Related papers: A note on the gambling team method
This paper deals with the estimation of the unknown distribution of hidden random variables from the observation of pairwise comparisons between these variables. This problem is inspired by recent developments on Bradley-Terry models in…
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…
Consider a filtering process associated to a hidden Markov model with densities for which both the state space and the observation space are complete, separable, metric spaces. If the underlying, hidden Markov chain is strongly ergodic and…
This paper proposes an information-theoretic cost function for aggregating a Markov chain via a (possibly stochastic) mapping. The cost function is motivated by two objectives: 1) The process obtained by observing the Markov chain through…
The development of an algorithm with related mathematical concepts and supporting hypothesis for detecting changes in system dynamics from time series along with empirical analysis and theoretical justification is presented. For the method,…
A piecewise-deterministic Markov process, specified by random jumps and switching semi-flows, as well as the associated Markov chain given by its post-jump locations, are investigated in this paper. The existence of an exponentially…
Sampling from the conditional (or posterior) probability distribution of the latent states of a Hidden Markov Model, given the realization of the observed process, is a non-trivial problem in the context of Markov Chain Monte Carlo. To do…
Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes.…
Consider a finite irreducible Markov chain with invariant distribution $\pi$. We use the inner product induced by $\pi$ and the associated heat operator to simplify and generalize some results related to graph partitioning and the small-set…
Rao and Teh (2012, 2013) introduced an efficient MCMC algorithm for sampling from the posterior distribution of a hidden Markov jump process. The algorithm is based on the idea of sampling virtual jumps. In the present paper we show that…
We investigate the convergence in distribution of sequential empirical processes of dependent data indexed by a class of functions F. Our technique is suitable for processes that satisfy a multiple mixing condition on a space of functions…
This paper considers the distributionally robust chance constrained Markov decision process with random reward and ambiguous reward distribution. We consider individual and joint chance constraint cases with Kullback-Leibler divergence…
We introduce and study Maker/Breaker-type positional games on random graphs. Our main concern is to determine the threshold probability $p_{F}$ for the existence of Maker's strategy to claim a member of $F$ in the unbiased game played on…
We provide a probabilistic analysis of the banker algorithm when transition probabilities may depend on time and space. The transition probabilities evolve, as time goes by, along the trajectory of an ergodic Markovian environment, whereas…
We construct a class of reflection laws for billiard processes in the unit interval whose stationary distribution for the billiard position and its velocity is the product of the uniform distribution and the standard normal distribution.…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
In this paper we develop the Gerber-Shiu theory for the classic and dual discrete risk processes in a Markovian (regime switching) environment. In particular, by expressing the Gerber-Shiu function in terms of potential measures of an…
We present a system for online probabilistic event forecasting. We assume that a user is interested in detecting and forecasting event patterns, given in the form of regular expressions. Our system can consume streams of events and forecast…
We study recurrence and transience for a particle that moves at constant velocity in the interior of an unbounded planar domain, with random reflections at the boundary governed by a Markov kernel producing outgoing angles from incoming…
We study the ergodic properties of two classes of random dynamical systems: a type of Markov chain which we call the \textit{alternating random walk} and a certain stochastic billiard system which describes the motion of a free-moving rough…