WorldWideScience

Sample records for autoregressive markov simulation

  1. Estimation in autoregressive models with Markov regime

    OpenAIRE

    Ríos, Ricardo; Rodríguez, Luis

    2005-01-01

    In this paper we derive the consistency of the penalized likelihood method for the number state of the hidden Markov chain in autoregressive models with Markov regimen. Using a SAEM type algorithm to estimate the models parameters. We test the null hypothesis of hidden Markov Model against an autoregressive process with Markov regime.

  2. A Bayesian Infinite Hidden Markov Vector Autoregressive Model

    NARCIS (Netherlands)

    D. Nibbering (Didier); R. Paap (Richard); M. van der Wel (Michel)

    2016-01-01

    textabstractWe propose a Bayesian infinite hidden Markov model to estimate time-varying parameters in a vector autoregressive model. The Markov structure allows for heterogeneity over time while accounting for state-persistence. By modelling the transition distribution as a Dirichlet process mixture

  3. Comparison of arma (autoregressive moving average) with mtm (markov transition matrix): modeling simulation and prediction of wind data

    International Nuclear Information System (INIS)

    Jafri, Y.Z.; Kamal, L.

    2009-01-01

    A generalized theory of ARMA modeling, covering a wide range of researches. with model identification, order determination, estimation and diagnostic checking is presented. We evolved standardization of wind data to overcome non-stationarity. With our techniques on generating synthetic values of wind series using MTM, we modeled and simulated autocorrelated function (ACF). MTM is found relatively a better simulator as compared to ARMA. We used twenty year of wind data. MTM required fast computation and suitable algorithm for backward calculations to yield ACF values. We found ARMA (p, q) model suitableble for both large range (1-6 hours) and short range (1-2 hours). This indicates that forecast values can be considered for appropriate wind energy conversion system. (author)

  4. Learning effective connectivity from fMRI using autoregressive hidden Markov model with missing data.

    Science.gov (United States)

    Dang, Shilpa; Chaudhury, Santanu; Lall, Brejesh; Roy, Prasun Kumar

    2017-02-15

    Effective connectivity (EC) analysis of neuronal groups using fMRI delivers insights about functional-integration. However, fMRI signal has low-temporal resolution due to down-sampling and indirectly measures underlying neuronal activity. The aim is to address above issues for more reliable EC estimates. This paper proposes use of autoregressive hidden Markov model with missing data (AR-HMM-md) in dynamically multi-linked (DML) framework for learning EC using multiple fMRI time series. In our recent work (Dang et al., 2016), we have shown how AR-HMM-md for modelling single fMRI time series outperforms the existing methods. AR-HMM-md models unobserved neuronal activity and lost data over time as variables and estimates their values by joint optimization given fMRI observation sequence. The effectiveness in learning EC is shown using simulated experiments. Also the effects of sampling and noise are studied on EC. Moreover, classification-experiments are performed for Attention-Deficit/Hyperactivity Disorder subjects and age-matched controls for performance evaluation of real data. Using Bayesian model selection, we see that the proposed model converged to higher log-likelihood and demonstrated that group-classification can be performed with higher cross-validation accuracy of above 94% using distinctive network EC which characterizes patients vs. The full data EC obtained from DML-AR-HMM-md is more consistent with previous literature than the classical multivariate Granger causality method. The proposed architecture leads to reliable estimates of EC than the existing latent models. This framework overcomes the disadvantage of low-temporal resolution and improves cross-validation accuracy significantly due to presence of missing data variables and autoregressive process. Copyright © 2016 Elsevier B.V. All rights reserved.

  5. Markov chain Monte Carlo simulation for Bayesian Hidden Markov Models

    Science.gov (United States)

    Chan, Lay Guat; Ibrahim, Adriana Irawati Nur Binti

    2016-10-01

    A hidden Markov model (HMM) is a mixture model which has a Markov chain with finite states as its mixing distribution. HMMs have been applied to a variety of fields, such as speech and face recognitions. The main purpose of this study is to investigate the Bayesian approach to HMMs. Using this approach, we can simulate from the parameters' posterior distribution using some Markov chain Monte Carlo (MCMC) sampling methods. HMMs seem to be useful, but there are some limitations. Therefore, by using the Mixture of Dirichlet processes Hidden Markov Model (MDPHMM) based on Yau et. al (2011), we hope to overcome these limitations. We shall conduct a simulation study using MCMC methods to investigate the performance of this model.

  6. Probabilistic forecasting of wind power at the minute time-scale with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2008-01-01

    Better modelling and forecasting of very short-term power fluctuations at large offshore wind farms may significantly enhance control and management strategies of their power output. The paper introduces a new methodology for modelling and forecasting such very short-term fluctuations. The proposed...... consists in 1-step ahead forecasting exercise on time-series of wind generation with a time resolution of 10 minute. The quality of the introduced forecasting methodology and its interest for better understanding power fluctuations are finally discussed....... methodology is based on a Markov-switching autoregressive model with time-varying coefficients. An advantage of the method is that one can easily derive full predictive densities. The quality of this methodology is demonstrated from the test case of 2 large offshore wind farms in Denmark. The exercise...

  7. Bisimulation and Simulation Relations for Markov Chains

    NARCIS (Netherlands)

    Baier, Christel; Hermanns, H.; Katoen, Joost P.; Wolf, Verena; Aceto, L.; Gordon, A.

    2006-01-01

    Formal notions of bisimulation and simulation relation play a central role for any kind of process algebra. This short paper sketches the main concepts for bisimulation and simulation relations for probabilistic systems, modelled by discrete- or continuous-time Markov chains.

  8. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2012-01-01

    optimized is based on penalized maximum likelihood, with exponential forgetting of past observations. MSAR models are then employed for one-step-ahead point forecasting of 10 min resolution time series of wind power at two large offshore wind farms. They are favourably compared against persistence......Wind power production data at temporal resolutions of a few minutes exhibit successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour...... and autoregressive models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill....

  9. Unsupervised parsing of gaze data with a beta-process vector auto-regressive hidden Markov model.

    Science.gov (United States)

    Houpt, Joseph W; Frame, Mary E; Blaha, Leslie M

    2017-10-26

    The first stage of analyzing eye-tracking data is commonly to code the data into sequences of fixations and saccades. This process is usually automated using simple, predetermined rules for classifying ranges of the time series into events, such as "if the dispersion of gaze samples is lower than a particular threshold, then code as a fixation; otherwise code as a saccade." More recent approaches incorporate additional eye-movement categories in automated parsing algorithms by using time-varying, data-driven thresholds. We describe an alternative approach using the beta-process vector auto-regressive hidden Markov model (BP-AR-HMM). The BP-AR-HMM offers two main advantages over existing frameworks. First, it provides a statistical model for eye-movement classification rather than a single estimate. Second, the BP-AR-HMM uses a latent process to model the number and nature of the types of eye movements and hence is not constrained to predetermined categories. We applied the BP-AR-HMM both to high-sampling rate gaze data from Andersson et al. (Behavior Research Methods 49(2), 1-22 2016) and to low-sampling rate data from the DIEM project (Mital et al., Cognitive Computation 3(1), 5-24 2011). Driven by the data properties, the BP-AR-HMM identified over five categories of movements, some which clearly mapped on to fixations and saccades, and others potentially captured post-saccadic oscillations, smooth pursuit, and various recording errors. The BP-AR-HMM serves as an effective algorithm for data-driven event parsing alone or as an initial step in exploring the characteristics of gaze data sets.

  10. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbæk, Anders; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... proceeds via Markov theory and irreducibility. Finding transparent conditions for proving ergodicity turns out to be a delicate problem in the original model formulation. This problem is circumvented by allowing a perturbation of the model. We show that as the perturbations can be chosen to be arbitrarily...

  11. Monte Carlo simulation of Markov unreliability models

    International Nuclear Information System (INIS)

    Lewis, E.E.; Boehm, F.

    1984-01-01

    A Monte Carlo method is formulated for the evaluation of the unrealibility of complex systems with known component failure and repair rates. The formulation is in terms of a Markov process allowing dependences between components to be modeled and computational efficiencies to be achieved in the Monte Carlo simulation. Two variance reduction techniques, forced transition and failure biasing, are employed to increase computational efficiency of the random walk procedure. For an example problem these result in improved computational efficiency by more than three orders of magnitudes over analog Monte Carlo. The method is generalized to treat problems with distributed failure and repair rate data, and a batching technique is introduced and shown to result in substantial increases in computational efficiency for an example problem. A method for separating the variance due to the data uncertainty from that due to the finite number of random walks is presented. (orig.)

  12. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    2009-01-01

    In this article we consider geometric ergodicity and likelihood-based inference for linear and nonlinear Poisson autoregression. In the linear case, the conditional mean is linked linearly to its past values, as well as to the observed values of the Poisson process. This also applies to the condi......In this article we consider geometric ergodicity and likelihood-based inference for linear and nonlinear Poisson autoregression. In the linear case, the conditional mean is linked linearly to its past values, as well as to the observed values of the Poisson process. This also applies...... to the conditional variance, making possible interpretation as an integer-valued generalized autoregressive conditional heteroscedasticity process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and past observations. As a particular example, we consider...... ergodicity proceeds via Markov theory and irreducibility. Finding transparent conditions for proving ergodicity turns out to be a delicate problem in the original model formulation. This problem is circumvented by allowing a perturbation of the model. We show that as the perturbations can be chosen...

  13. Revisiting Weak Simulation for Substochastic Markov Chains

    DEFF Research Database (Denmark)

    Jansen, David N.; Song, Lei; Zhang, Lijun

    2013-01-01

    of the logic PCTL\\x, and its completeness was conjectured. We revisit this result and show that soundness does not hold in general, but only for Markov chains without divergence. It is refuted for some systems with substochastic distributions. Moreover, we provide a counterexample to completeness...

  14. Application of Hidden Markov Models in Biomolecular Simulations.

    Science.gov (United States)

    Shukla, Saurabh; Shamsi, Zahra; Moffett, Alexander S; Selvam, Balaji; Shukla, Diwakar

    2017-01-01

    Hidden Markov models (HMMs) provide a framework to analyze large trajectories of biomolecular simulation datasets. HMMs decompose the conformational space of a biological molecule into finite number of states that interconvert among each other with certain rates. HMMs simplify long timescale trajectories for human comprehension, and allow comparison of simulations with experimental data. In this chapter, we provide an overview of building HMMs for analyzing bimolecular simulation datasets. We demonstrate the procedure for building a Hidden Markov model for Met-enkephalin peptide simulation dataset and compare the timescales of the process.

  15. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... variance, implying an interpretation as an integer valued GARCH process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and a nonlinear function of past observations. As a particular example an exponential autoregressive Poisson model for time...... series is considered. Under geometric ergodicity the maximum likelihood estimators of the parameters are shown to be asymptotically Gaussian in the linear model. In addition we provide a consistent estimator of the asymptotic covariance, which is used in the simulations and the analysis of some...

  16. Markov chain analysis of single spin flip Ising simulations

    International Nuclear Information System (INIS)

    Hennecke, M.

    1997-01-01

    The Markov processes defined by random and loop-based schemes for single spin flip attempts in Monte Carlo simulations of the 2D Ising model are investigated, by explicitly constructing their transition matrices. Their analysis reveals that loops over all lattice sites using a Metropolis-type single spin flip probability often do not define ergodic Markov chains, and have distorted dynamical properties even if they are ergodic. The transition matrices also enable a comparison of the dynamics of random versus loop spin selection and Glauber versus Metropolis probabilities

  17. Forecasting and simulating wind speed in Corsica by using an autoregressive model

    International Nuclear Information System (INIS)

    Poggi, P.; Muselli, M.; Notton, G.; Cristofari, C.; Louche, A.

    2003-01-01

    Alternative approaches for generating wind speed time series are discussed. The method utilized involves the use of an autoregressive process model. The model has been applied to three Mediterranean sites in Corsica and has been used to generate 3-hourly synthetic time series for these considered sites. The synthetic time series have been examined to determine their ability to preserve the statistical properties of the Corsican wind speed time series. In this context, using the main statistical characteristics of the wind speed (mean, variance, probability distribution, autocorrelation function), the data simulated are compared to experimental ones in order to check whether the wind speed behavior was correctly reproduced over the studied periods. The purpose is to create a data generator in order to construct a reference year for wind systems simulation in Corsica

  18. Parallel algorithms for simulating continuous time Markov chains

    Science.gov (United States)

    Nicol, David M.; Heidelberger, Philip

    1992-01-01

    We have previously shown that the mathematical technique of uniformization can serve as the basis of synchronization for the parallel simulation of continuous-time Markov chains. This paper reviews the basic method and compares five different methods based on uniformization, evaluating their strengths and weaknesses as a function of problem characteristics. The methods vary in their use of optimism, logical aggregation, communication management, and adaptivity. Performance evaluation is conducted on the Intel Touchstone Delta multiprocessor, using up to 256 processors.

  19. Extracting Markov Models of Peptide Conformational Dynamics from Simulation Data.

    Science.gov (United States)

    Schultheis, Verena; Hirschberger, Thomas; Carstens, Heiko; Tavan, Paul

    2005-07-01

    A high-dimensional time series obtained by simulating a complex and stochastic dynamical system (like a peptide in solution) may code an underlying multiple-state Markov process. We present a computational approach to most plausibly identify and reconstruct this process from the simulated trajectory. Using a mixture of normal distributions we first construct a maximum likelihood estimate of the point density associated with this time series and thus obtain a density-oriented partition of the data space. This discretization allows us to estimate the transfer operator as a matrix of moderate dimension at sufficient statistics. A nonlinear dynamics involving that matrix and, alternatively, a deterministic coarse-graining procedure are employed to construct respective hierarchies of Markov models, from which the model most plausibly mapping the generating stochastic process is selected by consideration of certain observables. Within both procedures the data are classified in terms of prototypical points, the conformations, marking the various Markov states. As a typical example, the approach is applied to analyze the conformational dynamics of a tripeptide in solution. The corresponding high-dimensional time series has been obtained from an extended molecular dynamics simulation.

  20. Noncausal Bayesian Vector Autoregression

    DEFF Research Database (Denmark)

    Lanne, Markku; Luoto, Jani

    We propose a Bayesian inferential procedure for the noncausal vector autoregressive (VAR) model that is capable of capturing nonlinearities and incorporating effects of missing variables. In particular, we devise a fast and reliable posterior simulator that yields the predictive distribution...

  1. Cost Effective Community Based Dementia Screening: A Markov Model Simulation

    Directory of Open Access Journals (Sweden)

    Erin Saito

    2014-01-01

    Full Text Available Background. Given the dementia epidemic and the increasing cost of healthcare, there is a need to assess the economic benefit of community based dementia screening programs. Materials and Methods. Markov model simulations were generated using data obtained from a community based dementia screening program over a one-year period. The models simulated yearly costs of caring for patients based on clinical transitions beginning in pre dementia and extending for 10 years. Results. A total of 93 individuals (74 female, 19 male were screened for dementia and 12 meeting clinical criteria for either mild cognitive impairment (n=7 or dementia (n=5 were identified. Assuming early therapeutic intervention beginning during the year of dementia detection, Markov model simulations demonstrated 9.8% reduction in cost of dementia care over a ten-year simulation period, primarily through increased duration in mild stages and reduced time in more costly moderate and severe stages. Discussion. Community based dementia screening can reduce healthcare costs associated with caring for demented individuals through earlier detection and treatment, resulting in proportionately reduced time in more costly advanced stages.

  2. Variance reduction techniques in the simulation of Markov processes

    International Nuclear Information System (INIS)

    Lessi, O.

    1987-01-01

    We study a functional r of the stationary distribution of a homogeneous Markov chain. It is often difficult or impossible to perform the analytical calculation of r and so it is reasonable to estimate r by a simulation process. A consistent estimator r(n) of r is obtained with respect to a chain with a countable state space. Suitably modifying the estimator r(n) of r one obtains a new consistent estimator which has a smaller variance than r(n). The same is obtained in the case of finite state space

  3. Simulation of daily rainfall through markov chain modeling

    International Nuclear Information System (INIS)

    Sadiq, N.

    2015-01-01

    Being an agricultural country, the inhabitants of dry land in cultivated areas mainly rely on the daily rainfall for watering their fields. A stochastic model based on first order Markov Chain was developed to simulate daily rainfall data for Multan, D. I. Khan, Nawabshah, Chilas and Barkhan for the period 1981-2010. Transitional probability matrices of first order Markov Chain was utilized to generate the daily rainfall occurrence while gamma distribution was used to generate the daily rainfall amount. In order to achieve the parametric values of mentioned cities, method of moments is used to estimate the shape and scale parameters which lead to synthetic sequence generation as per gamma distribution. In this study, unconditional and conditional probabilities of wet and dry days in sum with means and standard deviations are considered as the essential parameters for the simulated stochastic generation of daily rainfalls. It has been found that the computerized synthetic rainfall series concurred pretty well with the actual observed rainfall series. (author)

  4. Simulation-based algorithms for Markov decision processes

    CERN Document Server

    Chang, Hyeong Soo; Fu, Michael C; Marcus, Steven I

    2013-01-01

    Markov decision process (MDP) models are widely used for modeling sequential decision-making problems that arise in engineering, economics, computer science, and the social sciences.  Many real-world problems modeled by MDPs have huge state and/or action spaces, giving an opening to the curse of dimensionality and so making practical solution of the resulting models intractable.  In other cases, the system of interest is too complex to allow explicit specification of some of the MDP model parameters, but simulation samples are readily available (e.g., for random transitions and costs). For these settings, various sampling and population-based algorithms have been developed to overcome the difficulties of computing an optimal solution in terms of a policy and/or value function.  Specific approaches include adaptive sampling, evolutionary policy iteration, evolutionary random policy search, and model reference adaptive search. This substantially enlarged new edition reflects the latest developments in novel ...

