相关论文: Statistical Analysis for Long Term Correlations in…

Stress accumulation-relaxation meta-models of pulsar glitches make precise, microphysics-agnostic predictions of long-term glitch statistics, which can be falsified by existing and future timing data. Previous meta-models assume that…

The plastic deformation of dilute alloys is often accompanied by plastic instabilities due to dynamic strain aging and dislocation interaction. The repeated breakaway of dislocations from and their recapture by solute atoms leads to stress…

In time-series analysis, the term "lead-lag effect" is used to describe a delayed effect on a given time series caused by another time series. lead-lag effects are ubiquitous in practice and are specifically critical in formulating…

This paper introduces a novel methodology that utilizes latency to unveil time-series dependence patterns. A customized statistical test detects memory dependence in event sequences by analyzing their inter-event time distributions.…

The relative timing of action potentials in neurons recorded from local cortical networks often shows a non-trivial dependence, which is then quantified by cross-correlation functions. Theoretical models emphasize that such spike train…

We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range…

Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…

We develop an instanton technique for calculations of correlation functions characterizing statistical behavior of the elastic string in disordered media and apply the proposed approach to correlations of string free energies corresponding…

The recurrence times between extreme events have been the central point of statistical analyses in many different areas of science. Simultaneously, the Poincar\'e recurrence time has been extensively used to characterize nonlinear dynamical…

Sampling considerations limit the experimental conditions under which information theoretic analyses of neurophysiological data yield reliable results. We develop a procedure for computing the full temporal entropy and information of…

Linear Response theory aims to predict how added forcing alters the statistical properties of an unforced system. These kinds of questions have been studied predominantly for autonomous dynamical systems, yet many systems in the physical,…

The statistics of records for a time series generated by a continuous time random walk is studied, and found to be independent of the details of the jump length distribution, as long as the latter is continuous and symmetric. However, the…

In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is…

We present a statistical test that can be used to verify supervisory requirements concerning overlapping time windows for the long-term calibration in rating systems. In a first step, we show that the long-run default rate is approximately…

We review recent advances on the record statistics of strongly correlated time series, whose entries denote the positions of a random walk or a L\'evy flight on a line. After a brief survey of the theory of records for independent and…

In the absence of synaptic coupling, two or more neural oscillators may become synchronized by virtue of the statistical correlations in their noisy input streams. Recent work has shown that the degree of correlation transfer from input…

We generalize the method of surrogate data of testing for nonlinearity in time series to the case that the data are sampled with uneven time intervals. The null hypothesis will be that the data have been generated by a linear stochastic…

The question of deriving general force/flux relationships that apply out of the linear response regime is a central topic of theories for nonequilibrium statistical mechanics. This work applies an information theory perspective to compute…

A theory of symbolic dynamic systems with long-range correlations based on the consideration of the binary N-step Markov chains developed earlier in Phys. Rev. Lett. 90, 110601 (2003) is generalized to the biased case (non equal numbers of…

Interval jitter and spike resampling methods are used to analyze the time scale on which temporal correlations occur. They allow the computation of jitter corrected cross correlograms and the performance of an associated statistically…