Related papers: Persistence exponents via perturbation theory: MA(…
The first-order moving average model or MA(1) is given by $X_t=Z_t-\theta_0Z_{t-1}$, with independent and identically distributed $\{Z_t\}$. This is arguably the simplest time series model that one can write down. The MA(1) with unit root…
Let g(x)=x/2 + 17/30 (mod 1), let \xi_i, i= 1,2,... be a sequence of independent, identically distributed random variables with uniform distribution on the interval [0,1/15], define g_i(x)=g(x)+ \xi_i (mod 1) and, for n=1,2,..., define…
Iteration of randomly chosen quadratic maps defines a Markov process: X_{n+1}=\epsilon_{n+1}X_n(1-X_n), where \epsilon_n are i.i.d. with values in the parameter space [0,4] of quadratic maps F_{\theta}(x)=\theta x(1-x). Its study is of…
We study a random bisection problem where an initial interval of length x is cut into two random fragments at the first stage, then each of these two fragments is cut further, etc. We compute the probability P_n(x) that at the n-th stage,…
Numerical and analytic results for the exponent \theta describing the decay of the first return probability of an interface to its initial height are obtained for a large class of linear Langevin equations. The models are parametrized by…
The paper formulates the concept of persistence of excitation for discrete-time linear switched systems, and provides sufficient conditions for an input signal to be persistently exciting. Persistence of excitation is formulated as a…
We apply a simple method to provide explicit expressions for different scaling exponents in intermittent fully developed turbulence, that before were only given through a Legendre transform. This includes predictability exponents for…
Let $\{X_n\}_{n\ge0}$ be a sequence of real valued random variables such that $X_n=\rho_n X_{n-1}+\epsilon_n,~n=1,2,\ldots$, where $\{(\rho_n,\epsilon_n)\}_{n\ge1}$ are i.i.d. and independent of initial value (possibly random) $X_0$. In…
We present a natural framework for studying the persistence problem in two-dimensional fluid turbulence by using the Okubo-Weiss parameter $\Lambda$ to distinguish between vortical and extensional regions. We then use a direct numerical…
We study how the order of N independent random walks in one dimension evolves with time. Our focus is statistical properties of the inversion number m, defined as the number of pairs that are out of sort with respect to the initial…
We consider the persistence probability for the integrated fractional Brownian motion and the fractionally integrated Brownian motion with parameter $H,$ respectively. For the integrated fractional Brownian motion, we discuss a conjecture…
We study the asymptotic behaviour of the probability that a weighted sum of centered i.i.d. random variables X_k does not exceed a constant barrier. For regular random walks, the results follow easily from classical fluctuation theory,…
For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution.…
Cox processes model overdispersed point process data via a latent stochastic intensity, but both nonparametric estimation of the intensity model and posterior inference over intensity paths are typically intractable, relying on expensive…
There is an abundance of evidence that some relaxation dynamics, e.g., exponential decays, are much more common in nature than others. Recently, there have been attempts to trace this dominance back to a certain stability of the prevalent…
The persistence probability P_g(t) of the global order-parameter of a simple ferromagnet undergoing phase-ordering kinetics after a quench from a fully disordered state to below the critical temperature, T<T_c, is analysed. It is argued…
We study the expanding properties of random perturbations of regular interval maps satisfying the summability condition of exponent one. Under very general conditions on the interval maps and perturbation types, we prove strong stochastic…
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order…
Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…
The persistence exponents associated with the T=0 quenching dynamics of the two dimensional XY model and a two dimensional uniaxial spin nematic model have been evaluated using a numerical simulation. The site persistence or the probability…