  5. Monte Carlo Simulation of Markov, Semi-Markov, and Generalized Semi- Markov Processes in Probabilistic Risk Assessment

    Science.gov (United States)

    English, Thomas

    2005-01-01

    A standard tool of reliability analysis used at NASA-JSC is the event tree. An event tree is simply a probability tree, with the probabilities determining the next step through the tree specified at each node. The nodal probabilities are determined by a reliability study of the physical system at work for a particular node. The reliability study performed at a node is typically referred to as a fault tree analysis, with the potential of a fault tree existing.for each node on the event tree. When examining an event tree it is obvious why the event tree/fault tree approach has been adopted. Typical event trees are quite complex in nature, and the event tree/fault tree approach provides a systematic and organized approach to reliability analysis. The purpose of this study was two fold. Firstly, we wanted to explore the possibility that a semi-Markov process can create dependencies between sojourn times (the times it takes to transition from one state to the next) that can decrease the uncertainty when estimating time to failures. Using a generalized semi-Markov model, we studied a four element reliability model and were able to demonstrate such sojourn time dependencies. Secondly, we wanted to study the use of semi-Markov processes to introduce a time variable into the event tree diagrams that are commonly developed in PRA (Probabilistic Risk Assessment) analyses. Event tree end states which change with time are more representative of failure scenarios than are the usual static probability-derived end states.

  6. Simulation based sequential Monte Carlo methods for discretely observed Markov processes

    OpenAIRE

    Neal, Peter

    2014-01-01

    Parameter estimation for discretely observed Markov processes is a challenging problem. However, simulation of Markov processes is straightforward using the Gillespie algorithm. We exploit this ease of simulation to develop an effective sequential Monte Carlo (SMC) algorithm for obtaining samples from the posterior distribution of the parameters. In particular, we introduce two key innovations, coupled simulations, which allow us to study multiple parameter values on the basis of a single sim...

  7. Multivariate Exponential Autoregressive and Autoregressive Moving ...

    African Journals Online (AJOL)

    Autoregressive (AR) and autoregressive moving average (ARMA) processes with multivariate exponential (ME) distribution are presented and discussed. The theory of positive dependence is used to show that in many cases, multivariate exponential autoregressive (MEAR) and multivariate autoregressive moving average ...

  8. A method simulating random magnetic field in interplanetary space by an autoregressive method

    International Nuclear Information System (INIS)

    Kato, Masahito; Sakai, Takasuke

    1985-01-01

    With an autoregressive method, we tried to generate the random noise fitting in with the power spectrum which can be analytically Fouriertransformed into an autocorrelation function. Although we can not directly compare our method with FFT by Owens (1978), we can only point out the following; FFT method should determine at first the number of data points N, or the total length to be generated and we cannot generate random data more than N. Because, beyond the NΔy, the generated data repeats the same pattern as below NΔy, where Δy = minimum interval for random noise. So if you want to change or increase N after generating the random noise, you should start the generation from the first step. The characteristic of the generated random number may depend upon the number of N, judging from the generating method. Once the prediction error filters are determined, our method can produce successively the random numbers, that is, we can possibly extend N to infinite without any effort. (author)

  9. Optimizing Availability of a Framework in Series Configuration Utilizing Markov Model and Monte Carlo Simulation Techniques

    Directory of Open Access Journals (Sweden)

    Mansoor Ahmed Siddiqui

    2017-06-01

    Full Text Available This research work is aimed at optimizing the availability of a framework comprising of two units linked together in series configuration utilizing Markov Model and Monte Carlo (MC Simulation techniques. In this article, effort has been made to develop a maintenance model that incorporates three distinct states for each unit, while taking into account their different levels of deterioration. Calculations are carried out using the proposed model for two distinct cases of corrective repair, namely perfect and imperfect repairs, with as well as without opportunistic maintenance. Initially, results are accomplished using an analytical technique i.e., Markov Model. Validation of the results achieved is later carried out with the help of MC Simulation. In addition, MC Simulation based codes also work well for the frameworks that follow non-exponential failure and repair rates, and thus overcome the limitations offered by the Markov Model.

  10. Confronting uncertainty in model-based geostatistics using Markov Chain Monte Carlo simulation

    NARCIS (Netherlands)

    Minasny, B.; Vrugt, J.A.; McBratney, A.B.

    2011-01-01

    This paper demonstrates for the first time the use of Markov Chain Monte Carlo (MCMC) simulation for parameter inference in model-based soil geostatistics. We implemented the recently developed DiffeRential Evolution Adaptive Metropolis (DREAM) algorithm to jointly summarize the posterior

  11. Treatment of input uncertainty in hydrologic modeling: Doing hydrology backward with Markov chain Monte Carlo simulation

    NARCIS (Netherlands)

    Vrugt, J.A.; Braak, ter C.J.F.; Clark, M.P.; Hyman, J.M.; Robinson, B.A.

    2008-01-01

    There is increasing consensus in the hydrologic literature that an appropriate framework for streamflow forecasting and simulation should include explicit recognition of forcing and parameter and model structural error. This paper presents a novel Markov chain Monte Carlo (MCMC) sampler, entitled

  12. [Compared Markov with fractal models by using single-channel experimental and simulation data].

    Science.gov (United States)

    Lan, Tonghan; Wu, Hongxiu; Lin, Jiarui

    2006-10-01

    The gating mechanical kinetical of ion channels has been modeled as a Markov process. In these models it is assumed that the channel protein has a small number of discrete conformational states and kinetic rate constants connecting these states are constant, the transition rate constants among the states is independent both of time and of the previous channel activity. It is assumed in Liebovitch's fractal model that the channel exists in an infinite number of energy states, consequently, transitions from one conductance state to another would be governed by a continuum of rate constants. In this paper, a statistical comparison is presented of Markov and fractal models of ion channel gating, the analysis is based on single-channel data from ion channel voltage-dependence K+ single channel of neuron cell and simulation data from three-states Markov model.

  13. Autoregressive Logistic Regression Applied to Atmospheric Circulation Patterns

    Science.gov (United States)

    Guanche, Yanira; Mínguez, Roberto; Méndez, Fernando J.

    2013-04-01

    The study of atmospheric patterns, weather types or circulation patterns, is a topic deeply studied by climatologists, and it is widely accepted to disaggregate the atmospheric conditions over regions in a certain number of representative states. This consensus allows simplifying the study of climate conditions to improve weather predictions and a better knowledge of the influence produced by anthropogenic activities on the climate system. Once the atmospheric conditions have been reduced to a catalogue of representative states, it is desirable to dispose of numerical models to improve our understanding about weather dynamics, i.e. i) to analyze climate change studying trends in the probability of occurrence of weather types, ii) to study seasonality and iii) to analyze the possible influence of previous states (Autoregressive terms or Markov Chains). This work introduces the mathematical framework to analyze those effects from a qualitative point of view. In particular, an autoregressive logistic regression model, which has been successfully applied in medical and pharmacological research fields, is presented. The main advantages of autoregressive logistic regression are that i) it can be used to model polytomous outcome variables, such as circulation types, and ii) standard statistical software can be used for fitting purposes. To show the potential of these kind of models for analyzing atmospheric conditions, a case of study located in the Northeastern Atlantic is described. Results obtained show how the model is capable of dealing simultaneously with predictors related to different time scales, which can be used to simulate the behaviour of circulation patterns.

  14. A fast exact simulation method for a class of Markov jump processes.

    Science.gov (United States)

    Li, Yao; Hu, Lili

    2015-11-14

    A new method of the stochastic simulation algorithm (SSA), named the Hashing-Leaping method (HLM), for exact simulations of a class of Markov jump processes, is presented in this paper. The HLM has a conditional constant computational cost per event, which is independent of the number of exponential clocks in the Markov process. The main idea of the HLM is to repeatedly implement a hash-table-like bucket sort algorithm for all times of occurrence covered by a time step with length τ. This paper serves as an introduction to this new SSA method. We introduce the method, demonstrate its implementation, analyze its properties, and compare its performance with three other commonly used SSA methods in four examples. Our performance tests and CPU operation statistics show certain advantages of the HLM for large scale problems.

  15. A brief history of the introduction of generalized ensembles to Markov chain Monte Carlo simulations

    Science.gov (United States)

    Berg, Bernd A.

    2017-03-01

    The most efficient weights for Markov chain Monte Carlo calculations of physical observables are not necessarily those of the canonical ensemble. Generalized ensembles, which do not exist in nature but can be simulated on computers, lead often to a much faster convergence. In particular, they have been used for simulations of first order phase transitions and for simulations of complex systems in which conflicting constraints lead to a rugged free energy landscape. Starting off with the Metropolis algorithm and Hastings' extension, I present a minireview which focuses on the explosive use of generalized ensembles in the early 1990s. Illustrations are given, which range from spin models to peptides.

  16. Assessing type I error and power of multistate Markov models for panel data-A simulation study.

    Science.gov (United States)

    Cassarly, Christy; Martin, Renee' H; Chimowitz, Marc; Peña, Edsel A; Ramakrishnan, Viswanathan; Palesch, Yuko Y

    2017-01-01

    Ordinal outcomes collected at multiple follow-up visits are common in clinical trials. Sometimes, one visit is chosen for the primary analysis and the scale is dichotomized amounting to loss of information. Multistate Markov models describe how a process moves between states over time. Here, simulation studies are performed to investigate the type I error and power characteristics of multistate Markov models for panel data with limited non-adjacent state transitions. The results suggest that the multistate Markov models preserve the type I error and adequate power is achieved with modest sample sizes for panel data with limited non-adjacent state transitions.

  17. Dynamic neutron scattering from conformational dynamics. II. Application using molecular dynamics simulation and Markov modeling.

    Science.gov (United States)

    Yi, Zheng; Lindner, Benjamin; Prinz, Jan-Hendrik; Noé, Frank; Smith, Jeremy C

    2013-11-07

    Neutron scattering experiments directly probe the dynamics of complex molecules on the sub pico- to microsecond time scales. However, the assignment of the relaxations seen experimentally to specific structural rearrangements is difficult, since many of the underlying dynamical processes may exist on similar timescales. In an accompanying article, we present a theoretical approach to the analysis of molecular dynamics simulations with a Markov State Model (MSM) that permits the direct identification of structural transitions leading to each contributing relaxation process. Here, we demonstrate the use of the method by applying it to the configurational dynamics of the well-characterized alanine dipeptide. A practical procedure for deriving the MSM from an MD is introduced. The result is a 9-state MSM in the space of the backbone dihedral angles and the side-chain methyl group. The agreement between the quasielastic spectrum calculated directly from the atomic trajectories and that derived from the Markov state model is excellent. The dependence on the wavevector of the individual Markov processes is described. The procedure means that it is now practicable to interpret quasielastic scattering spectra in terms of well-defined intramolecular transitions with minimal a priori assumptions as to the nature of the dynamics taking place.

  18. Daily Rainfall Simulation Using Climate Variables and Nonhomogeneous Hidden Markov Model

    Science.gov (United States)

    Jung, J.; Kim, H. S.; Joo, H. J.; Han, D.

    2017-12-01

    Markov chain is an easy method to handle when we compare it with other ones for the rainfall simulation. However, it also has limitations in reflecting seasonal variability of rainfall or change on rainfall patterns caused by climate change. This study applied a Nonhomogeneous Hidden Markov Model(NHMM) to consider these problems. The NHMM compared with a Hidden Markov Model(HMM) for the evaluation of a goodness of the model. First, we chose Gum river basin in Korea to apply the models and collected daily rainfall data from the stations. Also, the climate variables of geopotential height, temperature, zonal wind, and meridional wind date were collected from NCEP/NCAR reanalysis data to consider external factors affecting the rainfall event. We conducted a correlation analysis between rainfall and climate variables then developed a linear regression equation using the climate variables which have high correlation with rainfall. The monthly rainfall was obtained by the regression equation and it became input data of NHMM. Finally, the daily rainfall by NHMM was simulated and we evaluated the goodness of fit and prediction capability of NHMM by comparing with those of HMM. As a result of simulation by HMM, the correlation coefficient and root mean square error of daily/monthly rainfall were 0.2076 and 10.8243/131.1304mm each. In case of NHMM, the correlation coefficient and root mean square error of daily/monthly rainfall were 0.6652 and 10.5112/100.9865mm each. We could verify that the error of daily and monthly rainfall simulated by NHMM was improved by 2.89% and 22.99% compared with HMM. Therefore, it is expected that the results of the study could provide more accurate data for hydrologic analysis. Acknowledgements This research was supported by Basic Science Research Program through the National Research Foundation of Korea(NRF) funded by the Ministry of Science, ICT & Future Planning(2017R1A2B3005695)

  19. Assessing type I error and power of multistate Markov models for panel data-A simulation study

    OpenAIRE

    Cassarly, Christy; Martin, Renee’ H.; Chimowitz, Marc; Peña, Edsel A.; Ramakrishnan, Viswanathan; Palesch, Yuko Y.

    2016-01-01

    Ordinal outcomes collected at multiple follow-up visits are common in clinical trials. Sometimes, one visit is chosen for the primary analysis and the scale is dichotomized amounting to loss of information. Multistate Markov models describe how a process moves between states over time. Here, simulation studies are performed to investigate the type I error and power characteristics of multistate Markov models for panel data with limited non-adjacent state transitions. The results suggest that ...

  20. Combining experimental and simulation data of molecular processes via augmented Markov models.

    Science.gov (United States)

    Olsson, Simon; Wu, Hao; Paul, Fabian; Clementi, Cecilia; Noé, Frank

    2017-08-01

    Accurate mechanistic description of structural changes in biomolecules is an increasingly important topic in structural and chemical biology. Markov models have emerged as a powerful way to approximate the molecular kinetics of large biomolecules while keeping full structural resolution in a divide-and-conquer fashion. However, the accuracy of these models is limited by that of the force fields used to generate the underlying molecular dynamics (MD) simulation data. Whereas the quality of classical MD force fields has improved significantly in recent years, remaining errors in the Boltzmann weights are still on the order of a few [Formula: see text], which may lead to significant discrepancies when comparing to experimentally measured rates or state populations. Here we take the view that simulations using a sufficiently good force-field sample conformations that are valid but have inaccurate weights, yet these weights may be made accurate by incorporating experimental data a posteriori. To do so, we propose augmented Markov models (AMMs), an approach that combines concepts from probability theory and information theory to consistently treat systematic force-field error and statistical errors in simulation and experiment. Our results demonstrate that AMMs can reconcile conflicting results for protein mechanisms obtained by different force fields and correct for a wide range of stationary and dynamical observables even when only equilibrium measurements are incorporated into the estimation process. This approach constitutes a unique avenue to combine experiment and computation into integrative models of biomolecular structure and dynamics.

  1. Markov-chain model of classified atomistic transition states for discrete kinetic Monte Carlo simulations.

    Science.gov (United States)

    Numazawa, Satoshi; Smith, Roger

    2011-10-01

    Classical harmonic transition state theory is considered and applied in discrete lattice cells with hierarchical transition levels. The scheme is then used to determine transitions that can be applied in a lattice-based kinetic Monte Carlo (KMC) atomistic simulation model. The model results in an effective reduction of KMC simulation steps by utilizing a classification scheme of transition levels for thermally activated atomistic diffusion processes. Thermally activated atomistic movements are considered as local transition events constrained in potential energy wells over certain local time periods. These processes are represented by Markov chains of multidimensional Boolean valued functions in three-dimensional lattice space. The events inhibited by the barriers under a certain level are regarded as thermal fluctuations of the canonical ensemble and accepted freely. Consequently, the fluctuating system evolution process is implemented as a Markov chain of equivalence class objects. It is shown that the process can be characterized by the acceptance of metastable local transitions. The method is applied to a problem of Au and Ag cluster growth on a rippled surface. The simulation predicts the existence of a morphology-dependent transition time limit from a local metastable to stable state for subsequent cluster growth by accretion. Excellent agreement with observed experimental results is obtained.

  2. Clinical trial optimization: Monte Carlo simulation Markov model for planning clinical trials recruitment.

    Science.gov (United States)

    Abbas, Ismail; Rovira, Joan; Casanovas, Josep

    2007-05-01

    The patient recruitment process of clinical trials is an essential element which needs to be designed properly. In this paper we describe different simulation models under continuous and discrete time assumptions for the design of recruitment in clinical trials. The results of hypothetical examples of clinical trial recruitments are presented. The recruitment time is calculated and the number of recruited patients is quantified for a given time and probability of recruitment. The expected delay and the effective recruitment durations are estimated using both continuous and discrete time modeling. The proposed type of Monte Carlo simulation Markov models will enable optimization of the recruitment process and the estimation and the calibration of its parameters to aid the proposed clinical trials. A continuous time simulation may minimize the duration of the recruitment and, consequently, the total duration of the trial.

  3. Accelerating Markov chain Monte Carlo simulation by differential evolution with self-adaptive randomized subspace sampling

    Energy Technology Data Exchange (ETDEWEB)

    Vrugt, Jasper A [Los Alamos National Laboratory; Hyman, James M [Los Alamos National Laboratory; Robinson, Bruce A [Los Alamos National Laboratory; Higdon, Dave [Los Alamos National Laboratory; Ter Braak, Cajo J F [NETHERLANDS; Diks, Cees G H [UNIV OF AMSTERDAM

    2008-01-01

    Markov chain Monte Carlo (MCMC) methods have found widespread use in many fields of study to estimate the average properties of complex systems, and for posterior inference in a Bayesian framework. Existing theory and experiments prove convergence of well constructed MCMC schemes to the appropriate limiting distribution under a variety of different conditions. In practice, however this convergence is often observed to be disturbingly slow. This is frequently caused by an inappropriate selection of the proposal distribution used to generate trial moves in the Markov Chain. Here we show that significant improvements to the efficiency of MCMC simulation can be made by using a self-adaptive Differential Evolution learning strategy within a population-based evolutionary framework. This scheme, entitled DiffeRential Evolution Adaptive Metropolis or DREAM, runs multiple different chains simultaneously for global exploration, and automatically tunes the scale and orientation of the proposal distribution in randomized subspaces during the search. Ergodicity of the algorithm is proved, and various examples involving nonlinearity, high-dimensionality, and multimodality show that DREAM is generally superior to other adaptive MCMC sampling approaches. The DREAM scheme significantly enhances the applicability of MCMC simulation to complex, multi-modal search problems.

