Related papers: Underlying Core Inflation with Multiple Regimes
Multivariate time series can often have a large number of dimensions, whether it is due to the vast amount of collected features or due to how the data sources are processed. Frequently, the main structure of the high-dimensional time…
Markov cohort state-transition models have been the standard approach for simulating the prognosis of patients or, more generally, the life trajectories of individuals over a time period. Current approaches for estimating the variance of a…
This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Brownian motion; that is, the appreciation rate and the…
By monitoring the sampling of states with different magnetizations in transition matrix procedures a family of accurate and easily implemented techniques are constructed that automatically control the variation of the temperature or energy…
Multivariate data sources with components of different information value seem to appear frequently in practice. Models in which the components change their homogeneity at different times are of significant importance. The fact whether any…
Active classification, i.e., the sequential decision-making process aimed at data acquisition for classification purposes, arises naturally in many applications, including medical diagnosis, intrusion detection, and object tracking. In this…
We study offline change-point estimation for time series data exhibiting nonlinear serial dependence. To address this problem, we propose a copula-based Markov chain model with Weibull marginal distributions, which is suitable for modeling…
Macroeconomists increasingly use external sources of exogenous variation for causal inference. However, unless such external instruments (proxies) capture the underlying shock without measurement error, existing methods are silent on the…
There is solid theoretical and observational motivation behind the idea of scale-invariance as a fundamental symmetry of Nature. We consider a recently proposed classically scale-invariant inflationary model, quadratic in curvature and…
In this paper, we consider the problem of quickest change point detection and identification over a linear array of $N$ sensors, where the change pattern could first reach any of these sensors, and then propagate to the other sensors. Our…
Parallel tempering is a meta-algorithm for Markov Chain Monte Carlo that uses multiple chains to sample from tempered versions of the target distribution, enhancing mixing in multi-modal distributions that are challenging for traditional…
The paper investigates the problems of quickest change detection in Markov models and hidden Markov models (HMMs). Sequential observations are taken from a (hidden) Markov model. At some unknown time, an event occurs in the system and…
We consider a change-point detection problem for a simple class of Piecewise Deterministic Markov Processes (PDMPs). A continuous-time PDMP is observed in discrete time and through noise, and the aim is to propose a numerical method to…
In two-way contingency tables we sometimes find that frequencies along the diagonal cells are relatively larger(or smaller) compared to off-diagonal cells, particularly in square tables with the common categories for the rows and the…
This article considers a model for alternative processes for securities prices and compares this model with actual return data of several securities. The distributions of returns that appear in the model can be Gaussian as well as…
We propose improved methods to identify stock groups using the correlation matrix of stock price changes. By filtering out the marketwide effect and the random noise, we construct the correlation matrix of stock groups in which nontrivial…
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We combine efficient…
Data centers are becoming a major consumer of electricity on the grid, with cooling accounting for about 40\% of that energy. As electricity prices vary throughout the day and year, there is a need for cooling strategies that adapt to these…
Regime-switching poses both problems and opportunities for portfolio managers. If a switch in the behaviour of the markets is not quickly detected it can be a source of loss, since previous trading positions may be inappropriate in the new…
We introduce a numerical method specifically designed for investigating generic multifield models of inflation where a number of scalar fields $\phi^K$ are minimally coupled to gravity and live in a field space with a non-trivial metric…