Related papers: The multivariate ARMA/CARMA transformation relatio…
In modeling multivariate time series for either forecast or policy analysis, it would be beneficial to have figured out the cause-effect relations within the data. Regression analysis, however, is generally for correlation relation, and…
We present a formal connection between Lagrangian and Eulerian velocity increment distributions which is applicable to a wide range of turbulent systems ranging from turbulence in incompressible fluids to magnetohydrodynamic turbulence. For…
Exploiting the theory of state space models, we derive the exact expressions of the information transfer, as well as redundant and synergistic transfer, for coupled Gaussian processes observed at multiple temporal scales. All of the terms,…
The convergence of the first order Euler scheme and an approximative variant thereof, along with convergence rates, are established for rough differential equations driven by c\`adl\`ag paths satisfying a suitable criterion, namely the…
Many practical samplers rely on time-dependent drifts -- often induced by annealing or tempering schedules -- to improve exploration and stability. This motivates a unified non-asymptotic analysis of the corresponding Langevin diffusions…
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Motivations for this scheme come typically…
A class of discrete distributions can be derived from stationary renewal processes. They have the useful property that the mean is a simple function of the model parameters. Thus regressions of the distribution mean on covariates can be…
Existing results for the estimation of the L\'evy measure are mostly limited to the onedimensional setting. We apply the spectral method to multidimensional L\'evy processes in order to construct a nonparametric estimator for the…
We prove a global asymptotic equivalence of experiments in the sense of Le Cam's theory. The experiments are a continuously observed diffusion with nonparametric drift and its Euler scheme. We focus on diffusions with nonconstant-known…
Nonstationarity of real-life time series requires model adaptation. In classical approaches like ARMA-ARCH there is assumed some arbitrarily chosen dependence type. To avoid their bias, we will focus on novel more agnostic approach: moving…
Diffusion-induced Ramsey narrowing that appears when atoms can leave the interaction region and repeatedly return without lost of coherence is investigated using strong collisions approximation. The effective diffusion equation is obtained…
In this paper we examine a control variate estimator for a quantity that can be expressed as the expectation of a functional of a random process, that is itself the solution of a differential equation driven by fast mean-reverting ergodic…
Many diffusion processes in nature and society were found to be anomalous, in the sense of being fundamentally different from conventional Brownian motion. An important example is the migration of biological cells, which exhibits…
Long-term time series forecasting (LTSF) is important for various domains but is confronted by challenges in handling the complex temporal-contextual relationships. As multivariate input models underperforming some recent univariate…
Most methods for modelling dynamics posit just two time scales: a fast and a slow scale. But many applications, including many in continuum mechanics, possess a wide variety of space-time scales; often they possess a continuum of space-time…
We discuss dynamics of a model of an energy transfer between dark energy (DE) and dark matter (DM). The energy transfer is determined by a non-conservation law resulting from a diffusion of dark matter in an environment of dark energy. The…
In this paper, we propose a novel and efficient two-stage variable selection approach for sparse GLARMA models, which are pervasive for modeling discrete-valued time series. Our approach consists in iteratively combining the estimation of…
The Green-Kubo formula relates the spatial diffusion coefficient to the stationary velocity autocorrelation function. We derive a generalization of the Green-Kubo formula valid for systems with long-range or nonstationary correlations for…
Switching ARMA models greatly enhance the standard linear models to the extent that different ARMA model is allowed in a different regime, and the regime switching is typically assumed a Markov chain on the finite states of potential…
We propose a computer-assisted approach to studying the effective continuum behavior of spatially discrete evolution equations. The advantage of the approach is that the "coarse model" (the continuum, effective equation) need not be…