相关论文: Compounding approach for univariate time series wi…

Many systems arising in biological applications are subject to periodic forcing. In these systems the forcing parameter is not only time-varying but also known to have a periodic structure. We present an approach to estimating periodic,…

We study rates of convergence in central limit theorems for partial sum of functionals of general stationary and non-stationary Gaussian sequences, using optimal tools from analysis on Wiener space. We apply our result to study drift…

When building linear or nonlinear models one is faced with the problem of selecting the best set of variable with which to predict the future dynamics. In nonlinear time series analysis the problem is to select the correct time delays in…

Statistical analysis of high-dimensional functional times series arises in various applications. Under this scenario, in addition to the intrinsic infinite-dimensionality of functional data, the number of functional variables can grow with…

In this paper we propose a Bayesian nonparametric approach to modelling sparse time-varying networks. A positive parameter is associated to each node of a network, which models the sociability of that node. Sociabilities are assumed to…

Epidemics are often modelled using non-linear dynamical systems observed through partial and noisy data. In this paper, we consider stochastic extensions in order to capture unknown influences (changing behaviors, public interventions,…

Cumulants linearize convolution of measures. We use a formula of Good to define noncommutative cumulants in a very general setting.It turns out that the essential property needed is exchangeability of random variables. Roughly speaking the…

It is demonstrated how to generate time series with tailored nonlinearities by inducing well- defined constraints on the Fourier phases. Correlations between the phase information of adjacent phases and (static and dynamic) measures of…

For nonlinear discrete time systems satisfying a controllability condition, we present a stability condition for model predictive control without stabilizing terminal constraints or costs. The condition is given in terms of an analytical…

In the copula-based approach to univariate time series modeling, the finite dimensional temporal dependence of a stationary time series is captured by a copula. Recent studies investigate how copula-based time series models can be…

In this paper, we introduce a new method for testing the stationarity of time series, where the test statistic is obtained from measuring and maximising the difference in the second-order structure over pairs of randomly drawn intervals.…

The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…

A space fractional diffusion-like equation is introduced, which embodies the nonlocality in time, represented by the memory kernel and the non-locality in space. A specific example of the nonlocal term is considered in combination with…

This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time series with piecewise smooth trends. Built on a novel and unified…

Here, we have analysed a GARCH(1,1) model with the aim to fit higher order moments for different companies' stock prices. When we assume a gaussian conditional distribution, we fail to capture any empirical data when fitting the first three…

In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing on the parsimony of the number of parameters, the…

In this work we introduce a class of dynamic models for time series taking values on the unit interval. The proposed model follows a generalized linear model approach where the random component, conditioned on the past information, follows…

This paper explores the classification of parameter spaces for reaction-diffusion systems of two chemical species on stationary domains. The dynamics of the system are explored both in the absence and presence of diffusion. The parameter…

The paper offers a unified approach to the study of three locally adaptive estimation methods in the context of univariate time series from both theoretical and empirical points of view. A general procedure for the computation of critical…

Of primary interest in this paper is the numerical approximation of a time dependent fractional, in space, diffusion equation where the domain is assumed to be nonhomogeneous, having different axial diffusion coefficients. This work is…