Related papers: Asymptotic analysis of synchrosqueezing transform …
We propose an informal test for stationarity in a time series which checks for the compatibility of nonlinear approximations to the dynamics made in different segments of the sequence. The segments are compared directly, rather than via…
A novel method for sequential outlier detection in non-stationary time series is proposed. The method tests the null hypothesis of ``no outlier'' at each time point, addressing the multiple testing problem by bounding the error probability…
The paper introduces robust independence tests with non-asymptotically guaranteed significance levels for stochastic linear time-invariant systems, assuming that the observed outputs are synchronous, which means that the systems are driven…
We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also…
For a partial structural change in a linear regression model with a single break, we develop a continuous record asymptotic framework to build inference methods for the break date. We have T observations with a sampling frequency h over a…
The paper suggests a generalization of the Sign-Perturbed Sums (SPS) finite sample system identification method for the identification of closed-loop observable stochastic linear systems in state-space form. The solution builds on the…
We obtain analytical approximations for the expectation and variance of the Spectral Kurtosis estimator in the case of Gaussian and coherent transient time domain signals mixed with a quasi-stationary Gaussian background, which are suitable…
Collective temporal organization in complex systems is commonly attributed to synchronization, resonance, or proximity to dynamical instabilities. Here we identify a distinct mechanism by which coherent, synchronization-like behavior can…
We investigate the multivariate central limit theorem for nonlinear statistics by means of Stein's method and Slepian's smart path interpolation method. Based on certain difference operators in theory of concentration inequalities, we…
We derive the asymptotic distribution of ordinal-pattern frequencies under weak dependence conditions and investigate the long-run covariance matrix not only analytically for moving-average, Gaussian, and the novel generalized coin-tossing…
In modern experimental science, there is a common problem of estimating the coefficients of a linear regression in a context where the variables of interest cannot be observed simultaneously. When there is a categorical variable that is…
We propose a new approach for studying the notion of the instantaneous frequency of a signal. We build on ideas from the Synchrosqueezing theory of Daubechies, Lu and Wu and consider a variant of Synchrosqueezing, based on the short-time…
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an…
The limiting stability of invariant probability measures of time homogeneous transition semigroups for autonomous stochastic systems has been extensively discussed in the literature. In this paper we initially initiate a program to study…
We describe here an experimental technique based on the acoustic scattering phenomenon allowing the direct probing of the vorticity field in a turbulent flow. Using time-frequency distributions, recently introduced in signal analysis…
Theory of nonlinear resonance, including stochastic one, is developed on the basis of the statistical field theory and using variables action-angle. Explicit expressions of action, proper frequency and nonlinearity parameter as functions of…
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS…
Motivated by analyzing complicated time series, nonlinear-type time-frequency analysis became an active research topic in the past decades. Those developed tools have been applied to various problems. In this article, we review those…
We present a new method, Non-Stationary Forward Flux Sampling, that allows efficient simulation of rare events in both stationary and non-stationary stochastic systems. The method uses stochastic branching and pruning to achieve uniform…
We extend the formalism of time-sliced perturbation theory (TSPT) for cosmological large-scale structure to include non-Gaussian initial conditions. We show that in such a case the TSPT interaction vertices acquire new contributions whose…