Related papers: Quantifying Non-Stationarity with Information Theo…
We consider the class of stationary-increment harmonizable stable processes with infinite control measure, which most notably includes real harmonizable fractional stable motions. We give conditions for the integrability of the paths of…
We combine conditional state density construction with an extension of the Scenario Approach for stochastic Model Predictive Control to nonlinear systems to yield a novel particle-based formulation of stochastic nonlinear output-feedback…
A method for testing nonlinearity in time series is described based on information-theoretic functionals -- redundancies, linear and nonlinear forms of which allow either qualitative, or, after incorporating the surrogate data technique,…
Layered stable (multivariate) distributions and processes are defined and studied. A layered stable process combines stable trends of two different indices, one of them possibly Gaussian. More precisely, in short time, it is close to a…
The emergence of quantum technologies has brought much attention to the characterization of quantum resources as well as the classical simulatability of quantum processes. Quantum resources, as quantified by non-stabilizerness, have in one…
We introduce a Gaussian process-based model for handling of non-stationarity. The warping is achieved non-parametrically, through imposing a prior on the relative change of distance between subsequent observation inputs. The model allows…
Finding interdependency relations between (possibly multivariate) time series provides valuable knowledge about the processes that generate the signals. Information theory sets a natural framework for non-parametric measures of several…
We describe all countable particle systems on $\mathbb{R}$ which have the following three properties: independence, Gaussianity and stationarity. More precisely, we consider particles on the real line starting at the points of a Poisson…
A defining feature of non-stationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for…
We examine information theory using the steady-state Boltzmann equation. In a nonequilibrium steady-state system under steady heat conduction, the thermodynamic quantities from information theory are calculated and compared with those from…
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…
Appealing to several multivariate information measures---some familiar, some new here---we analyze the information embedded in discrete-valued stochastic time series. We dissect the uncertainty of a single observation to demonstrate how the…
The advantages of quantum information processing are in many cases obtained as consequences of quantum interactions, especially for computational tasks where two-qubit interactions are essential. In this work, we establish the framework of…
We propose a unified theoretical framework for quantifying spatio-temporal interactions in a stochastic dynamical system based on information geometry. In the proposed framework, the degree of interactions is quantified by the divergence…
We study the dynamics of inertial particles in turbulence using datasets obtained from both direct numerical simulations and laboratory experiments of turbulent swirling flows. By analyzing time series of particle velocity increments at…
Wavelets provide the flexibility to analyse stochastic processes at different scales. Here, we apply them to multivariate point processes as a means of detecting and analysing unknown non-stationarity, both within and across data streams.…
We study the problem of system identification for stochastic continuous-time dynamics, based on a single finite-length state trajectory. We present a method for estimating the possibly unstable open-loop matrix by employing properly…
We put forth a unifying formalism for the description of the thermodynamics of continuously monitored systems, where measurements are only performed on the environment connected to a system. We show, in particular, that the conditional and…
We study stochastic particle systems with stationary product measures that exhibit a condensation transition due to particle interactions or spatial inhomogeneities. We review previous work on the stationary behaviour and put it in the…
This paper presents an analysis of the distribution of the time $\tau$ between two consecutive events in a stationary point process. The study is motivated by the discovery of a unified scaling law for $\tau$ for the case of seismic events.…