Related papers: Weak-consistent dynamic correlation estimators for…
A new formula for the probability that a standard Brownian motion stays between two linear boundaries is proved. A simple algorithm is deduced. Uniform precision estimates are computed. Different implementations have been made available…
We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We study asymptotic properties of a classical unmixing estimator,…
Stiff forces, which bind objects together or otherwise confine motion, are found widely in soft-matter systems - colloids with short range attractions, ligand-receptor contacts, particles in optical traps, fibres that resist stretching,…
Inspired by applications in sports where the skill of players or teams competing against each other varies over time, we propose a probabilistic model of pairwise-comparison outcomes that can capture a wide range of time dynamics. We…
We present a method for computing parameter sensitivities and response coefficients in Brownian dynamics simulations. The method involves tracking auxiliary variables (Malliavin weights) in addition to the usual particle positions, in an…
We demonstrate in numerical experiments that estimators of strength and directionality of coupling between oscillators based on modeling of their phase dynamics [D.A. Smirnov and B.P. Bezruchko, Phys. Rev. E 68, 046209 (2003)] are widely…
The asymptotic behavior of estimates and information criteria in linear models are studied in the context of hierarchically correlated sampling units. The work is motivated by biological data collected on species where autocorrelation is…
At fast timescales, the self-similarity of random Brownian motion is expected to break down and be replaced by ballistic motion. So far, an experimental verification of this prediction has been out of reach due to a lack of instrumentation…
The paper studies the question of whether the classical mirror and synchronous couplings of two Brownian motions minimise and maximise, respectively, the coupling time of the corresponding geometric Brownian motions. We establish a…
Correlations between different partitions of quantum systems play a central role in a variety of many-body quantum systems, and they have been studied exhaustively in experimental and theoretical research. Here, we investigate dynamical…
We study the persistence probability for some two-sided discrete-time Gaussian sequences that are discrete-time analogs of fractional Brownian motion and integrated fractional Brownian motion, respectively. Our results extend the…
We study statistical inference for small-noise-perturbed multiscale dynamical systems where the slow motion is driven by fractional Brownian motion. We develop statistical estimators for both the Hurst index as well as a vector of unknown…
In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L\'evy process. More specifically, we investigate the asymptotic theory for the conditional mean…
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is consistent but very inefficient. We propose a novel…
One of the most remarkable observations in dense active matter systems is the appearance of long-range velocity correlations without any explicit aligning interaction (of e.g.\ Vicsek type). Here we show that this kind of long range…
We construct a model of Brownian Motion on a pseudo-Riemannian manifold associated with general relativity. There are two aspects of the problem: The first is to define a sequence of stopping times associated with the Brownian "kicks" or…
The problem of detecting correlations from samples of a high-dimensional Gaussian vector has recently received a lot of attention. In most existing work, detection procedures are provided with a full sample. However, following common wisdom…
We have performed a case study investigating a recently proposed scheme to obtain an effective pair potential for active Brownian particles [Farage et al., Phys. Rev. E 91, 042310 (2015)]. Applying this scheme to the Lennard-Jones…
A class of improved estimators is proposed for N-point correlation functions of galaxy clustering, and for discrete spatial random processes in general. In the limit of weak clustering, the variance of the unbiased estimator converges to…
A Brownian motion model is proposed to study parametric correlations in the transmission eigenvalues of open ballistic cavities. We find interesting universal properties when the eigenvalues are rescaled at the hard edge of the spectrum. We…