276 research outputs found
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
In the present paper we prove weighted ergodic theorems and multiparameter
weighted ergodic theorems for positive contractions acting on
. 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 -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 ,
these pathologies occur in a full neighborhood of the low-temperature part of the first-order
phase-transition surface. For block-averaging transformations applied to the
Ising model in dimension , the pathologies occur at low temperatures
for arbitrary magnetic-field strength. Pathologies may also occur in the
critical region for Ising models in dimension . 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.
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