Geometric and projection effects in Kramers-Moyal analysis

Kramers-Moyal coefficients provide a simple and easily visualized method with which to analyze stochastic time series, particularly nonlinear ones. One mechanism that can affect the estimation of the coefficients is geometric projection effects. For some biologically-inspired examples, these effects are predicted and explored with a non-stochastic projection operator method, and compared with direct numerical simulation of the systems' Langevin equations. General features and characteristics are identified, and the utility of the Kramers-Moyal method discussed. Projections of a system are in general non-Markovian, but here the Kramers-Moyal method remains useful, and in any case the primary examples considered are found to be close to Markovian.Comment: Submitted to Phys. Rev.

What Is a Macrostate? Subjective Observations and Objective Dynamics

We consider the question of whether thermodynamic macrostates are objective consequences of dynamics, or subjective reflections of our ignorance of a physical system. We argue that they are both; more specifically, that the set of macrostates forms the unique maximal partition of phase space which 1) is consistent with our observations (a subjective fact about our ability to observe the system) and 2) obeys a Markov process (an objective fact about the system's dynamics). We review the ideas of computational mechanics, an information-theoretic method for finding optimal causal models of stochastic processes, and argue that macrostates coincide with the ``causal states'' of computational mechanics. Defining a set of macrostates thus consists of an inductive process where we start with a given set of observables, and then refine our partition of phase space until we reach a set of states which predict their own future, i.e. which are Markovian. Macrostates arrived at in this way are provably optimal statistical predictors of the future values of our observables.Comment: 15 pages, no figure

Two Procedures for Robust Monitoring of Probability Distributions of Economic Data Streams induced by Depth Functions

Data streams (streaming data) consist of transiently observed, evolving in time, multidimensional data sequences that challenge our computational and/or inferential capabilities. In this paper we propose user friendly approaches for robust monitoring of selected properties of unconditional and conditional distribution of the stream basing on depth functions. Our proposals are robust to a small fraction of outliers and/or inliers but sensitive to a regime change of the stream at the same time. Their implementations are available in our free R package DepthProc.Comment: Operations Research and Decisions, vol. 25, No. 1, 201

Intermittent fluctuations in the Alcator C-Mod scrape-off layer for ohmic and high confinement mode plasmas

Plasma fluctuations in the scrape-off layer of the Alcator C-Mod tokamak in ohmic and high confinement modes have been analyzed using gas puff imaging data. In all cases investigated, the time series of emission from a single spatially-resolved view into the gas puff are dominated by large-amplitude bursts, attributed to blob-like filament structures moving radially outwards and poloidally. There is a remarkable similarity of the fluctuation statistics in ohmic plasmas and in edge localized mode-free and enhanced D-alpha high confinement mode plasmas. Conditionally averaged wave forms have a two-sided exponential shape with comparable temporal scales and asymmetry, while the burst amplitudes and the waiting times between them are exponentially distributed. The probability density functions and the frequency power spectral densities are self-similar for all these confinement modes. These results are strong evidence in support of a stochastic model describing the plasma fluctuations in the scrape-off layer as a super-position of uncorrelated exponential pulses. Predictions of this model are in excellent agreement with experimental measurements in both ohmic and high confinement mode plasmas. The stochastic model thus provides a valuable tool for predicting fluctuation-induced plasma-wall interactions in magnetically confined fusion plasmas.Comment: 17 pages, 10 figure

Efficient prediction for linear and nonlinear autoregressive models

Conditional expectations given past observations in stationary time series are usually estimated directly by kernel estimators, or by plugging in kernel estimators for transition densities. We show that, for linear and nonlinear autoregressive models driven by independent innovations, appropriate smoothed and weighted von Mises statistics of residuals estimate conditional expectations at better parametric rates and are asymptotically efficient. The proof is based on a uniform stochastic expansion for smoothed and weighted von Mises processes of residuals. We consider, in particular, estimation of conditional distribution functions and of conditional quantile functions.Comment: Published at http://dx.doi.org/10.1214/009053606000000812 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org