Related papers: On lead-lag estimation of non-synchronously observ…
This paper introduces the novel class of modulated cyclostationary processes, a class of non-stationary processes exhibiting frequency coupling, and proposes a method of their estimation from repeated trials. Cyclostationary processes also…
This paper proposes a deep learning-based approach for in-situ process monitoring that captures nonlinear relationships between in-control high-dimensional process signature signals and offline product quality data. Specifically, we…
We provide a model-free pricing-hedging duality in continuous time. For a frictionless market consisting of $d$ risky assets with continuous price trajectories, we show that the purely analytic problem of finding the minimal superhedging…
We propose a method to approximate continuous-time, continuous-state stochastic processes by a discrete-time Markov chain defined on a nonuniform grid. Our method provides exact moment matching for processes whose first and second moments…
Time delay is ubiquitous in many experimental and real-world situations. It is often unclear whether time delay plays a significant role in observed phenomena, and if it does, how long the time lag really is. This would be invaluable…
The conventional historical functional linear model relates the current value of the functional response at time t to all past values of the functional covariate up to time t. Motivated by situations where it is more reasonable to assume…
The interplay between bifurcations and random switching processes of vector fields is studied. More precisely, we provide a classification of piecewise deterministic Markov processes arising from stochastic switching dynamics near fold,…
Sub-gap transport properties of a quantum dot (QD) coupled to two superconducting and one metallic leads are studied theoretically, solving the time-dependent equation of motion by the Laplace transform technique. We focus on time-dependent…
Analysing correlations between streams of events is an important problem. It arises for example in Neurosciences, when the connectivity of neurons should be inferred from spike trains that record neurons' individual spiking activity. While…
We consider a single-server queue where interarrival and service times depend linearly and randomly on customer waiting times, and establish a sample-path moderate deviation principle (MDP) for the waiting time process. The waiting times…
This work delves into presenting a probabilistic method for analyzing linear process data with weakly dependent innovations, focusing on detecting change-points in the mean and estimating its spectral density. We develop a test for…
Piecewise-deterministic Markov processes (PDMPs) offer a powerful stochastic modeling framework that combines deterministic trajectories with random perturbations at random times. Estimating their local characteristics (particularly the…
Recently, the intervention calculus when the DAG is absent (IDA) method was developed to estimate lower bounds of causal effects from observational high-dimensional data. Originally it was introduced to assess the effect of baseline…
Motivated by estimating the lead-lag relationships in high-frequency financial data, we propose noisy bivariate Neyman-Scott point processes with gamma kernels (NBNSP-G). NBNSP-G tolerates noises that are not necessarily Poissonian and has…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…
Signal-free intersections are a representative application of smart and connected vehicle technologies. Although extensive results have been developed for trajectory planning and autonomous driving, the formulation and evaluation of vehicle…
We consider a Markov chain of point processes such that each state is a super position of an independent cluster process with the previous state as its centre process together with some independent noise process. The model extends earlier…
We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For the daily data, the CNY and CNH exchange rates show a weak…
This paper is concerned with the development and testing of advanced time-stepping methods suited for the integration of time-accurate, real-world applications of computational fluid dynamics (CFD). The performance of several time…
The liquidity risk factor of security market plays an important role in the formulation of trading strategies. A more liquid stock market means that the securities can be bought or sold more easily. As a sound indicator of market liquidity,…