Related papers: Endogenous noise trackers in a Radner equilibrium
The paper introduces novel methodologies for the identification of coefficients of switched autoregressive and switched autoregressive exogenous linear models. We consider cases which system's outputs are contaminated by possibly large…
In this paper, we present a novel state of the art system for automatic downbeat tracking from music signals. The audio signal is first segmented in frames which are synchronized at the tatum level of the music. We then extract different…
We investigate the effects of a time-correlated noise on an extended chaotic system. The chosen model is the Lorenz'96, a kind of "toy" model used for climate studies. Through the analysis of the system's time evolution and its time and…
Cooperativity arising from local interactions in equilibrium receptor systems provides gain, but does not increase sensory performance, as measured by the signal-to-noise ratio (SNR) due to a fundamental tradeoff between gain and intrinsic…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
We analyze the phenomenon of system size stochastic resonance in a simple spatially extended system by exploiting the knowledge of the nonequilibrium potential. We show that through the analysis of that potential, and particularly its…
The dynamics of sine-Gordon breathers is studied in the presence of dissipative and stochastic perturbations. Taking a stationary breather with a random phase value as the initial state, the performed simulations demonstrate that a…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
Random label noises (or observational noises) widely exist in practical machine learning settings. While previous studies primarily focus on the affects of label noises to the performance of learning, our work intends to investigate the…
We characterize throughout the spectral range of an optical trap the nature of the noise at play and the ergodic properties of the corresponding Brownian motion of an overdamped trapped single microsphere, comparing experimental, analytical…
Recent works in multiple object tracking use sequence model to calculate the similarity score between the detections and the previous tracklets. However, the forced exposure to ground-truth in the training stage leads to the…
In this paper, we consider robust system identification under sparse outliers and random noises. In this problem, system parameters are observed through a Toeplitz matrix. All observations are subject to random noises and a few are…
This paper considers a linear regression model with an endogenous regressor which arises from a nonlinear transformation of a latent variable. It is shown that the corresponding coefficient can be consistently estimated without external…
This paper considers a problem of output agreement in heterogeneous networks with dynamics on the nodes as well as on the edges. The control and disturbance signals entering the nodal dynamics are "unmatched" meaning that some nodes are…
We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the…
A recurrent neural network (RNN) possesses the echo state property (ESP) if, for a given input sequence, it ``forgets'' any internal states of the driven (nonautonomous) system and asymptotically follows a unique, possibly complex…
We consider the failure of localized control in a nonlinear spatially extended system caused by extremely small amounts of noise. It is shown that this failure occurs as a result of a nonlinear instability. Nonlinear instabilities can occur…
A new type of noise-induced synchronous behavior is described. This phenomenon, called incomplete noise-induced synchronization, arises for one-dimensional Ginzburg-Landau equations driven by common noise. The mechanisms resulting in the…
We present a class of systems for which the signal-to-noise ratio always increases when increasing the noise and diverges at infinite noise level. This new phenomenon is a direct consequence of the existence of a scaling law for the…
We develop a model that captures peer effect heterogeneity by modeling the endogenous spillover to be linear in ordered peer outcomes. Unlike the canonical linear-in-means model, our approach accounts for the distribution of peer outcomes…