Search results for " distribution."
showing 10 items of 4588 documents
Representation of Stationary Multivariate Gaussian Processes Fractional Differential Approach
2011
In this paper, the fractional spectral moments method (H-FSM) is used to generate stationary Gaussian multivariate processes with assigned power spectral density matrix. To this aim, firstly the N-variate process is expressed as sum of N fully coherent normal random vectors, and then, the representation in terms of HFSM is used.
Modelling Systemic Cojumps with Hawkes Factor Models
2013
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these jumps is described neither by a multivariate Poisson nor by a multivariate Hawkes model. We introduce a Hawkes one factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets.
Convergence of Measures
2020
One focus of probability theory is distributions that are the result of an interplay of a large number of random impacts. Often a useful approximation can be obtained by taking a limit of such distributions, for example, a limit where the number of impacts goes to infinity. With the Poisson distribution, we have encountered such a limit distribution that occurs as the number of very rare events when the number of possibilities goes to infinity (see Theorem 3.7). In many cases, it is necessary to rescale the original distributions in order to capture the behavior of the essential fluctuations, e.g., in the central limit theorem. While these theorems work with real random variables, we will a…
Riesz-Fischer Maps, Semi-frames and Frames in Rigged Hilbert Spaces
2021
In this note we present a review, some considerations and new results about maps with values in a distribution space and domain in a σ-finite measure space X. Namely, this is a survey about Bessel maps, frames and bases (in particular Riesz and Gel’fand bases) in a distribution space. In this setting, the Riesz-Fischer maps and semi-frames are defined and new results about them are obtained. Some examples in tempered distributions space are examined.
Regularity of a Degenerated Convolution Semi-Group Without to Use the Poisson Process
2011
We translate in semi-group theory our regularity result for a degenerated convolution semi-group got by the Malliavin Calculus of Bismut type for Poisson processes.
Quenched and annealed free energies
1984
This paper gives a simple exposition of the Nishimori method to solve certain quenched, random bond spin-glass models. It allows a transparent physical interpretation in terms of annealed systems. As an application a special solution of the Sherrington-Kirkpatrick model with a discrete probability distribution is obtained and shown to agree with the solution for the Gaussian case. This substantiates the claim that the averaged free energy does not depend on the details of the probability distribution Expose simple de la methode de Nishimori pour resoudre certains modeles de verres de spin avec interactions aleatoires. Interpretation transparente en termes de systemes recuits. Presentation d…
How to Improve the Reliability of Chord?
2008
In this paper we focus on Chord P2P protocol and we study the process of unexpected departures of nodes from this system. Each of such departures may effect in losing any information and in classical versions of this protocol the probability of losing some information is proportional to the quantity of information put into this system. This effect can be partially solved by gathering in the protocol multiple copies (replicas) of information. The replication mechanism was proposed by many authors. We present a detailed analysis of one variant of blind replication and show that this solution only partially solves the problem. Next we propose two less obvious modifications of the Chord protoco…
Model selection using limiting distributions of second-order blind source separation algorithms
2015
Signals, recorded over time, are often observed as mixtures of multiple source signals. To extract relevant information from such measurements one needs to determine the mixing coefficients. In case of weakly stationary time series with uncorrelated source signals, this separation can be achieved by jointly diagonalizing sample autocovariances at different lags, and several algorithms address this task. Often the mixing estimates contain close-to-zero entries and one wants to decide whether the corresponding source signals have a relevant impact on the observations or not. To address this question of model selection we consider the recently published second-order blind identification proced…
Functional inequalities for generalized inverse trigonometric and hyperbolic functions
2014
Various miscellaneous functional inequalities are deduced for the so-called generalized inverse trigonometric and hyperbolic functions. For instance, functional inequalities for sums, difference and quotient of generalized inverse trigonometric and hyperbolic functions are given, as well as some Gr\"unbaum inequalities with the aid of the classical Bernoulli inequality. Moreover, by means of certain already derived bounds, bilateral bounding inequalities are obtained for the generalized hypergeometric ${}_3F_2$ Clausen function.
Context–content systems of random variables : The Contextuality-by-Default theory
2016
Abstract This paper provides a systematic yet accessible presentation of the Contextuality-by-Default theory. The consideration is confined to finite systems of categorical random variables, which allows us to focus on the basics of the theory without using full-scale measure-theoretic language. Contextuality-by-Default is a theory of random variables identified by their contents and their contexts, so that two variables have a joint distribution if and only if they share a context. Intuitively, the content of a random variable is the entity the random variable measures or responds to, while the context is formed by the conditions under which these measurements or responses are obtained. A …