Related papers: 1/f Noise and Extreme Value Statistics

We analyze particle velocity fluctuations in a simulated granular system subjected to homogeneous quasistatic shearing. We show that these fluctuations share the following scaling characteristics of fluid turbulence in spite of their…

We argue that the freezing transition scenario, previously explored in the statistical mechanics of 1/f-noise random energy models, also determines the value distribution of the maximum of the modulus of the characteristic polynomials of…

We study extremal statistics and return intervals in stationary long-range correlated sequences for which the underlying probability density function is bounded and uniform. The extremal statistics we consider e.g., maximum relative to…

We investigate the 1/f noise properties of epitaxial graphene devices at low temperatures as a function of temperature, current and magnetic flux density. At low currents, an exponential decay of the 1/f noise power spectral density with…

The gapped local alignment score of two random sequences follows a Gumbel distribution. If computers could estimate the parameters of the Gumbel distribution within one second, the use of arbitrary alignment scoring schemes could increase…

In this paper we derive lower bounds in minimax sense for estimation of the instantaneous volatility if the diffusion type part cannot be observed directly but under some additional Gaussian noise. Three different models are considered. Our…

We prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly moving nonlinear boundary for a class of Gaussian stationary processes. The limit is a double exponential (Gumbel) distribution.

We show that scaling arguments are very useful to analyze the dynamics of periodically modulated noisy systems. Information about the behavior of the relevant quantities, such as the signal-to-noise ratio, upon variations of the noise…

The usual interpretation of noise is represented by a sum of many independent two-level elementary random signals with a distribution of relaxation times. In this paper it is demonstrated that also the superposition of many similar…

We present a simple stochastic mechanism which generates pulse trains exhibiting a power law distribution of the pulse intervals and a $1/f^\alpha$ power spectrum over several decades at low frequencies with $\alpha$ close to one. The…

This paper examines the problem of testing whether a discrete time-series vector contains a periodic signal or is merely noise. To do this we examine the stochastic behaviour of the maximum intensity of the observed time-series vector and…

We consider a particle which moves on the x axis and is subject to a constant force, such as gravity, plus a random force in the form of Gaussian white noise. We analyze the statistics of first arrival at point $x_1$ of a particle which…

Non-reciprocal systems can be thought of as disobeying Newtons third law - an action does not cause an equal and opposite reaction. In recent years there has been a dramatic rise in interest towards such systems. On a fundamental level,…

In this work, we study the problem of learning the volatility under market microstructure noise. Specifically, we consider noisy discrete time observations from a stochastic differential equation and develop a novel computational method to…

Gibbs-type random probability measures and the exchangeable random partitions they induce represent an important framework both from a theoretical and applied point of view. In the present paper, motivated by species sampling problems, we…

Security of oscillatory true random number generators remains not fully understood due to insufficient understanding of complex $1/f^\alpha$ phase noise. To bridge this gap, we introduce fractional Brownian motion as a comprehensive…

We have carried out a detailed study of scaling region using detrended fractal analysis test by applying different forcing likewise noise, sinusoidal, square on the floating potential fluctuations acquired under different pressures in a DC…

Any measurement in condition monitoring applications is associated with disturbing noise. Till now, most of the diagnostic procedures have assumed the Gaussian distribution for the noise. This paper shares a novel perspective to the problem…

The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…

A recently developed wavelet based approach is employed to characterize the scaling behavior of spectral fluctuations of random matrix ensembles, as well as complex atomic systems. Our study clearly reveals anti-persistent behavior and…