相关论文: MSTest: An R-Package for Testing Markov Switching …

Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series. Typically, this is done via hypothesis…

The Expectation-Maximization (EM) algorithm (Dempster, Laird and Rubin, 1977) is a popular method for computing maximum likelihood estimates (MLEs) in problems with missing data. Each iteration of the al- gorithm formally consists of an…

The linear regression model with a random variable (RV) measurement matrix, where the mean of the random measurement matrix has full column rank, has been extensively studied. In particular, the quasiconvexity of the maximum likelihood…

We examine a constrained Markov decision process under uncertain transition probabilities, with the uncertainty modeled as deviations from observed transition probabilities. We construct the uncertainty set associated with the deviations…

Robust Markov decision processes (r-MDPs) extend MDPs by explicitly modelling epistemic uncertainty about transition dynamics. Learning r-MDPs from interactions with an unknown environment enables the synthesis of robust policies with…

Stochastic reaction network models are often used to explain and predict the dynamics of gene regulation in single cells. These models usually involve several parameters, such as the kinetic rates of chemical reactions, that are not…

We consider Metropolis Hastings MCMC in cases where the log of the ratio of target distributions is replaced by an estimator. The estimator is based on m samples from an independent online Monte Carlo simulation. Under some conditions on…

Consider testing multiple hypotheses in the setting where the p-values of all hypotheses are unknown and thus have to be approximated using Monte Carlo simulations. One class of algorithms published in the literature for this scenario…

This short paper briefly describes the implementation of the least squares Monte Carlo method in the rlsm package. This package provides users with an easy manner to experiment with the large amount of R regression tools on any regression…

Paper [1] derived the probability density function (PDF) of a sum of products of two correlated complex Gaussian zero-mean random variables (RVs) that has been applied to calculate the error probabilities of a \emph{M}-ary phase shift…

Mixtures of Hidden Markov Models (MHMMs) are frequently used for clustering of sequential data. An important aspect of MHMMs, as of any clustering approach, is that they can be interpretable, allowing for novel insights to be gained from…

We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain.…

In this study, we propose a mixture logistic regression model with a Markov structure, and consider the estimation of model parameters using maximum likelihood estimation. We also provide a forward type variable selection algorithm to…

In this article, a novel identification test is proposed, which can be applied to parameteric models such as Mixture of Normal (MN) distributions, Markow Switching(MS), or Structural Autoregressive (SVAR) models. In the approach, it is…

Relative error estimation has been recently used in regression analysis. A crucial issue of the existing relative error estimation procedures is that they are sensitive to outliers. To address this issue, we employ the $\gamma$-likelihood…

We investigate the problem of computing a nested expectation of the form $\mathbb{P}[\mathbb{E}[X|Y] \!\geq\!0]\!=\!\mathbb{E}[\textrm{H}(\mathbb{E}[X|Y])]$ where $\textrm{H}$ is the Heaviside function. This nested expectation appears, for…

Regime detection is vital for the effective operation of trading and investment strategies. However, the most popular means of doing this, the two-state Markov-switching regression model (MSR), is not an optimal solution, as two volatility…

This paper consider an MMLE (Modified Maximum Likelihood Estimation) based scheme to estimate software reliability using exponential distribution. The MMLE is one of the generalized frameworks of software reliability models of Non…

The Kolmogorov-Smirnov (KS) test is a nonparametric statistical test used to test for differences between univariate probability distributions. The versatility of the KS test has made it a cornerstone of statistical analysis across many…

Methods that bypass analytical evaluations of the likelihood function have become an indispensable tool for statistical inference in many fields of science. These so-called likelihood-free methods rely on accepting and rejecting simulations…