Search results for " and statistics"

Multivariate correlation measures reveal structure and strength of brain–body physiological networks at rest and during mental stress

2021

In this work, we extend to the multivariate case the classical correlation analysis used in the field of network physiology to probe dynamic interactions between organ systems in the human body. To this end, we define different correlation-based measures of the multivariate interaction (MI) within and between the brain and body subnetworks of the human physiological network, represented, respectively, by the time series of delta, theta, alpha, and beta electroencephalographic (EEG) wave amplitudes, and of heart rate, respiration amplitude, and pulse arrival time (PAT) variability. MI is computed: (i) considering all variables in the two subnetworks to evaluate overall brain–body interaction…

Role of noise in a market model with stochastic volatility

2006

We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the market dynamics characterized by different regimes corresponding to normal and extreme days. We analyze the effect of the noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that is the noise induced enhancement of the lifetime of a metastable state. We observe NES ef…

Data Blinding for the nEDM Experiment at PSI

2020

Psychological bias towards, or away from, prior measurements or theory predictions is an intrinsic threat to any data analysis. While various methods can be used to try to avoid such a bias, e.g. actively avoiding looking at the result, only data blinding is a traceable and trustworthy method that can circumvent the bias and convince a public audience that there is not even an accidental psychological bias. Data blinding is nowadays a standard practice in particle physics, but it is particularly difficult for experiments searching for the neutron electric dipole moment (nEDM), as several cross measurements, in particular of the magnetic field, create a self-consistent network into which it …

Probability and statistics

2013

Diffusive behavior and the modeling of characteristic times in limit order executions

2007

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays asymptotically as a power law, but that of FPT has significantly fatter tails than that of TTF. Thus a simple first passage time model cannot account for the observed TTF of limit orders. We propose that the origin of this difference is the presence of cancellations. We outline a simple model, which assumes that prices are characterized by the empirically observed distribution …

Noise-induced enhancement of stability in a metastable system with damping

2010

5 páginas, 5 figuras.-- PACS number(s): 05.40.-a, 02.50.-r

Goodness-of-fit tests in many dimensions

2004

A method is presented to construct goodness-of-fit statistics in many dimensions for which the distribution of all possible test results in the limit of an infinite number of data becomes Gaussian if also the number of dimensions becomes infinite. Furthermore, an explicit example is presented, for which this distribution as good as only depends on the expectation value and the variance of the statistic for any dimension larger than one.

Monte Carlo simulation of virtual Compton scattering below pion threshold

2006

This paper describes the Monte Carlo simulation developed specifically for the VCS experiments below pion threshold that have been performed at MAMI and JLab. This simulation generates events according to the (Bethe-Heitler + Born) cross section behaviour and takes into account all relevant resolution-deteriorating effects. It determines the `effective' solid angle for the various experimental settings which are used for the precise determination of photon electroproduction absolute cross section.

Hierarchy and dynamics of trace distance correlations

2013

We define and analyze measures of correlations for bipartite states based on trace distance. For Bell diagonal states of two qubits, in addition to the known expression for quantum correlations using this metric, we provide analytic expressions for the classical and total correlations. The ensuing hierarchy of correlations based on trace distance is compared to the ones based on relative entropy and Hilbert-Schmidt norm. Although some common features can be found, the trace distance measure is shown to differentiate from the others in that the closest uncorrelated state to a given bipartite quantum state is not given by the product of the marginals, and further, the total correlations are s…

Sign problem of the fermionic shadow wave function

2014

We present a whole series of methods to alleviate the sign problem of the fermionic shadow wave function in the context of variational Monte Carlo. The effectiveness of our techniques is demonstrated on liquid ^{3}He. We found that although the variance is reduced, the gain in efficiency is restricted by the increased computational cost. Yet, this development not only extends the scope of the fermionic shadow wave function, but also facilitates highly accurate quantum Monte Carlo simulations previously thought not feasible.