Related papers: An unbounded intensity model for point processes
As a model of composite material, the fiber bundle model has been chosen -where a bundle of fibers is subjected to external load and fibers have distributed thresholds. For different loading conditions, such a system shows few precursors…
The paper considers a Cox process where the stochastic intensity function for the Poisson data model is itself a non-homogeneous Poisson process. We show that it is possible to obtain the marginal data process, namely a non-homogeneous…
In this work, we consider systems that are subjected to intermittent instabilities due to external stochastic excitation. These intermittent instabilities, though rare, have a large impact on the probabilistic response of the system and…
We study time series concerning rare events. The occurrence of a rare event is depicted as a jump of constant intensity always occurring in the same direction, thereby generating an asymmetric diffusion process. We consider the case where…
This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. We consider multiple marked point processes with intensities defined by three multiplicative components, namely a common baseline…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
The zero range process is of particular importance as a generic model for domain wall dynamics of one-dimensional systems far from equilibrium. We study this process in one dimension with rates which induce an effective attraction between…
We introduce a point process regression model that is applicable to price models and limit order book models. Hawkes type autoregression in the intensity process is generalized to a stochastic regression to covariate processes. We establish…
Electricity systems are experiencing increased effects of randomness and variability due to emerging stochastic assets. The increased effects introduce new uncertainties into power systems that can impact system operability and reliability.…
`Bursting', defined as periods of high frequency firing of a neuron separated by periods of quiescence, has been observed in various neuronal systems, both \textit{in vitro} and \textit{in vivo}. It has been associated with a range of…
The contact process and the slightly different susceptible-infected-susceptible model are studied on long-range connected networks in the presence of random transition rates by means of a strong disorder renormalization group method and…
We present a new method of estimating the dispersion of a distribution which is based on the surprising property of a function that measures information processing intensity. It turns out that this function has a maximum at its fixed point.…
In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time and size then we will make use of a technique for identifying…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
Reliability in terms of functional properties from the safety-liveness spectrum is an indispensable requirement of low-level operating-system (OS) code. However, with evermore complex and thus less predictable hardware, quantitative and…
The use of video-imaging data for in-line process monitoring applications has become more and more popular in the industry. In this framework, spatio-temporal statistical process monitoring methods are needed to capture the relevant…
We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…