Related papers: Multi-state model with temporal-consistent surviva…

We introduce a class of continuous-time bivariate phase-type distributions for modeling dependencies from common shocks. The construction uses continuous-time Markov processes that evolve identically until an internal common-shock event,…

In this paper we study Monte Carlo estimators based on the likelihood ratio approach for steady-state sensitivity. We first extend the result of Glynn and Olvera-Cravioto [doi:doi: 10.1287/stsy.2018.002] to the setting of continuous time…

Nonlinear Markov chains with finite state space have been introduced in Kolokoltsov (2010). The characteristic property of these processes is that the transition probabilities do not only depend on the state, but also on the distribution of…

We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…

In this paper we propose a novel SEIR stochastic epidemic model. A distinguishing feature of this new model is that it allows us to consider a set up under general latency and infectious period distributions. To some extent, queuing systems…

This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability…

We develop a new bidirectional algorithm for estimating Markov chain multi-step transition probabilities: given a Markov chain, we want to estimate the probability of hitting a given target state in $\ell$ steps after starting from a given…

Markov chain models are used in various fields, such behavioral sciences or econometrics. Although the goodness of fit of the model is usually assessed by large sample approximation, it is desirable to use conditional tests if the sample…

Computing the stationary distributions of a continuous-time Markov chain (CTMC) involves solving a set of linear equations. In most cases of interest, the number of equations is infinite or too large, and the equations cannot be solved…

In this paper, it is presented a methodology for implementing arbitrarily constructed time-homogenous Markov chains with biochemical systems. Not only discrete but also continuous-time Markov chains are allowed to be computed. By employing…

This study introduces a novel approach for learning mixtures of Markov chains, a critical process applicable to various fields, including healthcare and the analysis of web users. Existing research has identified a clear divide in…

Markov chains for probability distributions related to matrix product states and 1D Hamiltonians are introduced. With appropriate 'inverse temperature' schedules, these chains can be combined into a random approximation scheme for ground…

The aim of this paper is to propose a methodology for testing general hypothesis in a Markovian setting with random sampling. A discrete Markov chain X is observed at random time intervals $\tau$ k, assumed to be iid with unknown…

Consideration is given to the three different analytical methods for the computation of upper bounds for the rate of convergence to the limiting regime of one specific class of (in)homogeneous continuous-time Markov chains. This class is…

Arguing about the equilibrium distribution of continuous-time Markov chains can be vital for showing properties about the underlying systems. For example in biological systems, bistability of a chemical reaction network can hint at its…

In this paper, we investigate a nonparametric approach to provide a recursive estimator of the transition density of a non-stationary piecewise-deterministic Markov process, from only one observation of the path within a long time. In this…

This article studies the estimation of the causal effect of a time-varying treatment on time-to-an-event or on some other continuously distributed outcome. The paper applies to the situation where treatment is repeatedly adapted to…

The estimation of absorption time distributions of Markov jump processes is an important task in various branches of statistics and applied probability. While the time-homogeneous case is classic, the time-inhomogeneous case has recently…

This work focuses on time-inhomogeneous Markov chains with two time scales. Our motivations stem from applications in reliability and dependability, queueing networks, financial engineering and manufacturing systems, where two-time-scale…

We propose a new Markov chain Monte Carlo method in which trial configurations are generated by evolving a state, sampled from a prior distribution, using a Markov transition matrix. We present two prototypical algorithms and derive their…