相关论文: Level-crossing distributions of kinematic variable…
Stochastic computational models in the form of pure jump processes occur frequently in the description of chemical reactive processes, of ion channel dynamics, and of the spread of infections in populations. For spatially extended models,…
A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bridges are obtained by superimposing an additional guiding…
We develop sampling algorithms to fit Bayesian hierarchical models, the computational complexity of which scales linearly with the number of observations and the number of parameters in the model. We focus on crossed random effect and…
Using a semi-parametric approach based on the fourth-order Edgeworth expansion for the unknown signal distribution, we derive an explicit expression for the likelihood detection statistic in the presence of non-normally distributed…
A finite element approach to the elastic flow of a curve coupled with a diffusion equation on the curve is analysed. Considering the graph case, the problem is weakly formulated and approximated with continuous linear finite elements, which…
We present a novel analytical framework for the evaluation of important second order statistical parameters, as the level crossing rate (LCR) and the average fade duration (AFD) of the amplify-and-forward multihop Rayleigh fading channel.…
Continuously indexed datasets with multiple variables have become ubiquitous in the geophysical, ecological, environmental and climate sciences, and pose substantial analysis challenges to scientists and statisticians. For many years,…
In this paper, we prove a result of equivalence in law between a diffusion conditioned with respect to partial observations and an auxiliary process. By partial observations we mean coordinates (or linear transformation) of the process at a…
A random variable $Y_1$ is said to be smaller than $Y_2$ in the increasing concave stochastic order if $\mathbb{E}[\phi(Y_1)] \leq \mathbb{E}[\phi(Y_2)]$ for all increasing concave functions $\phi$ for which the expected values exist, and…
Laboratory experiments reveal that variations in bottom topography can qualitatively alter the distribution of randomized surface waves. A normally-distributed, unidirectional wave field becomes highly skewed and non-Gaussian upon…
The ratio of two consecutive level spacings has emerged as a very useful metric in investigating universal features exhibited by complex spectra. It does not require the knowledge of density of states and is therefore quite convenient to…
The so-called level crossing analysis has been used to investigate the empirical data set. But there is a lack of interpretation for what is reflected by the level crossing results. The fractional Gaussian noise as a well-defined stochastic…
We present general results on the univariate tail conditional expectation (TCE) and multivariate tail conditional expectation for location-scale mixture of elliptical distributions. Examples include the location-scale mixture of normal…
Despite their deterministic nature, dynamical systems often exhibit seemingly random behaviour. Consequently, a dynamical system is usually represented by a probabilistic model of which the unknown parameters must be estimated using…
This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum models. Therefore, the Monte Carlo estimation error and the…
The problem of sums of independent, identically distributed random variables with stretched-exponential tails exhibits a dynamical phase transition and has recently reemerged in the context of active transport and condensation phenomena. We…
In computing ship motion statistics (e.g., exceeding probability) in an irregular wave field, it is a common practice to represent the irregular waves by a large number of wave groups and compute the motion statistics from the distribution…
The nonlinear dynamics of an obliquely oriented wave packet at sea surface is studied both analytically and numerically for various initial parameters of the packet, in connection with the problem of oceanic rogue waves. In the framework of…
Whenever oceanic currents flow over rough topography, there is an associated stress that acts to modify the flow. In the deep ocean, this stress is predominantly a form drag due to pressure differentials across topography, caused by the…
Dealing with compound renewal process with generally distributed jump sizes and inter-renewal intervals, we focus on the approximation for the fixed-probability level, which is the core of inverse level crossing problem. We are developing…