Related papers: The explicit solution and precise distribution of …
We investigate parametric estimation of the elasticity parameter in the CKLS diffusion based on high-frequency data. First, we transform the CKLS diffusion to a CIR-type one via a smooth state-space mapping and the general Girsanov change…
We study a twice-differentiable transformation applied to a CKLS-type short-rate model with linear drift and power-type diffusion. The transformation yields a new process whose diffusion component has a square-root structure and whose drift…
This paper derives the exact transition density and cumulative distribution function of a linear combination of two independent Cox-Ingersoll-Ross (CIR) processes. By combining the Poisson Gamma mixture representation of the noncentral…
The sample-based Gibbs sampler has been the dominant method for approximating joint distribution from a collection of compatible full-conditional distributions. However for conditionally specified model, mixtures of incompatible full and…
Two moment-matching methods for model reduction of linear switched systems (LSSs) are presented. The methods are similar to the Krylov subspace methods used for moment matching for linear systems. The more general one of the two methods, is…
We introduce a generalized additive model for location, scale, and shape (GAMLSS) next of kin aiming at distribution-free and parsimonious regression modelling for arbitrary outcomes. We replace the strict parametric distribution…
In this article we have successfully obtained an exact solution of a particular case of SIR and SIS epidemic models given by Kermack and Mckendrick [1] for constant population, which are described by coupled nonlinear differential…
The conserved Kuramoto-Sivashinsky (CKS) equation, u_t = -(u+u_xx+u_x^2)_xx, has recently been derived in the context of crystal growth, and it is also strictly related to a similar equation appearing, e.g., in sand-ripple dynamics. We show…
We study a notion of positivity of Gaussian directed acyclic graphical models corresponding to a non-negativity constraint on the coefficients of the associated structural equation model. We prove that this constraint is equivalent to the…
Cyclostationary linear inverse models (CS-LIMs), generalized versions of the classical (stationary) LIM, are advanced data-driven techniques for extracting the first-order time-dependent dynamics and random forcing relevant information from…
The Gibbs sampler (GS) is a crucial algorithm for approximating complex calculations, and it is justified by Markov chain theory, the alternating projection theorem, and $I$-projection, separately. We explore the equivalence between these…
Facilitated or kinetically constrained spin models (KCSM) are a class of interacting particle systems reversible w.r.t. to a simple product measure. Each dynamical variable (spin) is re-sampled from its equilibrium distribution only if the…
We present a technique for constructing suitable posterior probability distributions in situations for which the sampling distribution of the data is not known. This is very useful for modern scientific data analysis in the era of "big…
Knowing when a graphical model is perfect to a distribution is essential in order to relate separation in the graph to conditional independence in the distribution, and this is particularly important when performing inference from data.…
This paper provides insight into the estimation and asymptotic behavior of parameters in interest rate models, focusing primarily on the Cox-Ingersoll-Ross (CIR) process and its extension -- the more general Chan-Karolyi-Longstaff-Sanders…
In this paper, we consider the Integrated Completed Likelihood (ICL) as a useful criterion for estimating the number of changes in the underlying distribution of data in problems where detecting the precise location of these changes is the…
This work studies exact solvability of a class of fractional reaction-diffusion equation with the Riemann-Liouville fractional derivatives on the half-line in terms of the similarity solutions. We derived the conditions for the equation to…
The direct Gaussian copula model with discrete marginal distributions is an appealing data-analytic tool but poses difficult computational challenges due to its intractable likelihood. A number of approximations/surrogates for the…
In this paper we analyze a method for approximating the first-passage time density and the corresponding distribution function for a CIR process. This approximation is obtained by truncating a series expansion involving the generalized…
We give a new and simple proof of the Hankel inversion formula for the classical Hankel transform which holds for a complex order with real part greater than -1. Using the proof of this formula we obtain the full description of the Kirillov…