Related papers: Maximal Inequalities for Separately Exchangeable E…
We investigate extreme value theory of a class of random sequences defined by the all-time suprema of aggregated self-similar Gaussian processes with trend. This study is motivated by its potential applications in various areas and its…
Optimal simultaneous control of position and momentum can be achieved by maximizing the probabilities of finding their experimentally observed values within two well-defined intervals. The assumption that particles move along straight lines…
We establish sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the existence and exponential ergodicity of the Q-process, the process…
We introduce a framework for incremental-decremental maximization that captures the gradual transformation or renewal of infrastructures. In our model, an initial solution is transformed one element at a time and the utility of an…
Empirical processes for stationary, causal sequences are considered. We establish empirical central limit theorems for classes of indicators of left half lines, absolutely continuous functions and piecewise differentiable functions. Sample…
This paper considers estimation of large dynamic factor models with common and idiosyncratic trends by means of the Expectation Maximization algorithm, implemented jointly with the Kalman smoother. We show that, as the cross-sectional…
Maximum entropy method for analytic continuation is extended by introducing quantum relative entropy. This new method is formulated in terms of matrix-valued functions and therefore invariant under arbitrary unitary transformation of input…
Finding all maximal $k$-plexes on networks is a fundamental research problem in graph analysis due to many important applications, such as community detection, biological graph analysis, and so on. A $k$-plex is a subgraph in which every…
We consider maximum likelihood estimation with data from a bivariate Gaussian process with a separable exponential covariance model under fixed domain asymptotic. We first characterize the equivalence of Gaussian measures under this model.…
The maximum entropy ansatz, as it is often invoked in the context of time-series analysis, suggests the selection of a power spectrum which is consistent with autocorrelation data and corresponds to a random process least predictable from…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of threshold type and the optimal threshold is…
How well can multiple incompatible observables be implemented by a single measurement? This is a fundamental problem in quantum mechanics with wide implications for the performance optimization of numerous tasks in quantum information…
In this article we derive formulas for the probability $P(\sup_{t\leq T} X(t)>u)$ $T>0$ and $P(\sup_{t<\infty} X(t)>u)$ where $X$ is a spectrally positive L\'evy process with infinite variation. The formulas are generalizations of the…
Block maxima methods constitute a fundamental part of the statistical toolbox in extreme value analysis. However, most of the corresponding theory is derived under the simplifying assumption that block maxima are independent observations…
We study concentration inequalities for structured weighted sums of random data, including (i) tensor inner products and (ii) sequential matrix sums. We are interested in tail bounds and concentration inequalities for those structured…
In this paper, the complete moment convergence for the partial sums of moving average processes $\{X_n=\sum_{i=-\infty}^{\infty}a_iY_{i+n},n\ge 1\}$ is proved under some proper conditions, where $\{Y_i,-\infty<i<\infty\}$ is a doubly…
The aim of this paper is to establish Hoeffding and Bernstein type concentration inequalities for weighted sums of exchangeable random variables. A special case is the i.i.d. setting, where random variables are sampled independently from…
We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with…
A simple expression for the non-equilibrium distribution function in ultra-fast transient processes is proposed. Postulating its dependence on temporal derivatives of the equilibrium integrals of motion, non-equilibrium analogues of the…