Results 161 to 170 of about 460,152 (328)
Testing Symmetric Markov Chains from a Single Trajectory [PDF]
arXiv, 2017 Classical distribution testing assumes access to i.i.d. samples from the distribution that is being tested. We initiate the study of Markov chain testing, assuming access to a single trajectory of a Markov Chain. In particular, we observe a single trajectory X0,...,Xt,... of an unknown, symmetric, and finite state Markov Chain M.
arxiv
Fast and scalable inference for spatial extreme value models
Canadian Journal of Statistics, EarlyView.Abstract The generalized extreme value (GEV) distribution is a popular model for analyzing and forecasting extreme weather data. To increase prediction accuracy, spatial information is often pooled via a latent Gaussian process (GP) on the GEV parameters. Inference for GEV‐GP models is typically carried out using Markov Chain Monte Carlo (MCMC) methods,
Meixi Chen, Reza Ramezan, Martin Lysy
wiley +1 more source
Probabilistic weighted Dirichlet process mixture with an application to stochastic volatility models
Canadian Journal of Statistics, EarlyView.Abstract In this article, we propose a flexible Bayesian modelling framework and investigate the probabilistic weighted Dirichlet process mixture (pWDPM). The construction and properties of a probabilistic weight function are illustrated. The advantage of the pWDPM under the log‐squared transformed stochastic volatility (SV) model is demonstrated.
Peng Sun, Inyoung Kim, Ki‐Ahm Lee
wiley +1 more source
FOUNDATIONS OF THE THEORY OF CONTINUOUS PARAMETER MARKOV CHAINS [PDF]
, 1956 Kai Lai Chung
openalex +1 more source
Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System [PDF]
arXiv, 2010 Stemmed from the derivation of the optimal control to a stochastic linear-quadratic control problem with Markov jumps, we study one kind of backward stochastic differential equations (BSDEs) that the generator f is affected by a Markovian switching. Then, the case that the Markov chain is involved in a large state space is considered.
arxiv
Susceptible‐infected‐recovered model with stochastic transmission
Canadian Journal of Statistics, EarlyView.Abstract The susceptible‐infected‐recovered (SIR) model is the cornerstone of epidemiological models. However, this specification depends on two parameters only, which results in its lack of flexibility and explains its difficulty to replicate the volatile reproduction numbers observed in practice.
Christian Gouriéroux, Yang Lu
wiley +1 more source
Towards an intelligent energy conservation approach for context-aware systems in smart environments
Frontiers in Computer ScienceA smart personal space is a context-aware system that recognizes situations using contextual data. A user interacts within the personal space using smart devices that are mobile, and run-on batteries that have limited power.
Umar Mahmud +2 more
doaj +1 more source
A parameter transformation of the anisotropic Matérn covariance function
Canadian Journal of Statistics, EarlyView.Abstract We describe a polar coordinate transformation of the anisotropy parameters of the Matérn covariance function, which provides two benefits over the standard parameterization. First, it identifies a single point (the origin) with the special case of isotropy.
Kamal Rai, Patrick E. Brown
wiley +1 more source
Mathematical Methods in the Applied Sciences, Volume 46, Issue 1, Page 1178-1184, 15 January 2023., 2023 In this paper, we discuss the study of some signal processing problems within Bayesian frameworks and semigroups theory, in the case where the Banach space under consideration may be nonseparable. For applications, the suggested approach may be of interest in situations where approximation in the norm of the space is not possible.
Natasha Samko, Harpal Singh
wiley +1 more source