Score tests based on a finite mixture model of Markov processes under intermittent observation.
Sign Up to like & getrecommendations! Published in 2019 at "Statistics in medicine"
DOI: 10.1002/sim.8155
Abstract: A mixture model is described, which accommodates different Markov processes governing disease progression in a finite set of latent classes. We give special attention to the setting in which individuals are examined intermittently and transition… read more here.
Keywords: mixture model; score tests; markov processes;
Variational Approach for Learning Markov Processes from Time Series Data
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Nonlinear Science"
DOI: 10.1007/s00332-019-09567-y
Abstract: Inference, prediction, and control of complex dynamical systems from time series is important in many areas, including financial markets, power grid management, climate and weather modeling, or molecular dynamics. The analysis of such highly nonlinear… read more here.
Keywords: series data; time; time series; markov processes ... See more keywords
Convex Computation of Extremal Invariant Measures of Nonlinear Dynamical Systems and Markov Processes
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Nonlinear Science"
DOI: 10.1007/s00332-020-09658-1
Abstract: We propose a convex-optimization-based framework for computation of invariant measures of polynomial dynamical systems and Markov processes, in discrete and continuous time. The set of all invariant measures is characterized as the feasible set of… read more here.
Keywords: computation; systems markov; measure; dynamical systems ... See more keywords
Effective Hamiltonians and Lagrangians for Conditioned Markov Processes at Large Volume
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Statistical Physics"
DOI: 10.1007/s10955-022-02898-3
Abstract: When analysing statistical systems or stochastic processes, it is often interesting to ask how they behave given that some observable takes some prescribed value. This conditioning problem is well understood within the linear operator formalism… read more here.
Keywords: large volume; markov processes; effective hamiltonians; hamiltonians lagrangians ... See more keywords
Using Semi-Markov Chains to Solve Semi-Markov Processes
Sign Up to like & getrecommendations! Published in 2020 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-020-09820-y
Abstract: This article provides a novel method to solve continuous-time semi-Markov processes by algorithms from discrete-time case, based on the fact that the Markov renewal function in discrete-time case is a finite series. Bounds of approximate… read more here.
Keywords: time; markov processes; using semi; semi markov ... See more keywords
Hypotheses testing and posterior concentration rates for semi-Markov processes
Sign Up to like & getrecommendations! Published in 2021 at "Statistical Inference for Stochastic Processes"
DOI: 10.1007/s11203-021-09247-3
Abstract: In this paper, we adopt a nonparametric Bayesian approach and investigate the asymptotic behavior of the posterior distribution in continuous time and general state space semi-Markov processes. In particular, we obtain posterior concentration rates for… read more here.
Keywords: posterior concentration; rates semi; concentration rates; markov processes ... See more keywords
Irreversible samplers from jump and continuous Markov processes
Sign Up to like & getrecommendations! Published in 2019 at "Statistics and Computing"
DOI: 10.1007/s11222-018-9802-x
Abstract: In this paper, we propose irreversible versions of the Metropolis–Hastings (MH) and Metropolis-adjusted Langevin algorithm (MALA) with a main focus on the latter. For the former, we show how one can simply switch between different… read more here.
Keywords: jump continuous; markov processes; samplers jump; irreversible samplers ... See more keywords
Strong Markov processes and negative definite functions associated with non-Archimedean elliptic pseudo-differential operators
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Pseudo-Differential Operators and Applications"
DOI: 10.1007/s11868-019-00293-3
Abstract: In this article we prove that the heat kernel attached to the non-Archimedean elliptic pseudodifferential operators determine a Feller semigroup and a uniformly stochastically continuous $$C_{0}$$ C 0 -transition function of some strong Markov processes… read more here.
Keywords: differential operators; markov processes; archimedean elliptic; strong markov ... See more keywords
Modeling learning in knowledge space theory through bivariate Markov processes
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Mathematical Psychology"
DOI: 10.1016/j.jmp.2021.102549
Abstract: Abstract Bivariate Markov processes (BMPs) described by Ephraim and Mark (2012) consist of a pair of stochastic processes in the continuous time, one observable and the other latent, that are jointly Markov. In the present… read more here.
Keywords: modeling learning; markov processes; space theory; bivariate markov ... See more keywords
Introduction to dynamical large deviations of Markov processes
Sign Up to like & getrecommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2017.10.046
Abstract: Abstract These notes give a summary of techniques used in large deviation theory to study the fluctuations of time-additive quantities, called dynamical observables, defined in the context of Langevin-type equations, which model equilibrium and nonequilibrium… read more here.
Keywords: deviations markov; dynamical large; introduction dynamical; markov processes ... See more keywords
Thinning and multilevel Monte Carlo methods for piecewise deterministic (Markov) processes with an application to a stochastic Morris–Lecar model
Sign Up to like & getrecommendations! Published in 2020 at "Advances in Applied Probability"
DOI: 10.1017/apr.2019.55
Abstract: Abstract In the first part of this paper we study approximations of trajectories of piecewise deterministic processes (PDPs) when the flow is not given explicitly by the thinning method. We also establish a strong error… read more here.
Keywords: multilevel monte; monte carlo; markov processes; piecewise deterministic ... See more keywords