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Gaussian and sparse processes are limits of generalized Poisson processes

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Stochastic Models for Sparse and Piecewise-Smooth Signals

Michaël Unser, Pouya Dehghani Tafti

We introduce an extended family of continuous-domain stochastic models for sparse, piecewise-smooth signals. These are specified as solutions of stochastic differential equations, or, equivalently, in terms of a suitable innovation model; the latter is ana ...

IEEE2011

The Contact Process

Daniel Rodrigues Valesin

This work is a study of three interacting particle systems that are modified versions of the contact process. The contact process is a spin system defined on a graph and is commonly taken as a model for the spread of an infection in a population; transmiss ...

EPFL2011

Model misspecification in peaks over threshold analysis

Anthony Christopher Davison, Mária Süveges

Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances. Under mild conditions a compound Poisson process model allows the estimation of ...

2010

The Stationary Behaviour of Fluid Limits of Reversible Processes is Concentrated on Stationary Points

Jean-Yves Le Boudec

Assume that a stochastic processes can be approximated, when some scale parameter gets large, by a fluid limit (also called mean field limit", or hydrodynamic limit"). A common practice, often called the ``fixed point approximation" consists in approxi ...

arxiv.org2010

Simulation by circular embedding method of max-stable random fields

Nathalie Pellet

Theory of random fields or random processes is presented with an emphasis on the possible choices of correlation functions. Then two methods for generating Gaussian random fields in Rd are presented. The first method is a direct one but does not work for a ...

2009

An optimal prediction problem in financial modelling

Violetta Bernyk

The subject of the present thesis is an optimal prediction problem concerning the ultimate maximum of a stable Lévy process over a finite interval of time. Such "optimal prediction" problems are of both theoretical and practical interest, in particular the ...

EPFL2007

Percolation in the signal to interference ratio graph

Patrick Thiran, Nicolas Macris, Olivier Dousse

Continuum percolation models in which pairs of points of a two-dimensional Poisson point process are connected if they are within some range to each other have been extensively studied. This paper considers a variation in which a connection between two poi ...

2006

Ultrawide Bandwidth Signals as Shot-Noise: a Unifying Approach

Andrea Ridolfi

This paper presents general methods for obtaining power spectra of a large class of signals and random fields driven by an underlying point processes, in particular spatial shot noises with random impulse response and arbitrary basic stationary point proce ...

2005

Percolation in the signal to interference ratio graph

Patrick Thiran, Nicolas Macris, Olivier Dousse

2005

Power spectra of random spike fields and related processes

Andrea Ridolfi, Pierre Bremaud

2002