Related papers: Markov switching negative binomial models: an appl…
When is keeping a memory of observations worthwhile? We use hidden Markov models to look at phase transitions that emerge when comparing state estimates in systems with discrete states and noisy observations. We infer the underlying state…
This work investigates the almost sure stabilization of a class of regime-switching systems based on discrete-time observations of both continuous and discrete components. It develops Shao's work [SIAM J. Control Optim., 55(2017), pp.…
Conventional joint modeling approaches generally characterize the relationship between longitudinal biomarkers and discrete event occurrences within terminal, recurring or competing risk settings, thereby offering a limited representation…
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price returns of quoted firms. The peculiarity of…
In this paper, we present a novel iterative Monte Carlo method for approximating the stationary probability of a single state of a positive recurrent Markov chain. We utilize the characterization that the stationary probability of a state…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
There is a lack of methodological results for continuous time change detection due to the challenges of noninformative prior specification and efficient posterior inference in this setting. Most methodologies to date assume data are…
This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models are commonly employed in empirical macroeconomic research…
Stochastic models in which agents interact with their neighborhood according to a network topology are a powerful modeling framework to study the emergence of complex dynamic patterns in real-world systems. Stochastic simulations are often…
Non-equilibrium Markov State Modeling (MSM) has recently been proposed [Phys. Rev. E 94, 053001 (2016)] as a possible route to construct a physical theory of sliding friction from a long steady state atomistic simulation: the approach…
We consider the problem of sequential detection of a change in the statistical behavior of a hidden Markov model. By adopting a worst-case analysis with respect to the time of change and by taking into account the data that can be accessed…
Autonomous vehicles (AV) look set to become common on our roads within the next few years. However, to achieve the final breakthrough, not only functional progress is required, but also satisfactory safety assurance must be provided. Among…
We develop some sufficient conditions for the stochastic ordering between hitting times, in a fixed state, for two Markov chains. In particular, we focus attention on the so called \emph{skip-free} case. In the analysis of such a case, we…
The problem of real-time remote tracking and reconstruction of a two-state Markov process is considered here. A transmitter sends samples from an observed information source to a remote monitor over an unreliable wireless channel. The…
Applicability of counting statistics for a system with an infinite number of states is investigated. The counting statistics has been studied a lot for a system with a finite number of states. While it is possible to use the scheme in order…
Switched linear systems are time-varying nonlinear systems whose dynamics switch between different modes, where each mode corresponds to different linear dynamics. They arise naturally to model unexpected failures, environment uncertainties…
Data collected from wearable devices and smartphones can shed light on an individual's pattern of behavioral and circadian routine. Phone use can be modeled as alternating event process, between the state of active use and the state of…
We are interested in the connection between a metastable continuous state space Markov process (satisfying e.g. the Langevin or overdamped Langevin equation) and a jump Markov process in a discrete state space. More precisely, we use the…
Most literature on quantum collision models (CMs) usually considers periodic weak collisions featuring a fixed waiting time between two next collisions. Some works have yet addressed CMs with random waiting time and strong collisions…
Many state of the art methods for the thermodynamic and kinetic characterization of large and complex biomolecular systems by simulation rely on ensemble approaches, where data from large numbers of relatively short trajectories are…