Related papers: On a possible dynamical scenario leading to a gene…
We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we construct an ensemble of random correlation matrices and average…
We analyze a large system of globally coupled phase oscillators whose natural frequencies are bimodally distributed. The dynamics of this system has been the subject of long-standing interest. In 1984 Kuramoto proposed several conjectures…
A general formalism is developed for constructing modified Hamiltonian dynamical systems which preserve a canonical equilibrium distribution by adding a time evolution equation for a single additional thermostat variable. When such systems…
The variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and distributional…
Dynamical models of inflation are given with composite inflatons by means of massive supersymmetric gauge theory. Nearly flat directions and stable massive ones in the potential are identified and slow-roll during inflation is examined.…
This paper explores the concept of random-time subordination in modelling stock-price dynamics, and We first present results on the Laplace distribution as a Gaussian variance-mixture, in particular a more efficient volatility estimation…
Copulas, generalized estimating equations, and generalized linear mixed models promote the analysis of grouped data where non-normal responses are correlated. Unfortunately, parameter estimation remains challenging in these three…
The purpose of this paper is to utilize statistical methodologies to infer from market prices of assets and their derivatives the magnitude of the set of a measure M that defines acceptance sets of risky future cash flows. Specifically, we…
This paper proposes the k-generalized distribution as a model for describing the distribution and dispersion of income within a population. Formulas for the shape, moments and standard tools for inequality measurement - such as the Lorenz…
This paper derives a density matrix of the steady-state statistical mechanics compatible with the steady-state thermodynamics proposed by Oono and Paniconi [Prog. Theor. Phys. Suppl. {\bf 130}, 29 (1998)]. To this end, we adopt three…
The sub-Gaussian stable distribution is a heavy-tailed elliptically contoured law which has interesting applications in signal processing and financial mathematics. This work addresses the problem of feasible estimation of distributions. We…
This paper develops unified asymptotic distribution theory for dynamic quantile predictive regressions which is useful when examining quantile predictability in stock returns under possible presence of nonstationarity.
This paper attempts to make feasible the evolutionary emergence of novelty in a supposedly deterministic world which behavior is associated with those of the mathematical dynamical systems. The work was motivated by the observation of…
In this work, which was inspired by the article [2] by M. V. Velasco and A. R. Villena, we obtain a characterization for probably continuous operators and show that the probability of a linear random operator being continuous coincides with…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
A simple model which can explain the observed vertical distribution and size spectrum of atmospheric aerosol has been proposed. The model is based on a new physical hypothesis for the vertical mass exchange between the troposphere and the…
A novel general framework for the study of $\Gamma$-convergence of functionals defined over pairs of measures and energy-measures is introduced. This theory allows us to identify the $\Gamma$-limit of these kind of functionals by knowing…
When expressing a distribution in Euclidean space in spherical co-ordinates, derivation with respect to the radial and angular co-ordinates is far from trivial. Exploring the possibilities of defining a radial derivative of the…
In a recent paper in this journal [J. Stat. Mech. (2009) P02037] we proposed a new, physically motivated, distribution function for modeling individual incomes having its roots in the framework of the k-generalized statistical mechanics.…
The present article concerns the stochastic modeling of the turbulent dissipation field and in particular its temporal evolution. To do so, we will be calling for a random distribution, ubiquitous in several aspects of physics and…