. A central contribution is the…
We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint…
In this paper non-asymptotic exponential estimates are derived for tail of maximum martingale distribution by naturally norming in the spirit of the classical Law of Iterated Logarithm. Key words: Martingales, exponential estimations,…
This paper is concerned with quadratic-exponential moments (QEMs) for dynamic variables of quantum stochastic systems with position-momentum type canonical commutation relations. The QEMs play an important role for statistical…
The martingale characterizes a kind of fairness or unbiased nature of the stochastic process which is associated with another stochastic process. If $x_t$ evolves according to the Langevin equation whose mean drift is $a_t$ as function of…
The problem of optimal linear estimation of linear functionals depending on the unknown values of a periodically correlated stochastic process from observations of the process with additive noise is considered. Formulas for calculating the…
Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing…