Related papers: Testing for a Random Walk Structure in the Frequen…
Statistical inference for stochastic processes with time-varying spectral characteristics has received considerable attention in recent decades. We develop a nonparametric test for stationarity against the alternative of a smoothly…
This paper explores the effectiveness of using ordinal pattern probabilities to evaluate antipersistency in the sign decomposition of long-range anti-correlated Gaussian fluctuations. It is numerically shown that ordinal patterns are able…
Recurrence analysis is a well settled method allowing to discern chaos from order, and determinism from noise. We apply this tool to study time series representing geodesic and inspiraling motion of a test particle in a deformed Kerr…
We develop a monitoring procedure to detect changes in a large approximate factor model. Letting $r$ be the number of common factors, we base our statistics on the fact that the $\left( r+1\right) $-th eigenvalue of the sample covariance…
This paper shows that the problem of testing hypotheses in moment condition models without any assumptions about identification may be considered as a problem of testing with an infinite-dimensional nuisance parameter. We introduce a…
We consider a class of inhomogeneous media known as composite media that is often encountered in experimental sciences and investigate the persistence probability of a random walker in such a system. Analytical and numerical results for the…
We consider two variables that are related to each other by an invertible function. While it has previously been shown that the dependence structure of the noise can provide hints to determine which of the two variables is the cause, we…
In a spatial-temporal model, structural change and/or spatial heterogeneity can easily affect estimation of parameters. Following the spatial-temporal model in [1], we develop a nonparametric procedure for test-ing the presence of…
In this paper, we rigorously establish the Gumbel-distributed fluctuations of the cover time, normalized by the mean first passage time, for finite-range, symmetric, irreducible random walks on a torus of dimension three or higher. This has…
In this paper we apply techniques of spherical harmonic analysis to prove a local limit theorem, a rate of escape theorem, and a central limit theorem for isotropic random walks on arbitrary thick regular affine buildings of irreducible…
A recent development which is poised to disrupt current structural engineering practice is the use of data obtained from physical structures such as bridges, viaducts and buildings. These data can represent how the structure responds to…
We review recent advances on the record statistics of strongly correlated time series, whose entries denote the positions of a random walk or a L\'evy flight on a line. After a brief survey of the theory of records for independent and…
This paper is centered around the approximation of dynamical systems by means of Gaussian processes. To this end, trajectories of such systems must be collected to be used as training data. The measurements of these trajectories are…
In the eighties, A. Connes and E. J. Woods made a connection between hyperfinite von Neumann algebras and Poisson boundaries of time dependent random walks. The present paper explains this connection and gives a detailed proof of two…
The standard multidetector F-statistic for continuous gravitational waves is susceptible to false alarms from instrumental artifacts, for example monochromatic sinusoidal disturbances ('lines'). This vulnerability to line artifacts arises…
A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the…
We analyze different data of the variation of the fine structure constant obtained with different methods to check their consistency.We test consistency using the modified Student test and confidence intervals. We split the data sets in…
We address memory effects and diffusive properties of a continuous-time quantum walk on a one-dimensional percolation lattice affected by spatially correlated random telegraph noise. In particular, by introducing spatially correlated…
The usual interpretation of noise is represented by a sum of many independent two-level elementary random signals with a distribution of relaxation times. In this paper it is demonstrated that also the superposition of many similar…
Suppose that a sequence of data points follows a distribution of a certain parametric form, but that one or more of the underlying parameters may change over time. This paper addresses various natural questions in such a framework. We…