相关论文: On Sampling of stationary increment processes

In environmental applications of extreme value statistics, the underlying stochastic process is often modeled either as a max-stable process in continuous time/space or as a process in the domain of attraction of such a max-stable process.…

We develop and generalize the theory of extreme value for non-stationary stochastic processes, mostly by weakening the uniform mixing condition that was previously used in this setting. We apply our results to non-autonomous dynamical…

We characterize the sample size required for accurate graphical model selection from non-stationary samples. The observed data is modeled as a vector-valued zero-mean Gaussian random process whose samples are uncorrelated but have different…

For statistics of rare events in systems obeying a large-deviation principle, the rate function is a key quantity. When numerically estimating the rate function one is always restricted to finite system sizes. Thus, if the interest is in…

The accurate estimation of scaling exponents is central in the observational study of scale-invariant phenomena. Natural systems unavoidably provide observations over restricted intervals; consequently a stationary stochastic process (time…

This paper deals with the question of conditional sampling and prediction for the class of stationary max-stable processes which allow for a mixed moving maxima representation. We develop an exact procedure for conditional sampling using…

The problem of finding the expected value of a statistic of a locally stable point process in a bounded region is addressed. We propose an adaptive importance sampling for solving the problem. In our proposal, we restrict the importance…

We present an algorithm for finding the probabilities of rare events in nonequilibrium processes. The algorithm consists of evolving the system with a modified dynamics for which the required event occurs more frequently. By keeping track…

Observing a load process above high thresholds, modeling it as a pulse process with random occurrence times and magnitudes, and extrapolating life-time maximum or design loads from the data is a common task in structural reliability…

We describe how to analyze the wide class of non stationary processes with stationary centered increments using Shannon information theory. To do so, we use a practical viewpoint and define ersatz quantities from time-averaged probability…

The problem of the estimation of relevance to a set of histograms generated by samples of a discrete time process is discussed on the base of the variational principles proposed in the previous paper [1]. Some conditions for dimension…

The paper is dealing with semi-classical asymptotics of a characteristic function for a stochastic process. The main technical tool is provided by the stationary phase method. The extremal range for a stochastic process is defined by limit…

For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution.…

Large deviations for additive path functionals of stochastic processes have attracted significant research interest, in particular in the context of stochastic particle systems and statistical physics. Efficient numerical `cloning'…

The extremes of a stationary time series typically occur in clusters. A primary measure for this phenomenon is the extremal index, representing the reciprocal of the expected cluster size. Both a disjoint and a sliding blocks estimator for…

Methods of estimation and forecasting for stationary models are well known in classical time series analysis. However, stationarity is an idealization which, in practice, can at best hold as an approximation, but for many time series may be…

A specific family of point processes are introduced that allow to select samples for the purpose of estimating the mean or the integral of a function of a real variable. These processes, called quasi-systematic processes, depend on a tuning…

Driven by applications in telecommunication networks, we explore the simulation task of estimating rare event probabilities for tandem queues in their steady state. Existing literature has recognized that importance sampling methods can be…

This paper considers binomial approximation of continuous time stochastic processes. It is shown that, under some mild integrability conditions, a process can be approximated in mean square sense and in other strong metrics by binomial…

Stationary stochastic processes with independent increments, of which the Poisson process is a prominent example, are widely used to describe real world events. With the basic assumption that a counting process is stationary and has…