منابع مشابه
The Double Chain Markov Model
Among the class of discrete time Markovian processes, two models are widely used, the Markov chain and the Hidden Markov Model. A major di erence between these two models lies in the relation between successive outputs of the observed variable. In a visible Markov chain, these are directly correlated while in hidden models they are not. However, in some situations it is possible to observe both...
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The Double Chain Markov Model is a fully Markovian model for the representation of time-series in random environment. In this article, we s h o w that it can handle transitions of high-order between both a set of obsevations and a set of hidden states. In order to reduce the number of parameters, each transition matrix can be replaced by a Mixture Transition Model. We provide a complete derivat...
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Figure 1. Finite state machine for a Markov chain X0 → X1 → X2 → · · · → Xn where the random variables Xi’s take values from I = {S1, S2, S3}. The numbers T (i, j)’s on the arrows are the transition probabilities such that Tij = P (Xt+1 = Sj|Xt = Si). Definition 1.2. We say that (Xn)n≥0 is a Markov chain with initial distribution λ and transition matrix T if (i) X0 has distribution λ; (ii) for ...
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The international financial crisis of September 2008 and May 2010 showed the importance of liquidity as an attribute to be considered in portfolio decisions. This study proposes an optimization model based on available public data, using Maarkov chain and Genetic Algorithms concepts as it considers the classic duality of risk versus return and incorporating liquidity costs. The non-linear model...
متن کاملA Markov Chain Model Checker
Markov chains are widely used in the context of performance and reliability evaluation of systems of various nature. Model checking of such chains with respect to a given (branching) temporal logic formula has been proposed for both the discrete [6] and the continuous time setting [1, 3]. In this note, we describe the prototype model checker E T MC for discrete and continuous-time Markov chains...
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ژورنال
عنوان ژورنال: Communications in Statistics - Theory and Methods
سال: 1999
ISSN: 0361-0926,1532-415X
DOI: 10.1080/03610929908832439