Extreme value statistics of ergodic Markov processes from first passage times in the large deviation limit
نویسندگان
چکیده
منابع مشابه
Learning Partially Observable Markov Models from First Passage Times
We propose a novel approach to learn the structure of Partially Observable Markov Models (POMMs) and to estimate jointly their parameters. POMMs are graphical models equivalent to Hidden Markov Models (HMMs). The model structure is built to support the First Passage Times (FPT) dynamics observed in the training sample. We argue that the FPT in POMMs are closely related to the model structure. S...
متن کاملExtreme-value statistics of hierarchically correlated variables deviation from Gumbel statistics and anomalous persistence.
We study analytically the distribution of the minimum of a set of hierarchically correlated random variables E1, E2,ellipsis, E(N) where E(i) represents the energy of the ith path of a directed polymer on a Cayley tree. If the variables were uncorrelated, the minimum energy would have an asymptotic Gumbel distribution. We show that due to the hierarchical correlations, the forward tail of the d...
متن کاملSpectral Theory and Limit Theorems for Geometrically Ergodic Markov Processes
Consider the partial sums {St} of a real-valued functional F (Φ(t)) of a Markov chain {Φ(t)} with values in a general state space. Assuming only that the Markov chain is geometrically ergodic and that the functional F is bounded, the following conclusions are obtained: Spectral theory: Well-behaved solutions f̌ can be constructed for the “multiplicative Poisson equation” (eP )f̌ = λf̌ , where P is...
متن کاملMoments of first passage times in general birth-death processes
We consider ordinary and conditional first passage times in a general birth–death process. Under existence conditions, we derive closed-form expressions for the kth order moment of the defined random variables, k ≥ 1. We also give an explicit condition for a birth–death process to be ergodic degree 3. Based on the obtained results, we analyze some applications for Markovian queueing systems. In...
متن کاملFirst Passage times for Markov Additive Processes with Positive Jumps of Phase Type
The present paper generalises some results for spectrally negative Lévy processes to the setting of Markov additive processes (MAPs). A prominent role is assumed by the first passage times, which will be determined in terms of their Laplace transforms. These have the form of a phase-type distribution, with a rate matrix that can be regarded as an inverse function of the cumulant matrix. A numer...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Physics A: Mathematical and Theoretical
سال: 2019
ISSN: 1751-8113,1751-8121
DOI: 10.1088/1751-8121/ab1eca