  4. Stochastic Differential Equations and Markov Processes in the Modeling of Electrical Circuits

    Directory of Open Access Journals (Sweden)

    R. Rezaeyan

    2010-06-01

    Full Text Available Stochastic differential equations(SDEs, arise from physical systems that possess inherent noise and certainty. We derive a SDE for electrical circuits. In this paper, we will explore the close relationship between the SDE and autoregressive(AR model. We will solve SDE related to RC circuit with using of AR(1 model (Markov process and however with Euler-Maruyama(EM method. Then, we will compare this solutions. Numerical simulations in MATLAB are obtained.

  5. Understanding for convergence monitoring for probabilistic risk assessment based on Markov Chain Monte Carlo Simulation

    International Nuclear Information System (INIS)

    Kim, Joo Yeon; Jang, Han Ki; Jang, Sol Ah; Park, Tae Jin

    2014-01-01

    There is a question that the simulation actually leads to draws from its target distribution and the most basic one is whether such Markov chains can always be constructed and all chain values sampled from them. The problem to be solved is the determination of how large this iteration should be to achieve the target distribution. This problem can be answered as convergence monitoring. In this paper, two widely used methods, such as autocorrelation and potential scale reduction factor (PSRF) in MCMC are characterized. There is no general agreement on the subject of the convergence. Although it is generally agreed that running n parallel chains in practice is computationally inefficient and unnecessary, running multiple parallel chains is generally applied for the convergence monitoring due to easy implementation. The main debate is the number of parallel chains needed. If the convergence properties of the chain are well understood then clearly a single chain suffices. Therefore, autocorrelation using single chain and multiple parallel ones are tried and their results then compared with each other in this study. And, the following question is answered from the two convergence results: Have the Markov chain realizations for achieved the target distribution?

  6. Multi-site Stochastic Simulation of Daily Streamflow with Markov Chain and KNN Algorithm

    Science.gov (United States)

    Mathai, J.; Mujumdar, P.

    2017-12-01

    A key focus of this study is to develop a method which is physically consistent with the hydrologic processes that can capture short-term characteristics of daily hydrograph as well as the correlation of streamflow in temporal and spatial domains. In complex water resource systems, flow fluctuations at small time intervals require that discretisation be done at small time scales such as daily scales. Also, simultaneous generation of synthetic flows at different sites in the same basin are required. We propose a method to equip water managers with a streamflow generator within a stochastic streamflow simulation framework. The motivation for the proposed method is to generate sequences that extend beyond the variability represented in the historical record of streamflow time series. The method has two steps: In step 1, daily flow is generated independently at each station by a two-state Markov chain, with rising limb increments randomly sampled from a Gamma distribution and the falling limb modelled as exponential recession and in step 2, the streamflow generated in step 1 is input to a nonparametric K-nearest neighbor (KNN) time series bootstrap resampler. The KNN model, being data driven, does not require assumptions on the dependence structure of the time series. A major limitation of KNN based streamflow generators is that they do not produce new values, but merely reshuffle the historical data to generate realistic streamflow sequences. However, daily flow generated using the Markov chain approach is capable of generating a rich variety of streamflow sequences. Furthermore, the rising and falling limbs of daily hydrograph represent different physical processes, and hence they need to be modelled individually. Thus, our method combines the strengths of the two approaches. We show the utility of the method and improvement over the traditional KNN by simulating daily streamflow sequences at 7 locations in the Godavari River basin in India.

  7. Hydrologic data assimilation using particle Markov chain Monte Carlo simulation: Theory, concepts and applications

    Science.gov (United States)

    Vrugt, Jasper A.; ter Braak, Cajo J. F.; Diks, Cees G. H.; Schoups, Gerrit

    2013-01-01

    During the past decades much progress has been made in the development of computer based methods for parameter and predictive uncertainty estimation of hydrologic models. The goal of this paper is twofold. As part of this special anniversary issue we first shortly review the most important historical developments in hydrologic model calibration and uncertainty analysis that has led to current perspectives. Then, we introduce theory, concepts and simulation results of a novel data assimilation scheme for joint inference of model parameters and state variables. This Particle-DREAM method combines the strengths of sequential Monte Carlo sampling and Markov chain Monte Carlo simulation and is especially designed for treatment of forcing, parameter, model structural and calibration data error. Two different variants of Particle-DREAM are presented to satisfy assumptions regarding the temporal behavior of the model parameters. Simulation results using a 40-dimensional atmospheric “toy” model, the Lorenz attractor and a rainfall-runoff model show that Particle-DREAM, P-DREAM(VP) and P-DREAM(IP) require far fewer particles than current state-of-the-art filters to closely track the evolving target distribution of interest, and provide important insights into the information content of discharge data and non-stationarity of model parameters. Our development follows formal Bayes, yet Particle-DREAM and its variants readily accommodate hydrologic signatures, informal likelihood functions or other (in)sufficient statistics if those better represent the salient features of the calibration data and simulation model used.

  8. Improved Subset Autoregression: With R Package

    Directory of Open Access Journals (Sweden)

    A. I. McLeod

    2008-07-01

    Full Text Available The FitAR R (R Development Core Team 2008 package that is available on the Comprehensive R Archive Network is described. This package provides a comprehensive approach to fitting autoregressive and subset autoregressive time series. For long time series with complicated autocorrelation behavior, such as the monthly sunspot numbers, subset autoregression may prove more feasible and/or parsimonious than using AR or ARMA models. The two principal functions in this package are SelectModel and FitAR for automatic model selection and model fitting respectively. In addition to the regular autoregressive model and the usual subset autoregressive models (Tong 1977, these functions implement a new family of models. This new family of subset autoregressive models is obtained by using the partial autocorrelations as parameters and then selecting a subset of these parameters. Further properties and results for these models are discussed in McLeod and Zhang (2006. The advantages of this approach are that not only is an efficient algorithm for exact maximum likelihood implemented but that efficient methods are derived for selecting high-order subset models that may occur in massive datasets containing long time series. A new improved extended {BIC} criterion, {UBIC}, developed by Chen and Chen (2008 is implemented for subset model selection. A complete suite of model building functions for each of the three types of autoregressive models described above are included in the package. The package includes functions for time series plots, diagnostic testing and plotting, bootstrapping, simulation, forecasting, Box-Cox analysis, spectral density estimation and other useful time series procedures. As well as methods for standard generic functions including print, plot, predict and others, some new generic functions and methods are supplied that make it easier to work with the output from FitAR for bootstrapping, simulation, spectral density estimation and Box

  9. Generalizing smooth transition autoregressions

    DEFF Research Database (Denmark)

    Chini, Emilio Zanetti

    We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail...

  10. RESTART simulation of non-Markov consecutive-k-out-of-n: F repairable systems

    International Nuclear Information System (INIS)

    Villen-Altamirano, Jose

    2010-01-01

    The reliability of consecutive-k-out-of-n: F repairable systems and (k-1)-step Markov dependence is studied. The model analyzed in this paper is more general than those of previous studies given that repair time and component lifetimes are random variables that follow a general distribution. The system has one repair service which adopts a priority repair rule based on system failure risk. Since crude simulation has proved to be inefficient for highly dependable systems, the RESTART method was used for the estimation of steady-state unavailability, MTBF and unreliability. Probabilities up to the order of 10 -16 have been accurately estimated with little computational effort. In this method, a number of simulation retrials are performed when the process enters regions of the state space where the chance of occurrence of a rare event (e.g., a system failure) is higher. The main difficulty for the application of this method is to find a suitable function, called the importance function, to define the regions. Given the simplicity involved in changing some model assumptions with RESTART, the importance function used in this paper could be useful for dependability estimation of many systems.

  11. Transportation and concentration inequalities for bifurcating Markov chains

    DEFF Research Database (Denmark)

    Penda, S. Valère Bitseki; Escobar-Bach, Mikael; Guillin, Arnaud

    2017-01-01

    concentration inequalities.We also study deviation inequalities for the empirical means under relaxed assumptions on the Wasserstein contraction for the Markov kernels. Applications to bifurcating nonlinear autoregressive processes are considered for point-wise estimates of the non-linear autoregressive...

  12. Mathematical modeling, analysis and Markov Chain Monte Carlo simulation of Ebola epidemics

    Science.gov (United States)

    Tulu, Thomas Wetere; Tian, Boping; Wu, Zunyou

    Ebola virus infection is a severe infectious disease with the highest case fatality rate which become the global public health treat now. What makes the disease the worst of all is no specific effective treatment available, its dynamics is not much researched and understood. In this article a new mathematical model incorporating both vaccination and quarantine to study the dynamics of Ebola epidemic has been developed and comprehensively analyzed. The existence as well as uniqueness of the solution to the model is also verified and the basic reproduction number is calculated. Besides, stability conditions are also checked and finally simulation is done using both Euler method and one of the top ten most influential algorithm known as Markov Chain Monte Carlo (MCMC) method. Different rates of vaccination to predict the effect of vaccination on the infected individual over time and that of quarantine are discussed. The results show that quarantine and vaccination are very effective ways to control Ebola epidemic. From our study it was also seen that there is less possibility of an individual for getting Ebola virus for the second time if they survived his/her first infection. Last but not least real data has been fitted to the model, showing that it can used to predict the dynamic of Ebola epidemic.

  13. Simulating the formation of keratin filament networks by a piecewise-deterministic Markov process.

    Science.gov (United States)

    Beil, Michael; Lück, Sebastian; Fleischer, Frank; Portet, Stéphanie; Arendt, Wolfgang; Schmidt, Volker

    2009-02-21

    Keratin intermediate filament networks are part of the cytoskeleton in epithelial cells. They were found to regulate viscoelastic properties and motility of cancer cells. Due to unique biochemical properties of keratin polymers, the knowledge of the mechanisms controlling keratin network formation is incomplete. A combination of deterministic and stochastic modeling techniques can be a valuable source of information since they can describe known mechanisms of network evolution while reflecting the uncertainty with respect to a variety of molecular events. We applied the concept of piecewise-deterministic Markov processes to the modeling of keratin network formation with high spatiotemporal resolution. The deterministic component describes the diffusion-driven evolution of a pool of soluble keratin filament precursors fueling various network formation processes. Instants of network formation events are determined by a stochastic point process on the time axis. A probability distribution controlled by model parameters exercises control over the frequency of different mechanisms of network formation to be triggered. Locations of the network formation events are assigned dependent on the spatial distribution of the soluble pool of filament precursors. Based on this modeling approach, simulation studies revealed that the architecture of keratin networks mostly depends on the balance between filament elongation and branching processes. The spatial distribution of network mesh size, which strongly influences the mechanical characteristics of filament networks, is modulated by lateral annealing processes. This mechanism which is a specific feature of intermediate filament networks appears to be a major and fast regulator of cell mechanics.

  14. Unfolding mechanism of thrombin-binding aptamer revealed by molecular dynamics simulation and Markov State Model.

    Science.gov (United States)

    Zeng, Xiaojun; Zhang, Liyun; Xiao, Xiuchan; Jiang, Yuanyuan; Guo, Yanzhi; Yu, Xinyan; Pu, Xuemei; Li, Menglong

    2016-04-05

    Thrombin-binding aptamer (TBA) with the sequence 5'GGTTGGTGTGGTTGG3' could fold into G-quadruplex, which correlates with functionally important genomic regionsis. However, unfolding mechanism involved in the structural stability of G-quadruplex has not been satisfactorily elucidated on experiments so far. Herein, we studied the unfolding pathway of TBA by a combination of molecular dynamics simulation (MD) and Markov State Model (MSM). Our results revealed that the unfolding of TBA is not a simple two-state process but proceeds along multiple pathways with multistate intermediates. One high flux confirms some observations from NMR experiment. Another high flux exhibits a different and simpler unfolding pathway with less intermediates. Two important intermediate states were identified. One is similar to the G-triplex reported in the folding of G-quadruplex, but lack of H-bonding between guanines in the upper plane. More importantly, another intermediate state acting as a connector to link the folding region and the unfolding one, was the first time identified, which exhibits higher population and stability than the G-triplex-like intermediate. These results will provide valuable information for extending our understanding the folding landscape of G-quadruplex formation.

  15. Bias-correction in vector autoregressive models

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    2014-01-01

    We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study...

  16. Simulation on a computer the cascade probabilistic functions and theirs relation with Markov's processes

    International Nuclear Information System (INIS)

    Kupchishin, A.A.; Kupchishin, A.I.; Shmygaleva, T.A.

    2002-01-01

    Within framework of the cascade-probabilistic (CP) method the radiation and physical processes are studied, theirs relation with Markov's processes are found. The conclusion that CP-function for electrons, protons, alpha-particles and ions are describing by unhomogeneous Markov's chain is drawn. The algorithms are developed, the CP-functions calculations for charged particles, concentration of radiation defects in solids at ion irradiation are carried out as well. Tables for CPF different parameters and radiation defects concentration at charged particle interaction with solids are given. The book consists of the introduction and two chapters: (1) Cascade probabilistic function and the Markov's processes; (2) Radiation defects formation in solids as a part of the Markov's processes. The book is intended for specialists on the radiation defects mathematical stimulation, solid state physics, elementary particles physics and applied mathematics

  17. Artificial intelligence framework for simulating clinical decision-making: a Markov decision process approach.

    Science.gov (United States)

    Bennett, Casey C; Hauser, Kris

    2013-01-01

    In the modern healthcare system, rapidly expanding costs/complexity, the growing myriad of treatment options, and exploding information streams that often do not effectively reach the front lines hinder the ability to choose optimal treatment decisions over time. The goal in this paper is to develop a general purpose (non-disease-specific) computational/artificial intelligence (AI) framework to address these challenges. This framework serves two potential functions: (1) a simulation environment for exploring various healthcare policies, payment methodologies, etc., and (2) the basis for clinical artificial intelligence - an AI that can "think like a doctor". This approach combines Markov decision processes and dynamic decision networks to learn from clinical data and develop complex plans via simulation of alternative sequential decision paths while capturing the sometimes conflicting, sometimes synergistic interactions of various components in the healthcare system. It can operate in partially observable environments (in the case of missing observations or data) by maintaining belief states about patient health status and functions as an online agent that plans and re-plans as actions are performed and new observations are obtained. This framework was evaluated using real patient data from an electronic health record. The results demonstrate the feasibility of this approach; such an AI framework easily outperforms the current treatment-as-usual (TAU) case-rate/fee-for-service models of healthcare. The cost per unit of outcome change (CPUC) was $189 vs. $497 for AI vs. TAU (where lower is considered optimal) - while at the same time the AI approach could obtain a 30-35% increase in patient outcomes. Tweaking certain AI model parameters could further enhance this advantage, obtaining approximately 50% more improvement (outcome change) for roughly half the costs. Given careful design and problem formulation, an AI simulation framework can approximate optimal

  18. A mathematical approach for evaluating Markov models in continuous time without discrete-event simulation.

    Science.gov (United States)

    van Rosmalen, Joost; Toy, Mehlika; O'Mahony, James F

    2013-08-01

    Markov models are a simple and powerful tool for analyzing the health and economic effects of health care interventions. These models are usually evaluated in discrete time using cohort analysis. The use of discrete time assumes that changes in health states occur only at the end of a cycle period. Discrete-time Markov models only approximate the process of disease progression, as clinical events typically occur in continuous time. The approximation can yield biased cost-effectiveness estimates for Markov models with long cycle periods and if no half-cycle correction is made. The purpose of this article is to present an overview of methods for evaluating Markov models in continuous time. These methods use mathematical results from stochastic process theory and control theory. The methods are illustrated using an applied example on the cost-effectiveness of antiviral therapy for chronic hepatitis B. The main result is a mathematical solution for the expected time spent in each state in a continuous-time Markov model. It is shown how this solution can account for age-dependent transition rates and discounting of costs and health effects, and how the concept of tunnel states can be used to account for transition rates that depend on the time spent in a state. The applied example shows that the continuous-time model yields more accurate results than the discrete-time model but does not require much computation time and is easily implemented. In conclusion, continuous-time Markov models are a feasible alternative to cohort analysis and can offer several theoretical and practical advantages.

  19. Combination of Markov state models and kinetic networks for the analysis of molecular dynamics simulations of peptide folding.

    Science.gov (United States)

    Radford, Isolde H; Fersht, Alan R; Settanni, Giovanni

    2011-06-09

    Atomistic molecular dynamics simulations of the TZ1 beta-hairpin peptide have been carried out using an implicit model for the solvent. The trajectories have been analyzed using a Markov state model defined on the projections along two significant observables and a kinetic network approach. The Markov state model allowed for an unbiased identification of the metastable states of the system, and provided the basis for commitment probability calculations performed on the kinetic network. The kinetic network analysis served to extract the main transition state for folding of the peptide and to validate the results from the Markov state analysis. The combination of the two techniques allowed for a consistent and concise characterization of the dynamics of the peptide. The slowest relaxation process identified is the exchange between variably folded and denatured species, and the second slowest process is the exchange between two different subsets of the denatured state which could not be otherwise identified by simple inspection of the projected trajectory. The third slowest process is the exchange between a fully native and a partially folded intermediate state characterized by a native turn with a proximal backbone H-bond, and frayed side-chain packing and termini. The transition state for the main folding reaction is similar to the intermediate state, although a more native like side-chain packing is observed.

  20. Accelerating Markov chain Monte Carlo simulation by differential evolution with self-adaptive randomized subspace sampling

    NARCIS (Netherlands)

    Vrugt, J.A.; Braak, ter C.J.F.; Diks, C.G.H.; Robinson, B.A.; Hyman, J.M.; Higdon, D.

    2009-01-01

    Markov chain Monte Carlo (MCMC) methods have found widespread use in many fields of study to estimate the average properties of complex systems, and for posterior inference in a Bayesian framework. Existing theory and experiments prove convergence of well-constructed MCMC schemes to the appropriate

  1. Accelerating Markov chain Monte Carlo simulation by differential evolution with self-adaptive randomized subspace sampling

    NARCIS (Netherlands)

    Vrugt, J.A.; Braak, C.J.F.; Diks, C.G.H.; Robinson, B.A.; Hyman, J.M.; Higdon, D.

    2009-01-01

    Markov chain Monte Carlo (MCMC) methods have found widespread use in many fields of study to estimate the average properties of complex systems, and for posterior inference in a Bayesian framework. Existing theory and experiments prove convergence of well constructed MCMC schemes to the appropriate

  2. Optimal use of data in parallel tempering simulations for the construction of discrete-state Markov models of biomolecular dynamics.

