相关论文: Statistical Dependence Analysis

Constraint-based causal discovery algorithms utilize many statistical tests for conditional independence to uncover networks of causal dependencies. These approaches to causal discovery rely on an assumed correspondence between the…

We study the critical behavior of the Ising model in three dimensions on a lattice with site disorder by using Monte Carlo simulations. The disorder is either uncorrelated or long-range correlated with correlation function that decays…

Monte Carlo simulations of the short-time dynamic behavior are reported for three-dimensional Ising and XY models with long-range correlated disorder at criticality, in the case corresponding to linear defects. The static and dynamic…

We study the statistical properties of the sum $S_t=\int_{0}^{t}dt' \sigma_{t'}$, that is the difference of time spent positive or negative by the spin $\sigma_{t}$, located at a given site of a $D$-dimensional Ising model evolving under…

This paper is concerned with test of the conditional independence. We first establish an equivalence between the conditional independence and the mutual independence. Based on the equivalence, we propose an index to measure the conditional…

A new index based on empirical copulas, termed the Copula Statistic (CoS), is introduced for assessing the strength of multivariate dependence and for testing statistical independence. New properties of the copulas are proved. They allow us…

The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…

We study the purely relaxational dynamics (model A) at criticality in three-dimensional disordered Ising systems whose static critical behaviour belongs to the randomly diluted Ising universality class. We consider the site-diluted and…

We study the off-equilibrium relaxational dynamics at criticality in the three-dimensional Blume-Capel model whose static critical behaviour belongs to the 3d-Ising universality class. Using "improved" Hamiltonian (the leading corrections…

A restricted dynamics, previously introduced in a kinetic model for relaxation phenomena in linear polymer chains, is used to study the dynamic critical exponent of one-dimensional Ising models. Both the alternating isotopic chain and the…

With Monte Carlo methods, we simulate the critical domain-wall dynamics of model B, taking the two-dimensional Ising model as an example. In the macroscopic short-time regime, a dynamic scaling form is revealed. Due to the existence of the…

The time evolution of the three-dimensional critical Ising model relaxing from a nonequilibrium initial state is studied by means of Monte Carlo simulation. We observe the characteristic initial increase of the (spatially) averaged…

The dynamics based on information transfer is proposed as an underlying mechanism for the scale-invariant dynamic critical behavior observed in a variety of systems. We apply the dynamics to the globally-coupled Ising model, which is…

Stochastic contraction analysis is a recently developed tool for studying the global stability properties of nonlinear stochastic systems, based on a differential analysis of convergence in an appropriate metric. To date, stochastic…

We suggest novel correlation coefficients which equal the maximum correlation for a class of bivariate Lancaster distributions while being only slightly smaller than maximum correlation for a variety of further bivariate distributions. In…

We propose an estimator of the Hilbert-Schmidt Independence Criterion obtained from an appropriate modification of the usual estimator. We then get asymptotic normality of this estimator both under independence hypothesis and under the…

Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…

This paper proposes a new statistic to test independence between two high dimensional random vectors ${\mathbf{X}}:p_1\times1$ and ${\mathbf{Y}}:p_2\times1$. The proposed statistic is based on the sum of regularized sample canonical…

This paper provides an overview of the research on the metastable behavior of the Ising model. We analyze the transition times from the set of metastable states to the set of the stable states by identifying the critical configurations that…

One of the central objectives of modern risk management is to find a set of risks where the probability of multiple simultaneous catastrophic events is negligible. That is, risks are taken only when their joint behavior seems sufficiently…