相关论文: Multifractality in the Random Parameters Model

We study the problem of parameter estimation for time-series possessing two, widely separated, characteristic time scales. The aim is to understand situations where it is desirable to fit a homogenized singlescale model to such multiscale…

We consider a large class of exponential random graph models and prove the existence of a region of parameter space corresponding to multipartite structure, separated by a phase transition from a region of disordered graphs.

The construction of valid and flexible cross-covariance functions is a fundamental task for modeling multivariate space-time data arising from climatological and oceanographical phenomena. Indeed, a suitable specification of the covariance…

This paper deals with the problem of estimating the covariance matrix of a series of independent multivariate observations, in the case where the dimension of each observation is of the same order as the number of observations. Although…

A different general philosophy, to be called Full Randomness (FR), for the analysis of random effects models is presented, involving a notion of reducing or preferably eliminating fixed effects, at least formally. For example, under FR…

This article considers to model large-dimensional matrix time series by introducing a regression term to the matrix factor model. This is an extension of classic matrix factor model to incorporate the information of known factors or useful…

We consider deep multivariate models for heterogeneous collections of random variables. In the context of computer vision, such collections may e.g. consist of images, segmentations, image attributes, and latent variables. When developing…

A parameterization that is a modified version of a previous work is proposed for the returns and correlation matrix of financial time series and its properties are studied. This parameterization allows easy introduction of non-stationarity…

Experiments on fracture surface morphologies offer increasing amounts of data that can be analyzed using methods of statistical physics. One finds scaling exponents associated with correlation and structure functions, indicating a rich…

The final step of most large-scale structure analyses involves the comparison of power spectra or correlation functions to theoretical models. It is clear that the theoretical models have parameter dependence, but frequently the…

Regression is one of the most fundamental statistical inference problems. A broad definition of regression problems is as estimation of the distribution of an outcome using a family of probability models indexed by covariates. Despite the…

We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…

A Bayesian multivariate model with a structured covariance matrix for multi-way nested data is proposed. This flexible modeling framework allows for positive and for negative associations among clustered observations, and generalizes the…

Networks are often studied using the eigenvalues of their adjacency matrix, a powerful mathematical tool with a wide range of applications. Since in real systems the exact graph structure is not known, researchers resort to random graphs to…

A methodology is developed for the adjustment of the covariance matrices underlying a multivariate constant time series dynamic linear model. The covariance matrices are embedded in a distribution-free inner-product space of matrix objects…

This paper deals with the problem of parameter estimation based on certain eigenspaces of the empirical covariance matrix of an observed multidimensional time series, in the case where the time series dimension and the observation window…

The concepts of probability, statistics and stochastic theory are being successfully used in structural engineering. Markov Chain modelling is a simple stochastic process model that has found its application in both describing stochastic…

The integration of physical relationships into stochastic models is of major interest e.g. in data assimilation. Here, a multivariate Gaussian random field formulation is introduced, which represents the differential relations of the…

Pseudo-variograms appear naturally in the context of multivariate Brown-Resnick processes, and are a useful tool for analysis and prediction of multivariate random fields. We give a necessary and sufficient criterion for a matrix-valued…

This paper considers multiple regression procedures for analyzing the relationship between a response variable and a vector of covariates in a nonparametric setting where both tuning parameters and the number of covariates need to be…