    Science.gov (United States)

    Prinz, Jan-Hendrik; Chodera, John D; Pande, Vijay S; Swope, William C; Smith, Jeremy C; Noé, Frank

    2011-06-28

    Parallel tempering (PT) molecular dynamics simulations have been extensively investigated as a means of efficient sampling of the configurations of biomolecular systems. Recent work has demonstrated how the short physical trajectories generated in PT simulations of biomolecules can be used to construct the Markov models describing biomolecular dynamics at each simulated temperature. While this approach describes the temperature-dependent kinetics, it does not make optimal use of all available PT data, instead estimating the rates at a given temperature using only data from that temperature. This can be problematic, as some relevant transitions or states may not be sufficiently sampled at the temperature of interest, but might be readily sampled at nearby temperatures. Further, the comparison of temperature-dependent properties can suffer from the false assumption that data collected from different temperatures are uncorrelated. We propose here a strategy in which, by a simple modification of the PT protocol, the harvested trajectories can be reweighted, permitting data from all temperatures to contribute to the estimated kinetic model. The method reduces the statistical uncertainty in the kinetic model relative to the single temperature approach and provides estimates of transition probabilities even for transitions not observed at the temperature of interest. Further, the method allows the kinetics to be estimated at temperatures other than those at which simulations were run. We illustrate this method by applying it to the generation of a Markov model of the conformational dynamics of the solvated terminally blocked alanine peptide.

  3. Simulation from endpoint-conditioned, continuous-time Markov chains on a finite state space, with applications to molecular evolution

    DEFF Research Database (Denmark)

    Hobolth, Asger; Stone, Eric

    2009-01-01

    Analyses of serially-sampled data often begin with the assumption that the observations represent discrete samples from a latent continuous-time stochastic process. The continuous-time Markov chain (CTMC) is one such generative model whose popularity extends to a variety of disciplines ranging from...... computational finance to human genetics and genomics. A common theme among these diverse applications is the need to simulate sample paths of a CTMC conditional on realized data that is discretely observed. Here we present a general solution to this sampling problem when the CTMC is defined on a discrete...

  4. Investigating the structural origin of trpzip2 temperature dependent unfolding fluorescence line shape based on a Markov state model simulation.

    Science.gov (United States)

    Song, Jian; Gao, Fang; Cui, Raymond Z; Shuang, Feng; Liang, Wanzhen; Huang, Xuhui; Zhuang, Wei

    2012-10-25

    Vibrationally resolved fluorescence spectra of the β-hairpin trpzip2 peptide at two temperatures as well as during a T-jump unfolding process are simulated on the basis of a combination of Markov state models and quantum chemistry schemes. The broad asymmetric spectral line shape feature is reproduced by considering the exciton-phonon couplings. The temperature dependent red shift observed in the experiment has been attributed to the state population changes of specific chromophores. Through further theoretical study, it is found that both the environment's electric field and the chromophores' geometry distortions are responsible for tryptophan fluorescence shift.

  5. A radiobiological Markov simulation tool for aiding decision making in proton therapy referral.

    Science.gov (United States)

    Austin, Annabelle M; Douglass, Michael J J; Nguyen, Giang T; Penfold, Scott N

    2017-12-01

    Proton therapy can be a highly effective strategy for the treatment of tumours. However, compared with X-ray therapy it is more expensive and has limited availability. In addition, it is not always clear whether it will benefit an individual patient more than a course of traditional X-ray therapy. Basing a treatment decision on outcomes of clinical trials can be difficult due to a shortage of data. Predictive modelling studies are becoming an attractive alternative to supplement clinical decisions. The aim of the current work is to present a Markov framework that compares clinical outcomes for proton and X-ray therapy. A Markov model has been developed which estimates the radiobiological effect of a given treatment plan. This radiobiological effect is estimated using the tumour control probability (TCP), normal tissue complication probability (NTCP) and second primary cancer induction probability (SPCIP). These metrics are used as transition probabilities in the Markov chain. The clinical outcome is quantified by the quality adjusted life expectancy. To demonstrate functionality, the model was applied to a 6-year-old patient presenting with skull base chordoma. The model was successfully developed to compare clinical outcomes for proton and X-ray treatment plans. For the example patient considered, it was predicted that proton therapy would offer a significant advantage compared with volumetric modulated arc therapy in terms of survival and mitigating injuries. The functionality of the model was demonstrated using the example patient. The proposed Markov method may be a useful tool for deciding on a treatment strategy for individual patients. Crown Copyright © 2017. Published by Elsevier Ltd. All rights reserved.

  6. Numerical simulations of piecewise deterministic Markov processes with an application to the stochastic Hodgkin-Huxley model

    Science.gov (United States)

    Ding, Shaojie; Qian, Min; Qian, Hong; Zhang, Xuejuan

    2016-12-01

    The stochastic Hodgkin-Huxley model is one of the best-known examples of piecewise deterministic Markov processes (PDMPs), in which the electrical potential across a cell membrane, V(t), is coupled with a mesoscopic Markov jump process representing the stochastic opening and closing of ion channels embedded in the membrane. The rates of the channel kinetics, in turn, are voltage-dependent. Due to this interdependence, an accurate and efficient sampling of the time evolution of the hybrid stochastic systems has been challenging. The current exact simulation methods require solving a voltage-dependent hitting time problem for multiple path-dependent intensity functions with random thresholds. This paper proposes a simulation algorithm that approximates an alternative representation of the exact solution by fitting the log-survival function of the inter-jump dwell time, H(t), with a piecewise linear one. The latter uses interpolation points that are chosen according to the time evolution of the H(t), as the numerical solution to the coupled ordinary differential equations of V(t) and H(t). This computational method can be applied to all PDMPs. Pathwise convergence of the approximated sample trajectories to the exact solution is proven, and error estimates are provided. Comparison with a previous algorithm that is based on piecewise constant approximation is also presented.

  7. Markov processes

    CERN Document Server

    Kirkwood, James R

    2015-01-01

    Review of ProbabilityShort HistoryReview of Basic Probability DefinitionsSome Common Probability DistributionsProperties of a Probability DistributionProperties of the Expected ValueExpected Value of a Random Variable with Common DistributionsGenerating FunctionsMoment Generating FunctionsExercisesDiscrete-Time, Finite-State Markov ChainsIntroductionNotationTransition MatricesDirected Graphs: Examples of Markov ChainsRandom Walk with Reflecting BoundariesGambler’s RuinEhrenfest ModelCentral Problem of Markov ChainsCondition to Ensure a Unique Equilibrium StateFinding the Equilibrium StateTransient and Recurrent StatesIndicator FunctionsPerron-Frobenius TheoremAbsorbing Markov ChainsMean First Passage TimeMean Recurrence Time and the Equilibrium StateFundamental Matrix for Regular Markov ChainsDividing a Markov Chain into Equivalence ClassesPeriodic Markov ChainsReducible Markov ChainsSummaryExercisesDiscrete-Time, Infinite-State Markov ChainsRenewal ProcessesDelayed Renewal ProcessesEquilibrium State f...

  8. Markov approach to evaluate the availability simulation model for power generation system in a thermal power plant ,

    Directory of Open Access Journals (Sweden)

    Avdhesh Kr. Sharma

    2012-10-01

    Full Text Available In recent years, the availability of power plants has become increasingly important issue in most developed and developing countries. This paper aims to propose a methodology based on Markov approach to evaluate the availability simulation model for power generation system (Turbine in a thermal power plant under realistic working environment. The effects of occurrence of failure/course of actions and availability of repair facilities on system performance have been investigated. Higher availability of the components/equipments is inherently associated with their higher reliability and maintainability. The power generation system consists of five subsystems with four possible states: full working, reduced capacity, reduced efficiency and failed state. So, its availability should be carefully evaluated in order to foresee the performance of the power plant. The availability simulation model (Av. has been developed with the help of mathematical formulation based on Markov Birth-Death process using probabilistic approach. For this purpose, first differential equations have been generated. These equations are then solved using normalizing condition so as to determine the steady state availability of power generation system. In fact, availability analysis is very much effective in finding critical subsystems and deciding their preventive maintenance program for improving availability of the power plant as well as the power supply. From the graphs illustrated, the optimum values of failure/repair rates for maximum availability, of each subsystem is analyzed and then maintenance priorities are decided for all subsystems.The present paper highlights that in this system, Turbine governing subsystem is most sensitive demands more improvement in maintainability as compared to the other subsystems. While Turbine lubrication subsystem is least sensitive.

  9. Markov Chain Monte Carlo Simulation to Assess Uncertainty in Models of Naturally Deformed Rock

    Science.gov (United States)

    Davis, J. R.; Titus, S.; Giorgis, S. D.; Horsman, E. M.

    2015-12-01

    Field studies in tectonics and structural geology involve many kinds of data, such as foliation-lineation pairs, folded and boudinaged veins, deformed clasts, and lattice preferred orientations. Each data type can inform a model of deformation, for example by excluding certain geometries or constraining model parameters. In past work we have demonstrated how to systematically integrate a wide variety of data types into the computation of best-fit deformations. However, because even the simplest deformation models tend to be highly non-linear in their parameters, evaluating the uncertainty in the best fit has been difficult. In this presentation we describe an approach to rigorously assessing the uncertainty in models of naturally deformed rock. Rather than finding a single vector of parameter values that fits the data best, we use Bayesian Markov chain Monte Carlo methods to generate a large set of vectors of varying fitness. Taken together, these vectors approximate the probability distribution of the parameters given the data. From this distribution, various auxiliary statistical quantities and conclusions can be derived. Further, the relative probability of differing models can be quantified. We apply this approach to two example data sets, from the Gem Lake shear zone and western Idaho shear zone. Our findings address shear zone geometry, magnitude of deformation, strength of field fabric, and relative viscosity of clasts. We compare our model predictions to those of earlier studies.

  10. A multi-level hierarchic Markov process with Bayesian updating for herd optimization and simulation in dairy cattle.

    Science.gov (United States)

    Demeter, R M; Kristensen, A R; Dijkstra, J; Oude Lansink, A G J M; Meuwissen, M P M; van Arendonk, J A M

    2011-12-01

    Herd optimization models that determine economically optimal insemination and replacement decisions are valuable research tools to study various aspects of farming systems. The aim of this study was to develop a herd optimization and simulation model for dairy cattle. The model determines economically optimal insemination and replacement decisions for individual cows and simulates whole-herd results that follow from optimal decisions. The optimization problem was formulated as a multi-level hierarchic Markov process, and a state space model with Bayesian updating was applied to model variation in milk yield. Methodological developments were incorporated in 2 main aspects. First, we introduced an additional level to the model hierarchy to obtain a more tractable and efficient structure. Second, we included a recently developed cattle feed intake model. In addition to methodological developments, new parameters were used in the state space model and other biological functions. Results were generated for Dutch farming conditions, and outcomes were in line with actual herd performance in the Netherlands. Optimal culling decisions were sensitive to variation in milk yield but insensitive to energy requirements for maintenance and feed intake capacity. We anticipate that the model will be applied in research and extension. Copyright © 2011 American Dairy Science Association. Published by Elsevier Inc. All rights reserved.

  11. Corruption of accuracy and efficiency of Markov chain Monte Carlo simulation by inaccurate numerical implementation of conceptual hydrologic models

    Science.gov (United States)

    Schoups, G.; Vrugt, J. A.; Fenicia, F.; van de Giesen, N. C.

    2010-10-01

    Conceptual rainfall-runoff models have traditionally been applied without paying much attention to numerical errors induced by temporal integration of water balance dynamics. Reliance on first-order, explicit, fixed-step integration methods leads to computationally cheap simulation models that are easy to implement. Computational speed is especially desirable for estimating parameter and predictive uncertainty using Markov chain Monte Carlo (MCMC) methods. Confirming earlier work of Kavetski et al. (2003), we show here that the computational speed of first-order, explicit, fixed-step integration methods comes at a cost: for a case study with a spatially lumped conceptual rainfall-runoff model, it introduces artificial bimodality in the marginal posterior parameter distributions, which is not present in numerically accurate implementations of the same model. The resulting effects on MCMC simulation include (1) inconsistent estimates of posterior parameter and predictive distributions, (2) poor performance and slow convergence of the MCMC algorithm, and (3) unreliable convergence diagnosis using the Gelman-Rubin statistic. We studied several alternative numerical implementations to remedy these problems, including various adaptive-step finite difference schemes and an operator splitting method. Our results show that adaptive-step, second-order methods, based on either explicit finite differencing or operator splitting with analytical integration, provide the best alternative for accurate and efficient MCMC simulation. Fixed-step or adaptive-step implicit methods may also be used for increased accuracy, but they cannot match the efficiency of adaptive-step explicit finite differencing or operator splitting. Of the latter two, explicit finite differencing is more generally applicable and is preferred if the individual hydrologic flux laws cannot be integrated analytically, as the splitting method then loses its advantage.

  12. Characterization results and Markov chain Monte Carlo algorithms including exact simulation for some spatial point processes

    DEFF Research Database (Denmark)

    Häggström, Olle; Lieshout, Marie-Colette van; Møller, Jesper

    1999-01-01

    The area-interaction process and the continuum random-cluster model are characterized in terms of certain functional forms of their respective conditional intensities. In certain cases, these two point process models can be derived from a bivariate point process model which in many respects...... is simpler to analyse and simulate. Using this correspondence we devise a two-component Gibbs sampler, which can be used for fast and exact simulation by extending the recent ideas of Propp and Wilson. We further introduce a Swendsen-Wang type algorithm. The relevance of the results within spatial statistics...

  13. Incorporating measurement error in n = 1 psychological autoregressive modeling

    Science.gov (United States)

    Schuurman, Noémi K.; Houtveen, Jan H.; Hamaker, Ellen L.

    2015-01-01

    Measurement error is omnipresent in psychological data. However, the vast majority of applications of autoregressive time series analyses in psychology do not take measurement error into account. Disregarding measurement error when it is present in the data results in a bias of the autoregressive parameters. We discuss two models that take measurement error into account: An autoregressive model with a white noise term (AR+WN), and an autoregressive moving average (ARMA) model. In a simulation study we compare the parameter recovery performance of these models, and compare this performance for both a Bayesian and frequentist approach. We find that overall, the AR+WN model performs better. Furthermore, we find that for realistic (i.e., small) sample sizes, psychological research would benefit from a Bayesian approach in fitting these models. Finally, we illustrate the effect of disregarding measurement error in an AR(1) model by means of an empirical application on mood data in women. We find that, depending on the person, approximately 30–50% of the total variance was due to measurement error, and that disregarding this measurement error results in a substantial underestimation of the autoregressive parameters. PMID:26283988

  14. SIMULATION FROM ENDPOINT-CONDITIONED, CONTINUOUS-TIME MARKOV CHAINS ON A FINITE STATE SPACE, WITH APPLICATIONS TO MOLECULAR EVOLUTION.

    Science.gov (United States)

    Hobolth, Asger; Stone, Eric A

    2009-09-01

    Analyses of serially-sampled data often begin with the assumption that the observations represent discrete samples from a latent continuous-time stochastic process. The continuous-time Markov chain (CTMC) is one such generative model whose popularity extends to a variety of disciplines ranging from computational finance to human genetics and genomics. A common theme among these diverse applications is the need to simulate sample paths of a CTMC conditional on realized data that is discretely observed. Here we present a general solution to this sampling problem when the CTMC is defined on a discrete and finite state space. Specifically, we consider the generation of sample paths, including intermediate states and times of transition, from a CTMC whose beginning and ending states are known across a time interval of length T. We first unify the literature through a discussion of the three predominant approaches: (1) modified rejection sampling, (2) direct sampling, and (3) uniformization. We then give analytical results for the complexity and efficiency of each method in terms of the instantaneous transition rate matrix Q of the CTMC, its beginning and ending states, and the length of sampling time T. In doing so, we show that no method dominates the others across all model specifications, and we give explicit proof of which method prevails for any given Q, T, and endpoints. Finally, we introduce and compare three applications of CTMCs to demonstrate the pitfalls of choosing an inefficient sampler.

  15. An autoregressive growth model for longitudinal item analysis.

    Science.gov (United States)

    Jeon, Minjeong; Rabe-Hesketh, Sophia

    2016-09-01

    A first-order autoregressive growth model is proposed for longitudinal binary item analysis where responses to the same items are conditionally dependent across time given the latent traits. Specifically, the item response probability for a given item at a given time depends on the latent trait as well as the response to the same item at the previous time, or the lagged response. An initial conditions problem arises because there is no lagged response at the initial time period. We handle this problem by adapting solutions proposed for dynamic models in panel data econometrics. Asymptotic and finite sample power for the autoregressive parameters are investigated. The consequences of ignoring local dependence and the initial conditions problem are also examined for data simulated from a first-order autoregressive growth model. The proposed methods are applied to longitudinal data on Korean students' self-esteem.

  16. Artificial Intelligence Framework for Simulating Clinical Decision-Making: A Markov Decision Process Approach

    OpenAIRE

    Bennett, Casey C.; Hauser, Kris

    2013-01-01

    In the modern healthcare system, rapidly expanding costs/complexity, the growing myriad of treatment options, and exploding information streams that often do not effectively reach the front lines hinder the ability to choose optimal treatment decisions over time. The goal in this paper is to develop a general purpose (non-disease-specific) computational/artificial intelligence (AI) framework to address these challenges. This serves two potential functions: 1) a simulation environment for expl...

  17. A stochastic Markov chain approach for tennis: Monte Carlo simulation and modeling

    Science.gov (United States)

    Aslam, Kamran

    This dissertation describes the computational formulation of probability density functions (pdfs) that facilitate head-to-head match simulations in tennis along with ranking systems developed from their use. A background on the statistical method used to develop the pdfs , the Monte Carlo method, and the resulting rankings are included along with a discussion on ranking methods currently being used both in professional sports and in other applications. Using an analytical theory developed by Newton and Keller in [34] that defines a tennis player's probability of winning a game, set, match and single elimination tournament, a computational simulation has been developed in Matlab that allows further modeling not previously possible with the analytical theory alone. Such experimentation consists of the exploration of non-iid effects, considers the concept the varying importance of points in a match and allows an unlimited number of matches to be simulated between unlikely opponents. The results of these studies have provided pdfs that accurately model an individual tennis player's ability along with a realistic, fair and mathematically sound platform for ranking them.

