English

Linear processes in high-dimension: phase space and critical properties

Statistical Mechanics 2015-06-11 v1 Data Analysis, Statistics and Probability

Abstract

In this work we investigate the generic properties of a stochastic linear model in the regime of high-dimensionality. We consider in particular the Vector AutoRegressive model (VAR) and the multivariate Hawkes process. We analyze both deterministic and random versions of these models, showing the existence of a stable and an unstable phase. We find that along the transition region separating the two regimes, the correlations of the process decay slowly, and we characterize the conditions under which these slow correlations are expected to become power-laws. We check our findings with numerical simulations showing remarkable agreement with our predictions. We finally argue that real systems with a strong degree of self-interaction are naturally characterized by this type of slow relaxation of the correlations.

Keywords

Cite

@article{arxiv.1412.6998,
  title  = {Linear processes in high-dimension: phase space and critical properties},
  author = {Iacopo Mastromatteo and Emmanuel Bacry and Jean-François Muzy},
  journal= {arXiv preprint arXiv:1412.6998},
  year   = {2015}
}

Comments

40 pages, 5 figures

R2 v1 2026-06-22T07:40:43.112Z