Results 91 to 100 of about 65,379 (309)
Portfolio optimization by applying Markov chains [PDF]
Anali Ekonomskog fakulteta u Subotici, 2018 Since one of the main problems in today's economy is 'conquering the market' or, in other words, finding the best way to predict price movements and receive expected rates of return, this paper will deal with the portfolio optimization in the Belgrade ...
Petković Nina +2 more
doaj
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
Structure of backward quantum Markov chains
AIMS MathematicsThis paper extended the framework of quantum Markovianity by introducing backward and inverse backward quantum Markov chains (QMCs). We established the existence of these models under general conditions, demonstrating their applicability to a wide range ...
Luigi Accardi +5 more
doaj +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
Products of stochastic matrices and applications
International Journal of Mathematics and Mathematical Sciences, 1989 This paper deals with aspects of the limit behaviour of products of nonidentical finite or countable stochastic matrices (Pn). Applications are given to nonhomogeneous Markov models as positive chains, some classes of finite chains considered by Doeblin ...
Harry Cohn
doaj +1 more source
On Construction of Quantum Markov Chains on Cayley trees [PDF]
, 2016 Luigi Accardi +2 more
openalex +1 more source
Bayesian clustering of multivariate extremes
Canadian Journal of Statistics, EarlyView.Abstract The asymptotic dependence structure between multivariate extreme values is fully characterized by their projections on the unit simplex. Under mild conditions, the only constraint on the resulting distributions is that their marginal means must be equal, which results in a nonparametric model that can be difficult to use in applications ...
Sonia Alouini, Anthony C. Davison
wiley +1 more source
When Dihedral Angles Mask Denticity in Molecular Conductance
ChemPhysChem, EarlyView.This study tests whether higher molecule–electrode denticity increases conductance in single‐molecule junctions. Using nonequilibrium Green's function technique in conjunction with density functional theory simulations and mechanically controlled break‐junction experiments on a tetradentate N‐heterohexacene, it is found that conductance depends mainly ...
Kevin Batzinger +8 more
wiley +1 more source
Analysing ill-conditioned Markov chains. [PDF]
Philos Trans A Math Phys Eng Sci, 2023 Woods EJ +4 more
europepmc +1 more source
OPTIMIZATION OF DETERMINING MAINTENANCE INTERVALS WITH THE MARKOV CHAIN METHOD TO MINIMIZE MAINTENANCE COSTS IN PT. BBI [PDF]
, 2022 Dwi Qomariah Arifin, Enny Aryanny
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