Results 11 to 20 of about 2,455,160 (79)
Vector AutoRegressive Moving Average Models: A Review. [PDF]
Wiley Interdiscip Rev Comput StatWordcloud of key themes generated from abstracts of cited papers in this review paper. ABSTRACT Vector AutoRegressive Moving Average (VARMA) models form a powerful and general model class for analyzing dynamics among multiple time series. While VARMA models encompass the Vector AutoRegressive (VAR) models, their popularity in empirical applications is ...
Düker MC +3 more
europepmc +2 more sources
Posterior consistency for the spectral density of non‐Gaussian stationary time series
Scandinavian Journal of Statistics, Volume 50, Issue 3, Page 1152-1182, September 2023., 2023 Abstract Various nonparametric approaches for Bayesian spectral density estimation of stationary time series have been suggested in the literature, mostly based on the Whittle likelihood approximation. A generalization of this approximation involving a nonparametric correction of a parametric likelihood has been proposed in the literature with a proof ...
Yifu Tang +3 more
wiley +1 more source
Angular asymptotics for multi-dimensional non-homogeneous random walks with asymptotically zero drift [PDF]
, 2010 We study the rst exit time from an arbitrary cone with apex at the origin by a non-homogeneous random walk (Markov chain) on Zd (d 2) with mean drift that is asymptotically zero.
MacPhee, I.M. +2 more
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Compositional Approximate Markov Chain Aggregation for PEPA Models [PDF]
, 2012 Approximate Markov chain aggregation involves the construction of a smaller Markov chain that approximates the behaviour of a given chain. We discuss two different approaches to obtain a nearly optimal partition of the state-space, based on different ...
Dimitrios Milios +3 more
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Analysis of Single‐Server Queue with Phase‐Type Service and Energy Harvesting
Mathematical Problems in Engineering, Volume 2016, Issue 1, 2016., 2016 We propose a queueing model suitable, for example, for modelling operation of nodes of sensor networks. The sensor node senses a random field and generates packets to be transmitted to the central node. The sensor node has a battery of a finite capacity and harvests energy during its operation from outside (using solar cells, wind turbines ...
Sergey A. Dudin, Moon Ho Lee, Vicent Pla
wiley +1 more source
Markov chains conditioned never to wait too long at the origin [PDF]
, 2009 Motivated by Feller's coin-tossing problem, we consider the problem of conditioning an irreducible Markov chain never to wait too long at 0. Denoting by τ the first time that the chain, X, waits for at least one unit of time at the origin, we consider ...
Jacka, Saul D.
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Analysis of a Priority Queue with Phase‐Type Service and Failures
International Journal of Stochastic Analysis, Volume 2016, Issue 1, 2016., 2016 We consider a single server queue with two types of customers. We propose a discipline of flexible priority in access that combines the features of randomization and the threshold type control. We introduce a new class of distributions, phase‐type with failures (PHF) distribution, that generalizes the well‐known phase‐type (PH) distribution to the case
Alexander Dudin +2 more
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Analysis of Multiserver Retrial Queueing System with Varying Capacity and Parameters
Mathematical Problems in Engineering, Volume 2015, Issue 1, 2015., 2015 A multiserver queueing system, the dynamics of which depends on the state of some external continuous‐time Markov chain (random environment, RE), is considered. Change of the state of the RE may cause variation of the parameters of the arrival process, the service process, the number of available servers, and the available buffer capacity, as well as ...
Alexander N. Dudin +2 more
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Information-Geometric Markov Chain Monte Carlo Methods Using Diffusions [PDF]
, 2014 Recent work incorporating geometric ideas in Markov chain Monte Carlo is reviewed in order to highlight these advances and their possible application in a range of domains beyond statistics. A full exposition of Markov chains and their use in Monte Carlo
Livingstone, Samuel +5 more
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Analysis of Multiserver Queueing System with Opportunistic Occupation and Reservation of Servers
Mathematical Problems in Engineering, Volume 2014, Issue 1, 2014., 2014 We consider a multiserver queueing system with two input flows. Type‐1 customers have preemptive priority and are lost during arrival only if all servers are occupied by type‐1 customers. If all servers are occupied, but some provide service to type‐2 customers, service of type‐2 customer is terminated and type‐1 customer occupies the server.
Bin Sun +4 more
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