Related papers: On the Bahadur representation of sample quantiles …
We study the Bahadur efficiency of several weighted L2--type goodness--of--fit tests based on the empirical characteristic function. The methods considered are for normality and exponentiality testing, and for testing goodness--of--fit to…
A class of Fourier based statistics for irregular spaced spatial data is introduced, examples include, the Whittle likelihood, a parametric estimator of the covariance function based on the $L_{2}$-contrast function and a simple…
We consider covariance parameter estimation for Gaussian processes with functional inputs. From an increasing-domain asymptotics perspective, we prove the asymptotic consistency and normality of the maximum likelihood estimator. We extend…
Local search algorithms are well-known methods for solving large, hard instances of the satisfiability problem (SAT). The performance of these algorithms crucially depends on heuristics for setting noise parameters and scoring variables.…
Multistable processes are tangent at each point to a stable process, but where the index of stability and the index of localisability varies along the path. In this work, we give two estimators of the stability and the localisability…
In this paper we take up Bayesian inference in general multivariate stable distributions. We exploit the representation of Matsui and Takemura (2009) for univariate projections, and the representation of the distributions in terms of their…
We consider $n$ independent, identically distributed one-dimensional Brownian motions, $B_j(t)$, where $B_j(0)$ has a rapidly decreasing, smooth density function $f$. The empirical quantiles, or pointwise order statistics, are denoted by…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
For a sample of absolutely bounded i.i.d. random variables with a continuous density the cumulative distribution function of the sample variance is represented by a univariate integral over a Fourier series. If the density is a polynomial…
We study the problem of parameter estimation for reflected stochastic processes driven by a standard Brownian motion. The estimator is obtained using nonlinear least squares method based on discretely observed processes. Under some certain…
We investigate an example of noise-induced stabilization in the plane that was also considered in (Gawedzki, Herzog, Wehr 2010) and (Birrell, Herzog, Wehr 2011). We show that despite the deterministic system not being globally stable, the…
Typical properties of computing circuits composed of noisy logical gates are studied using the statistical physics methodology. A growth model that gives rise to typical random Boolean functions is mapped onto a layered Ising spin system,…
We investigate the statistical properties of a piecewise smooth dynamical system by studying directly the action of the transfer operator on appropriate spaces of distributions. We accomplish such a program in the case of two-dimensional…
Chaotic behavior of quantum systems can be characterized by the adherence of the expectation values of given probes to moments of the Haar distribution. In this work, we analyze the behavior of several probes of chaos using a technique…
Particle smoothing methods are used for inference of stochastic processes based on noisy observations. Typically, the estimation of the marginal posterior distribution given all observations is cumbersome and computational intensive. In…
The concept of stochastic Lagrangian and its use in statistical dynamics is illustrated theoretically, and with some examples. Dynamical variables undergoing stochastic differential equations are stochastic processes themselves, and their…
In this paper we address the statistical problem of testing if a stationary process is Gaussian. The observation consists in a finite sample path of the process. Using a random projection technique introduced and studied in Cuesta-Albertos…
The spectrum and coherency are useful quantities for characterizing the temporal correlations and functional relations within and between point processes. This paper begins with a review of these quantities, their interpretation and how…
Suppose there are two unknown parameters, each parameter is the solution to an estimating equation, and the estimating equation of one parameter depends on the other parameter. The parameters can be jointly estimated by "stacking" their…
A stochastic model for intermittent fluctuations in the scrape-off layer of magnetically confined plasmas has been constructed based on a super-position of uncorrelated pulses arriving according to a Poisson process. In the most common…