  18. Order-disorder transitions in time-discrete mean field systems with memory: a novel approach via nonlinear autoregressive models

    International Nuclear Information System (INIS)

    Frank, T D; Mongkolsakulvong, S

    2015-01-01

    In a previous study strongly nonlinear autoregressive (SNAR) models have been introduced as a generalization of the widely-used time-discrete autoregressive models that are known to apply both to Markov and non-Markovian systems. In contrast to conventional autoregressive models, SNAR models depend on process mean values. So far, only linear dependences have been studied. We consider the case in which process mean values can have a nonlinear impact on the processes under consideration. It is shown that such models describe Markov and non-Markovian many-body systems with mean field forces that exhibit a nonlinear impact on single subsystems. We exemplify that such nonlinear dependences can describe order-disorder phase transitions of time-discrete Markovian and non-Markovian many-body systems. The relevant order parameter equations are derived and issues of stability and stationarity are studied. (paper)

  19. CARBayes: An R Package for Bayesian Spatial Modeling with Conditional Autoregressive Priors

    Directory of Open Access Journals (Sweden)

    Duncan Lee

    2013-11-01

    Full Text Available Conditional autoregressive models are commonly used to represent spatial autocorrelation in data relating to a set of non-overlapping areal units, which arise in a wide variety of applications including agriculture, education, epidemiology and image analysis. Such models are typically specified in a hierarchical Bayesian framework, with inference based on Markov chain Monte Carlo (MCMC simulation. The most widely used software to fit such models is WinBUGS or OpenBUGS, but in this paper we introduce the R package CARBayes. The main advantage of CARBayes compared with the BUGS software is its ease of use, because: (1 the spatial adjacency information is easy to specify as a binary neighbourhood matrix; and (2 given the neighbourhood matrix the models can be implemented by a single function call in R. This paper outlines the general class of Bayesian hierarchical models that can be implemented in the CARBayes software, describes their implementation via MCMC simulation techniques, and illustrates their use with two worked examples in the fields of house price analysis and disease mapping.

  20. Phase-coexistence simulations of fluid mixtures by the Markov Chain Monte Carlo method using single-particle models

    KAUST Repository

    Li, Jun

    2013-09-01

    We present a single-particle Lennard-Jones (L-J) model for CO2 and N2. Simplified L-J models for other small polyatomic molecules can be obtained following the methodology described herein. The phase-coexistence diagrams of single-component systems computed using the proposed single-particle models for CO2 and N2 agree well with experimental data over a wide range of temperatures. These diagrams are computed using the Markov Chain Monte Carlo method based on the Gibbs-NVT ensemble. This good agreement validates the proposed simplified models. That is, with properly selected parameters, the single-particle models have similar accuracy in predicting gas-phase properties as more complex, state-of-the-art molecular models. To further test these single-particle models, three binary mixtures of CH4, CO2 and N2 are studied using a Gibbs-NPT ensemble. These results are compared against experimental data over a wide range of pressures. The single-particle model has similar accuracy in the gas phase as traditional models although its deviation in the liquid phase is greater. Since the single-particle model reduces the particle number and avoids the time-consuming Ewald summation used to evaluate Coulomb interactions, the proposed model improves the computational efficiency significantly, particularly in the case of high liquid density where the acceptance rate of the particle-swap trial move increases. We compare, at constant temperature and pressure, the Gibbs-NPT and Gibbs-NVT ensembles to analyze their performance differences and results consistency. As theoretically predicted, the agreement between the simulations implies that Gibbs-NVT can be used to validate Gibbs-NPT predictions when experimental data is not available. © 2013 Elsevier Inc.

  1. Estimation of soil salinity by using Markov Chain Monte Carlo simulation for multi-configuration electromagnetic induction measurements

    Science.gov (United States)

    Jadoon, K. Z.; Altaf, M. U.; McCabe, M. F.; Hoteit, I.; Moghadas, D.

    2014-12-01

    In arid and semi-arid regions, soil salinity has a major impact on agro-ecosystems, agricultural productivity, environment and sustainability. High levels of soil salinity adversely affect plant growth and productivity, soil and water quality, and may eventually result in soil erosion and land degradation. Being essentially a hazard, it's important to monitor and map soil salinity at an early stage to effectively use soil resources and maintain soil salinity level below the salt tolerance of crops. In this respect, low frequency electromagnetic induction (EMI) systems can be used as a noninvasive method to map the distribution of soil salinity at the field scale and at a high spatial resolution. In this contribution, an EMI system (the CMD Mini-Explorer) is used to estimate soil salinity using a Bayesian approach implemented via a Markov chain Monte Carlo (MCMC) sampling for inversion of multi-configuration EMI measurements. In-situ and EMI measurements were conducted across a farm where Acacia trees are irrigated with brackish water using a drip irrigation system. The electromagnetic forward model is based on the full solution of Maxwell's equation, and the subsurface is considered as a three-layer problem. In total, five parameters (electrical conductivity of three layers and thickness of top two layers) were inverted and modeled electrical conductivities were converted into the universal standard of soil salinity measurement (i.e. using the method of electrical conductivity of a saturated soil paste extract). Simulation results demonstrate that the proposed scheme successfully recovers soil salinity and reduces the uncertainties in the prior estimate. Analysis of the resulting posterior distribution of parameters indicates that electrical conductivity of the top two layers and the thickness of the first layer are well constrained by the EMI measurements. The proposed approach allows for quantitative mapping and monitoring of the spatial electrical conductivity

  2. Boosting Nonlinear Additive Autoregressive Time Series

    OpenAIRE

    Shafik, Nivien; Tutz, Gerhard

    2007-01-01

    Within the last years several methods for the analysis of nonlinear autoregressive time series have been proposed. As in linear autoregressive models main problems are model identification, estimation and prediction. A boosting method is proposed that performs model identification and estimation simultaneously within the framework of nonlinear autoregressive time series. The method allows to select influential terms from a large numbers of potential lags and exogenous variables. The influence...

  3. Behavioural Pattern of Causality Parameter of Autoregressive ...

    African Journals Online (AJOL)

    In this paper, a causal form of Autoregressive Moving Average process, ARMA (p, q) of various orders and behaviour of the causality parameter of ARMA model is investigated. It is deduced that the behaviour of causality parameter ψi depends on positive and negative values of autoregressive parameter φ and moving ...

  4. Speech Segmentation Using Bayesian Autoregressive Changepoint Detector

    Directory of Open Access Journals (Sweden)

    P. Sovka

    1998-12-01

    Full Text Available This submission is devoted to the study of the Bayesian autoregressive changepoint detector (BCD and its use for speech segmentation. Results of the detector application to autoregressive signals as well as to real speech are given. BCD basic properties are described and discussed. The novel two-step algorithm consisting of cepstral analysis and BCD for automatic speech segmentation is suggested.

  5. Accelerating population balance-Monte Carlo simulation for coagulation dynamics from the Markov jump model, stochastic algorithm and GPU parallel computing

    International Nuclear Information System (INIS)

    Xu, Zuwei; Zhao, Haibo; Zheng, Chuguang

    2015-01-01

    This paper proposes a comprehensive framework for accelerating population balance-Monte Carlo (PBMC) simulation of particle coagulation dynamics. By combining Markov jump model, weighted majorant kernel and GPU (graphics processing unit) parallel computing, a significant gain in computational efficiency is achieved. The Markov jump model constructs a coagulation-rule matrix of differentially-weighted simulation particles, so as to capture the time evolution of particle size distribution with low statistical noise over the full size range and as far as possible to reduce the number of time loopings. Here three coagulation rules are highlighted and it is found that constructing appropriate coagulation rule provides a route to attain the compromise between accuracy and cost of PBMC methods. Further, in order to avoid double looping over all simulation particles when considering the two-particle events (typically, particle coagulation), the weighted majorant kernel is introduced to estimate the maximum coagulation rates being used for acceptance–rejection processes by single-looping over all particles, and meanwhile the mean time-step of coagulation event is estimated by summing the coagulation kernels of rejected and accepted particle pairs. The computational load of these fast differentially-weighted PBMC simulations (based on the Markov jump model) is reduced greatly to be proportional to the number of simulation particles in a zero-dimensional system (single cell). Finally, for a spatially inhomogeneous multi-dimensional (multi-cell) simulation, the proposed fast PBMC is performed in each cell, and multiple cells are parallel processed by multi-cores on a GPU that can implement the massively threaded data-parallel tasks to obtain remarkable speedup ratio (comparing with CPU computation, the speedup ratio of GPU parallel computing is as high as 200 in a case of 100 cells with 10 000 simulation particles per cell). These accelerating approaches of PBMC are

  6. Dependability estimation for non-Markov consecutive-k-out-of-n: F repairable systems by fast simulation

    International Nuclear Information System (INIS)

    Xiao Gang; Li Zhizhong; Li Ting

    2007-01-01

    A model of consecutive-k-out-of-n: F repairable system with non-exponential repair time distribution and (k-1)-step Markov dependence is introduced in this paper along with algorithms of three Monte Carlo methods, i.e. importance sampling, conditional expectation estimation and combination of the two methods, to estimate dependability of the non-Markov model including reliability, transient unavailability, MTTF, and MTBF. A numerical example is presented to demonstrate the efficiencies of above methods. The results show that combinational method has the highest efficiency for estimation of unreliability and unavailability, while conditional expectation estimation is the most efficient method for estimation of MTTF and MTBF. Conditional expectation estimation seems to have overall higher speedups in estimating dependability of such systems

  7. Markov chains

    CERN Document Server

    Revuz, D

    1984-01-01

    This is the revised and augmented edition of a now classic book which is an introduction to sub-Markovian kernels on general measurable spaces and their associated homogeneous Markov chains. The first part, an expository text on the foundations of the subject, is intended for post-graduate students. A study of potential theory, the basic classification of chains according to their asymptotic behaviour and the celebrated Chacon-Ornstein theorem are examined in detail. The second part of the book is at a more advanced level and includes a treatment of random walks on general locally compact abelian groups. Further chapters develop renewal theory, an introduction to Martin boundary and the study of chains recurrent in the Harris sense. Finally, the last chapter deals with the construction of chains starting from a kernel satisfying some kind of maximum principle.

  8. Modified Confidence Intervals for the Mean of an Autoregressive Process.

    Science.gov (United States)

    1985-08-01

    autorregressive method of simulation output analysis. Jow (1982) details the autoregressive method for vector processes, and the articles LAW AND KELTON (1982...moments and cumulants of some function f(z), where z is a vector of sample means of an asymptotically stationary sequence. After expanding f in a Taylor...we may take S(i) = " z and obtain all the analogous results for mixed cumulants provided the vector process ( (’)): i > 0) satisfies the mixing and

  9. Markov processes and controlled Markov chains

    CERN Document Server

    Filar, Jerzy; Chen, Anyue

    2002-01-01

    The general theory of stochastic processes and the more specialized theory of Markov processes evolved enormously in the second half of the last century. In parallel, the theory of controlled Markov chains (or Markov decision processes) was being pioneered by control engineers and operations researchers. Researchers in Markov processes and controlled Markov chains have been, for a long time, aware of the synergies between these two subject areas. However, this may be the first volume dedicated to highlighting these synergies and, almost certainly, it is the first volume that emphasizes the contributions of the vibrant and growing Chinese school of probability. The chapters that appear in this book reflect both the maturity and the vitality of modern day Markov processes and controlled Markov chains. They also will provide an opportunity to trace the connections that have emerged between the work done by members of the Chinese school of probability and the work done by the European, US, Central and South Ameri...

  10. Recursive Markov Process

    OpenAIRE

    Hidaka, Shohei

    2015-01-01

    A Markov process, which is constructed recursively, arises in stochastic games with Markov strategies. In this study, we defined a special class of random processes called the recursive Markov process, which has infinitely many states but can be expressed in a closed form. We derive the characteristic equation which the marginal stationary distribution of an arbitrary recursive Markov process needs to satisfy.

  11. Accelerating Monte Carlo molecular simulations by reweighting and reconstructing Markov chains: Extrapolation of canonical ensemble averages and second derivatives to different temperature and density conditions

    KAUST Repository

    Kadoura, Ahmad Salim

    2014-08-01

    Accurate determination of thermodynamic properties of petroleum reservoir fluids is of great interest to many applications, especially in petroleum engineering and chemical engineering. Molecular simulation has many appealing features, especially its requirement of fewer tuned parameters but yet better predicting capability; however it is well known that molecular simulation is very CPU expensive, as compared to equation of state approaches. We have recently introduced an efficient thermodynamically consistent technique to regenerate rapidly Monte Carlo Markov Chains (MCMCs) at different thermodynamic conditions from the existing data points that have been pre-computed with expensive classical simulation. This technique can speed up the simulation more than a million times, making the regenerated molecular simulation almost as fast as equation of state approaches. In this paper, this technique is first briefly reviewed and then numerically investigated in its capability of predicting ensemble averages of primary quantities at different neighboring thermodynamic conditions to the original simulated MCMCs. Moreover, this extrapolation technique is extended to predict second derivative properties (e.g. heat capacity and fluid compressibility). The method works by reweighting and reconstructing generated MCMCs in canonical ensemble for Lennard-Jones particles. In this paper, system\\'s potential energy, pressure, isochoric heat capacity and isothermal compressibility along isochors, isotherms and paths of changing temperature and density from the original simulated points were extrapolated. Finally, an optimized set of Lennard-Jones parameters (ε, σ) for single site models were proposed for methane, nitrogen and carbon monoxide. © 2014 Elsevier Inc.

  12. Single-Index Additive Vector Autoregressive Time Series Models

    KAUST Repository

    LI, YEHUA

    2009-09-01

    We study a new class of nonlinear autoregressive models for vector time series, where the current vector depends on single-indexes defined on the past lags and the effects of different lags have an additive form. A sufficient condition is provided for stationarity of such models. We also study estimation of the proposed model using P-splines, hypothesis testing, asymptotics, selection of the order of the autoregression and of the smoothing parameters and nonlinear forecasting. We perform simulation experiments to evaluate our model in various settings. We illustrate our methodology on a climate data set and show that our model provides more accurate yearly forecasts of the El Niño phenomenon, the unusual warming of water in the Pacific Ocean. © 2009 Board of the Foundation of the Scandinavian Journal of Statistics.

  13. Penalised Complexity Priors for Stationary Autoregressive Processes

    KAUST Repository

    Sørbye, Sigrunn Holbek

    2017-05-25

    The autoregressive (AR) process of order p(AR(p)) is a central model in time series analysis. A Bayesian approach requires the user to define a prior distribution for the coefficients of the AR(p) model. Although it is easy to write down some prior, it is not at all obvious how to understand and interpret the prior distribution, to ensure that it behaves according to the users\\' prior knowledge. In this article, we approach this problem using the recently developed ideas of penalised complexity (PC) priors. These prior have important properties like robustness and invariance to reparameterisations, as well as a clear interpretation. A PC prior is computed based on specific principles, where model component complexity is penalised in terms of deviation from simple base model formulations. In the AR(1) case, we discuss two natural base model choices, corresponding to either independence in time or no change in time. The latter case is illustrated in a survival model with possible time-dependent frailty. For higher-order processes, we propose a sequential approach, where the base model for AR(p) is the corresponding AR(p-1) model expressed using the partial autocorrelations. The properties of the new prior distribution are compared with the reference prior in a simulation study.

  14. Markov Chain Monte Carlo

    Indian Academy of Sciences (India)

    . Keywords. Gibbs sampling, Markov Chain. Monte Carlo, Bayesian inference, stationary distribution, conver- gence, image restoration. Arnab Chakraborty. We describe the mathematics behind the Markov. Chain Monte Carlo method of ...

  15. Bayesian analysis of Markov point processes

    DEFF Research Database (Denmark)

    Berthelsen, Kasper Klitgaard; Møller, Jesper

    2006-01-01

    Recently Møller, Pettitt, Berthelsen and Reeves introduced a new MCMC methodology for drawing samples from a posterior distribution when the likelihood function is only specified up to a normalising constant. We illustrate the method in the setting of Bayesian inference for Markov point processes...... a partially ordered Markov point process as the auxiliary variable. As the method requires simulation from the "unknown" likelihood, perfect simulation algorithms for spatial point processes become useful....

  16. Identification and Simulation of Subsurface Soil patterns using hidden Markov random fields and remote sensing and geophysical EMI data sets

    Science.gov (United States)

    Wang, Hui; Wellmann, Florian; Verweij, Elizabeth; von Hebel, Christian; van der Kruk, Jan

    2017-04-01

    Lateral and vertical spatial heterogeneity of subsurface properties such as soil texture and structure influences the available water and resource supply for crop growth. High-resolution mapping of subsurface structures using non-invasive geo-referenced geophysical measurements, like electromagnetic induction (EMI), enables a characterization of 3D soil structures, which have shown correlations to remote sensing information of the crop states. The benefit of EMI is that it can return 3D subsurface information, however the spatial dimensions are limited due to the labor intensive measurement procedure. Although active and passive sensors mounted on air- or space-borne platforms return 2D images, they have much larger spatial dimensions. Combining both approaches provides us with a potential pathway to extend the detailed 3D geophysical information to a larger area by using remote sensing information. In this study, we aim at extracting and providing insights into the spatial and statistical correlation of the geophysical and remote sensing observations of the soil/vegetation continuum system. To this end, two key points need to be addressed: 1) how to detect and recognize the geometric patterns (i.e., spatial heterogeneity) from multiple data sets, and 2) how to quantitatively describe the statistical correlation between remote sensing information and geophysical measurements. In the current study, the spatial domain is restricted to shallow depths up to 3 meters, and the geostatistical database contains normalized difference vegetation index (NDVI) derived from RapidEye satellite images and apparent electrical conductivities (ECa) measured from multi-receiver EMI sensors for nine depths of exploration ranging from 0-2.7 m. The integrated data sets are mapped into both the physical space (i.e. the spatial domain) and feature space (i.e. a two-dimensional space framed by the NDVI and the ECa data). Hidden Markov Random Fields (HMRF) are employed to model the

  17. DREAM(D): an adaptive markov chain monte carlo simulation algorithm to solve discrete, noncontinuous, posterior parameter estimation problems

    Science.gov (United States)

    Vrugt, J. A.

