Related papers: Properties of stationary cyclical processes

We consider asymptotic problems in spectral analysis of stationary causal processes. Limiting distributions of periodograms and smoothed periodogram spectral density estimates are obtained and applications to the spectral domain bootstrap…

Let $\eta=\{\eta(t);t\in [0,1]\}$ be a mean zero continuous Gaussian process with covariance $U=\{U(s,t),s,t\in [ 0,1]\},$ with $U(0,0)>0$. Let $\{\eta_{i};i=1,\ldots, k\}$ be independent copies of $\eta$ and set $ Y_{k}(t)=\sum_{i=1}^{k}…

Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…

We introduce Latent Gaussian Process Regression which is a latent variable extension allowing modelling of non-stationary multi-modal processes using GPs. The approach is built on extending the input space of a regression problem with a…

Biological functions in living cells are controlled by protein interaction and genetic networks. These molecular networks should be dynamically stable against various fluctuations which are inevitable in the living world. In this paper, we…

Recent computer simulations reveal several intriguing features in the evolution of properties of amorphous solids subjected to repeated cyclic shear deformation. These include the divergence of the number of cycles to reach steady states as…

Strict stationarity is a common assumption used in the time series literature in order to derive asymptotic distributional results for second-order statistics, like sample autocovariances and sample autocorrelations. Focusing on weak…

We propose solution of the problem of the mean square optimal estimation of linear functionals which depend on the unobserved values of a continuous time stochastic process with periodically correlated increments based on observations of…

Let $X=\{X(t),t\in R_+\}$ be a real-valued symmetric L\'{e}vy process with continuous local times $\{L^x_t,(t,x)\in R_+\times R\}$ and characteristic function $Ee^{i\lambda X(t)}=e^{-t\psi(\lambda)}$. Let…

We present here an elementary example, for every fixed positive integer $k,$ of a strictly stationary nongaussian stochastic process in discrete time, all of whose $k$-marginals are gaussian.

Time series data arising in many applications nowadays are high-dimensional. A large number of parameters describe features of these time series. We propose a novel approach to modeling a high-dimensional time series through several…

A model is proposed for a class of asynchronous sample-and-hold operators that is relevant in the analysis of embedded and networked systems. The model is parametrized by characteristics of the corresponding time-varying input-output delay.…

In state space models, smoothing refers to the task of estimating a latent stochastic process given noisy measurements related to the process. We propose an unbiased estimator of smoothing expectations. The lack-of-bias property has…

The spectral theory for weakly stationary processes valued in a separable Hilbert space has known renewed interest in the past decade. Here we follow earlier approaches which fully exploit the normal Hilbert module property of the time…

We present calypso, a parameter-conditioned stochastic surrogate model for circumbinary accretion flows. We represent the total and individual accretion time series in a PCA basis and model the resulting coefficients as draws from a…

We consider non-ergodic class of stationary real harmonizable symmetric $\alpha$-stable processes $X=\left\{X(t):t\in\mathbb{R}\right\}$ with a finite symmetric and absolutely continuous control measure. We refer to its density function as…

We present a new method, Non-Stationary Forward Flux Sampling, that allows efficient simulation of rare events in both stationary and non-stationary stochastic systems. The method uses stochastic branching and pruning to achieve uniform…

This paper elucidates the connection between stationary symmetric alpha-stable processes with 0<alpha<2 and nonsingular flows on measure spaces by describing a new and unique decomposition of stationary stable processes into those…

We propose a new measure for stationarity of a functional time series, which is based on an explicit representation of the $L^2$-distance between the spectral density operator of a non-stationary process and its best ($L^2$-)approximation…

We investigate a model of a stochastic engine operating cyclically at constant bath temperature, which consists of an overdamped Brownian harmonic oscillator that plays the role of working substance and is elastically coupled to an active…