相关论文: Propagation of Memory Parameter from Durations to …

We introduce a generalisation of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in the (instantaneous) standard deviation…

For the multivariate COGARCH process, we obtain explicit expressions for the second-order structure of the "squared returns" process observed on an equidistant grid. Based on this, we present a generalized method of moments estimator for…

We propose an extension to neural network language models to adapt their prediction to the recent history. Our model is a simplified version of memory augmented networks, which stores past hidden activations as memory and accesses them…

It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log-log periodogram plots indicate a straight-line…

Many scientific areas, from computer science to the environmental sciences and finance, give rise to multivariate time series which exhibit long memory, or loosely put, a slow decay in their autocorrelation structure. Efficient modelling…

This paper explores the continuous-time limit of a class of Quasi Score-Driven (QSD) models that characterize volatility. As the sampling frequency increases and the time interval tends to zero, the model weakly converges to a…

Any repeated use of a fixed experimental instrument is subject to memory effects. We design an estimation method uncovering the details of the underlying interaction between the system and the internal memory without having any experimental…

Memory effects are a key feature in the description of the dynamical systems governed by the generalized Langevin equation, which presents an exact reformulation of the equation of motion. A simple measure for the estimation of memory…

The mathematical model of a linear system with the short memory about own stochastic behavior is proposed. It is assumed that the system is under a continual influence of independent stochastic impulses. In a short memory approximation the…

Memory consistency models define the order in which accesses to shared memory in a concurrent system may be observed to occur. Such models are a necessity since program order is not a reliable indicator of execution order, due to…

Products of random matrices in the $(\max,+)$ algebra are used as a model for a class of discrete event dynamical systems. J. Mairesse proved that such a system couples in finite times with a unique stationary regime if and only if it has a…

We analyze the scaled voter model, which is a generalization of the noisy voter model with time-dependent herding behavior. We consider the case when the intensity of herding behavior grows as a power-law function of time. In this case, the…

This paper reviews recent developments of robust estimation in linear time series models, with short and long memory correlation structures, in the presence of additive outliers. Based on the manuscripts Fajardo et al. (2009) and…

We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…

We introduce a Vasicek-type short rate model which has two additional parameters representing memory effect. This model presents better results in yield curve fitting than the classical Vasicek model. We derive closed-form expressions for…

We introduce a differentiable random access memory module with $O(1)$ performance regardless of size, scaling to billions of entries. The design stores entries on points of a chosen lattice to calculate nearest neighbours of arbitrary…

We present a theory of modified reduced dynamics in the presence of counting fields. Reduced dynamics techniques are useful for describing open quantum systems at long emergent timescales when the memory timescales are short. However, they…

In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…

In economic program evaluation, it is common to obtain panel data in which outcomes are indicators that an individual has reached an absorbing state. For example, they may indicate whether an individual has exited a period of unemployment,…

We study a fundamental instability mechanism in nonlinear, nonlocal dynamical systems arising from the interaction of long-range memory and stochastic regime switching. The dynamics are governed by network-coupled, operator-valued Volterra…