4 search results - page 1 / 1 » Series Expansions for Continuous-Time Markov Processes |
IOR
2010
13 years 3 months ago
2010
We present exchange formulas that allow to express the stationary distribution of a continuous Markov chain with denumerable state-space having generator matrix Q∗ through a con...
DCC
2005
IEEE
14 years 4 months ago
2005
IEEE
We calculate the Shannon entropy rate of a binary Hidden Markov Process (HMP), of given transition rate and noise (emission), as a series expansion in . The first two orders are ca...
CSDA
2006
13 years 4 months ago
2006
It is difficult to find an existing single model which is able to simultaneously model exceedances over thresholds in multivariate financial time series. A new modeling approach, ...
JMLR
2010
12 years 11 months ago
2010
Real stochastic processes operating in continuous time can be modeled by sets of stochastic differential equations. On the other hand, several popular model families, including hi...