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Synchronization is a phenomenon in which a pair of fluctuations adjust their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and…
A new method of regime shift detection in the correlation coefficient is proposed. The method is designed to find multiple change-points with unknown locations in time series. It signals a possible regime shift in real time and allows for…
Markovian-regime-switching (MRS) models are commonly used for modelling economic time series, including electricity prices where independent regime models are used, since they can more accurately and succinctly capture electricity price…
The method of tempered transitions was proposed by Neal (1996) for tackling the difficulties arising when using Markov chain Monte Carlo to sample from multimodal distributions. In common with methods such as simulated tempering and…
An important challenge in several disciplines is to understand how sudden changes can propagate among coupled systems. Examples include the synchronization of business cycles, population collapse in patchy ecosystems, markets shifting to a…
The study of animal behavioural states inferred through hidden Markov models and similar state switching models has seen a significant increase in popularity in recent years. The ability to account for varying levels of behavioural scale…
Although the applications of Non-Homogeneous Poisson Processes to model and study the threshold overshoots of interest in different time series of measurements have proven to provide good results, they needed to be complemented with an…
This paper examines the degree of integration at euro area financial markets. To that end, we estimate overall and country-specific integration indices based on a panel vector-autoregression with factor stochastic volatility. Our results…
The growing attention on cryptocurrencies has led to increasing research on digital stock markets. Approaches and tools usually applied to characterize standard stocks have been applied to the digital ones. Among these tools is the…
We explore the concept of a consistent exchangeable survival process - a joint distribution of survival times in which the risk set evolves as a continuous-time Markov process with homogeneous transition rates. We show a correspondence with…
Spatio-temporal hidden Markov models are extremely difficult to estimate because their latent joint distributions are available only in trivial cases. In the estimation phase, these latent distributions are usually substituted with…
Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer…
This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual elements. Combining this with a Bayesian change point detection…
Ge and Stefankovic have recently introduced a novel two-variable graph polynomial. When specialised to a bipartite graphs G and evaluated at the point (1/2,1) this polynomial gives the number of independent sets in the graph. Inspired by…
Computational modelling of metal-electrolyte reactions is central to the understanding and prediction of a wide range of physical phenomena, yet this is often challenging owing to the presence of numerical oscillations that arise due to…
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search,…
For many quantum systems intended for information processing, one detects the logical state of a qubit by integrating a continuously observed quantity over time. For example, ion and atom qubits are typically measured by driving a cycling…
We survey recent results concerning the total-variation mixing time of the simple exclusion process on the segment (symmetric and asymmetric) and a continuum analog, the simple random walk on the simplex with an emphasis on cutoff results.…
Learning the influence graph G of a high-dimensional Markov process is central to many application domains, including social networks, neuroscience, and financial risk analysis. However, in many of these applications, future states of the…
This short paper proposes a simple general equilibrium approach within a Markov-switching regime to explain how asymmetric information between lenders and speculators may lead to currency crises. The paper concludes by providing necessary…