Results 21 to 30 of about 112,046 (197)
Entropy, 2022 This paper addresses the asynchronous stabilization problem of two typical stochastic switching systems, i.e., dual switching systems and semi-Markov jump systems.
Yushu Deng +5 more
doaj +1 more source
SAGE Open, 2022 This study involved a systematic literature review using bibliometric analysis to examine the evolution and current trends of Markov switching studies. The bibliometric analysis was used for the descriptive, intellectual, social, and conceptual network ...
Seuk Wai Phoong +2 more
doaj +1 more source
Efficient estimation of Markov-switching model with application in stock price classification [PDF]
Mathematics and Modeling in Finance, 2021 In this paper, we discuss the calibration of the geometric Brownian motion model equipped with Markov-switching factor. Since the motivation for this research comes from a recent stream of literature in stock economics, we propose an efficient estimation
Farshid Mehrdoust +2 more
doaj +1 more source
Markov-Switching Three-Pass Regression Filter [PDF]
Journal of Business & Economic Statistics, 2017 We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass regression filter (MS-3PRF), is suitable for datasets with
Guérin, Pierre +2 more
openaire +2 more sources
Event-Based Consensus Tracking for Nonlinear Multi-Agent Systems Under Semi-Markov Jump Topology
IEEE Access, 2021 This paper studies the event-triggering leader-follower consensus with the strictly dissipative performance for nonlinear multi-agent systems (MASs) with semi-Markov changing topologies.
Jiafeng Yu +4 more
doaj +1 more source
Markov-Switching Quantile Autoregression [PDF]
SSRN Electronic Journal, 2014 This paper considers the location‐scale quantile autoregression in which the location and scale parameters are subject to regime shifts. The regime changes in lower and upper tails are determined by the outcome of a latent, discrete‐state Markov process.
openaire +2 more sources
Granger-Causality in Markov Switching Models [PDF]
SSRN Electronic Journal, 2006 In this paper we propose a new parametrisation of transition probabilities that allows us to characterize and test Granger-causality in Markov switching models by means of an appropriate specification of the transition matrix. Test for independence are also provided. We illustrate our methodology with an empirical application.
BILLIO, Monica, DI SANZO S.
openaire +3 more sources
Stability of reaction–diffusion systems with stochastic switching
Nonlinear Analysis, 2019 In this paper, we investigate the stability for reaction systems with stochastic switching. Two types of switched models are considered: (i) Markov switching and (ii) independent and identically distributed switching.
Lijun Pan, Jinde Cao, Ahmed Alsaedi
doaj +1 more source
Control problem for the impulse process under stochastic optimization procedure and Levy conditions
Математичні Студії, 2021 A stochastic approximation procedure and a limit generator of the original problem are constructed for a system of stochastic differential equations with Markov switching and impulse perturbation under Levy approximation conditions with control, which is
Ya. M. Chabanyuk +2 more
doaj +1 more source
Prediction of PM2.5 pollution in Tehran air based on temperature and pressure using Markovian regime-switching non-parametric additive transitive regression model [PDF]
ریاضی و جامعه, 2023 In this paper, we introduce the Markovian regime-switching regression model, which is a graphical model based on the hidden Markov model. This model can be viewed as a clustered regression model, in which a Markov process models the transition from one ...
Morteza Amini
doaj +1 more source