Group theoretic dimension of stationary symmetric \alpha-stable random fields

The growth rate of the partial maximum of a stationary stable process was first studied in the works of Samorodnitsky (2004a,b), where it was established, based on the seminal works of Rosi\'nski (1995,2000), that the growth rate is connected to the ergodic theoretic properties of the flow that generates the process. The results were generalized to the case of stable random fields indexed by Z^d in Roy and Samorodnitsky (2008), where properties of the group of nonsingular transformations generating the stable process were studied as an attempt to understand the growth rate of the partial maximum process. This work generalizes this connection between stable random fields and group theory to the continuous parameter case, that is, to the fields indexed by R^d.Comment: To appear in Journal of Theoretical Probability. Affiliation of the authors are update

A New Method to Estimate the Noise in Financial Correlation Matrices

Financial correlation matrices measure the unsystematic correlations between stocks. Such information is important for risk management. The correlation matrices are known to be ``noise dressed''. We develop a new and alternative method to estimate this noise. To this end, we simulate certain time series and random matrices which can model financial correlations. With our approach, different correlation structures buried under this noise can be detected. Moreover, we introduce a measure for the relation between noise and correlations. Our method is based on a power mapping which efficiently suppresses the noise. Neither further data processing nor additional input is needed.Comment: 25 pages, 8 figure

Prophet Inequalities for IID Random Variables from an Unknown Distribution

A central object in optimal stopping theory is the single-choice prophet inequality for independent, identically distributed random variables: given a sequence of random variables X1, . . . , Xn drawn independently from a distribution F , the goal is to choose a stopping time τ so as to maximize α such that for all distributions F we have E[Xτ ] ≥ α · E[maxt Xt ]. What makes this problem challenging is that the decision whether τ = t may only depend on the values of the random variables X1, . . . , Xt and on the distribution F . For a long time the best known bound for the problem had been α ≥ 1 − 1/e ≈ 0.632, but quite recently a tight bound of α ≈ 0.745 was obtained. The case where F is unknown, such that the decision whether τ = t may depend only on the values of the random variables X1, . . . , Xt , is equally well motivated but has received much less attention. A straightforward guarantee for this case of α ≥ 1/e ≈ 0.368 can be derived from the solution to the secretary problem, where an arbitrary set of values arrive in random order and the goal is to maximize the probability of selecting the largest value. We show that this bound is in fact tight. We then investigate the case where the stopping time may additionally depend on a limited number of samples from F , and show that even with o(n) samples α ≤ 1/e. On the other hand, n samples allow for a significant improvement, while O(n2) samples are equivalent to knowledge of the distribution: specifically, with n samples α ≥ 1 − 1/e ≈ 0.632 and α ≤ ln(2) ≈ 0.693, and with O(n2) samples α ≥ 0.745 − ε for any ε > 0

Some results about diagonal operators on Köthe echelon spaces

[EN] Several questions about diagonal operators between Köthe echelon spaces are investigated: (1) The spectrum is characterized in terms of the Köthe matrices defining the spaces, (2) It is characterized when these operators are power bounded, mean ergodic or uniformly mean ergodic, and (3) A description of the topology in the space of diagonal operators induced by the strong topology on the space of all operators is given.This research was partially supported by MINECO Project MTM2016-76647-P and the grant PAID-01-16 of the Universitat Politècnica de València.Rodríguez-Arenas, A. (2019). Some results about diagonal operators on Köthe echelon spaces. Revista de la Real Academia de Ciencias Exactas Físicas y Naturales Serie A Matemáticas. 113(4):2959-2968. https://doi.org/10.1007/s13398-019-00663-yS295929681134Agathen, S., Bierstedt, K.D., Bonet, J.: Projective limits of weighted (LB)-spaces of continuous functions. Arch. Math. 92, 384–398 (2009)Albanese, A.A., Bonet, J., Ricker, W.J.: Mean ergodic operators in Fréchet spaces. Ann. Acad. Sci. Fenn. Math. 34(2), 401–436 (2009)Bennett, G.: Some elementary inequalities. Quart. J. Math. 38, 401–425 (1987)Bennett, G.: Factorizing the classical inequalities. Mem. Am. Math. Soc. (1996). https://doi.org/10.1090/memo/0576Bierstedt, K.D.: An introduction to locally convex inductive limits, Functional analysis and its applications (Nice, 1986), 35–133, ICPAM Lecture Notes. World Sci. Publishing, Singapore (1988)Bierstedt, K.D., Bonet, J.: Some aspects of the modern theory of Fréchet spaces. Rev. R. Acad. Cienc. Exactas Fís. Nat. Ser. A Mat. 97(2), 159–188 (2003)Bierstedt, K.D., Meise, R., Summers, W.H.: Köthe sets and Köthe sequence spaces, Functional Analysis, Holomorphy and Approximation Theory. North-Holland Math. Studies 71, 27–91 (1982)Bonet, J., Jordá, E., Rodríguez-Arenas, A.: Mean ergodic multiplication operators on weighted spaces of continuous functions. Mediterr. J. Math 15, 108 (2018)Crofts, G.: Concerning perfect Fréchet spaces and transformations. Math. Ann. 182, 67–76 (1969)Kellogg, C.N.: An extension of the Hausdorff–Young theorem. Michig. Math. J. 18, 121–127 (1971)Krengel, U.: Ergodic Theorems. de Gruyter, Berlin (1985)Meise, R., Vogt, D.: Introduction to Functional Analysis. Oxford University Press, New York (1997)Vasilescu, F.H.: Analytic Functional Calculus and Spectral Decompositions. D. Reidel Publ. Co., Dordrecht (1982)Wengenroth, J.: Derived Functors in Functional Analysis. Springer, Berlin (2003)Yosida, K.: Functional Analysis. Springer, Berlin (1980

