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Bailey showed that the general pointwise forecasting for stationary and ergodic time series has a negative solution. However, it is known that for Markov chains the problem can be solved. Morvai showed that there is a stopping time sequence…
We seek to infer the parameters of an ergodic Markov process from samples taken independently from the steady state. Our focus is on non-equilibrium processes, where the steady state is not described by the Boltzmann measure, but is…
In this paper we consider the problem of sampling from the low-temperature exponential random graph model (ERGM). The usual approach is via Markov chain Monte Carlo, but Bhamidi et al. showed that any local Markov chain suffers from an…
Estimating the entropy based on data is one of the prototypical problems in distribution property testing and estimation. For estimating the Shannon entropy of a distribution on $S$ elements with independent samples, [Paninski2004] showed…
Statistical dependence between hypotheses poses a significant challenge to the stability of large scale multiple hypotheses testing. Ignoring it often results in an unacceptably large spread in the false positive proportion even though the…
Consider the problem of predicting the next symbol given a sample path of length n, whose joint distribution belongs to a distribution class that may have long-term memory. The goal is to compete with the conditional predictor that knows…
Many natural Markov chains fail to mix to their stationary distribution in polynomially many steps. Often, this slow mixing is inevitable since it is computationally intractable to sample from their stationary measure. Nevertheless, Markov…
This paper presents a technique for reduced-order Markov modeling for compact representation of time-series data. In this work, symbolic dynamics-based tools have been used to infer an approximate generative Markov model. The time-series…
Consider a stochastic process $\{X(t)\}$ on a finite state space $ {\sf X}=\{1,\dots, d\}$. It is conditionally Markov, given a real-valued `input process' $\{\zeta(t)\}$. This is assumed to be small, which is modeled through the scaling,…
This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a continuum of invariant distributions…
This paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and strong dependency. A time-varying…
Probability estimation is essential for every statistical data compression algorithm. In practice probability estimation should be adaptive, recent observations should receive a higher weight than older observations. We present a…
In this paper an approach to modelling nonstationary binary sequences, i.e., predicting the probability of upcoming symbols, is presented. After studying the prediction model we evaluate its performance in two non-artificial test cases.…
Real-world sequential decision making problems commonly involve partial observability, which requires the agent to maintain a memory of history in order to infer the latent states, plan and make good decisions. Coping with partial…
The spectral gap $\gamma$ of a finite, ergodic, and reversible Markov chain is an important parameter measuring the asymptotic rate of convergence. In applications, the transition matrix $P$ may be unknown, yet one sample of the chain up to…
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…
We introduce computational methods that allow for effective estimation of a flexible, parametric non-stationary spatial model when the field size is too large to compute the multivariate normal likelihood directly. In this method, the field…
Via operator theoretic methods, we formalize the concentration phenomenon for a given observable `$r$' of a discrete time Markov chain with `$\mu_{\pi}$' as invariant ergodic measure, possibly having support on an unbounded state space. The…
We study continuous-time Markov chains on the non-negative integers under mild regularity conditions (in particular, the set of jump vectors is finite and both forward and backward jumps are possible). Based on the so-called flux balance…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…