This paper shows that volatility persistence in GARCH models and spurious long memory in autoregressive models may arise if the possibility of structural changes is not incorporated in the time series model. It also describes a tractable hidden Markov model in which regression parameters and error variances may undergo abrupt changes at unknown time points, while staying constant between adjace...

the problem we investigate deals with the optimal assignment of resources to the activities of a stochastic project network. we seek to minimize the expected cost of the project include sum of resource utilization costs and lateness costs. we assume that the work content required by the activities follows an exponential distribution. the decision variables of the model are the allocated resourc...

The aim of the paper is to propose an optimal test for the null hypothesis of parameter constancy H0 : θt = θ0 against an alternative where the parameters vary according to an unobservable Markov chain. This testing problem includes testing the parameter stability in a Markov-switching model (Hamilton, 1989) and in a random coefficient model (for example a state space model). The model under th...

Constant coefficient method is the traditional way to measure the persistence of inflation series. But this kind of method can not reflect effectively the change of breakpoint and economic situation. To the lack of the existing methods, the paper examines the breakpoint change in the coefficient of inflation persistence in the United States, and at the same time studies the changes of persisten...

Abstract Record-breaking rainfall occurred over East Asia during the summer of 2020. However, in which aspect 2020 can be differentiated from other years remains to quantified. To this end, study employs Markov chain analysis quantify variability using three descriptors for heavy precipitation events 10 mm day −1 : frequency, persistence, and entropy (i.e., irregularity). It is found that attri...

In this paper, we obtain the Rényi entropy rate for irreducible-aperiodic Markov chains with countable state space, using the theory of countable nonnegative matrices. We also obtain the bound for the rate of Rényi entropy of an irreducible Markov chain. Finally, we show that the bound for the Rényi entropy rate is the Shannon entropy rate.

In the autoregressive process of first order AR(1), a homogeneous correlated time series ut is recursively constructed as ut = q ut−1 + σ t, using random Gaussian deviates t and fixed values for the correlation coefficient q and for the noise amplitude σ. To model temporally heterogeneous time series, the coefficients qt and σt can be regarded as time-dependent variables by themselves, leading ...

In this paper, absorbing Markov chain models are developed to determine the optimum process mean levels for both a single-stage and a serial two-stage production system in which items are inspected for conformity with their specification limits. When the value of the quality characteristic of an item falls below a lower limit, the item is scrapped. If it falls above an upper limit, the item is ...