    2011-04-01

    Formal and informal Bayesian approaches are increasingly being used to treat forcing, model structural, parameter and calibration data uncertainty, and summarize hydrologic prediction uncertainty. This requires posterior sampling methods that approximate the (evolving) posterior distribution. We recently introduced the DiffeRential Evolution Adaptive Metropolis (DREAM) algorithm, an adaptive Markov Chain Monte Carlo (MCMC) method that is especially designed to solve complex, high-dimensional and multimodal posterior probability density functions. The method runs multiple chains in parallel, and maintains detailed balance and ergodicity. Here, I present the latest algorithmic developments, and introduce a discrete sampling variant of DREAM that samples the parameter space at fixed points. The development of this new code, DREAM(D), has been inspired by the existing class of integer optimization problems, and emerging class of experimental design problems. Such non-continuous parameter estimation problems are of considerable theoretical and practical interest. The theory developed herein is applicable to DREAM(ZS) (Vrugt et al., 2011) and MT-DREAM(ZS) (Laloy and Vrugt, 2011) as well. Two case studies involving a sudoku puzzle and rainfall - runoff model calibration problem are used to illustrate DREAM(D).

  18. Improving the capability of an integrated CA-Markov model to simulate spatio-temporal urban growth trends using an Analytical Hierarchy Process and Frequency Ratio

    Science.gov (United States)

    Aburas, Maher Milad; Ho, Yuek Ming; Ramli, Mohammad Firuz; Ash'aari, Zulfa Hanan

    2017-07-01

    The creation of an accurate simulation of future urban growth is considered one of the most important challenges in urban studies that involve spatial modeling. The purpose of this study is to improve the simulation capability of an integrated CA-Markov Chain (CA-MC) model using CA-MC based on the Analytical Hierarchy Process (AHP) and CA-MC based on Frequency Ratio (FR), both applied in Seremban, Malaysia, as well as to compare the performance and accuracy between the traditional and hybrid models. Various physical, socio-economic, utilities, and environmental criteria were used as predictors, including elevation, slope, soil texture, population density, distance to commercial area, distance to educational area, distance to residential area, distance to industrial area, distance to roads, distance to highway, distance to railway, distance to power line, distance to stream, and land cover. For calibration, three models were applied to simulate urban growth trends in 2010; the actual data of 2010 were used for model validation utilizing the Relative Operating Characteristic (ROC) and Kappa coefficient methods Consequently, future urban growth maps of 2020 and 2030 were created. The validation findings confirm that the integration of the CA-MC model with the FR model and employing the significant driving force of urban growth in the simulation process have resulted in the improved simulation capability of the CA-MC model. This study has provided a novel approach for improving the CA-MC model based on FR, which will provide powerful support to planners and decision-makers in the development of future sustainable urban planning.

  19. Identifying Conformational-Selection and Induced-Fit Aspects in the Binding-Induced Folding of PMI from Markov State Modeling of Atomistic Simulations.

    Science.gov (United States)

    Paul, Fabian; Noé, Frank; Weikl, Thomas R

    2018-03-27

    Unstructured proteins and peptides typically fold during binding to ligand proteins. A challenging problem is to identify the mechanism and kinetics of these binding-induced folding processes in experiments and atomistic simulations. In this Article, we present a detailed picture for the folding of the inhibitor peptide PMI into a helix during binding to the oncoprotein fragment 25-109 Mdm2 obtained from atomistic, explicit-water simulations and Markov state modeling. We find that binding-induced folding of PMI is highly parallel and can occur along a multitude of pathways. Some pathways are induced-fit-like with binding occurring prior to PMI helix formation, while other pathways are conformational-selection-like with binding after helix formation. On the majority of pathways, however, binding is intricately coupled to folding, without clear temporal ordering. A central feature of these pathways is PMI motion on the Mdm2 surface, along the binding groove of Mdm2 or over the rim of this groove. The native binding groove of Mdm2 thus appears as an asymmetric funnel for PMI binding. Overall, binding-induced folding of PMI does not fit into the classical picture of induced fit or conformational selection that implies a clear temporal ordering of binding and folding events. We argue that this holds in general for binding-induced folding processes because binding and folding events in these processes likely occur on similar time scales and do exhibit the time-scale separation required for temporal ordering.

  20. Kinetics of CO2 diffusion in human carbonic anhydrase: a study using molecular dynamics simulations and the Markov-state model.

    Science.gov (United States)

    Chen, Gong; Kong, Xian; Lu, Diannan; Wu, Jianzhong; Liu, Zheng

    2017-05-10

    Molecular dynamics (MD) simulations, in combination with the Markov-state model (MSM), were applied to probe CO 2 diffusion from an aqueous solution into the active site of human carbonic anhydrase II (hCA-II), an enzyme useful for enhanced CO 2 capture and utilization. The diffusion process in the hydrophobic pocket of hCA-II was illustrated in terms of a two-dimensional free-energy landscape. We found that CO 2 diffusion in hCA-II is a rate-limiting step in the CO 2 diffusion-binding-reaction process. The equilibrium distribution of CO 2 shows its preferential accumulation within a hydrophobic domain in the protein core region. An analysis of the committors and reactive fluxes indicates that the main pathway for CO 2 diffusion into the active site of hCA-II is through a binding pocket where residue Gln 136 contributes to the maximal flux. The simulation results offer a new perspective on the CO 2 hydration kinetics and useful insights toward the development of novel biochemical processes for more efficient CO 2 sequestration and utilization.

  1. Residual Analysis of Generalized Autoregressive Integrated Moving ...

    African Journals Online (AJOL)

    In this study, analysis of residuals of generalized autoregressive integrated moving average bilinear time series model was considered. The adequacy of this model was based on testing the estimated residuals for whiteness. Jarque-Bera statistic and squared-residual autocorrelations were used to test the estimated ...

  2. Optimal Hedging with the Vector Autoregressive Model

    NARCIS (Netherlands)

    L. Gatarek (Lukasz); S.G. Johansen (Soren)

    2014-01-01

    markdownabstract__Abstract__ We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be

  3. Improving Variational Autoencoders with Inverse Autoregressive Flow

    NARCIS (Netherlands)

    Kingma, D.; Salimans, T.; Josefowicz, R.; Chen, X.; Sutskever, I.; Welling, M.; Lee, D.D.; von Luxburg, U.; Garnett, R.; Sugiyama, M.; Guyon, I.

    2017-01-01

    The framework of normalizing flows provides a general strategy for flexible variational inference of posteriors over latent variables. We propose a new type of normalizing flow, inverse autoregressive flow (IAF), that, in contrast to earlier published flows, scales well to high-dimensional latent

  4. Interval Forecast for Smooth Transition Autoregressive Model ...

    African Journals Online (AJOL)

    In this paper, we propose a simple method for constructing interval forecast for smooth transition autoregressive (STAR) model. This interval forecast is based on bootstrapping the residual error of the estimated STAR model for each forecast horizon and computing various Akaike information criterion (AIC) function. This new ...

  5. New interval forecast for stationary autoregressive models ...

    African Journals Online (AJOL)

    In this paper, we proposed a new forecasting interval for stationary Autoregressive, AR(p) models using the Akaike information criterion (AIC) function. Ordinarily, the AIC function is used to determine the order of an AR(p) process. In this study however, AIC forecast interval compared favorably with the theoretical forecast ...

  6. The Integration Order of Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2...

  7. Forecasting nuclear power supply with Bayesian autoregression

    International Nuclear Information System (INIS)

    Beck, R.; Solow, J.L.

    1994-01-01

    We explore the possibility of forecasting the quarterly US generation of electricity from nuclear power using a Bayesian autoregression model. In terms of forecasting accuracy, this approach compares favorably with both the Department of Energy's current forecasting methodology and their more recent efforts using ARIMA models, and it is extremely easy and inexpensive to implement. (author)

  8. THE ALLOMETRIC-AUTOREGRESSIVE MODEL IN GENETIC ...

    African Journals Online (AJOL)

    THE ALLOMETRIC-AUTOREGRESSIVE. MODEL IN GENETIC STUDIES: HERITABILITIES. AND CORRELATIONS. IN THE RAT*. M.M. Scholtz and C.Z. Roux. Animal and Dairv Science Research Institute, Prh'ate Bag X2, Irene, /675,. Republic of South Africa. (Keywords: Rat, growth model, heritabilities, correlations).

  9. Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors

    NARCIS (Netherlands)

    Hecq, Alain; Issler, J.V.; Telg, Sean

    2017-01-01

    The mixed autoregressive causal-noncausal model (MAR) has been proposed to estimate economic relationships involving explosive roots in their autoregressive part, as they have stationary forward solutions. In previous work, possible exogenous variables in economic relationships are substituted into

  10. Markov chains analytic and Monte Carlo computations

    CERN Document Server

    Graham, Carl

    2014-01-01

    Markov Chains: Analytic and Monte Carlo Computations introduces the main notions related to Markov chains and provides explanations on how to characterize, simulate, and recognize them. Starting with basic notions, this book leads progressively to advanced and recent topics in the field, allowing the reader to master the main aspects of the classical theory. This book also features: Numerous exercises with solutions as well as extended case studies.A detailed and rigorous presentation of Markov chains with discrete time and state space.An appendix presenting probabilistic notions that are nec

  11. Molecular simulations and Markov state modeling reveal the structural diversity and dynamics of a theophylline-binding RNA aptamer in its unbound state.

    Directory of Open Access Journals (Sweden)

    Becka M Warfield

    Full Text Available RNA aptamers are oligonucleotides that bind with high specificity and affinity to target ligands. In the absence of bound ligand, secondary structures of RNA aptamers are generally stable, but single-stranded and loop regions, including ligand binding sites, lack defined structures and exist as ensembles of conformations. For example, the well-characterized theophylline-binding aptamer forms a highly stable binding site when bound to theophylline, but the binding site is unstable and disordered when theophylline is absent. Experimental methods have not revealed at atomic resolution the conformations that the theophylline aptamer explores in its unbound state. Consequently, in the present study we applied 21 microseconds of molecular dynamics simulations to structurally characterize the ensemble of conformations that the aptamer adopts in the absence of theophylline. Moreover, we apply Markov state modeling to predict the kinetics of transitions between unbound conformational states. Our simulation results agree with experimental observations that the theophylline binding site is found in many distinct binding-incompetent states and show that these states lack a binding pocket that can accommodate theophylline. The binding-incompetent states interconvert with binding-competent states through structural rearrangement of the binding site on the nanosecond to microsecond timescale. Moreover, we have simulated the complete theophylline binding pathway. Our binding simulations supplement prior experimental observations of slow theophylline binding kinetics by showing that the binding site must undergo a large conformational rearrangement after the aptamer and theophylline form an initial complex, most notably, a major rearrangement of the C27 base from a buried to solvent-exposed orientation. Theophylline appears to bind by a combination of conformational selection and induced fit mechanisms. Finally, our modeling indicates that when Mg2+ ions are

  12. Adapting a Markov Monte Carlo simulation model for forecasting the number of Coronary Artery Revascularisation Procedures in an era of rapidly changing technology and policy

    Directory of Open Access Journals (Sweden)

    Knuiman Matthew

    2008-06-01

    Full Text Available Abstract Background Treatments for coronary heart disease (CHD have evolved rapidly over the last 15 years with considerable change in the number and effectiveness of both medical and surgical treatments. This period has seen the rapid development and uptake of statin drugs and coronary artery revascularization procedures (CARPs that include Coronary Artery Bypass Graft procedures (CABGs and Percutaneous Coronary Interventions (PCIs. It is difficult in an era of such rapid change to accurately forecast requirements for treatment services such as CARPs. In a previous paper we have described and outlined the use of a Markov Monte Carlo simulation model for analyzing and predicting the requirements for CARPs for the population of Western Australia (Mannan et al, 2007. In this paper, we expand on the use of this model for forecasting CARPs in Western Australia with a focus on the lack of adequate performance of the (standard model for forecasting CARPs in a period during the mid 1990s when there were considerable changes to CARP technology and implementation policy and an exploration and demonstration of how the standard model may be adapted to achieve better performance. Methods Selected key CARP event model probabilities are modified based on information relating to changes in the effectiveness of CARPs from clinical trial evidence and an awareness of trends in policy and practice of CARPs. These modified model probabilities and the ones obtained by standard methods are used as inputs in our Markov simulation model. Results The projected numbers of CARPs in the population of Western Australia over 1995–99 only improve marginally when modifications to model probabilities are made to incorporate an increase in effectiveness of PCI procedures. However, the projected numbers improve substantially when, in addition, further modifications are incorporated that relate to the increased probability of a PCI procedure and the reduced probability of a CABG

  13. Adapting a Markov Monte Carlo simulation model for forecasting the number of coronary artery revascularisation procedures in an era of rapidly changing technology and policy.

    Science.gov (United States)

    Mannan, Haider R; Knuiman, Matthew; Hobbs, Michael

    2008-06-25

    Treatments for coronary heart disease (CHD) have evolved rapidly over the last 15 years with considerable change in the number and effectiveness of both medical and surgical treatments. This period has seen the rapid development and uptake of statin drugs and coronary artery revascularization procedures (CARPs) that include Coronary Artery Bypass Graft procedures (CABGs) and Percutaneous Coronary Interventions (PCIs). It is difficult in an era of such rapid change to accurately forecast requirements for treatment services such as CARPs. In a previous paper we have described and outlined the use of a Markov Monte Carlo simulation model for analyzing and predicting the requirements for CARPs for the population of Western Australia (Mannan et al, 2007). In this paper, we expand on the use of this model for forecasting CARPs in Western Australia with a focus on the lack of adequate performance of the (standard) model for forecasting CARPs in a period during the mid 1990s when there were considerable changes to CARP technology and implementation policy and an exploration and demonstration of how the standard model may be adapted to achieve better performance. Selected key CARP event model probabilities are modified based on information relating to changes in the effectiveness of CARPs from clinical trial evidence and an awareness of trends in policy and practice of CARPs. These modified model probabilities and the ones obtained by standard methods are used as inputs in our Markov simulation model. The projected numbers of CARPs in the population of Western Australia over 1995-99 only improve marginally when modifications to model probabilities are made to incorporate an increase in effectiveness of PCI procedures. However, the projected numbers improve substantially when, in addition, further modifications are incorporated that relate to the increased probability of a PCI procedure and the reduced probability of a CABG procedure stemming from changed CARP preference

  14. Reconsidering the Use of Autoregressive Latent Trajectory (ALT) Models

    Science.gov (United States)

    Voelkle, Manuel C.

    2008-01-01

    The simultaneous estimation of autoregressive (simplex) structures and latent trajectories, so called ALT (autoregressive latent trajectory) models, is becoming an increasingly popular approach to the analysis of change. Although historically autoregressive (AR) and latent growth curve (LGC) models have been developed quite independently from each…

  15. Markov random fields simulation: an introduction to the stochastic modelling of petroleum reservoirs; Simulacao de campos aleatorios markovianos: uma introducao voltada a modelagem estocastica de reservatorios de petroleo

    Energy Technology Data Exchange (ETDEWEB)

    Saldanha Filho, Paulo Carlos

    1998-02-01

    Stochastic simulation has been employed in petroleum reservoir characterization as a modeling tool able to reconcile information from several different sources. It has the ability to preserve the variability of the modeled phenomena and permits transference of geological knowledge to numerical models of flux, whose predictions on reservoir constitute the main basis for reservoir management decisions. Several stochastic models have been used and/or suggested, depending on the nature of the phenomena to be described. Markov Random Fields (MRFs) appear as an alternative for the modeling of discrete variables, mainly reservoirs with mosaic architecture of facies. In this dissertation, the reader is introduced to the stochastic modeling by MRFs in a generic sense. The main aspects of the technique are reviewed. MRF Conceptual Background is described: its characterization through the Markovian property and the equivalence to Gibbs distributions. The framework for generic modeling of MRFs is described. The classical models of Ising and Potts-Strauss are specific in this context and are related to models of Ising and Potts-Strauss are specific in this context and are related to models used in petroleum reservoir characterization. The problem of parameter estimation is discussed. The maximum pseudolikelihood estimators for some models are presented. Estimators for two models useful for reservoir characterization are developed, and represent a new contribution to the subject. Five algorithms for the Conditional Simulation of MRFs are described: the Metropolis algorithm, the algorithm of German and German (Gibbs sampler), the algorithm of Swendsen-Wang, the algorithm of Wolff, and the algorithm of Flinn. Finally, examples of simulation for some of the models discussed are presented, along with their implications on the modelling of petroleum reservoirs. (author)

  16. Semi-Markov processes

    CERN Document Server

    Grabski

    2014-01-01

    Semi-Markov Processes: Applications in System Reliability and Maintenance is a modern view of discrete state space and continuous time semi-Markov processes and their applications in reliability and maintenance. The book explains how to construct semi-Markov models and discusses the different reliability parameters and characteristics that can be obtained from those models. The book is a useful resource for mathematicians, engineering practitioners, and PhD and MSc students who want to understand the basic concepts and results of semi-Markov process theory. Clearly defines the properties and

  17. Lie Markov models.

    Science.gov (United States)

    Sumner, J G; Fernández-Sánchez, J; Jarvis, P D

    2012-04-07

    Recent work has discussed the importance of multiplicative closure for the Markov models used in phylogenetics. For continuous-time Markov chains, a sufficient condition for multiplicative closure of a model class is ensured by demanding that the set of rate-matrices belonging to the model class form a Lie algebra. It is the case that some well-known Markov models do form Lie algebras and we refer to such models as "Lie Markov models". However it is also the case that some other well-known Markov models unequivocally do not form Lie algebras (GTR being the most conspicuous example). In this paper, we will discuss how to generate Lie Markov models by demanding that the models have certain symmetries under nucleotide permutations. We show that the Lie Markov models include, and hence provide a unifying concept for, "group-based" and "equivariant" models. For each of two and four character states, the full list of Lie Markov models with maximal symmetry is presented and shown to include interesting examples that are neither group-based nor equivariant. We also argue that our scheme is pleasing in the context of applied phylogenetics, as, for a given symmetry of nucleotide substitution, it provides a natural hierarchy of models with increasing number of parameters. We also note that our methods are applicable to any application of continuous-time Markov chains beyond the initial motivations we take from phylogenetics. Crown Copyright © 2011. Published by Elsevier Ltd. All rights reserved.

