搜索结果: 1-15 共查到“理论统计学 Markov Chains”相关记录21条 . 查询时间(0.156 秒)
An EM Algorithm for Continuous-time Bivariate Markov Chains
Parameter estimation EM algorithm Continuous-time bivariate Markov chain
2011/7/19
We study properties and parameter estimation of finite-state homogeneous continuous-time bivariate Markov chains.
Bayesian analysis of variable-order, reversible Markov chains
Reversibility reinforced random walks variable-order Markov chains Bayesian analysis conjugate priors
2011/6/17
We define a conjugate prior for the reversible Markov chain of
order r. The prior arises from a partially exchangeable reinforced
random walk, in the same way that the Beta distribution arises from
...
Regenerative block empirical likelihood for Markov chains
Nummelin splitting technique time series Empirical Likelihood MSC codes: 62G05 62F35 62F40
2011/3/23
Empirical likelihood is a powerful semi-parametric method increasingly investigated in the literature. However, most authors essentially focus on an i.i.d. setting. In the case of dependent data, the ...
CLTs and asymptotic variance of time-sampled Markov chains
time-sampled Markov chains Barker’s algo-rithm Metropolis algorithm Central Limit Theorem asymptotic variance variance bounding Markov chains MCMC estimation
2011/3/25
For a Markov transition kernel $P$ and a probability distribution $ \mu$ on nonnegative integers, a time-sampled Markov chain evolves according to the transition kernel $P_{\mu} = \sum_k \mu(k)P^k.$ I...
In this paper, we relate the coupling of Markov chains, at the basis of perfect sampling methods, with damage spreading, which captures the chaotic nature of stochastic dynamics. For two-dimensional ...
Geometric ergodicity for families of homogeneous Markov chains
Homogeneous Markov chain Geometric ergodicity Couplingrenewal processes Lyapunov function Renewal theory
2010/3/11
In this paper we find nonasymptotic exponential upper bounds for
the deviation in the ergodic theorem for families of homogeneous Markov
processes. We find some sufficient conditions for geometric e...
Invariant measures and Markov chains with random transition probabilities
Invariant measures Markov chains random transition probabilities
2009/9/22
In this paper, suTTicient conditions for the existence of
(a-finite) invariant measures for a class of Markov chains with random
transition probabilities are given. A special class of Markov chains
...
We consider stationary homogeneous Markov chains
and the polygonal processes defined by a usual way using such chains.
There are many results about invariance principles of those processes.
In this...
Uniform moderate deviations of functional empirical processes of Markov chains
Moderak deviations Markov chains geometric ergodicity regeneration split chain method
2009/9/22
We obtain uniform (in time) moderate deviations for
the functional empirical process ofa general state space Markov chain
under the geometric ergodicity assumption, and a regularity condition
for t...
This paper surveys various results about Markov chains on general (non-countable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivati...
Differential equation approximations for Markov chains
Differential equation Markov chains
2009/5/18
We formulate some simple conditions under which a Markov chain may be approximated by the solution to a differential equation, with quantifiable error probabilities. The role of a choice of coordinate...
Various notions of geometric ergodicity for Markov chains on general state spaces exist. In this paper, we review certain relations and implications among them. We then apply these results to a collec...
Transition Probability Estimates for Reversible Markov Chains
Random walks Markov chains fractals dimensions
2009/5/4
This paper provides transition probability estimates of transient reversible Markov chains. The key condition of the result is the spatial symmetry and polynomial decay of the Green's function of the ...
Quantitative Convergence Rates of Markov Chains: A Simple Account
Markov chain convergence rate mixing time drift condition minorisation condition total variation distance
2009/4/29
We state and prove a simple quantitative bound on the total variation distance after k iterations between two Markov chains with different initial distributions but identical transition probabilities....
Asymptotic variance of functionals of discrete-time Markov chains via the Drazin inverse.
Markov chain state space transition kernel
2009/3/23
We consider a ψ-irreducible, discrete-time Markov chain on a general state space with transition kernel P. Under suitable conditions on the chain, kernels can be treated as bounded linear operators...