Search results for "Statistical"
showing 10 items of 4960 documents
Mass-flux-based outlet boundary conditions for the lattice Boltzmann method
2009
We present outlet boundary conditions for the lattice Boltzmann method. These boundary conditions are constructed with a mass-flux-based approach. Conceptually, the mass-flux-based approach provides a mathematical framework from which specific boundary conditions can be derived by enforcing given physical conditions. The object here is, in particular, to explain the mass-flux-based approach. Furthermore, we illustrate, transparently, how boundary conditions can be derived from the emerging mathematical framework. For this purpose, we derive and present explicitly three outlet boundary conditions. By construction, these boundary conditions have an apparent physical interpretation which is fu…
Forward likelihood-based predictive approach for space-time point processes
2011
Dealing with data from a space–time point process, the estimation of the conditional intensity function is a crucial issue even if a complete definition of a parametric model is not available. In particular, in case of exploratory contexts or if we want to assess the adequacy of a specific parametric model, some kind of nonparametric estimation procedure could be useful. Often, for these purposes kernel estimators are used and the estimation of the intensity function depends on the estimation of bandwidth parameters. In some fields, like for instance the seismological one, predictive properties of the estimated intensity function are pursued. Since a direct ML approach cannot be used, we pr…
Linear Recursive Equations, Covariance Selection, and Path Analysis
1980
Abstract By defining a reducible zero pattern and by using the concept of multiplicative models, we relate linear recursive equations that have been introduced by econometrician Herman Wold (1954) and path analysis as it was proposed by geneticist Sewall Wright (1923) to the statistical theory of covariance selection formulated by Arthur Dempster (1972). We show that a reducible zero pattern is the condition under which parameters as well as least squares estimates in recursive equations are one-to-one transformations of parameters and of maximum likelihood estimates, respectively, in a decomposable covariance selection model. As a consequence, (a) we can give a closed-form expression for t…
Bayesian analysis of a Gibbs hard-core point pattern model with varying repulsion range
2014
A Bayesian solution is suggested for the modelling of spatial point patterns with inhomogeneous hard-core radius using Gaussian processes in the regularization. The key observation is that a straightforward use of the finite Gibbs hard-core process likelihood together with a log-Gaussian random field prior does not work without penalisation towards high local packing density. Instead, a nearest neighbour Gibbs process likelihood is used. This approach to hard-core inhomogeneity is an alternative to the transformation inhomogeneous hard-core modelling. The computations are based on recent Markovian approximation results for Gaussian fields. As an application, data on the nest locations of Sa…
Multivariate GARCH estimation via a Bregman-proximal trust-region method
2011
The estimation of multivariate GARCH time series models is a difficult task mainly due to the significant overparameterization exhibited by the problem and usually referred to as the "curse of dimensionality". For example, in the case of the VEC family, the number of parameters involved in the model grows as a polynomial of order four on the dimensionality of the problem. Moreover, these parameters are subjected to convoluted nonlinear constraints necessary to ensure, for instance, the existence of stationary solutions and the positive semidefinite character of the conditional covariance matrices used in the model design. So far, this problem has been addressed in the literature only in low…
Calibration of optimal execution of financial transactions in the presence of transient market impact
2012
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate wit…
Bi-squeezed states arising from pseudo-bosons
2018
Extending our previous analysis on bi-coherent states, we introduce here a new class of quantum mechanical vectors, the \emph{bi-squeezed states}, and we deduce their main mathematical properties. We relate bi-squeezed states to the so-called regular and non regular pseudo-bosons. We show that these two cases are different, from a mathematical point of view. Some physical examples are considered.
Three-qutrit entanglement and simple singularities
2016
In this paper, we use singularity theory to study the entanglement nature of pure three-qutrit systems. We first consider the algebraic variety $X$ of separable three-qutrit states within the projective Hilbert space $\mathbb{P}(\mathcal{H}) = \mathbb{P}^{26}$. Given a quantum pure state $|\varphi\rangle\in \mathbb{P}(\mathcal{H})$ we define the $X_\varphi$-hypersuface by cutting $X$ with a hyperplane $H_\varphi$ defined by the linear form $\langle\varphi|$ (the $X_\varphi$-hypersurface of $X$ is $X\cap H_\varphi \subset X$). We prove that when $|\varphi\rangle$ ranges over the SLOCC entanglement classes, the "worst" possible singular $X_\varphi$-hypersuface with isolated singularities, has…
Fractional calculus approach to the statistical characterization of random variables and vectors
2009
Fractional moments have been investigated by many authors to represent the density of univariate and bivariate random variables in different contexts. Fractional moments are indeed important when the density of the random variable has inverse power-law tails and, consequently, it lacks integer order moments. In this paper, starting from the Mellin transform of the characteristic function and by fractional calculus method we present a new perspective on the statistics of random variables. Introducing the class of complex moments, that include both integer and fractional moments, we show that every random variable can be represented within this approach, even if its integer moments diverge. A…
Hydrokinetic simulations of nanoscopic precursor films in rough channels
2009
We report on simulations of capillary filling of high-wetting fluids in nano-channels with and without obstacles. We use atomistic (molecular dynamics) and hydrokinetic (lattice-Boltzmann) approaches which point out clear evidence of the formation of thin precursor films, moving ahead of the main capillary front. The dynamics of the precursor films is found to obey a square-root law as the main capillary front, z^2(t) ~ t, although with a larger prefactor, which we find to take the same value for the different geometries (2D-3D) under inspection. The two methods show a quantitative agreement which indicates that the formation and propagation of thin precursors can be handled at a mesoscopic…