Related papers: Dependence control chart using maximum copula entr…

In this paper, we consider the problem of quantifying systemic redundancy in reliable systems having multiple controllers with overlapping functionality. In particular, we consider a multi-channel system with multi-controller configurations…

Copulas are a powerful tool for modeling multivariate distributions as they allow to separately estimate the univariate marginal distributions and the joint dependency structure. However, known parametric copulas offer limited flexibility…

We study the entropy production of a system with a finite number of states connected by random transition rates. The stationary entropy production, driven out of equilibrium both by asymmetric transition rates and by an external probability…

Estimating the dependency of variables is a fundamental task in data analysis. Identifying the relevant attributes in databases leads to better data understanding and also improves the performance of learning algorithms, both in terms of…

In this paper it is established that any jointly controllable, jointly observable, multi-channel, discrete or continuous time linear system with a strongly connected neighbor (communication) graph can be exponentially stabilized with any…

In recent biomedical scientific problems, it is a fundamental issue to integratively cluster a set of objects from multiple sources of datasets. Such problems are mostly encountered in genomics, where data is collected from various sources,…

We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive…

In preliminary analysis of control charts, one may encounter multiple shifts and/or outliers especially with a large number of observations. The following paper addresses this problem. A statistical model for detecting and estimating…

We propose a method for inferring entropy production (EP) in high-dimensional stochastic systems, including many-body systems and non-Markovian systems with long memory. Standard techniques for estimating EP become intractable in such…

In the first part of this two-part letter, we introduced methods to study the impact of dependency on the expected value of functions of two random variables. In this second part, we present tools to derive worst- and best-case bounds on…

Complex systems are characterised by a tight, nontrivial interplay of their constituents, which gives rise to a multi-scale spectrum of emergent properties. In this scenario, it is practically and conceptually difficult to identify those…

We consider a one dimensional elliptic distributed optimal control problem with pointwise constraints on the derivative of the state. By exploiting the variational inequality satisfied by the derivative of the optimal state, we obtain…

Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…

Semi-continuous data comes from a distribution that is a mixture of the point mass at zero and a continuous distribution with support on the positive real line. A clear example is the daily rainfall data. In this paper, we present a novel…

Entropy rate of sequential data-streams naturally quantifies the complexity of the generative process. Thus entropy rate fluctuations could be used as a tool to recognize dynamical perturbations in signal sources, and could potentially be…

This paper explores the dependence modeling of financial assets in a dynamic way and its critical role in measuring risk. Two new methods, called Accelerated Moving Window method and Bottom-up method are proposed to detect the change of…

In a recent paper, the authors proposed a general methodology for probabilistic learning on manifolds. The method was used to generate numerical samples that are statistically consistent with an existing dataset construed as a realization…

We investigate in multidimensional compound Poisson processes (CPP) the relation between the dependence structure of the jump distribution and the dependence structure of the respective components of the CPP itself. For this purpose the…

We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…

Systems coupled to multiple thermodynamic reservoirs can exhibit nonequilibrium dynamics, breaking detailed balance to generate currents. To power these currents, the entropy of the reservoirs increases. The rate of entropy production, or…