Related papers: Free stochastic measures via noncrossing partition…
Fractal behavior and long-range dependence have been observed in an astonishing number of physical systems. Either phenomenon has been modeled by self-similar random functions, thereby implying a linear relationship between fractal…
We obtain Stein approximation bounds for stochastic integrals with respect to a Poisson random measure over ${\Bbb R}^d$, $d\geq 2$. This approach relies on third cumulant Edgeworth-type expansions based on derivation operators defined by…
We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed…
Stochastic differential equations and stochastic dynamics are good models to describe stochastic phenomena in real world. In this paper, we study N independent stochastic processes Xi(t) with real entries and the processes are determined by…
We present a combinatorial approach to the infinitesimal distribution of the Gaussian orthogonal ensemble (GOE). In particular we show how the infinitesimal moments are described by non-crossing partitions, but not of type B. We demonstrate…
We consider two alternative tests to the Higher Criticism test of Donoho and Jin [Ann. Statist. 32 (2004) 962-994] for high-dimensional means under the sparsity of the nonzero means for sub-Gaussian distributed data with unknown column-wise…
We show that any self-conformal measure $\mu$ on $\mathbb{R}$ is uniformly scaling and generates an ergodic fractal distribution. This generalizes existing results by removing the need for any separation condition. We also obtain…
We propose a new nonparametric test for the supposition of independence between two continuous random variables. The test is based on the size of the longest increasing subsequence of a random permutation. We identified the independence…
Many statistical applications require the quantification of joint dependence among more than two random vectors. In this work, we generalize the notion of distance covariance to quantify joint dependence among d >= 2 random vectors. We…
We consider the stochastic ranking process with the jump times of the particles determined by Poisson random measures. We prove that the joint empirical distribution of scaled position and intensity measure converges almost surely in the…
We study the free product of rooted graphs and its various decompositions using quantum probabilistic methods. We show that the free product of rooted graphs is canonically associated with free independence, which completes the proof of the…
We consider the problem of Hurst index estimation for solutions of stochastic differential equations driven by an additive fractional Brownian motion. Using techniques of the Malliavin calculus, we analyze the asymptotic behavior of the…
The need to test whether two random vectors are independent has spawned a large number of competing measures of dependence. We are interested in nonparametric measures that are invariant under strictly increasing transformations, such as…
Quantum trajectories of a Markovian open quantum system arise from the back-action of measurements performed in the environment with which the system interacts. In this work, we consider counting measurements of quantum jumps, corresponding…
We introduce a measure of non-Markovianity based on the minimal amount of extra Markovian noise we have to add to the process via incoherent mixing, in order to make the resulting transformation Markovian too at all times. We show how to…
In the first part we associate a periodic sequence to a partition and study the connection the distribution of elements of uniform limit of the sequences. Then some facts of statistical independence of these limits are proved
We show that independent elliptic matrices converge to freely independent elliptic elements. Moreover, the elliptic matrices are asymptotically free with deterministic matrices under appropriate conditions. We compute the Brown measure of…
We study some combinatorial statistics defined on the set $NC^{(mton)}(n)$ of monotonically ordered non-crossing partitions of {1,...,n}, and on the set $NC_2^{(mton)}(2n)$ of monotonically ordered non-crossing pair-partitions of…
The multivariate Hilbert-Schmidt-Independence-Criterion (dHSIC) and distance multivariance allow to measure and test independence of an arbitrary number of random vectors with arbitrary dimensions. Here we define versions which only depend…
Partial orderings and measures of information for continuous univariate random variables with special roles of Gaussian and uniform distributions are discussed. The information measures and measures of non-Gaussianity including third and…