Results 11 to 20 of about 101,818 (290)
Analyticity of Entropy Rate of Hidden Markov Chains [PDF]
IEEE Transactions on Information Theory, 2006 We prove that under mild positivity assumptions the entropy rate of a hidden Markov chain varies analytically as a function of the underlying Markov chain parameters. A general principle to determine the domain of analyticity is stated. An example is given to estimate the radius of convergence for the entropy rate.
Han, G, Marcus, B
openaire +8 more sources
Time series segmentation with shifting means hidden markov models [PDF]
Nonlinear Processes in Geophysics, 2006 We present a new family of hidden Markov models and apply these to the segmentation of hydrological and environmental time series. The proposed hidden Markov models have a discrete state space and their structure is inspired from the shifting means ...
Ath. Kehagias, V. Fortin
doaj +3 more sources
Project Cost Overrun Risk Prediction Using Hidden Markov Chain Analysis
Buildings, 2023 Construction project cost overrun is a common problem in the construction industry. The cost of construction projects is thought to have increased by approximately 33% on average.
Sou-Sen Leu, Yanni Liu, Pei-Lin Wu
doaj +1 more source
Prediksi Kurs Rupiah Terhadap Dolar Dengan FTS-Markov Chain Dan Hidden Markov Model
Jurnal Derivat, 2019 Hidden Markov model is a development of the Markov chain where the state cannot be observed directly (hidden), but can only be observed, a set of other observations and combination of fuzzy logic and Markov chain to predict Rupiah exchange rate against ...
Maria Titah Jatipaningrum +2 more
doaj +1 more source
Modelling and Prediction of Random Delays in NCSs Using Double-Chain HMMs
Discrete Dynamics in Nature and Society, 2020 This paper is concerned with the modelling and prediction of random delays in networked control systems. The stochastic distribution of the random delay in the current sampling period is assumed to be affected by the network state in the current sampling
Yuan Ge +5 more
doaj +1 more source
Conditional Heteroskedasticity Driven by Hidden Markov Chains [PDF]
Journal of Time Series Analysis, 2001 We consider a generalized autoregressive conditionally heteroskedastic (GARCH) equation where the coefficients depend on the state of a nonobserved Markov chain. Necessary and sufficient conditions ensuring the existence of a stationary solution are given. In the case of ARCH regimes, the maximum likelihood estimates are shown to be consistent.
Christian Francq +2 more
openaire +3 more sources
Dissipative control of a three-species food chain stochastic system with a hidden Markov chain
Advances in Difference Equations, 2017 This paper focuses on a three-species food chain system which is formulated as stochastic differential equations with regime switching represented by a hidden Markov chain. Firstly, using the Wonham filter, we estimate the hidden Markov chain through the
Yonggang Ma +3 more
doaj +1 more source
Optimal Control with Partially Observed Regime Switching: Discounted and Average Payoffs
Mathematics, 2022 We consider an optimal control problem with the discounted and average payoff. The reward rate (or cost rate) can be unbounded from above and below, and a Markovian switching stochastic differential equation gives the state variable dynamic.
Beatris Adriana Escobedo-Trujillo +3 more
doaj +1 more source
Hidden Markov Model Application to Transfer The Trader Online Forex Brokers
Cauchy: Jurnal Matematika Murni dan Aplikasi, 2012 Hidden Markov Model is elaboration of Markov chain, which is applicable to cases that can’t directly observe. In this research, Hidden Markov Model is used to know trader’s transition to broker forex online.
Farida Suharleni +2 more
doaj +1 more source
Derivatives of Entropy Rate in Special Families of Hidden Markov Chains [PDF]
, 2006 Consider a hidden Markov chain obtained as the observation process of an ordinary Markov chain corrupted by noise. Zuk, et. al. [13], [14] showed how, in principle, one can explicitly compute the derivatives of the entropy rate of at extreme values of ...
Author(s Han +3 more
core +2 more sources