Related papers: Parameter estimation from an Ornstein-Uhlenbeck pr…
We experimentally study the relaxation dynamics of a coherently split one-dimensional Bose gas using matterwave interference. Measuring the full probability distributions of interference contrast reveals the prethermalization of the system…
We consider the Ornstein-Uhlenbeck (OU) process, a stochastic process widely used in finance, physics, and biology. Parameter estimation of the OU process is a challenging problem. Thus, we review traditional tracking methods and compare…
The problem of parameter estimation by the observations of the two-state telegraph process in the presence of white Gaussian noise is considered. The properties of estimator of the method of moments are described in the asymptotics of large…
For the stochastic heat equation with multiplicative noise we consider the problem of estimating the diffusivity parameter in front of the Laplace operator. Based on local observations in space, we first study an estimator that was derived…
Effective stochastic equations for the continuous transitions of relativistic quantum fields inevitably contain multiplicative noise. We examine the effect of such noise in a numerical simulation of a temperature quench in a 1+1 dimensional…
The asymptotic behavior of a nonlinear oscillator subject to a multiplicative Ornstein-Uhlenbeck noise is investigated. When the dynamics is expressed in terms of energy-angle coordinates, it is observed that the angle is a fast variable as…
We investigate the potential of weak measurement and post-selection to enhance measurement sensitivity when the initial probe state is mixed. In our framework, the mixedness of the probe's density operator is controlled by temperature. We…
Recent algebraic parametric estimation techniques led to point-wise derivative estimates by using only the iterated integral of a noisy observation signal. In this paper, we extend such differentiation methods by providing a larger choice…
We obtain strong consistency and asymptotic normality of a least squares estimator of the drift coefficient for complex-valued Ornstein-Uhlenbeck processes disturbed by fractional noise, extending the result of Y. Hu and D. Nualart,…
Low frequency detector noise in CMB experiments must be corrected to produce faithful maps of the temperature and polarization anisotropies. For a Planck-type experiment the low frequency noise corrections lead to residual stripes in the…
In many scenarios, the communication system suffers from both Gaussian white noise and non-Gaussian impulsive noise. In order to design optimal signal detection method, it is necessary to estimate the parameters of mixed Gaussian-impulsive…
Changes in parameters of a physical device can eventually lead to catastrophic failure. This paper discusses a parameter estimation method based on synchronization between a model and time series data. In particular, we examine the…
This article presents an algorithm for reducing measurement uncertainty of one physical quantity when given oversampled measurements of two physical quantities with correlated noise. The algorithm assumes that the aleatoric measurement…
The multivariate Ornstein-Uhlenbeck process is used in many branches of science and engineering to describe the regression of a system to its stationary mean. Here we present an $O(N)$ Bayesian method to estimate the drift and diffusion…
Heat-Bath Algorithmic Cooling techniques (HBAC) are techniques that are used to purify a target element in a quantum system. These methods compress and transfer entropy away from the target element into auxiliary elements of the system. The…
We consider the problem of frequency estimation of the periodic signal multiplied by a stationary Gaussian process (Ornstein-Uhlenbeck) and observed in the presence of the white Gaussian noise. We show the consistency and asymptotic…
Simulations of quantum systems with Hamiltonian classical stochastic noise can be challenging when the noise exhibits temporal correlations over a multitude of time scales, such as for $1/f$ noise in solid-state quantum information…
We consider the problem of fitting a parametric model to time-series data that are afflicted by correlated noise. The noise is represented by a sum of two stationary Gaussian processes: one that is uncorrelated in time, and another that has…
Multiplicative noise, also known as speckle or pepper noise, commonly affects images produced by synthetic aperture radar (SAR), lasers, or optical lenses. Unlike additive noise, which typically arises from thermal processes or external…
We discuss estimation problems where a polynomial is observed under Ornstein Uhlenbeck noise over a long time interval. We prove local asymptotic normality (LAN) and specify asymptotically efficient estimators. We apply this to the…