Related papers: Cointegration with Occasionally Binding Constraint…
Stochastic inverse problems considered in this article consist of estimating the probability distributions of intrinsically random inputs of computer models. These estimations are based on observable outputs affected by model noise, and…
It is well known that the weak limit of a suitably scaled continuous-time random walk (CTRW) is the Brownian motion. We investigate the convergence of certain patterned random matrices whose entries are independent CTRWs and their…
In this paper we construct an inferential procedure for Granger causality in high-dimensional non-stationary vector autoregressive (VAR) models. Our method does not require knowledge of the order of integration of the time series under…
This paper considers the problem of steering the state distribution of a nonlinear stochastic system from an initial Gaussian to a terminal distribution with a specified mean and covariance, subject to probabilistic path constraints. An…
Facilitated or kinetically constrained spin models (KCSM) are a class of interacting particle systems reversible w.r.t. to a simple product measure. Each dynamical variable (spin) is re-sampled from its equilibrium distribution only if the…
Constrained quantum dynamics is used to propose a nonlinear dynamical equation for pure states of a generalized coarse-grained system. The relevant constraint is given either by the generalized purity or by the generalized invariant…
Using Brownian dynamics (BD) simulations and an analytical approach we investigate the shear-induced, nonequilibrium dynamics of dense colloidal suspensions confined to a narrow slit-pore. Focusing on situations where the colloids arrange…
Inspired by the modeling of grain growth in polycrystalline materials, we consider a nonlinear Fokker-Plank model, with inhomogeneous diffusion and with variable mobility parameters. We develop large time asymptotic analysis of such…
Causal discovery from multivariate time series is challenging when causal effects may occur both across time and within the same sampling interval. This issue is especially important in applications such as neuroscience, where the sampling…
We study statistical inference on unit roots and cointegration for time series in a Hilbert space. We develop statistical inference on the number of common stochastic trends embedded in the time series, i.e., the dimension of the…
To investigate the impact of non-linear interactions on dynamic coarse graining, we study a simplified model system, featuring a tracer particle in a complex environment. Using a projection operator formalism and computer simulations, we…
Ising models describe the joint probability distribution of a vector of binary feature variables. Typically, not all the variables interact with each other and one is interested in learning the presumably sparse network structure of the…
A structural vector autoregressive (SVAR) process is a linear causal model for variables that evolve over a discrete set of time points and between which there may be lagged and instantaneous effects. The qualitative causal structure of an…
In this paper, we introduce a novel approach to solve the (mean-covariance) steering problem for a fairly general class of linear continuous-time stochastic systems subject to input delays. Specifically, we aim at steering delayed linear…
Many economic environments involve units linked by a network. I develop an econometric framework that derives the dynamics of cross-sectional variables from the lagged innovation transmission along bilateral links and that can accommodate…
In medical and biological research, longitudinal data and survival data types are commonly seen. Traditional statistical models mostly consider to deal with either of the data types, such as linear mixed models for longitudinal data, and…
The mixture cure rate model is the most commonly used cure rate model in the literature. In the context of mixture cure rate model, the standard approach to model the effect of covariates on the cured or uncured probability is to use a…
Ising models, and the physical systems described by them, play a central role in generating entangled states for use in quantum metrology and quantum information. In particular, ultracold atomic gases, trapped ion systems, and Rydberg atoms…
Nonlinear systems are capable of displaying complex behavior even if this is the result of a small number of interacting time scales. A widely studied case is when complex dynamics emerges out of a nonlinear system being forced by a simple…
We consider the problem of steering a linear stochastic system between two end-point degenerate Gaussian distributions in finite time. This accounts for those situations in which some but not all of the state entries are uncertain at the…