Related papers: AR and MA representation of partial autocorrelatio…
In forecasting problems it is important to know whether or not recent events represent a regime change (low long-term predictive potential), or rather a local manifestation of longer term effects (potentially higher predictive potential).…
It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log-log periodogram plots indicate a straight-line…
A random coefficient autoregressive process is deeply investigated in which the coefficients are correlated. First we look at the existence of a strictly stationary causal solution, we give the second-order stationarity conditions and the…
The bare diffusion coefficient is given as the time integral of the peculiar velocity autocorrelation function or PVACF and this result is different from the well known Green-Kubo formula. The bare diffusion coefficient characterizes the…
The semiclassical dynamics of a charged particle moving in a two-component plasma is considered using a corrected Kelbg pseudopotential. We employ the classical Nevanlinna-type theory of frequency moments to determine the velocity and force…
We study the velocity autocorrelation function (VACF) of a driven granular fluid in the stationary state in 3 dimensions. As the critical volume fraction of the glass transition in the corresponding elastic system is approached, we observe…
In this paper we show that stationary and non-stationary multivariate continuous-time ARMA (MCARMA) processes have the representation as a sum of multivariate complex-valued Ornstein-Uhlenbeck processes under some mild assumptions. The…
This is a survey of some recent results on the rational circulant covariance extension problem: Given a partial sequence $(c_0,c_1,\dots,c_n)$ of covariance lags $c_k=\mathbb{E}\{y(t+k)\overline{y(t)}\}$ emanating from a stationary periodic…
In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption that the errors are uncorrelated but not necessarily…
We study the non-Markovian random continuous processes described by the Mori-Zwanzig equation. As a starting point, we use the Markovian Gaussian Ornstein-Uhlenbeck process and introduce an integral memory term depending on the past of the…
Many natural phenomena exhibit a stochastic nature that one attempts at modeling by using stochastic processes of different types. In this context, often one is interested in investigating the memory properties of the natural phenomenon at…
We extend the theoretical results for any FOU(p) processes for the case in which the Hurst parameter is less than 1/2 and we show theoretically and by simulations that under some conditions on T and the sample size n it is possible to…
Stationary processes have been extensively studied in the literature. Their applications include modeling and forecasting numerous real life phenomena such as natural disasters, sales and market movements. When stationary processes are…
Recently regular decision processes have been proposed as a well-behaved form of non-Markov decision process. Regular decision processes are characterised by a transition function and a reward function that depend on the whole history,…
In this contribution we introduce weakly locally stationary time series through the local approximation of the non-stationary covariance structure by a stationary one. This allows us to define autoregression coefficients in a non-stationary…
In this article, we propose a variational inference formulation of auto-associative memories, allowing us to combine perceptual inference and memory retrieval into the same mathematical framework. In this formulation, the prior probability…
The velocity autocorrelation function (VAF) for a two-dimensional one-component plasma (OCP) is investigated by employing molecular dynamics techniques. The VAF exhibits well defined oscillations whose frequency is independent of the…
This paper considers the problem of estimating the time auto-correlation function for a quantity that is defined in configuration space, given a knowledge of the mean-square displacement as function of time in configuration space. The…
We present a derivation of a recently proposed theory for the time dependence of density fluctuations in stationary states of strongly interacting, athermal, self-propelled particles. The derivation consists of two steps. First, we start…
The class of locally stationary processes assumes that there is a time-varying spectral representation, that is, the existence of finite second moment. We propose the $\alpha$-stable locally stationary process by modifying the innovations…