相关论文: A new Multifractional Process with Random Exponent

The major goal of this paper is to study the second order frequentist properties of the marginal posterior distribution of the parametric component in semiparametric Bayesian models, in particular, a second order semiparametric…

In this paper, we consider the problem of preamble design in multiple-input multiple-output (MIMO) systems employing offset quadrature amplitude modulation based filter bank multicarrier (OQAM/FBMC) and propose a preamble optimization…

Stochastic modeling has become a popular approach to quantify uncertainty in flows through heterogeneous porous media. The uncertainty in heterogeneous structure properties is often parameterized by a high-dimensional random variable. This…

The Hilbert space of probability mass functions (pmf) is introduced in this thesis. A factorization method for multivariate pmfs is proposed by using the tools provided by the Hilbert space of pmfs. The resulting factorization is special…

In this work, we introduce a time memory formalism in poroelasticity model that couples the pressure and displacement. We assume this multiphysics process occurs in multicontinuum media. The mathematical model contains a coupled system of…

We consider an input-to-response (ItR) system characterized by (1) parameterized input with a known probability distribution and (2) stochastic ItR function with heteroscedastic randomness. Our purpose is to efficiently quantify the extreme…

Modern physics simulation often involves multiple functions of interests, and traditional numerical approaches are known to be complex and computationally costly. While machine learning-based surrogate models can offer significant cost…

In this presentation, we introduce a new method for change point analysis on the Hurst index for a piecewise fractional Brownian motion. We first set the model and the statistical problem. The proposed method is a transposition of the FDpV…

This paper considers the analysis of partial differential equations (PDE) containing multiple random variables. Recently developed collocation methods enable the construction of high-order stochastic solutions by converting a stochastic PDE…

The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for example that log-prices follow an fBm, one can exploit the…

As an extension of isotropic Gaussian random fields and Q-Wiener processes on d-dimensional spheres, isotropic Q-fractional Brownian motion is introduced and sample H\"older regularity in space-time is shown depending on the regularity of…

We consider a class of systems with time-varying parameters, which are written as linear regressions with bounded disturbances. The task is to estimate such parameters under the condition that the regressor is finitely exciting (FE).…

In this article, we present a new preconditioner, MatExPre, for the high-frequency Helmholtz equation by leveraging the properties of matrix exponentials. Our approach begins by reformulating the Helmholtz equation into a…

We describe a method to perform functional operations on probability distributions of random variables. The method uses reproducing kernel Hilbert space representations of probability distributions, and it is applicable to all operations…

Multi-function radars (MFRs) are sophisticated types of sensors with the capabilities of complex agile inter-pulse modulation implementation and dynamic work mode scheduling. The developments in MFRs pose great challenges to modern…

Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…

This paper deals with the Local Asymptotical normality for the joint drift parameter and Hurst parameter $H>3/4$ in the mixed fractional Ornstein-Uhlenbeck process. Different from the only estimation of the drift parameter when $H$ is…

We introduce a new class of semiparametric latent variable models for long memory discretized event data. The proposed methodology is motivated by a study of bird vocalizations in the Amazon rain forest; the timings of vocalizations exhibit…

We study the estimation of the invariant density of additive fractional stochastic differential equations with Hurst parameter $H \in (0,1)$. We first focus on continuous observations and develop a kernel-based estimator achieving faster…

This paper gives a brief introduction to some important fractional and multifractional Gaussian processes commonly used in modelling natural phenomena and man-made systems. The processes include fractional Brownian motion (both standard and…