  18. Combined state and parameter identification of nonlinear structural dynamical systems based on Rao-Blackwellization and Markov chain Monte Carlo simulations

    Science.gov (United States)

    Abhinav, S.; Manohar, C. S.

    2018-03-01

    The problem of combined state and parameter estimation in nonlinear state space models, based on Bayesian filtering methods, is considered. A novel approach, which combines Rao-Blackwellized particle filters for state estimation with Markov chain Monte Carlo (MCMC) simulations for parameter identification, is proposed. In order to ensure successful performance of the MCMC samplers, in situations involving large amount of dynamic measurement data and (or) low measurement noise, the study employs a modified measurement model combined with an importance sampling based correction. The parameters of the process noise covariance matrix are also included as quantities to be identified. The study employs the Rao-Blackwellization step at two stages: one, associated with the state estimation problem in the particle filtering step, and, secondly, in the evaluation of the ratio of likelihoods in the MCMC run. The satisfactory performance of the proposed method is illustrated on three dynamical systems: (a) a computational model of a nonlinear beam-moving oscillator system, (b) a laboratory scale beam traversed by a loaded trolley, and (c) an earthquake shake table study on a bending-torsion coupled nonlinear frame subjected to uniaxial support motion.

  19. Corruption of accuracy and efficiency of Markov chain Monte Carlo simulation by inaccurate numerical implementation of conceptual hydrologic models

    NARCIS (Netherlands)

    Schoups, G.; Vrugt, J.A.; Fenicia, F.; van de Giesen, N.C.

    2010-01-01

    Conceptual rainfall-runoff models have traditionally been applied without paying much attention to numerical errors induced by temporal integration of water balance dynamics. Reliance on first-order, explicit, fixed-step integration methods leads to computationally cheap simulation models that are

  20. A Multi-level hierarchic Markov process with Bayesian updating for herd optimization and simulation in dairy cattle

    NARCIS (Netherlands)

    Demeter, R.M.; Kristensen, A.R.; Dijkstra, J.; Oude Lansink, A.G.J.M.; Meuwissen, M.P.M.; Arendonk, van J.A.M.

    2011-01-01

    Herd optimization models that determine economically optimal insemination and replacement decisions are valuable research tools to study various aspects of farming systems. The aim of this study was to develop a herd optimization and simulation model for dairy cattle. The model determines

  1. Impact of screening and early detection of impaired fasting glucose tolerance and type 2 diabetes in Canada: a Markov model simulation

    Directory of Open Access Journals (Sweden)

    Badawi A

    2012-04-01

    Full Text Available Soroush Mortaz*, Christine Wessman*, Ross Duncan, Rachel Gray, Alaa Badawi Office of Biotechnology Genomics and Population Health, Public Health Agency of Canada, Toronto, Ontario, Canada*Both authors contributed equally to this workBackground: Type 2 diabetes mellitus (T2DM is a major global health problem. An estimated 20%–50% of diabetic subjects in Canada are currently undiagnosed, and around 20%–30% have already developed complications. Screening for high blood glucose levels can identify people with prediabetic conditions and permit introduction of timely and effective prevention. This study examines the benefit of screening for impaired fasting glucose (IFG and T2DM. If intervention is introduced at this prediabetic stage, it can be most effective in delaying the onset and complications of T2DM.Methods: Using a Markov model simulation, we compare the cost-effectiveness of screening for prediabetes (IFG and T2DM with the strategy of no screening. An initial cohort of normoglycemic, prediabetic, or undiagnosed diabetic adults with one or more T2DM risk factors was used to model the strategies mentioned over a 10-year period. Subjects without known prediabetes or diabetes are screened every 3 years and persons with prediabetes were tested for diabetes on an annual basis. The model weighs the increase in quality-adjusted life-years (QALYs associated with early detection of prediabetes and earlier diagnosis of T2DM due to lifestyle intervention and early treatment in asymptomatic subjects.Results: Costs for each QALY gained were $2281 for conventional screening compared with $2890 for no screening. Thus, in this base-case analysis, conventional screening with a frequency of once every 3 years was favored over no screening. Furthermore, conventional screening was more favorable compared with no screening over a wide range of willingness-to-pay thresholds. Changing the frequency of screening did not affect the overall results. Screening

  2. To center or not to center? Investigating inertia with a multilevel autoregressive model

    Directory of Open Access Journals (Sweden)

    Ellen L. Hamaker

    2015-01-01

    Full Text Available Whether level 1 predictors should be centered per cluster has received considerable attention in the multilevel literature. While most agree that there is no one preferred approach, it has also been argued that cluster mean centering is desirable when the within-cluster slope and the between-cluster slope are expected to deviate, and the main interest is in the within-cluster slope. However, we show in a series of simulations that if one has a multilevel autoregressive model in which the level 1 predictor is the lagged outcome variable (i.e., the outcome variable at the previous occasion, cluster mean centering will in general lead to a downward bias in the parameter estimate of the within-cluster slope (i.e., the autoregressive relationship. This is particularly relevant if the main question is whether there is on average an autoregressive effect. Nonetheless, we show that if the main interest is in estimating the effect of a level 2 predictor on the autoregressive parameter (i.e., a cross-level interaction, cluster mean centering should be preferred over other forms of centering. Hence, researchers should be clear on what is considered the main goal of their study, and base their choice of centering method on this when using a multilevel autoregressive model.

  3. Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input

    OpenAIRE

    Peter Martey Addo

    2014-01-01

    This study defines a multivariate Self--Exciting Threshold Autoregressive with eXogenous input (MSETARX) models and present an estimation procedure for the parameters. The conditions for stationarity of the nonlinear MSETARX models is provided. In particular, the efficiency of an adaptive parameter estimation algorithm and LSE (least squares estimate) algorithm for this class of models is then provided via simulations.

  4. Multistage Stochastic Programming via Autoregressive Sequences

    Czech Academy of Sciences Publication Activity Database

    Kaňková, Vlasta

    2007-01-01

    Roč. 15, č. 4 (2007), s. 99-110 ISSN 0572-3043 R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/0990; GA ČR GD402/03/H057 Institutional research plan: CEZ:AV0Z10750506 Keywords : Economic proceses * Multistage stochastic programming * autoregressive sequences * individual probability constraints Subject RIV: BB - Applied Statistics, Operational Research

  5. Effect of battery longevity on costs and health outcomes associated with cardiac implantable electronic devices: a Markov model-based Monte Carlo simulation.

    Science.gov (United States)

    Schmier, Jordana K; Lau, Edmund C; Patel, Jasmine D; Klenk, Juergen A; Greenspon, Arnold J

    2017-11-01

    The effects of device and patient characteristics on health and economic outcomes in patients with cardiac implantable electronic devices (CIEDs) are unclear. Modeling can estimate costs and outcomes for patients with CIEDs under a variety of scenarios, varying battery longevity, comorbidities, and care settings. The objective of this analysis was to compare changes in patient outcomes and payer costs attributable to increases in battery life of implantable cardiac defibrillators (ICDs) and cardiac resynchronization therapy defibrillators (CRT-D). We developed a Monte Carlo Markov model simulation to follow patients through primary implant, postoperative maintenance, generator replacement, and revision states. Patients were simulated in 3-month increments for 15 years or until death. Key variables included Charlson Comorbidity Index, CIED type, legacy versus extended battery longevity, mortality rates (procedure and all-cause), infection and non-infectious complication rates, and care settings. Costs included procedure-related (facility and professional), maintenance, and infections and non-infectious complications, all derived from Medicare data (2004-2014, 5% sample). Outcomes included counts of battery replacements, revisions, infections and non-infectious complications, and discounted (3%) costs and life years. An increase in battery longevity in ICDs yielded reductions in numbers of revisions (by 23%), battery changes (by 44%), infections (by 23%), non-infectious complications (by 10%), and total costs per patient (by 9%). Analogous reductions for CRT-Ds were 23% (revisions), 32% (battery changes), 22% (infections), 8% (complications), and 10% (costs). Based on modeling results, as battery longevity increases, patients experience fewer adverse outcomes and healthcare costs are reduced. Understanding the magnitude of the cost benefit of extended battery life can inform budgeting and planning decisions by healthcare providers and insurers.

  6. Fields From Markov Chains

    DEFF Research Database (Denmark)

    Justesen, Jørn

    2005-01-01

    A simple construction of two-dimensional (2-D) fields is presented. Rows and columns are outcomes of the same Markov chain. The entropy can be calculated explicitly.......A simple construction of two-dimensional (2-D) fields is presented. Rows and columns are outcomes of the same Markov chain. The entropy can be calculated explicitly....

  7. A comparison of time-homogeneous Markov chain and Markov process multi-state models.

    Science.gov (United States)

    Wan, Lijie; Lou, Wenjie; Abner, Erin; Kryscio, Richard J

    2016-01-01

    Time-homogeneous Markov models are widely used tools for analyzing longitudinal data about the progression of a chronic disease over time. There are advantages to modeling the true disease progression as a discrete time stationary Markov chain. However, one limitation of this method is its inability to handle uneven follow-up assessments or skipped visits. A continuous time version of a homogeneous Markov process multi-state model could be an alternative approach. In this article, we conduct comparisons of these two methods for unevenly spaced observations. Simulations compare the performance of the two methods and two applications illustrate the results.

  8. Kepler AutoRegressive Planet Search

    Science.gov (United States)

    Feigelson, Eric

    NASA's Kepler mission is the source of more exoplanets than any other instrument, but the discovery depends on complex statistical analysis procedures embedded in the Kepler pipeline. A particular challenge is mitigating irregular stellar variability without loss of sensitivity to faint periodic planetary transits. This proposal presents a two-stage alternative analysis procedure. First, parametric autoregressive ARFIMA models, commonly used in econometrics, remove most of the stellar variations. Second, a novel matched filter is used to create a periodogram from which transit-like periodicities are identified. This analysis procedure, the Kepler AutoRegressive Planet Search (KARPS), is confirming most of the Kepler Objects of Interest and is expected to identify additional planetary candidates. The proposed research will complete application of the KARPS methodology to the prime Kepler mission light curves of 200,000: stars, and compare the results with Kepler Objects of Interest obtained with the Kepler pipeline. We will then conduct a variety of astronomical studies based on the KARPS results. Important subsamples will be extracted including Habitable Zone planets, hot super-Earths, grazing-transit hot Jupiters, and multi-planet systems. Groundbased spectroscopy of poorly studied candidates will be performed to better characterize the host stars. Studies of stellar variability will then be pursued based on KARPS analysis. The autocorrelation function and nonstationarity measures will be used to identify spotted stars at different stages of autoregressive modeling. Periodic variables with folded light curves inconsistent with planetary transits will be identified; they may be eclipsing or mutually-illuminating binary star systems. Classification of stellar variables with KARPS-derived statistical properties will be attempted. KARPS procedures will then be applied to archived K2 data to identify planetary transits and characterize stellar variability.

  9. Chain binomial models and binomial autoregressive processes.

    Science.gov (United States)

    Weiss, Christian H; Pollett, Philip K

    2012-09-01

    We establish a connection between a class of chain-binomial models of use in ecology and epidemiology and binomial autoregressive (AR) processes. New results are obtained for the latter, including expressions for the lag-conditional distribution and related quantities. We focus on two types of chain-binomial model, extinction-colonization and colonization-extinction models, and present two approaches to parameter estimation. The asymptotic distributions of the resulting estimators are studied, as well as their finite-sample performance, and we give an application to real data. A connection is made with standard AR models, which also has implications for parameter estimation. © 2011, The International Biometric Society.

  10. Semi-Markov Arnason-Schwarz models.

    Science.gov (United States)

    King, Ruth; Langrock, Roland

    2016-06-01

    We consider multi-state capture-recapture-recovery data where observed individuals are recorded in a set of possible discrete states. Traditionally, the Arnason-Schwarz model has been fitted to such data where the state process is modeled as a first-order Markov chain, though second-order models have also been proposed and fitted to data. However, low-order Markov models may not accurately represent the underlying biology. For example, specifying a (time-independent) first-order Markov process involves the assumption that the dwell time in each state (i.e., the duration of a stay in a given state) has a geometric distribution, and hence that the modal dwell time is one. Specifying time-dependent or higher-order processes provides additional flexibility, but at the expense of a potentially significant number of additional model parameters. We extend the Arnason-Schwarz model by specifying a semi-Markov model for the state process, where the dwell-time distribution is specified more generally, using, for example, a shifted Poisson or negative binomial distribution. A state expansion technique is applied in order to represent the resulting semi-Markov Arnason-Schwarz model in terms of a simpler and computationally tractable hidden Markov model. Semi-Markov Arnason-Schwarz models come with only a very modest increase in the number of parameters, yet permit a significantly more flexible state process. Model selection can be performed using standard procedures, and in particular via the use of information criteria. The semi-Markov approach allows for important biological inference to be drawn on the underlying state process, for example, on the times spent in the different states. The feasibility of the approach is demonstrated in a simulation study, before being applied to real data corresponding to house finches where the states correspond to the presence or absence of conjunctivitis. © 2015, The International Biometric Society.

  11. Markov Chain Ontology Analysis (MCOA

    Directory of Open Access Journals (Sweden)

    Frost H

    2012-02-01

    Full Text Available Abstract Background Biomedical ontologies have become an increasingly critical lens through which researchers analyze the genomic, clinical and bibliographic data that fuels scientific research. Of particular relevance are methods, such as enrichment analysis, that quantify the importance of ontology classes relative to a collection of domain data. Current analytical techniques, however, remain limited in their ability to handle many important types of structural complexity encountered in real biological systems including class overlaps, continuously valued data, inter-instance relationships, non-hierarchical relationships between classes, semantic distance and sparse data. Results In this paper, we describe a methodology called Markov Chain Ontology Analysis (MCOA and illustrate its use through a MCOA-based enrichment analysis application based on a generative model of gene activation. MCOA models the classes in an ontology, the instances from an associated dataset and all directional inter-class, class-to-instance and inter-instance relationships as a single finite ergodic Markov chain. The adjusted transition probability matrix for this Markov chain enables the calculation of eigenvector values that quantify the importance of each ontology class relative to other classes and the associated data set members. On both controlled Gene Ontology (GO data sets created with Escherichia coli, Drosophila melanogaster and Homo sapiens annotations and real gene expression data extracted from the Gene Expression Omnibus (GEO, the MCOA enrichment analysis approach provides the best performance of comparable state-of-the-art methods. Conclusion A methodology based on Markov chain models and network analytic metrics can help detect the relevant signal within large, highly interdependent and noisy data sets and, for applications such as enrichment analysis, has been shown to generate superior performance on both real and simulated data relative to existing

  12. Markov Chain Ontology Analysis (MCOA).

    Science.gov (United States)

    Frost, H Robert; McCray, Alexa T

    2012-02-03

    Biomedical ontologies have become an increasingly critical lens through which researchers analyze the genomic, clinical and bibliographic data that fuels scientific research. Of particular relevance are methods, such as enrichment analysis, that quantify the importance of ontology classes relative to a collection of domain data. Current analytical techniques, however, remain limited in their ability to handle many important types of structural complexity encountered in real biological systems including class overlaps, continuously valued data, inter-instance relationships, non-hierarchical relationships between classes, semantic distance and sparse data. In this paper, we describe a methodology called Markov Chain Ontology Analysis (MCOA) and illustrate its use through a MCOA-based enrichment analysis application based on a generative model of gene activation. MCOA models the classes in an ontology, the instances from an associated dataset and all directional inter-class, class-to-instance and inter-instance relationships as a single finite ergodic Markov chain. The adjusted transition probability matrix for this Markov chain enables the calculation of eigenvector values that quantify the importance of each ontology class relative to other classes and the associated data set members. On both controlled Gene Ontology (GO) data sets created with Escherichia coli, Drosophila melanogaster and Homo sapiens annotations and real gene expression data extracted from the Gene Expression Omnibus (GEO), the MCOA enrichment analysis approach provides the best performance of comparable state-of-the-art methods. A methodology based on Markov chain models and network analytic metrics can help detect the relevant signal within large, highly interdependent and noisy data sets and, for applications such as enrichment analysis, has been shown to generate superior performance on both real and simulated data relative to existing state-of-the-art approaches.

  13. The folding mechanism and key metastable state identification of the PrP127-147 monomer studied by molecular dynamics simulations and Markov state model analysis.

    Science.gov (United States)

    Zhou, Shuangyan; Wang, Qianqian; Wang, Yuwei; Yao, Xiaojun; Han, Wei; Liu, Huanxiang

    2017-05-10

    The structural transition of prion proteins from a native α-helix (PrP C ) to a misfolded β-sheet-rich conformation (PrP Sc ) is believed to be the main cause of a number of prion diseases in humans and animals. Understanding the molecular basis of misfolding and aggregation of prion proteins will be valuable for unveiling the etiology of prion diseases. However, due to the limitation of conventional experimental techniques and the heterogeneous property of oligomers, little is known about the molecular architecture of misfolded PrP Sc and the mechanism of structural transition from PrP C to PrP Sc . The prion fragment 127-147 (PrP127-147) has been reported to be a critical region for PrP Sc formation in Gerstmann-Straussler-Scheinker (GSS) syndrome and thus has been used as a model for the study of prion aggregation. In the present study, we employ molecular dynamics (MD) simulation techniques to study the conformational change of this fragment that could be relevant to the PrP C -PrP Sc transition. Employing extensive replica exchange molecular dynamics (REMD) and conventional MD simulations, we sample a huge number of conformations of PrP127-147. Using the Markov state model (MSM), we identify the metastable conformational states of this fragment and the kinetic network of transitions between the states. The resulting MSM reveals that disordered random-coiled conformations are the dominant structures. A key metastable folded state with typical extended β-sheet structures is identified with Pro137 being located in a turn region, consistent with a previous experimental report. Conformational analysis reveals that intrapeptide hydrophobic interaction and two key residue interactions, including Arg136-His140 and Pro137-His140, contribute a lot to the formation of ordered extended β-sheet states. However, network pathway analysis from the most populated disordered state indicates that the formation of extended β-sheet states is quite slow (at the millisecond

  14. Stencil method: a Markov model for transport in porous media

    Science.gov (United States)

    Delgoshaie, A. H.; Tchelepi, H.; Jenny, P.

