Related papers: Questioning Normality: A study of wavelet leaders …
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that…
We develop a generalization of correlated trend-cycle decompositions that avoids prior assumptions about the long-run dynamic characteristics by modelling the permanent component as a fractionally integrated process and incorporating a…
Macroscopic systems often display phase transitions where certain physical quantities are singular or self-similar at different (spatial) scales. Such properties of systems are currently characterized by some order parameters and a few…
This paper investigates L\'evy walks with random velocities, extending classical models beyond constant speed assumptions. We derive scaling limits, demonstrating that diffusion depends on interplay between heavy-tailed duration and…
We present dielectric spectroscopy data obtained for gallium-doped Cd$_{0.99}$Mn$_{0.01}$Te:Ga mixed crystals which exhibit a very special case of the two-power-law relaxation pattern with the high-frequency power-law exponent equal to 1.…
The convective instability in a plane liquid layer with time-dependent temperature profile is investigated by means of a general method suitable for linear stability analysis of an unsteady basic flow. The method is based on a non-normal…
In this contribution, we extend the methodology proposed in Abry and Didier (2017) to obtain the first joint estimator of the real parts of the Hurst eigenvalues of $n$-variate OFBM. The procedure consists of a wavelet regression on the…
Multifractal behavior has been identified and mathematically established for large classes of functions, stochastic processes and measures. Multifractality has also been observed on many data coming from Geophysics, turbulence, Physics,…
Operator fractional Brownian motion (OFBM) is the natural vector-valued extension of the univariate fractional Brownian motion. Instead of a scalar parameter, the law of an OFBM scales according to a Hurst matrix that affects every…
We propose a Bayesian test of normality for univariate or multivariate data against alternative nonparametric models characterized by Dirichlet process mixture distributions. The alternative models are based on the principles of embedding…
We study a one-dimensional lattice random walk with an absorbing boundary at the origin and a movable partial reflector. On encountering the reflector, at site x, the walker is reflected (with probability r) to x-1 and the reflector is…
We analyse how simple local constraints in two dimensions lead a defect to exhibit robust, non-transient, and tunable, subdiffusion. We uncover a rich dynamical phenomenology realised in ice- and dimer-type models. On the microscopic scale…
The behavior of maximum likelihood estimates (MLEs) and the likelihood ratio statistic in a family of problems involving pointwise nonparametric estimation of a monotone function is studied. This class of problems differs radically from the…
Complex systems are composed of mutually interacting components and the output values of these components are usually long-range cross-correlated. We propose a method to characterize the joint multifractal nature of such long-range cross…
We study L\'evy walks in quenched disordered one-dimensional media, with scatterers spaced according to a long-tailed distribution. By analyzing the scaling relations for the random-walk probability and for the resistivity in the equivalent…
In this paper we introduce a new family of estimators for the parameters of shape and scale of the log-logistic distribution being robust when rank set sample method is used to select the data. Rank set sampling arises as a way to reduce…
Multifractal analysis of multiplicative random cascades is revisited within the framework of {\em mixed asymptotics}. In this new framework, statistics are estimated over a sample which size increases as the resolution scale (or the…
We estimate numerically the regularities of a family of Strange Non--Chaotic Attractors related with one of the models studied in C. Grebogy et al. (1984) (see also G. Keller (1996)). To estimate these regularities we use wavelet analysis…
This work focuses on the study of quantum stochastic walks, which are a generalization of coherent, i. e. unitary quantum walks. Our main goal is to present a measure of a coherence of the walk. To this end, we utilize the asymptotic…
We study asymptotic properties of diffusion and other transport processes (including self-avoiding walks and electrical conduction) on large randomly branched polymers using renormalized dynamical field theory. We focus on the swollen phase…