Related papers: Statistical Dependence and Related Topics
We investigate nonequilibrium relaxations of Ising models at the critical point by using a cluster update. While preceding studies imply that nonequilibrium cluster-flip dynamics at the critical point are universally described by the…
Information theory provides ideas for conceptualising information and measuring relationships between objects. It has found wide application in the sciences, but economics and finance have made surprisingly little use of it. We show that…
This paper introduces coordinate-independent methods for analysing multiscale dynamical systems using numerical techniques based on the transfer operator and its adjoint. In particular, we present a method for testing whether an arbitrary…
We analyze the extreme value dependence of independent, not necessarily identically distributed multivariate regularly varying random vectors. More specifically, we propose estimators of the spectral measure locally at some time point and…
We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson's correlation coefficient or Kendall's Tau, we consider the entire…
A coefficient is introduced that quantifies the extent of separation of a random variable $Y$ relative to a number of variables $\mathbf{X} = (X_1, \dots, X_p)$ by skillfully assessing the sensitivity of the relative effects of the…
In this work the two-dimensional Ising model with nearest- and next-nearest-neighbor interactions is revisited. We obtain the dynamic critical exponents $z$ and $\theta$ from short-time Monte Carlo simulations. The dynamic critical exponent…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
We propose a new efficient scheme for the quantum Monte Carlo study of quantum critical phenomena in quantum spin systems. Rieger and Young's Trotter-number-dependent finite-size scaling in quantum spin systems and Ito {\it et al.}'s…
We consider the three-dimensional randomly diluted Ising model and study the critical behavior of the static and dynamic spin-spin correlation functions (static and dynamic structure factors) at the paramagnetic-ferromagnetic transition in…
We propose a new quantum Monte Carlo algorithm which realizes a relaxation intrinsic to the original quantum system. The Monte Carlo dynamics satisfies the dynamic scaling relation $\tau\sim \xi^z$ and is independent of the Trotter number.…
We apply the concept of distance covariance for testing independence of two long-range dependent time series. As test statistic we propose a linear combination of empirical distance cross-covariances. We derive the asymptotic distribution…
Interval jitter and spike resampling methods are used to analyze the time scale on which temporal correlations occur. They allow the computation of jitter corrected cross correlograms and the performance of an associated statistically…
In the finite-size scaling analysis of Monte Carlo data, instead of computing the observables at fixed Hamiltonian parameters, one may choose to keep a renormalization-group invariant quantity, also called phenomenological coupling, fixed…
This article proposes a new index for quantifying the degree of dependence between random vectors. The index takes values in [0,1] and equals zero if and only if the random vectors are sub-independent. Unlike mere uncorrelatedness,…
Testing the independence between random vectors is a fundamental problem in statistics. Distance correlation, a recently popular dependence measure, is universally consistent for testing independence against all distributions with finite…
The quantum phase transition of the one-dimensional long-range transverse-field Ising model is explored by combining the quantum Monte Carlo method and stochastic parameter optimization, specifically achieved by tuning correlation ratios so…
We study the problem of system identification for stochastic continuous-time dynamics, based on a single finite-length state trajectory. We present a method for estimating the possibly unstable open-loop matrix by employing properly…
By analyzing the experimental data for various glass-forming liquids and polymers, we find that non-exponentiality $\beta$ and the relaxation time $\tau$ are uniquely related: $\log(\tau)$ is an approximately linear function of $1/\beta$,…
Measuring conditional dependence is an important topic in statistics with broad applications including graphical models. Under a factor model setting, a new conditional dependence measure based on projection is proposed. The corresponding…