Results 61 to 70 of about 101,818 (290)
General limit distributions for sums of random variables with a matrix product representation
, 2014 The general limit distributions of the sum of random variables described by a finite matrix product ansatz are characterized. Using a mapping to a Hidden Markov Chain formalism, non-standard limit distributions are obtained, and related to a form of ...
Abry, Patrice +2 more
core +1 more source
Restricted Tweedie stochastic block models
Canadian Journal of Statistics, EarlyView.Abstract The stochastic block model (SBM) is a widely used framework for community detection in networks, where the network structure is typically represented by an adjacency matrix. However, conventional SBMs are not directly applicable to an adjacency matrix that consists of nonnegative zero‐inflated continuous edge weights.
Jie Jian, Mu Zhu, Peijun Sang
wiley +1 more source
IEEE Access, 2020 It is different from the previous supervised learning algorithm based on personal travel questionnaire, the aim of this study is to develop an unsupervised learning methodology to estimate the docked bike-sharing users' trip purposes using IC card data ...
Wenhao Li +3 more
doaj +1 more source
Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
wiley +1 more source
Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
, 2005 Let \xi_0,\xi_1,...,\xi_{\omega-1} be observations from the hidden Markov model with probability distribution P^{\theta_0}, and let \xi_{\omega},\xi_{\omega+1},...
Fuh, Cheng-Der
core +1 more source
A Markov approach to credit rating migration conditional on economic states
Canadian Journal of Statistics, EarlyView.Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley +1 more source
Introducing Busy Customer Portfolio Using Hidden Markov Model [PDF]
Iranian Journal of Management Studies, 2011 Due to the effective role of Markov models in customer relationship management (CRM), there is a lack of comprehensive literature review which contains all related literatures.
Sepideh Emam, Abdollah Aaghaie
doaj
On hidden Markov chains and finite stochastic systems [PDF]
Statistics & Probability Letters, 2003 In this paper we study various properties of finite stochastic systems or hidden Markov chains as they are alternatively called. We discuss their construction following different approaches and we also derive recursive filtering formulas for the different systems that we consider. The key tool is a simple lemma on conditional expectations.
openaire +5 more sources
Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States
, 2012 We consider filtering for a hidden Markov model that evolves with multiple time scales in the hidden states. In particular, we consider the case where one of the states is a scaled Ornstein-Uhlenbeck process with fast reversion to a shifting-mean that is
Papanicolaou, Andrew
core +1 more source
Stagewise crop yield prediction with multisource functional indices
Canadian Journal of Statistics, EarlyView.Abstract Index insurance design involves integrating weather data, soil moisture, phenology information, and satellite imagery, which presents challenges in data fusion. This article addresses the modelling of multisource functional indices of varying lengths by constructing a stagewise ensemble of sequential models.
Jing Zou, Ostap Okhrin
wiley +1 more source