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We consider a stochastic process model with time trend and measurement error. We establish consistency and derive the limiting distributions of the maximum likelihood (ML) estimators of the covariance function parameters under a general…
It is known that state-dependent, multi-step Lyapunov bounds lead to greatly simplified verification theorems for stability for large classes of Markov chain models. This is one component of the "fluid model" approach to stability of…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
In the present paper, progression of non-alcoholic fatty liver disease (NAFLD) process is modeled by Continuous time Markov chains (CTMC) with 4 states .The transition intensities among the states are estimated using maximum likelihood…
Markov chain Monte Calro methods (MCMC) are commonly used in Bayesian statistics. In the last twenty years, many results have been established for the calculation of the exact convergence rate of MCMC methods. We introduce another rate of…
In the following article we provide an exposition of exact computational methods to perform parameter inference from partially observed network models. In particular, we consider the duplication attachment (DA) model which has a likelihood…
We consider adaptive increasingly rare Markov chain Monte Carlo (MCMC) algorithms, which are adaptive MCMC methods, where the adaptation concerning the "past'' happens less and less frequently over time. Under a contraction assumption with…
We introduce an ensemble Markov chain Monte Carlo approach to sampling from a probability density with known likelihood. This method upgrades an underlying Markov chain by allowing an ensemble of such chains to interact via a process in…
We present a novel technique for the determination of the topological susceptibility (related to the variance of the distribution of global topological charge) from lattice gauge theory simulations, based on maximum-likelihood analysis of…
There is a growing interest in the literature for adaptive Markov chain Monte Carlo methods based on sequences of random transition kernels $\{P_n\}$ where the kernel $P_n$ is allowed to have an invariant distribution $\pi_n$ not…
An important problem in the implementation of Markov Chain Monte Carlo algorithms is to determine the convergence time, or the number of iterations before the chain is close to stationarity. For many Markov chains used in practice this time…
Stochastic Chemical Reaction Networks are continuous time Markov chain models that describe the time evolution of the molecular counts of species interacting stochastically via discrete reactions. Such models are ubiquitous in systems and…
As sample sizes grow, scalability has become a central concern in the development of Markov chain Monte Carlo (MCMC) methods. One general approach to this problem, exemplified by the popular stochastic gradient Langevin dynamics (SGLD)…
We propose a sequential Markov chain Monte Carlo (SMCMC) algorithm to sample from a sequence of probability distributions, corresponding to posterior distributions at different times in on-line applications. SMCMC proceeds as in usual MCMC…
The graph-related symmetries of a reaction network give rise to certain special equilibria (such as complex balanced equilibria) in deterministic models of dynamics of the reaction network. Correspondingly, in the stochastic setting, when…
We study irreducible time-homogenous Markov chains with finite state space in discrete time. We obtain results on the sensitivity of the stationary distribution and other statistical quantities with respect to perturbations of the…
Stochastic reaction networks, which are usually modeled as continuous-time Markov chains on $\mathbb Z^d_{\ge 0}$, and simulated via a version of the "Gillespie algorithm," have proven to be a useful tool for the understanding of processes,…
We construct a new Markov chain Monte Carlo method on finite states with optimal choices of acceptance-rejection ratio functions. We prove that the constructed continuous time Markov jumping process has a global in-time convergence rate in…
Markov state models (MSMs) are widely employed to analyze the kinetics of complex systems. But despite their effectiveness in many applications, MSMs are prone to systematic or statistical errors, often exacerbated by suboptimal…
We introduce a new class of estimators for the linear response of steady states of stochastic dynamics. We generalize the likelihood ratio approach and formulate the linear response as a product of two martingales, hence the name…