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This contribution is a follow-up of a recent paper by the authors on adaptive, non-linear time-frequency transforms, focusing on the STFT based transforms. The adaptivity is provided by a focus function, that depends on the analyzed…
We establish a general Bernstein--von Mises theorem for approximately linear semiparametric functionals of fractional posterior distributions based on nonparametric priors. This is illustrated in a number of nonparametric settings and for…
Fluctuation theorems (FTs) quantify the thermodynamic reversibility of a system, and for deterministic systems they are defined in terms of the dissipation function. However, in a nonequilibrium steady state of deterministic dynamics, the…
Filtering of digital signals is accomplished on an Excel spreadsheet using fast Fourier transform (FFT) convolution in which the kernel is either a Gaussian or a cosine modulated Gaussian. Pedagogical examples of low-pass and band-pass…
In statistical physics, the efficiency of tempering approaches strongly depends on ingredients such as the number of replicas $R$, reliable determination of weight factors and the set of used temperatures, ${\mathcal T}_R = \{T_1, T_2,…
For most stochastic dynamical systems, variables which are tightly regulated tend to respond slowly to external changes. This idea is often discussed for applicable systems, within a linear response regime, through the Fluctuation…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
In this paper, we combine ideas from two different scientific traditions: 1) graph transformation systems (GTSs) stemming from the theory of formal languages and concurrency, and 2) mean field approximations (MFAs), a collection of…
Linear-scaling implementations of density functional theory (DFT) reach their intended efficiency regime only when applied to systems having a physical size larger than the range of their Kohn-Sham density matrix (DM). This causes a problem…
Gaussian belief propagation (GBP) is a recursive computation method that is widely used in inference for computing marginal distributions efficiently. Depending on how the factorization of the underlying joint Gaussian distribution is…
Parallel tempering (PT) methods are a popular class of Markov chain Monte Carlo schemes used to sample complex high-dimensional probability distributions. They rely on a collection of $N$ interacting auxiliary chains targeting tempered…
A joint frame and carrier frequency synchronization algorithm for coherent optical systems, based on the digital computation of the fractional Fourier transform (FRFT), is proposed. The algorithm utilizes the characteristics of energy…
We study linear spectral statistics of high dimensional sample covariance matrices in a regime where the empirical spectral distribution remains governed by the classical sample covariance law but the fluctuation theory is nonclassical. Our…
Density functional theory (DFT) is the de facto approach for predicting self-consistent-field electronic structures of ground-state configurations of complex atoms, molecules, and solids and providing their property data for materials…
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian distributions, to provide an accurate…
The accelerated failure time (AFT) model is widely used to analyze relationships between variables in the presence of censored observations. However, this model relies on some assumptions such as the error distribution, which can lead to…
A new method is presented for solving Poisson's equation inside an open-ended rectangular pipe. The method uses Fast Fourier Transforms (FFTs) to perform mixed convolutions and correlations of the charge density with the Green function.…
This study explores the use of Transformer-based models to predict both covariance and semi-covariance matrices for ETF portfolio optimization. Traditional portfolio optimization techniques often rely on static covariance estimates or…
Bitcoin is a representative decentralized currency system. For the security of Bitcoin, fairness in the distribution of mining rewards plays a crucial role in preventing the concentration of computational power in a few miners. Here,…
This paper is concerned with particle filtering for $\alpha$-stable stochastic volatility models. The $\alpha$-stable distribution provides a flexible framework for modeling asymmetry and heavy tails, which is useful when modeling financial…