Markov-chain approach to a process with long-time memory
نویسندگان
چکیده
We show that long-term memory effects, present in the chaotic dispersion process generated by a meandering jet model, can be nonetheless taken into account by a first order Markov process, provided that the states of the phase space partition, chosen to describe the system, be appropriately defined.
منابع مشابه
Financial Risk Modeling with Markova Chain
Investors use different approaches to select optimal portfolio. so, Optimal investment choices according to return can be interpreted in different models. The traditional approach to allocate portfolio selection called a mean - variance explains. Another approach is Markov chain. Markov chain is a random process without memory. This means that the conditional probability distribution of the nex...
متن کاملModeling Gasoline Consumption Behaviors in Iran Based on Long Memory and Regime Change
In this study, for the first time, we model gasoline consumption behavior in Iran using the long-term memory model of the autoregressive fractionally integrated moving average and non-linear Markov-Switching regime change model. Initially, the long-term memory feature of the ARFIMA model is investigated using the data from 1927 to 2017. The results indicate that the time series studied has a lo...
متن کاملUsing Markov Chain to Analyze Production Lines Systems with Layout Constraints
There are some problems with estimating the time required for the manufacturing process of products, especially when there is a variable serving time, like control stage. These problems will cause overestimation of process time. Layout constraints, reworking constraints and inflexible product schedule in multi product lines need a precise planning to reduce volume in particular situation of lin...
متن کاملA Bayesian Approach to Estimating the Long Memory Parameter
We develop a Bayesian procedure for analyzing stationary long-range dependent processes. Specifically, we consider the fractional exponential model (FEXP) to estimate the memory parameter of a stationary long-memory Gaussian time series. In particular, we propose a hierarchical Bayesian model and make it fully adaptive by imposing a prior distribution on the model order. Further, we describe a ...
متن کاملOptimal Process Adjustment under Inspection Errors Considering the Cycle Time of Production
Process adjustment, also known as process targeting, is one of the classical problems in the field of quality control and production economics. In the process adjustment problem, it is assumed that process parameters are variables and the aim is to determine these parameters such that certain economic criteria are optimally satisfied. The aim of this paper is to determine the optimal process ad...
متن کامل