Weighted ergodic theorems for Banach-Kantorovich lattice Lp(∇^,μ^)L_{p}(\hat{\nabla},\hat{\mu})

In the present paper we prove weighted ergodic theorems and multiparameter weighted ergodic theorems for positive contractions acting on $L_p(\hat{\nabla},\hat{\mu})$. Our main tool is the use of methods of measurable bundles of Banach-Kantorovich lattices.Comment: 11 page

Infinite ergodic theory and Non-extensive entropies

We bring into account a series of result in the infinite ergodic theory that we believe that they are relevant to the theory of non-extensive entropie

Fractional recurrence in discrete-time quantum walk

Quantum recurrence theorem holds for quantum systems with discrete energy eigenvalues and fails to hold in general for systems with continuous energy. We show that during quantum walk process dominated by interference of amplitude corresponding to different paths fail to satisfy the complete quantum recurrence theorem. Due to the revival of the fractional wave packet, a fractional recurrence characterized using quantum P\'olya number can be seen.Comment: 10 pages, 11 figure : Accepted to appear in Central European Journal of Physic

Optimal designs for rational function regression

We consider optimal non-sequential designs for a large class of (linear and nonlinear) regression models involving polynomials and rational functions with heteroscedastic noise also given by a polynomial or rational weight function. The proposed method treats D-, E-, A-, and $\Phi_p$-optimal designs in a unified manner, and generates a polynomial whose zeros are the support points of the optimal approximate design, generalizing a number of previously known results of the same flavor. The method is based on a mathematical optimization model that can incorporate various criteria of optimality and can be solved efficiently by well established numerical optimization methods. In contrast to previous optimization-based methods proposed for similar design problems, it also has theoretical guarantee of its algorithmic efficiency; in fact, the running times of all numerical examples considered in the paper are negligible. The stability of the method is demonstrated in an example involving high degree polynomials. After discussing linear models, applications for finding locally optimal designs for nonlinear regression models involving rational functions are presented, then extensions to robust regression designs, and trigonometric regression are shown. As a corollary, an upper bound on the size of the support set of the minimally-supported optimal designs is also found. The method is of considerable practical importance, with the potential for instance to impact design software development. Further study of the optimality conditions of the main optimization model might also yield new theoretical insights.Comment: 25 pages. Previous version updated with more details in the theory and additional example

Regularity Properties and Pathologies of Position-Space Renormalization-Group Transformations

We reconsider the conceptual foundations of the renormalization-group (RG) formalism, and prove some rigorous theorems on the regularity properties and possible pathologies of the RG map. Regarding regularity, we show that the RG map, defined on a suitable space of interactions (= formal Hamiltonians), is always single-valued and Lipschitz continuous on its domain of definition. This rules out a recently proposed scenario for the RG description of first-order phase transitions. On the pathological side, we make rigorous some arguments of Griffiths, Pearce and Israel, and prove in several cases that the renormalized measure is not a Gibbs measure for any reasonable interaction. This means that the RG map is ill-defined, and that the conventional RG description of first-order phase transitions is not universally valid. For decimation or Kadanoff transformations applied to the Ising model in dimension $d \ge 3$, these pathologies occur in a full neighborhood $\{ \beta > \beta_0 ,\, |h| < \epsilon(\beta) \}$ of the low-temperature part of the first-order phase-transition surface. For block-averaging transformations applied to the Ising model in dimension $d \ge 2$, the pathologies occur at low temperatures for arbitrary magnetic-field strength. Pathologies may also occur in the critical region for Ising models in dimension $d \ge 4$. We discuss in detail the distinction between Gibbsian and non-Gibbsian measures, and give a rather complete catalogue of the known examples. Finally, we discuss the heuristic and numerical evidence on RG pathologies in the light of our rigorous theorems.Comment: 273 pages including 14 figures, Postscript, See also ftp.scri.fsu.edu:hep-lat/papers/9210/9210032.ps.