Related papers: Asymptotic analysis of synchrosqueezing transform …
The finite STFT Synchrosqueezing transform is a time-frequency analysis method that can decompose finite complex signals into time-varying oscillatory components. This representation is sparse and invertible, allowing recovery of the…
Stochastic contraction analysis is a recently developed tool for studying the global stability properties of nonlinear stochastic systems, based on a differential analysis of convergence in an appropriate metric. To date, stochastic…
We propose a new asymptotic test to assess the stationarity of a time series' mean that is applicable in the presence of both heteroscedasticity and short-range dependence. Our test statistic is composed of Gini's mean difference of local…
We propose a new statistical test to identify non-stationary frequency-modulated stochastic processes from time series data. Our method uses the instantaneous phase as a discriminatory statistics with reliable critical values derived from…
This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time series with piecewise smooth trends. Built on a novel and unified…
Tests for structural breaks in time series should ideally be sensitive to breaks in the parameter of interest, while being robust to nuisance changes. Statistical analysis thus needs to allow for some form of nonstationarity under the null…
Symbolic transfer entropy is a powerful non-parametric tool to detect lead-lag between time series. Because a closed expression of the distribution of Transfer Entropy is not known for finite-size samples, statistical testing is often…
Information in the time distribution of points in a state space reconstructed from observed data yields a test for ``nonstationarity''. Framed in terms of a statistical hypothesis test, this numerical algorithm can discern whether some…
In this paper, the Statistical Static Timing Analysis (SSTA) is considered within the block--based approach. The statistical model of the logic gate delay propagation is systematically studied and the exact analytical solution is obtained,…
A validated simulation model primarily requires performing an appropriate input analysis mainly by determining the behavior of real-world processes using probability distributions. In many practical cases, probability distributions of the…
Uncertainties have become a major concern in integrated circuit design. In order to avoid the huge number of repeated simulations in conventional Monte Carlo flows, this paper presents an intrusive spectral simulator for statistical circuit…
We present a novel approach to test for heteroscedasticity of a non-stationary time series that is based on Gini's mean difference of logarithmic local sample variances. In order to analyse the large sample behaviour of our test statistic,…
In this article, we study the properties of the nonlinear Fourier spectrum in order to gain better control of the temporal support of the signals synthesized using the inverse nonlinear Fourier transform (NFT). In particular, we provide…
We study the real-time dynamics retrieval from a time series via the time-frequency (TF) analysis with the minimal latency guarantee. While different from the well-known intrinsic latency definition in the filter design, a rigorous…
Current statistics literature on statistical inference of random fields typically assumes that the fields are stationary or focuses on models of non-stationary Gaussian fields with parametric/semiparametric covariance families, which may…
Dynamical systems with $\epsilon$ small random perturbations appear in both continuous mechanical motions and discrete stochastic chemical kinetics. The present work provides a detailed analysis of the central limit theorem (CLT), with a…
We apply the concept of distance covariance for testing independence of two long-range dependent time series. As test statistic we propose a linear combination of empirical distance cross-covariances. We derive the asymptotic distribution…
This article introduces a nonparametric approach to spectral analysis of a high-dimensional multivariate nonstationary time series. The procedure is based on a novel frequency-domain factor model that provides a flexible yet parsimonious…
We develop several statistical tests of the determinant of the diffusion coefficient of a stochastic differential equation, based on discrete observations on a time interval $[0,T]$ sampled with a time step $\Delta$. Our main contribution…
This paper investigates the statistical properties of non-linear transformations (NLT) of random variables, in order to establish useful tools for estimation and information theory. Specifically, the paper focuses on linear regression…