Related papers: Underlying Core Inflation with Multiple Regimes
Power grids are moving towards 100% renewable energy source bulk power grids, and the overall dynamics of power system operations and electricity markets are changing. The electricity markets are not only dispatching resources economically…
Leaving posterior sensitivity concerns aside, non-identifiability of the parameters does not raise a difficulty for Bayesian inference as far as the posterior is proper, but multi-modality or flat regions of the posterior induced by the…
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each…
In general terms, intermittency is the property for which time evolving systems alternate among two or more different regimes. Predicting the instance when the regime switch will occur is extremely challenging, often practically impossible.…
A possibly time-dependent transition intensity matrix or generator $(Q(t))$ characterizes the law of a Markov jump process (MP). For a time homogeneous MP, the transition probability matrix (TPM) can be expressed as a matrix exponential of…
We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through…
Quantitative understanding of stochastic dynamics in limit order price changes is essential for execution strategy design. We analyze intraday transition dynamics of ask and bid orders across market capitalization tiers using high-frequency…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
We consider a unified framework of sequential change-point detection and hypothesis testing modeled by means of hidden Markov chains. One observes a sequence of random variables whose distributions are functionals of a hidden Markov chain.…
Multivariate regression models and ANOVA are probably the most frequently applied methods of all statistical analyses. We study the case where the predictors are qualitative variables, and the response variable is quantitative. In this…
Markov automata combine non-determinism, probabilistic branching, and exponentially distributed delays. This compositional variant of continuous-time Markov decision processes is used in reliability engineering, performance evaluation and…
Time-varying parameters (TVPs) models are frequently used in economics to capture structural change. I highlight a rather underutilized fact -- that these are actually ridge regressions. Instantly, this makes computations, tuning, and…
One of the major problems in adaptive filtering is the problem of system identification. It has been studied extensively due to its immense practical importance in a variety of fields. The underlying goal is to identify the impulse response…
This paper proposes a new coherent model for a comprehensive study of the cotton price using econometrics and Long-Short term memory neural network (LSTM) methodologies. We call a simple cotton price trend and then assumed conjectures in…
The large hierarchy between the Planck scale and the weak scale can be explained by the dynamical breaking of supersymmetry in strongly coupled gauge theories. Similarly, the hierarchy between the Planck scale and the energy scale of…
In this paper, inflationary cosmology is reviewed, paying particular attention to its observational signatures associated with large-scale density perturbations generated from quantum fluctuations. In the most general scalar-tensor theories…
We propose the Multiple Changepoint Isolation (MCI) method for detecting multiple changes in the mean and covariance of a functional process. We first introduce a pair of projections to represent the variability "between" and "within" the…
We extend an alternative, phenomenological approach to inflation by means of an equation of state and a sound speed, both of them functions of the number of $e$-folds and four phenomenological parameters. This approach captures a number of…
We consider the control of a Markov decision process (MDP) that undergoes an abrupt change in its transition kernel (mode). We formulate the problem of minimizing regret under control-switching based on mode change detection, compared to a…
This paper considers the problem of joint change detection and identification assuming multiple composite postchange hypotheses. We propose a multihypothesis changepoint detection-identification procedure that controls the probabilities of…