Asymptotic theory for the detection of mixing in anomalous diffusion

DOI10.1063/5.0023227zbMATH Open1465.60086arXiv2007.14538OpenAlexW3045742864MaRDI QIDQ5000210FDOQ5000210

Gustavo Didier, Kui Zhang

Publication date: 9 July 2021

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Abstract: In this paper, we develop asymptotic theory for the mixing detection methodology proposed by M. Magdziarz and A. Weron [Physical Review E, 84:051138 (2011)]. The assumptions cover a broad family of Gaussian stochastic processes including fractional Gaussian noise and the fractional Ornstein-Uhlenbeck process. We show that the asymptotic distribution and convergence rates of the detection statistic may be, respectively, Gaussian or non-Gaussian and standard or nonstandard depending on the diffusion exponent. The results pave the way for mixing detection based on a single observed sample path and by means of robust hypothesis testing.

Full work available at URL: https://arxiv.org/abs/2007.14538

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Mathematics Subject Classification ID

Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

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Cited In (4)

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• Asymmetric mixtures and catastrophes
• The asymptotic scaling behavior of mixing induced by a random velocity field
• Anomaly Detection in Random Heterogeneous Media

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