相关论文: A Markov Chain based method for generating long-ra…

The aim of this paper is to use a very simple queuing model to compare a number of models from the literature which have been used to replicate the statistical nature of internet traffic and, in particular, the long-range dependence of this…

Markov chains are convenient means of generating realizations of networks with a given (joint or otherwise) degree distribution, since they simply require a procedure for rewiring edges. The major challenge is to find the right number of…

Characterizing temporal dependence patterns is a critical step in understanding the statistical properties of sequential data. Long Range Dependence (LRD) --- referring to long-range correlations decaying as a power law rather than…

Classical linear regression is considered for a case when regression parameters depend on the external random environment. The last is described as a continuous time Markov chain with finite state space. Here the expected sojourn times in…

Empirical detection of long range dependence (LRD) of a time series often consists of deciding whether an estimate of the memory parameter $d$ corresponds to LRD. Surprisingly, the literature offers numerous spectral domain estimators for…

In this paper we propose using a nonparametric model specification test for parametric time series with long-range dependence (LRD). To establish asymptotic distributions of the proposed test statistic, we develop new central limit theorems…

In this study, a new extension of the Markov Renewal theory is introduced by allowing time to evolve in multiple dimensions. The resulting chains are referred to as multi-time Markov Renewal chains and since this extension is new, the state…

We describe a method to construct directed networks from multivariate time series which has several advantages over the widely accepted methods. This method is based on an information theoretic reduction of linear (auto-regressive) models.…

We obtain the posterior distribution of a random process conditioned on observing the empirical frequencies of a finite sample path. We find under a rather broad assumption on the "dependence structure" of the process, {\em c.f.}…

We introduce multiple hidden Markov models (MHMMs) where an observed multivariate categorical time series depends on an unobservable multivariate Mar- kov chain. MHMMs provide an elegant framework for specifying various independence…

In this paper, we focus on the generation of time-series data using neural networks. It is often the case that input time-series data have only one realized (and usually irregularly sampled) path, which makes it difficult to extract…

A new method is proposed which allows a reconstruction of time series based on higher order multiscale statistics given by a hierarchical process. This method is able to model the time series not only on a specific scale but for a range of…

We provide a comprehensive overview of latent Markov (LM) models for the analysis of longitudinal categorical data. The main assumption behind these models is that the response variables are conditionally independent given a latent process…

We present an approach that can be useful when the network or system performance is described by a model that is not Markovian. Although most performance models are based on Markov chains or Markov processes, in some cases the Markov…

Discrete latent space models have recently achieved performance on par with their continuous counterparts in deep variational inference. While they still face various implementation challenges, these models offer the opportunity for a…

We introduce graphical time series models for the analysis of dynamic relationships among variables in multivariate time series. The modelling approach is based on the notion of strong Granger causality and can be applied to time series…

Many applications in networked control require intermittent access of a controller to a system, as in event-triggered systems or information constrained control applications. Motivated by such applications and extending previous work on…

A method of constructing Markov chains on finite state spaces is provided. The chain is specified by three constraints: stationarity, dependence and marginal distributions. The generalized Pythagorean theorem in information geometry plays a…

We introduce Markov Random Geometric Graphs (MRGGs), a growth model for temporal dynamic networks. It is based on a Markovian latent space dynamic: consecutive latent points are sampled on the Euclidean Sphere using an unknown Markov…

Ordinal pattern dependence is a multivariate dependence measure based on the co-movement of two time series. In strong connection to ordinal time series analysis, the ordinal information is taken into account to derive robust results on the…