搜索结果: 1-11 共查到“统计学 Markovian”相关记录11条 . 查询时间(0.65 秒)
Variational Bayes approach for model aggregation in unsupervised classification with Markovian dependency
Model averaging Variational Bayes inference Markov Chain Unsu-pervised classification
2011/6/16
We consider a binary unsupervised classi cation problem where each observation
is associated with an unobserved label that we want to retrieve. More precisely, we
assume that there are two groups of...
Characterizations of polynomial-Gaussian processes that are Markovian
Characterizations polynomial-Gaussian processes Markovian
2009/9/21
We consider questions of characterizing a stochastic
process X = (X,,t 2 0) by the properties of the first two conditional
moments. Our first result is a new version of the classical P. Levy
charac...
PORTFOLIO DIVERSIFICATION WITH MARKOVIAN PRICES
Impulsive control portfolios transaction costs Lkvy processes
2009/9/18
The problem of constructing impulsive rebalancing of
portfolios, introduced by Pliska and Suzuki, is solved for models with
general Markovian prices. Existence of the optimal strategy iu established...
PERFECT TREE-LIKE MARKOVIAN DISTRIBUTIONS
Conditional independence graphical models Markov models
2009/9/18
We show that if a strictly positive joint probability
distribution for a set of binary variables factors according to a tree,
then vertex separation represents all and only the independence relation...
Moments of the Discounted Dividends in a Threshold-Type Markovian Risk Process
Discounted Dividends Threshold-Type Markovian Risk Process
2009/9/17
Moments of the Discounted Dividends in a Threshold-Type Markovian Risk Process。
Random Walk in Dynamic Markovian Random Environment
Random Walk Markovian Random Environment
2009/6/12
Random Walk in Dynamic Markovian Random Environment.
Martingale proofs of many-server heavy-traffic limits for Markovian queues
multiple-server queues many-server heavy-traffic limits for queues diffusion approximations martingales functional central limit theorems
2009/5/18
This is an expository review paper illustrating the “martin- gale method” for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximatio...
Pitman's 2M-X Theorem for Skip-Free Random Walks with Markovian Increments
Pitman's representation three-dimensional Bessel process telegrapher s equation queue Burke's theorem
2009/5/4
Let $(xi_k, kge 0)$ be a Markov chain on ${-1,+1}$ with $xi_0=1$ and transition probabilities $P(xi_{k+1}=1| xi_k=1)=a>b=P(xi_{k+1}=-1| xi_k=-1)$. Set $X_0=0$, $X_n=xi_1+cdots +xi_n$ and $M_n=max_{0le...
A recent theorem by M. Manstavicius (2004) provided a link between a certain function of transition probabilities of a strong Markov process and the boundedness of the p-variation of its trajectories....
A Non-Markovian Process with Unbounded p-Variation
theorem Non-Markovian Process p-Variation
2009/4/7
A recent theorem by M. Manstavicius (2004) provided a link between a certain function of transition probabilities of a strong Markov process and the boundedness of the p-variation of its trajectories....
Simple Estimators for Parametric Markovian Trend of Ergodic Processes Based on Sampled Data
discrete sampling parametric estimation stochastic differential equation trajectory-fitting
2009/3/9
Let X be a stochastic process obeying a stochastic differential equation of the form dXt = b(Xt, θ)dt + dYt, where Y is an adapted driving process possibly depending on X’s past history, and θ ∈ Θ ...