Related papers: Estimation in a fluctuating medium and power-law d…
Power-law probability distributions arise often in the social and natural sciences. Statistics have been developed for estimating the exponent parameter as well as gauging goodness-of-fit to a power law. Yet paradoxically, many famous power…
Let $f$ be a Rademacher or Steinhaus random multiplicative function. For various arithmetically interesting subsets $\mathcal A\subseteq [1, N]\cap\mathbb N$ such that the distribution of $\sum_{n\in \mathcal A} f(n)$ is approximately…
Multivariate distributions are explored using the joint distributions of marginal sample quantiles. Limit theory for the mean of a function of order statistics is presented. The results include a multivariate central limit theorem and a…
We show that Kerov's central limit theorem related to the fluctuations of Young diagrams under the Plancherel measure extends to the case of Schur-Weyl measures, which are the probability measures on partitions associated to the…
Using a model based on generalised Lotka Volterra dynamics together with some recent results for the solution of generalised Langevin equations, we show that the equilibrium solution for the probability distribution of wealth has two…
A self-consistent thermodynamic framework is presented for power-law canonical distributions based on the generalized central limit theorem by extending the discussion given by Khinchin for deriving Gibbsian canonical ensemble theory. The…
Selected examples of possible origins of power-law distributions are presented.
The propagation of chaos and associated law of large numbers for mean-field interacting age-dependent Hawkes processes (when the number of processes n goes to +$\infty$) being granted by the study performed in (Chevallier, 2015), the aim of…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
Power-law distributions occur in many situations of scientific interest and have significant consequences for our understanding of natural and man-made phenomena. Unfortunately, the detection and characterization of power laws is…
In this paper we consider a sequence of random variables with mean uncertainty in a sublinear expectation space. Without the hypothesis of identical distributions, we show a new central limit theorem under the sublinear expectations.
We prove that the solution of the Kac analogue of Boltzmann's equation can be viewed as a probability distribution of a sum of a random number of random variables. This fact allows us to study convergence to equilibrium by means of a few…
To know the statistical distribution of a variable is an important problem in management of resources. Distributions of the power law type are observed in many real systems. However power law distributions have an infinite variance and thus…
Under the sublinear expectation $\mathbb{E}[\cdot]:=\sup_{\theta\in \Theta} E_\theta[\cdot]$ for a given set of linear expectations $\{E_\theta: \theta\in \Theta\}$, we establish a new law of large numbers and a new central limit theorem…
Nonextensive statistics is a formalism of statistical mechanics that describes the ocurrence of power-law distributions in complex systems, particularly the so-called $q$ exponential family of distributions. In this work we present the use…
In this paper, under mild assumptions, we derive a law of large numbers, a central limit theorem with an error estimate, an almost sure invariance principle and a variant of Chernoff bound in finite-state hidden Markov models. These limit…
The prevailing maximum likelihood estimators for inferring power law models from rank-frequency data are biased. The source of this bias is an inappropriate likelihood function. The correct likelihood function is derived and shown to be…
In this paper, we investigate a central limit theorem for weighted sums of independent random variables under sublinear expectations. It is turned out that our results are natural extensions of the results obtained by Peng and Li and Shi.
A mapping of nonextensive statistical mechanics into Gibbs' statistical mechanics exists, which leads to a generalization of Einstein's formula for fluctuations. A unified treatment of stability of relaxed states in nonextensive statistical…
In this perspective we consider how modern statistical mechanics and response theory can be applied to understand the response of polar molecules to an applied electric field and the fluctuations in these systems. Results that are…