For a double-well potential consisting of a truncated quartic potential and a truncated harmonic potential, the inter-well escape rates of Lévy particles are investigated numerically, and analytically for the Cauchy case, with focus on the former. The escape rate of Lévy particles from the...

We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations nonlocal in time. Universal and non-universal behaviors of the German...

The diffusive kinetics in a symmetric double well with a high barrier fluctuating randomly in time is investigated by means of the corresponding Fokker–Planck equation. In the Smoluchowski limit explicit solutions for the equilibrium and the relaxation eigenfunctions are given. Moreover, the...

We simulate the kinetic Ashkin-Teller model with both ordered and disordered initial states, evolving in contact with a heat-bath at the critical temperature. The power-law scaling behaviour for the magnetic order and electric order are observed in the early time stage. The values of the...

A dynamic feed-back interaction is introduced to the Eguiluz–Zimmermann model (Phys. Rev. Lett. 85 (2000) 5659). In application to financial dynamics, transmission of information at time t′ is supposed to depend on the variation of the financial index at t′-1. The generated time series is...

Colliding particles moving in one-dimensional space form clusters. When particles coalesce upon collisions, the velocity distribution of final clusters is 1/ν in the interval N−12 ⋘ν/σ⋘ 1, where σ is the initial rms velocity and N is the initial number of particles.

Non-spherical errors, namely heteroscedasticity, serial correlation and cross-sectional correlation are commonly present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has been demonstrated to produce considerable efficiency gains...

Non-spherical errors, namely heteroscedasticity, serial correlation and cross-sectional correlation are commonly present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has been demonstrated to produce considerable efficiency gains...

In analysing time series of counts, the need to test for the presence of a dependence structure routinely arises. Suitable tests for this purpose are considered in this paper.

This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of dynamic latent variable models involving finite or infinite mixtures leading to possibly heavy tailed and/or multi-modal target densities. Our approach is based upon the efficient...