相关论文: Random matrix ensemble for the covariance matrix o…
We address a class of Markov jump linear systems that are characterized by the underlying Markov process being time-inhomogeneous with a priori unknown transition probabilities. Necessary and sufficient conditions for uniform stochastic…
Through laboratory measurements, we compare the rotation of spherical and ellipsoidal particles in homogeneous, isotropic turbulence. We find that the particles' angular velocity statistics are well described by an Ornstein-Uhlenbeck (OU)…
Mixed state ensembles such as the Bures-Hall and Hilbert-Schmidt measure are probability distributions that characterise the statistical properties of random density matrices and can be used to determine the typical features of mixed…
We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the…
We study the limiting spectral distribution of sample covariance matrices $XX^T$, where $X$ are $p\times n$ random matrices with correlated entries, for the cases $p/n\to y\in [0,\infty)$. If $y>0$, we obtain the Mar\v{c}enko-Pastur…
Stratification can cause turbulence spectra to deviate from Kolmogorov's isotropic -5/3 power-law scaling in the universal equilibrium range at high Reynolds numbers. However, a consensus has not been reached with regard to the exact shape…
We construct a new class of phenomenological equations of state for homogeneous matter for use in simulations of hot and dense matter in local thermodynamic equilibrium. We construct a functional form which respects experimental,…
Consider the linear stochastic differential equation (SDE) on $\mathbb{R}^n$: \[\mathrm {d}{X}_t=AX_t\,\mathrm{d}t+B\,\mathrm{d}L_t,\] where $A$ is a real $n\times n$ matrix, $B$ is a real $n\times d$ real matrix and $L_t$ is a L\'{e}vy…
The properties of a dilute granular gas in the homogeneous cooling state are mapped to those of a stationary state by means of a change in the time scale that does not involve any internal property of the system. The new representation is…
In this paper we propose a nonparametric procedure for validating the assumption of stationarity in multivariate locally stationary time series models. We develop a bootstrap assisted test based on a Kolmogorov-Smirnov type statistic, which…
Some sufficient conditions on the algebraic stability of non-homogeneous regime-switching diffusion processes are established. In this work we focus on determining the decay rate of a stochastic system which switches randomly between…
This paper considers the Linear Minimum Variance recursive state estimation for the linear discrete time dynamic system with random state transition and measurement matrices, i.e., random parameter matrices Kalman filtering. It is shown…
We present and discuss a general density-matrix description of energy-dissipation and decoherence phenomena in open quantum systems, able to overcome the intrinsic limitations of the conventional Markov approximation. In particular, the…
Steady state is an essential concept in reaction networks. Its stability reflects fundamental characteristics of several biological phenomena such as cellular signal transduction and gene expression. Because biochemical reactions occur at…
The Ornstein-Uhlenbeck process is interpreted as Brownian motion in a harmonic potential. This Gaussian Markov process has a bounded variance and admits a stationary probability distribution, in contrast to the standard Brownian motion. It…
We study nonequilibrium steady states (NESSs) in the weakly-coupled XXZ model in contact with two heat baths at different temperatures. We show that the density matrix can be represented using only projection operators specified by the…
Hierarchical autocorrelation in the error term of linear models arises when sampling units are related to each other according to a tree. The residual covariance is parametrized using the tree-distance between sampling units. When…
The paper deals with the problem of open systems out of equilibrium. An analytical expression for time-dependent density matrix of two arbitrary coupled identical quantum oscillators interacting with separate reservoirs is derived using…
We consider a general class of statistical experiments, in which an $n$-dimensional centered Gaussian random variable is observed and its covariance matrix is the parameter of interest. The covariance matrix is assumed to be…
We consider the Gaussian ensembles of random matrices and describe the normal modes of the eigenvalue spectrum, i.e., the correlated fluctuations of eigenvalues about their most probable values. The associated normal mode spectrum is…