相关论文: Asymptotics for Duration-Driven Long Range Depende…

Performance accuracy of the Euclidean Distance Discriminant rule (EDDR) is studied in the high-dimensional asymptotic framework which allows the dimensionality to exceed sample size. Under mild assumptions on the traces of the covariance…

This paper considers a continuous time analogue of the classical autoregressive moving average processes, L\'evy-driven CARMA processes. First we describe limiting properties of the periodogram by means of the so-called truncated Fourier…

We provide an overview of high dimensional dynamical systems driven by random matrices, focusing on applications to simple models of learning and generalization in machine learning theory. Using both cavity method arguments and path…

Stochastic volatility processes with heavy-tailed innovations are a well-known model for financial time series. In these models, the extremes of the log returns are mainly driven by the extremes of the i.i.d. innovation sequence which leads…

This paper focuses on systems of nonlinear second-order stochastic differential equations with multi-scales. The motivation for our study stems from mathematical physics and statistical mechanics, for examples, Langevin dynamics and…

Multivariate processes with long-range dependent properties are found in a large number of applications including finance, geophysics and neuroscience. For real data applications, the correlation between time series is crucial. Usual…

We investigate temporal behavior of probability density functions (pdfs) of paradigmatic jump-type and continuous processes that, under confining regimes, share common heavy-tailed asymptotic (target) pdfs. Namely, we have shown that under…

An approximate method based on adiabatic time dependent density functional theory (TDDFT) is presented, that allows for the description of the electron dynamics in nanoscale junctions under arbitrary time dependent external potentials. In…

This paper investigates the asymptotic behavior of higher-order conditional tail moments, which quantify the contribution of individual losses in the event of systemic collapse. The study is conducted within a framework comprising two…

Linear-response time-dependent Density Functional Theory (LR-TDDFT) is a widely used method for accurately predicting the excited-state properties of physical systems. Previous works have attempted to accelerate LR-TDDFT using heterogeneous…

In this paper we study strong approximations (invariance principles) of the sequential uniform and general Bahadur--Kiefer processes of long-range dependent sequences. We also investigate the strong and weak asymptotic behavior of the…

We find the asymptotic distribution of the sample autocovariances of long-memory processes in cases of finite and infinite fourth moment. Depending on the interplay of assumptions on moments and the intensity of dependence, there are three…

In this paper, we investigate a deep learning method for predicting path-dependent processes based on discretely observed historical information. This method is implemented by considering the prediction as a nonparametric regression and…

Discrete transforms such as the discrete Fourier transform (DFT) or the discrete Hartley transform (DHT) furnish an indispensable tool in signal processing. The successful application of transform techniques relies on the existence of the…

We propose the time-delayed transformer (TD-TF), a simplified transformer architecture for data-driven modeling of unsteady spatio-temporal dynamics. TD-TF bridges linear operator-based methods and deep sequence models by showing that a…

We study the rate-distortion function (RDF) for the lossy compression of discrete-time (DT) wide-sense almost cyclostationary (WSACS) Gaussian processes with memory, arising from sampling continuous-time (CT) wide-sense cyclostationary…

A recent result by Barrera and Peligrad shows that the quenched Central Limit Theorem holds for the discrete Fourier transforms (DFT) of a stationary process in $L^2$ if a "random" centering is used. In this note we show that this is a…

It is commonly acknowledged that V-functionals with an unbounded kernel are not Hadamard differentiable and that therefore the asymptotic distribution of U- and V-statistics with an unbounded kernel cannot be derived by the Functional Delta…

This paper describes a model for generating time series which exhibit the statistical phenomenon known as long-range dependence (LRD). A Markov Modulated Process based upon an infinite Markov chain is described. The work described is…

Imposing some flexible sampling scheme we provide some discretization of continuous time discrete scale invariant (DSI) processes which is a subsidiary discrete time DSI process. Then by introducing some simple random measure we provide a…