Related papers: A finite-state stationary process with long-range …
The approach is developed for the description of isolated Fermi-systems with finite number of particles, such as complex atoms, nuclei, atomic clusters etc. It is based on statistical properties of chaotic excited states which are formed by…
In this paper, we show that the mixed fractional Poisson process (MFPP) exhibits the long-range dependence (LRD) property. It is proved by establishing an asymptotic result for the covariance of inverse mixed stable subordinator. Also, it…
Many dynamical processes on real world networks display complex temporal patterns as, for instance, a fat-tailed distribution of inter-events times, leading to heterogeneous waiting times between events. In this work, we focus on…
We study a class of Markov processes with finite state space and continuous time that have product form stationary distributions. We obtain a number of examples that can generate conjectures for diffusions with inert drift.
We consider a stationary Markov process that models certain queues with a bulk service of a fixed number $m$ of admitted customers. We find an integral expression of its transition probability function in terms of certain multi-orthogonal…
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and…
We give necessary and sufficient conditions for the existence of a phantom distribution function for a stationary random field on a regular lattice. We also introduce a less demanding notion of a directional phantom distribution, with…
Extreme events over large spatial domains may exhibit highly heterogeneous tail dependence characteristics, yet most existing spatial extremes models yield only one dependence class over the entire spatial domain. To accurately characterize…
We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on $m$-dependent approximation for stationary processes and a moderate deviation result.
Long-range interacting Hamiltonian systems are believed to relax generically towards non-equilibrium states called "quasi-stationary" because they evolve towards thermodynamic equilibrium very slowly, on a time-scale diverging with particle…
We establish sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the existence and exponential ergodicity of the Q-process, the process…
We investigate a class of stochastic fragmentation processes involving stable and unstable fragments. We solve analytically for the fragment length density and find that a generic algebraic divergence characterizes its small-size tail.…
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its entries in the infinite-variance case and derive results for…
We present a detailed study of a scalar differential equation with threshold state-dependent delayed feedback. This equation arises as a simplification of a gene regulatory model. There are two monotone nonlinearities in the model: one…
We consider multivariate copula-based stationary time-series under Gaussian subordination. Observed time series are subordinated to long-range dependent Gaussian processes and characterized by arbitrary marginal copula distributions. First…
Physically motivated stochastic dynamics are often used to sample from high-dimensional distributions. However such dynamics often get stuck in specific regions of their state space and mix very slowly to the desired stationary state. This…
We propose a general framework for studying jump-diffusion systems driven by both Gaussian noise and a jump process with state-dependent intensity. Of particular natural interest are the jump locations: the system evaluated at the jump…
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…
A time-changed fractional mixed fractional Brownian motion by inverse alpha stable subordinator with index alpha in (0, 1) is an iterated process L constructed as the superposition of fractional mixed fractional Brownian motion N(a, b) and…
This paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and strong dependency. A time-varying…