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On Estimation for Brownian Motion Governed by Telegraph Process with Multiple Off States
Brownian motion whose infinitesimal variance changes according to a three-state continuous-time Markov Chain is studied. This Markov Chain can be...
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One- and two-sample prediction for the progressively censored Rayleigh residual data
In this work, we consider the problem of estimating the scale and location parameters and predicting the unobserved or removed data based on the...
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Parameter Estimation for Non-Stationary Fisher-Snedecor Diffusion
The problem of parameter estimation for the non-stationary ergodic diffusion with Fisher-Snedecor invariant distribution, to be called...
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Asymptotic Normality of Convoluted Smoothed Kernel Estimation for Scalar Diffusion Model
In this paper, we consider a convoluted smoothed nonparametric approach for the unknown coefficients of diffusion model based on high frequency data....
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On a reward rate estimation for the finite irreducible continuous-time Markov chain
A continuous-time homogeneous irreducible Markov chain { X ( t )}, t ϵ [0; ∞), taking values on N = {1,..., k }, k <∞, is considered. Matrix λ = ( λ ij ) of...
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Fitting phase–type scale mixtures to heavy–tailed data and distributions
We consider the fitting of heavy tailed data and distributions with a special attention to distributions with a non–standard shape in the “body” of...
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Ergodicity of Combocontinuous Adaptive MCMC Algorithms
This paper proves convergence to stationarity of certain adaptive MCMC algorithms, under certain assumptions including easily-verifiable upper and...
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Discretely Observed Brownian Motion Governed by Telegraph Process: Estimation
A Brownian motion whose infinitesimal variance alternates according to a telegraph process is considered. This stochastic process can be employed to...
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On the lower bound in second order estimation for Poisson processes: Asymptotic efficiency
In the estimation problem of the mean function of an inhomogeneous Poisson process there is a class of kernel type estimators that are asymptotically...
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Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure
The Markov-switching GARCH model allows for a GARCH structure with time-varying parameters. This flexibility is unfortunately undermined by a path...
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Joint Estimation of Offspring Mean and Offspring Variance of Controlled Branching Process
The paper discusses the joint estimation of two important parameters of the offspring distribution namely mean and variance of a controlled branching...
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CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type
In this paper, westudy the LASSO-type penalized CGMM(GMM with continuum of moment method) estimator for the process of Ornstein-Uhlenbeck type. This...
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On Some Auto-Induced Regime Switching Double-Threshold Glued Diffusions
Regime switching processes are usually defined with an external random source driving the regime changes. In this article, we define and study a...
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Rate of Occurrence of Failures (ROCOF) of Higher-Order for Markov Processes: Analysis, Inference and Application to Financial Credit Ratings
In this paper we consider the problem of defining rate of occurrence of failures of higher orders for a system whose states form a finite state...
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On the Accuracy of the MAP Inference in HMMs
In a hidden Markov model, the underlying Markov chain is usually unobserved. Often, the state path with maximum posterior probability (Viterbi path)...
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Bayesian Consistency for Markov Models
We consider sufficient conditions for Bayesian consistency of the transition density of time homogeneous Markov processes. To date, this remains...
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Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment
We consider a one-dimensional sub-ballistic random walk evolving in a parametric i.i.d. random environment. We study the asymptotic properties of the...
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Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment
We consider a one-dimensional ballistic random walk evolving in a parametric independent and identically distributed random environment. We study the...
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A Differential Equation for a Class of Discrete Lifetime Distributions with an Application in Reliability
It is shown that the probability generating function of a lifetime random variable T on a finite lattice with polynomial failure rate satisfies a...
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Preliminary test and estimation in some multifactor diffusion processes
We consider the general inference problem of the drift parameters matrices of m independent multivariate diffusion processes. In particular, we...