Searcharxiv⌕ Search
Home/Archive/arXiv

arXiv · 2605.08155

Structural and Lagrangian properties of analogue ensembles to characterize multifractality of stochastic processes

Carlos Granero-Belinchon
View original source ↗Read source document ↗Export metadata ↓

Abstract

We present a framework for the scale-invariance characterization of stochastic processes in reconstructed finite-dimensional phase spaces. This framework analyses the structural and dynamical properties of the phase space and is based on a Takens embedding reconstruction followed by the definition of ensembles of analogue states. We define the analogues of a target state as its nearest neighbors. Then, we specify a collection of target states densely sampling the full phase space. For each target state, we search for the ensemble of its k-best analogues and we analyze its volume and dynamics. First, we study the probability distribution of the volumes and relate its mean and variance to the scale-invariance properties of the stochastic process. Second, we study the Lagrangian properties of the analogues by characterizing how they disperse in time. More particularly, we study the volume occupied by the analogue's successors in function of time and of their initial volume. We link these dynamical properties to the scale-invariance properties of the process. We analyze two types of stationary and dissipative 1-dimensional scale-invariant processes: regularized fractional Brownian motion and regularized multifractal random walk. For both processes, the structure and dynamics of the phase space are determined by their scale-invariant properties.

Explore related subjects

stat.APmath.PRphysics.data-anphysics.flu-dyn

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Carlos Granero-Belinchon. 2026-05-04. Structural and Lagrangian properties of analogue ensembles to characterize multifractality of stochastic processes. https://arxiv.org/abs/2605.08155

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Privacy-Preserving Causal Meta-Mediation Analysis with Survival Outcomes

Privacy and data-governance constraints often prevent pooling individual-level data across studies, limiting the use of conventional approaches for causal media- tion analysis in multicenter settings. We propose a federated causal meta-mediation framework for right-censored time-to-event outcomes that enables collaborative es- timation without sharing individual-level data. Our framework targets natural indirect effects in a prespecified population by combining information on mediator and outcome mechanisms across distributed data sources. A site-by-site identifi- cation strategy further allows heterogeneity across data sources to be character- ized, with a variance decomposition separating outcome-related, mediator-related, and interaction components. We develop federated one-step and targeted maxi- mum likelihood estimators that accommodate data-adaptive and machine-learning methods for nuisance-function estimation. The finite-sample performance of the proposed estimators is evaluated through numerical simulations. To illustrate the practical utility of the framework, we apply it on data from the French National Health Data System to evaluate the role of methotrexate coprescription in explain- ing the effect of TNFi versus IL-12/23 inhibitor therapy on treatment persistence among psoriatic patients.

stat.AP↗
arXiv2026

Geospatial Foundation Models Capture Health-Relevant Dimensions of Place Beyond Conventional Social Risk Indices

Area-based social risk indices summarize residents' socioeconomic conditions but incompletely capture physical features of place that may affect health. We evaluated whether numerical representations of physical place produced by four geospatial foundation model families from 2022 satellite data explained residual variance in tract-level associations between the Area Deprivation Index, Social Deprivation Index, and Social Vulnerability Index with health outcomes. We used LightGBM to predict variables from the American Community Survey and 40 chronic disease and health-behavior outcomes from CDC PLACES across 82,646 census tracts in the contiguous United States, evaluating performance across 10 held-out states. Among survey variables, models were moderately predictive of some variables including housing type (R-squared up to 0.54) but weak for disability, unemployment, and income disparity. For health outcomes, models explained up to 54% of variance left unexplained by social risk indices, with the largest gains for annual checkups, arthritis, and high blood pressure. Mean total variance explained by geospatial foundation models across the 40 health-related outcomes increased from 0.31 in the smallest tract-size decile to 0.39 in the largest. Geospatial foundation models capture health-relevant features of place not represented by conventional social risk indices and may usefully augment them in epidemiological analyses.

stat.AP↗
arXiv2026

A spatiotemporal negative binomial model with dynamic dispersion: An application to Tuberculosis infections

Tuberculosis (TB) remains a critical public health concern in Brazil, characterized by pronounced spatial heterogeneity and fluctuating temporal volatility. In this paper, we study monthly TB notifications across 61 microregions of Sao Paulo state from 2001 to 2024. To do this, we introduce a negative binomial spatial integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) model featuring jointly dynamic conditional means and time-varying dispersion. To capture inter-regional spillovers, we incorporate both discrete adjacency structures and a novel continuous distance-based formulation leveraging the Matern correlation function. Parameter estimation via conditional maximum likelihood employs a two-step profile-likelihood iterative scheme, demonstrating solid finite-sample performance in simulation studies. Applied to the Sao Paulo TB surveillance data, the framework substantially outperforms standard Poisson and fixed-dispersion spatiotemporal baselines in empirical fit and uncertainty quantification, maintaining nominal 95% predictive coverage across both dense metropolitan centers and rural microregions. Our results reveal marked spatial heterogeneity in baseline incidence, dynamic overdispersion driven by localized outbreaks, and short-range spatial interaction decay. By accurately modeling spatiotemporal volatility, the proposed methodology provides a robust statistical tool to support public health surveillance, policy-making, and resource allocation.

stat.AP↗