相关论文: Explicit Form of Coefficients in any MA(2) Process

The conformal algebra provides powerful constraints, which guarantee that renormalized conformally covariant operators exist in the hypothetical conformal limit of the theory, where the $\beta$-function vanishes. Thus, in this limit also…

It was shown in Mishura et al. (Stochastic Process. Appl. 123 (2013) 2353-2369), that any random variable can be represented as improper pathwise integral with respect to fractional Brownian motion. In this paper, we extend this result to…

We derive a closed-form expression for the finite predictor coefficients of multivariate ARMA (autoregressive moving-average) processes. The expression is given in terms of several explicit matrices that are of fixed sizes independent of…

Many applications require stochastic processes specified on two- or higher-dimensional domains; spatial or spatial-temporal modelling, for example. In these applications it is attractive, for conceptual simplicity and computational…

We define and study fractional versions of the well-known Gamma subordinator $\Gamma :=\{\Gamma (t),$ $t\geq 0\},$ which are obtained by time-changing $% \Gamma $ by means of an independent stable subordinator or its inverse. Their…

Covariant affine integral quantization is studied and applied to the motion of a particle in a punctured plane R^2_\ast=R^2\{0}, for which the phase space is R^2_\ast=R^2\{0}X R^2. We examine the consequences of different quantizer…

Moving from univariate to bivariate jointly dependent long-memory time series introduces a phase parameter $(\gamma)$, at the frequency of principal interest, zero; for short-memory series $\gamma=0$ automatically. The latter case has also…

For each $\lambda>0$ and every square-integrable infinitely-divisible (ID) distribution there exists at least one stationary stochastic process $t\mapsto X_t$ with the specified distribution for $X_1$ and with first-order autoregressive…

We introduce an integrable stochastic process associated with the $D_2$ quantum group, which can be decomposed into two symmetric simple exclusion processes. We establish the integrability of the model under three types of boundary…

A two-state spin system is specified by a 2 x 2 matrix A = {A_{0,0} A_{0,1}, A_{1,0} A_{1,1}} = {\beta 1, 1 \gamma} where \beta, \gamma \ge 0. Given an input graph G=(V,E), the partition function Z_A(G) of a system is defined as Z_A(G) =…

For a multivariate stationary process, we develop explicit representations for the finite predictor coefficient matrices, the finite prediction error covariance matrices and the partial autocorrelation function (PACF) in terms of the…

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…

In the first part of this paper we give an elementary proof of the fact that if an infinite matrix $A$, which is invertible as a bounded operator on $\ell^2$, can be uniformly approximated by banded matrices then so can the inverse of $A$.…

In this article we study the structure of $\Gamma$-invariant spaces of $L^2(\bf R)$. Here $\bf R$ is a second countable LCA group. The invariance is with respect to the action of $\Gamma$, a non commutative group in the form of a semidirect…

Invertible processes are central to functional time series analysis, making the estimation of their defining operators a key problem. While asymptotic error bounds have been established for specific ARMA models on $L^2[0,1]$, a general…

We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in $\alpha$-stable $(1< \alpha \le 2)$ i.i.d. innovations and related tempered linear processes with vanishing tempering parameter $\lambda…

Using elementary cellular automata (CA) as an example, we show how to coarse-grain CA in all classes of Wolfram's classification. We find that computationally irreducible (CIR) physical processes can be predictable and even computationally…

Coarse-grained models are a core computational tool in theoretical chemistry and biophysics. A judicious choice of a coarse-grained model can yield physical insight by isolating the essential degrees of freedom that dictate the…

A spectral representation for regularly varying L\'evy processes with index between one and two is established and the properties of the resulting random noise are discussed in detail giving also new insight in the $L^2$-case where the…

We use techniques of dyadic analysis in order to prove that, for every $0<s<\tfrac{1}{2}$, there exists a positive constant $\gamma(s)$ such that the inequality $$\left(\iint_{\mathbb{R}^2}|x-y|^{2s-1}|\varphi(x)||\varphi(y)|dx…