Multivariate type G Mat\'ern stochastic partial differential equation random fields

For many applications with multivariate data, random field models capturing departures from Gaussianity within realisations are appropriate. For this reason, we formulate a new class of multivariate non-Gaussian models based on systems of stochastic partial differential equations with additive type G noise whose marginal covariance functions are of Mat\'ern type. We consider four increasingly flexible constructions of the noise, where the first two are similar to existing copula-based models. In contrast to these, the latter two constructions can model non-Gaussian spatial data without replicates. Computationally efficient methods for likelihood-based parameter estimation and probabilistic prediction are proposed, and the flexibility of the suggested models is illustrated by numerical examples and two statistical applications

Optimal approximation of anticipating SDEs

In this article, we analyse the optimal approximation of anticipating stochastic differential equations, where the integral is interpreted in Skorohod sense. We derive optimal rate of convergence for the mean squared error at the terminal point and an asymptotically optimal scheme for a class of linear anticipating SDEs. Although alternative proof techniques are needed, our results can be seen as generalizations of the corresponding results for It\=o SDEs. As a key tool we carry over optimal approximation from vectors of correlated Wiener integrals to a general class of random vectors, which cover the solutions of the Skorohod SDEs

Nonparametric model reconstruction for stochastic differential equation from discretely observed time-series data

A scheme is developed for estimating state-dependent drift and diffusion coefficients in a stochastic differential equation from time-series data. The scheme does not require to specify parametric forms for the drift and diffusion coefficients in advance. In order to perform the nonparametric estimation, a maximum likelihood method is combined with a concept based on a kernel density estimation. In order to deal with discrete observation or sparsity of the time-series data, a local linearization method is employed, which enables a fast estimation.Comment: 10 pages, 4 figure

A constructive and unifying framework for zero-bit watermarking

In the watermark detection scenario, also known as zero-bit watermarking, a watermark, carrying no hidden message, is inserted in content. The watermark detector checks for the presence of this particular weak signal in content. The article looks at this problem from a classical detection theory point of view, but with side information enabled at the embedding side. This means that the watermark signal is a function of the host content. Our study is twofold. The first step is to design the best embedding function for a given detection function, and the best detection function for a given embedding function. This yields two conditions, which are mixed into one `fundamental' partial differential equation. It appears that many famous watermarking schemes are indeed solution to this `fundamental' equation. This study thus gives birth to a constructive framework unifying solutions, so far perceived as very different.Comment: submitted to IEEE Trans. on Information Forensics and Securit