相关论文: Markov switching models: an application to roadway…
Many biological and medical questions can be modeled using time-to-event data in finite-state Markov chains, with the phase-type distribution describing intervals between events. We solve the inverse problem: given a phase-type…
We propose a method to sample stationary properties of solutions of stochastic differential equations, which is accurate and efficient if there are rarely visited regions or rare transitions between distinct regions of the state space. The…
A reliable estimation of the communication chan-nel which connects automated vehicles is an important steptowards the safety of connected and automated vehicles. The communication channel is usually modeled as Markov chain with slowly…
In this paper, we consider the problem of experience rating within the classic Markov chain life insurance framework. We begin by establishing a link between mixed Poisson distributions and the problem of pricing group disability insurance…
We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…
Tipping points have been shown to be ubiquitous, both in models and empirically in a range of physical and biological systems. The question of how tipping points cascade through systems has been less well studied and is an important one. A…
We present a new method for inferring hidden Markov models from noisy time sequences without the necessity of assuming a model architecture, thus allowing for the detection of degenerate states. This is based on the statistical prediction…
This paper introduces an extension of the Markov switching GARCH model where the volatility in each state is a convex combination of two different GARCH components with time varying weights. This model has the dynamic behavior to capture…
Autonomous vehicles (AV) look set to become common on our roads within the next few years. However, to achieve the final breakthrough, not only functional progress is required, but also satisfactory safety assurance must be provided. Among…
Performance-based engineering for natural hazards facilitates the design and appraisal of structures with rigorous evaluation of their uncertain structural behavior under potentially extreme stochastic loads expressed in terms of failure…
Optimal designs minimize the number of experimental runs (samples) needed to accurately estimate model parameters, resulting in algorithms that, for instance, efficiently minimize parameter estimate variance. Governed by knowledge of past…
We make a methodological contribution by introducing a new dimension of traffic conflict severity: the probability that a driver is in a defensive state. This behavioural probability reflects an internal response to perceived risk and is…
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…
In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to reproduce many important aspects that influence the…
We consider exchangeable Markov multi-state survival processes -- temporal processes taking values over a state-space$\mathcal{S}$ with at least one absorbing failure state $\flat \in \mathcal{S}$ that satisfy natural invariance properties…
We investigate an M/M/1 queue operating in two switching environments, where the switch is governed by a two-state time-homogeneous Markov chain. This model allows to describe a system that is subject to regular operating phases alternating…
This paper presents a new procedure for evaluating the goodness of fit of Generalized Linear Models (GLM) estimated with Roadway Departure (RwD) crash frequency data for the State of Hawaii on two-lane two-way (TLTW) state roads. The…
We present three algorithms for calculating rate constants and sampling transition paths for rare events in simulations with stochastic dynamics. The methods do not require a priori knowledge of the phase space density and are suitable for…
This paper develops a decision algorithm for weak bisimulation on Markov Automata (MA). For that purpose, different notions of vanishing state (a concept known from the area of Generalised Stochastic Petri Nets) are defined. Vanishing…
This work investigates the almost sure stabilization of a class of regime-switching systems based on discrete-time observations of both continuous and discrete components. It develops Shao's work [SIAM J. Control Optim., 55(2017), pp.…