    2016-12-01

    In porous media the transport of fluid is dominated by flow-field heterogeneity resulting from the underlying transmissibility field. Since the transmissibility is highly uncertain, many realizations of a geological model are used to describe the statistics of the transport phenomena in a Monte Carlo framework. One possible way to avoid the high computational cost of physics-based Monte Carlo simulations is to model the velocity field as a Markov process and use Markov Chain Monte Carlo. In previous works multiple Markov models for discrete velocity processes have been proposed. These models can be divided into two general classes of Markov models in time and Markov models in space. Both of these choices have been shown to be effective to some extent. However some studies have suggested that the Markov property cannot be confirmed for a temporal Markov process; Therefore there is not a consensus about the validity and value of Markov models in time. Moreover, previous spacial Markov models have only been used for modeling transport on structured networks and can not be readily applied to model transport in unstructured networks. In this work we propose a novel approach for constructing a Markov model in time (stencil method) for a discrete velocity process. The results form the stencil method are compared to previously proposed spacial Markov models for structured networks. The stencil method is also applied to unstructured networks and can successfully describe the dispersion of particles in this setting. Our conclusion is that both temporal Markov models and spacial Markov models for discrete velocity processes can be valid for a range of model parameters. Moreover, we show that the stencil model can be more efficient in many practical settings and is suited to model dispersion both on structured and unstructured networks.

  15. MACROECONOMIC FORECASTING USING BAYESIAN VECTOR AUTOREGRESSIVE APPROACH

    Directory of Open Access Journals (Sweden)

    D. Tutberidze

    2017-04-01

    Full Text Available There are many arguments that can be advanced to support the forecasting activities of business entities. The underlying argument in favor of forecasting is that managerial decisions are significantly dependent on proper evaluation of future trends as market conditions are constantly changing and require a detailed analysis of future dynamics. The article discusses the importance of using reasonable macro-econometric tool by suggesting the idea of conditional forecasting through a Vector Autoregressive (VAR modeling framework. Under this framework, a macroeconomic model for Georgian economy is constructed with the few variables believed to be shaping business environment. Based on the model, forecasts of macroeconomic variables are produced, and three types of scenarios are analyzed - a baseline and two alternative ones. The results of the study provide confirmatory evidence that suggested methodology is adequately addressing the research phenomenon and can be used widely by business entities in responding their strategic and operational planning challenges. Given this set-up, it is shown empirically that Bayesian Vector Autoregressive approach provides reasonable forecasts for the variables of interest.

  16. Markov Decision Process Measurement Model.

    Science.gov (United States)

    LaMar, Michelle M

    2018-03-01

    Within-task actions can provide additional information on student competencies but are challenging to model. This paper explores the potential of using a cognitive model for decision making, the Markov decision process, to provide a mapping between within-task actions and latent traits of interest. Psychometric properties of the model are explored, and simulation studies report on parameter recovery within the context of a simple strategy game. The model is then applied to empirical data from an educational game. Estimates from the model are found to correlate more strongly with posttest results than a partial-credit IRT model based on outcome data alone.

  17. Inverse modeling of cloud-aerosol interactions — Part 2: Sensitivity tests on liquid phase clouds using a Markov Chain Monte Carlo based simulation approach

    NARCIS (Netherlands)

    Partridge, D.G.; Vrugt, J.A.; Tunved, P.; Ekman, A.M.L.; Struthers, H.; Sorooshian, A.

    2012-01-01

    This paper presents a novel approach to investigate cloud-aerosol interactions by coupling a Markov Chain Monte Carlo (MCMC) algorithm to a pseudo-adiabatic cloud parcel model. Despite the number of numerical cloud-aerosol sensitivity studies previously conducted few have used statistical analysis

  18. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    optimized is based on penalized maximum-likelihood, with exponential forgetting of past observations. MSAR models are then employed for 1-step-ahead point forecasting of 10-minute resolution time-series of wind power at two large offshore wind farms. They are favourably compared against persistence and Auto......Wind power production data at temporal resolutions of a few minutes exhibits successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour......Regressive (AR) models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill....

  19. Kepler AutoRegressive Planet Search

    Science.gov (United States)

    Caceres, Gabriel Antonio; Feigelson, Eric

    2016-01-01

    The Kepler AutoRegressive Planet Search (KARPS) project uses statistical methodology associated with autoregressive (AR) processes to model Kepler lightcurves in order to improve exoplanet transit detection in systems with high stellar variability. We also introduce a planet-search algorithm to detect transits in time-series residuals after application of the AR models. One of the main obstacles in detecting faint planetary transits is the intrinsic stellar variability of the host star. The variability displayed by many stars may have autoregressive properties, wherein later flux values are correlated with previous ones in some manner. Our analysis procedure consisting of three steps: pre-processing of the data to remove discontinuities, gaps and outliers; AR-type model selection and fitting; and transit signal search of the residuals using a new Transit Comb Filter (TCF) that replaces traditional box-finding algorithms. The analysis procedures of the project are applied to a portion of the publicly available Kepler light curve data for the full 4-year mission duration. Tests of the methods have been made on a subset of Kepler Objects of Interest (KOI) systems, classified both as planetary `candidates' and `false positives' by the Kepler Team, as well as a random sample of unclassified systems. We find that the ARMA-type modeling successfully reduces the stellar variability, by a factor of 10 or more in active stars and by smaller factors in more quiescent stars. A typical quiescent Kepler star has an interquartile range (IQR) of ~10 e-/sec, which may improve slightly after modeling, while those with IQR ranging from 20 to 50 e-/sec, have improvements from 20% up to 70%. High activity stars (IQR exceeding 100) markedly improve. A periodogram based on the TCF is constructed to concentrate the signal of these periodic spikes. When a periodic transit is found, the model is displayed on a standard period-folded averaged light curve. Our findings to date on real

  20. vector bilinear autoregressive time series model and its superiority ...

    African Journals Online (AJOL)

    In this research, a vector bilinear autoregressive time series model was proposed and used to model three revenue series(. )t ... showed that vector bilinear autoregressive (BIVAR) models provide better estimates than the long embraced linear models. ... order moving average (MA) polynomials on backward shift operator B ...

  1. Modelling malaria incidence by an autoregressive distributed lag model with spatial component.

    Science.gov (United States)

    Laguna, Francisco; Grillet, María Eugenia; León, José R; Ludeña, Carenne

    2017-08-01

    The influence of climatic variables on the dynamics of human malaria has been widely highlighted. Also, it is known that this mosquito-borne infection varies in space and time. However, when the data is spatially incomplete most popular spatio-temporal methods of analysis cannot be applied directly. In this paper, we develop a two step methodology to model the spatio-temporal dependence of malaria incidence on local rainfall, temperature, and humidity as well as the regional sea surface temperatures (SST) in the northern coast of Venezuela. First, we fit an autoregressive distributed lag model (ARDL) to the weekly data, and then, we adjust a linear separable spacial vectorial autoregressive model (VAR) to the residuals of the ARDL. Finally, the model parameters are tuned using a Markov Chain Monte Carlo (MCMC) procedure derived from the Metropolis-Hastings algorithm. Our results show that the best model to account for the variations of malaria incidence from 2001 to 2008 in 10 endemic Municipalities in North-Eastern Venezuela is a logit model that included the accumulated local precipitation in combination with the local maximum temperature of the preceding month as positive regressors. Additionally, we show that although malaria dynamics is highly heterogeneous in space, a detailed analysis of the estimated spatial parameters in our model yield important insights regarding the joint behavior of the disease incidence across the different counties in our study. Copyright © 2017 Elsevier Ltd. All rights reserved.

  2. Model reduction methods for vector autoregressive processes

    CERN Document Server

    Brüggemann, Ralf

    2004-01-01

    1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo­ cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo­ sitions, have been developed over the years. The econometrics of VAR models and related quantities i...

  3. Markov bridges, bisection and variance reduction

    DEFF Research Database (Denmark)

    Asmussen, Søren; Hobolth, Asger

    Time-continuous Markov jump processes is a popular modelling tool in disciplines ranging from computational finance and operations research to human genetics and genomics. The data is often sampled at discrete points in time, and it can be useful to simulate sample paths between the datapoints....... In this paper we firstly consider the problem of generating sample paths from a continuous-time Markov chain conditioned on the endpoints using a new algorithm based on the idea of bisection. Secondly we study the potential of the bisection algorithm for variance reduction. In particular, examples are presented...

  4. Markov chains for testing redundant software

    Science.gov (United States)

    White, Allan L.; Sjogren, Jon A.

    1988-01-01

    A preliminary design for a validation experiment has been developed that addresses several problems unique to assuring the extremely high quality of multiple-version programs in process-control software. The procedure uses Markov chains to model the error states of the multiple version programs. The programs are observed during simulated process-control testing, and estimates are obtained for the transition probabilities between the states of the Markov chain. The experimental Markov chain model is then expanded into a reliability model that takes into account the inertia of the system being controlled. The reliability of the multiple version software is computed from this reliability model at a given confidence level using confidence intervals obtained for the transition probabilities during the experiment. An example demonstrating the method is provided.

  5. Stationary Markov Sets.

    Science.gov (United States)

    1986-04-01

    I, - H (2.10 ) 7.,’..,. . . . l- 0{o)/(ca+ Ii (1R)) = X(1- clil {O)/Ca1 + I 1 (iR+)) (2.11) In particular, when IT is an infinite measure...limits * of regenerative sets. Z. Wahrscheinlichkeitstheorie verw,. Gebiete 70, 157-173 (1985). 4. Hoffmann-j6rgensen, J.; Markov sets. Math . Scand. 24...1969). S . Krylov, N.V., Yushkevich, A.A.; Markov random sets. Trans. Mosc. Math . Soc. 13, 127-153 (1965). 6. M1aisonneuve, B, ; Ensembles

  6. The Bacterial Sequential Markov Coalescent.

    Science.gov (United States)

    De Maio, Nicola; Wilson, Daniel J

    2017-05-01

    Bacteria can exchange and acquire new genetic material from other organisms directly and via the environment. This process, known as bacterial recombination, has a strong impact on the evolution of bacteria, for example, leading to the spread of antibiotic resistance across clades and species, and to the avoidance of clonal interference. Recombination hinders phylogenetic and transmission inference because it creates patterns of substitutions (homoplasies) inconsistent with the hypothesis of a single evolutionary tree. Bacterial recombination is typically modeled as statistically akin to gene conversion in eukaryotes, i.e. , using the coalescent with gene conversion (CGC). However, this model can be very computationally demanding as it needs to account for the correlations of evolutionary histories of even distant loci. So, with the increasing popularity of whole genome sequencing, the need has emerged for a faster approach to model and simulate bacterial genome evolution. We present a new model that approximates the coalescent with gene conversion: the bacterial sequential Markov coalescent (BSMC). Our approach is based on a similar idea to the sequential Markov coalescent (SMC)-an approximation of the coalescent with crossover recombination. However, bacterial recombination poses hurdles to a sequential Markov approximation, as it leads to strong correlations and linkage disequilibrium across very distant sites in the genome. Our BSMC overcomes these difficulties, and shows a considerable reduction in computational demand compared to the exact CGC, and very similar patterns in simulated data. We implemented our BSMC model within new simulation software FastSimBac. In addition to the decreased computational demand compared to previous bacterial genome evolution simulators, FastSimBac provides more general options for evolutionary scenarios, allowing population structure with migration, speciation, population size changes, and recombination hotspots. FastSimBac is

  7. On Markov Chains and Filtrations

    OpenAIRE

    Spreij, Peter

    1997-01-01

    In this paper we rederive some well known results for continuous time Markov processes that live on a finite state space.Martingale techniques are used throughout the paper. Special attention is paid to the construction of a continuous timeMarkov process, when we start from a discrete time Markov chain. The Markov property here holds with respect tofiltrations that need not be minimal.

  8. Process Algebra and Markov Chains

    NARCIS (Netherlands)

    Brinksma, Hendrik; Hermanns, H.; Brinksma, Hendrik; Hermanns, H.; Katoen, Joost P.

    This paper surveys and relates the basic concepts of process algebra and the modelling of continuous time Markov chains. It provides basic introductions to both fields, where we also study the Markov chains from an algebraic perspective, viz. that of Markov chain algebra. We then proceed to study

  9. Quantum Markov Processes

    Science.gov (United States)

    Kümmerer, Burkhard

    These notes give an introduction to some aspects of quantum Markov processes. Quantum Markov processes come into play whenever a mathematical description of irreversible time behaviour of quantum systems is aimed at. Indeed, there is hardly a book on quantum optics without having at least a chapter on quantum Markov processes. However, it is not always easy to recognize the basic concepts of probability theory in families of creation and annihilation operators on Fock space. Therefore, in these lecture notes much emphasis is put on explaining the intuition behind the mathematical machinery of classical and quantum probability. The lectures start with describing how probabilistic intuition is cast into the mathematical language of classical probability (Sects. 4.1-4.3). Later on, we show how this formulation can be extended such as to incorporate the Hilbert space formulation of quantum mechanics (Sects. 4.4,4.5). Quantum Markov processes are constructed and discussed in Sects. 4.6,4.7, and we add some further discussions and examples in Sects. 4.8-4.11.

  10. Markov Chain Monte Carlo

    Indian Academy of Sciences (India)

    Home; Journals; Resonance – Journal of Science Education; Volume 7; Issue 3. Markov Chain Monte Carlo - Examples. Arnab Chakraborty. General Article Volume 7 Issue 3 March 2002 pp 25-34. Fulltext. Click here to view fulltext PDF. Permanent link: https://www.ias.ac.in/article/fulltext/reso/007/03/0025-0034. Keywords.

  11. Partially Hidden Markov Models

    DEFF Research Database (Denmark)

    Forchhammer, Søren Otto; Rissanen, Jorma

    1996-01-01

    Partially Hidden Markov Models (PHMM) are introduced. They differ from the ordinary HMM's in that both the transition probabilities of the hidden states and the output probabilities are conditioned on past observations. As an illustration they are applied to black and white image compression where...

  12. Autoregressive logistic regression applied to atmospheric circulation patterns

    Science.gov (United States)

    Guanche, Y.; Mínguez, R.; Méndez, F. J.

    2014-01-01

    Autoregressive logistic regression models have been successfully applied in medical and pharmacology research fields, and in simple models to analyze weather types. The main purpose of this paper is to introduce a general framework to study atmospheric circulation patterns capable of dealing simultaneously with: seasonality, interannual variability, long-term trends, and autocorrelation of different orders. To show its effectiveness on modeling performance, daily atmospheric circulation patterns identified from observed sea level pressure fields over the Northeastern Atlantic, have been analyzed using this framework. Model predictions are compared with probabilities from the historical database, showing very good fitting diagnostics. In addition, the fitted model is used to simulate the evolution over time of atmospheric circulation patterns using Monte Carlo method. Simulation results are statistically consistent with respect to the historical sequence in terms of (1) probability of occurrence of the different weather types, (2) transition probabilities and (3) persistence. The proposed model constitutes an easy-to-use and powerful tool for a better understanding of the climate system.

  13. Markov reward processes

    Science.gov (United States)

    Smith, R. M.

    1991-01-01

    Numerous applications in the area of computer system analysis can be effectively studied with Markov reward models. These models describe the behavior of the system with a continuous-time Markov chain, where a reward rate is associated with each state. In a reliability/availability model, upstates may have reward rate 1 and down states may have reward rate zero associated with them. In a queueing model, the number of jobs of certain type in a given state may be the reward rate attached to that state. In a combined model of performance and reliability, the reward rate of a state may be the computational capacity, or a related performance measure. Expected steady-state reward rate and expected instantaneous reward rate are clearly useful measures of the Markov reward model. More generally, the distribution of accumulated reward or time-averaged reward over a finite time interval may be determined from the solution of the Markov reward model. This information is of great practical significance in situations where the workload can be well characterized (deterministically, or by continuous functions e.g., distributions). The design process in the development of a computer system is an expensive and long term endeavor. For aerospace applications the reliability of the computer system is essential, as is the ability to complete critical workloads in a well defined real time interval. Consequently, effective modeling of such systems must take into account both performance and reliability. This fact motivates our use of Markov reward models to aid in the development and evaluation of fault tolerant computer systems.

  14. Incorporating teleconnection information into reservoir operating policies using Stochastic Dynamic Programming and a Hidden Markov Model

    Science.gov (United States)

    Turner, Sean; Galelli, Stefano; Wilcox, Karen

    2015-04-01

    Water reservoir systems are often affected by recurring large-scale ocean-atmospheric anomalies, known as teleconnections, that cause prolonged periods of climatological drought. Accurate forecasts of these events -- at lead times in the order of weeks and months -- may enable reservoir operators to take more effective release decisions to improve the performance of their systems. In practice this might mean a more reliable water supply system, a more profitable hydropower plant or a more sustainable environmental release policy. To this end, climate indices, which represent the oscillation of the ocean-atmospheric system, might be gainfully employed within reservoir operating models that adapt the reservoir operation as a function of the climate condition. This study develops a Stochastic Dynamic Programming (SDP) approach that can incorporate climate indices using a Hidden Markov Model. The model simulates the climatic regime as a hidden state following a Markov chain, with the state transitions driven by variation in climatic indices, such as the Southern Oscillation Index. Time series analysis of recorded streamflow data reveals the parameters of separate autoregressive models that describe the inflow to the reservoir under three representative climate states ("normal", "wet", "dry"). These models then define inflow transition probabilities for use in a classic SDP approach. The key advantage of the Hidden Markov Model is that it allows conditioning the operating policy not only on the reservoir storage and the antecedent inflow, but also on the climate condition, thus potentially allowing adaptability to a broader range of climate conditions. In practice, the reservoir operator would effect a water release tailored to a specific climate state based on available teleconnection data and forecasts. The approach is demonstrated on the operation of a realistic, stylised water reservoir with carry-over capacity in South-East Australia. Here teleconnections relating

  15. Cardiac arrhythmia classification using autoregressive modeling

    Directory of Open Access Journals (Sweden)

    Srinivasan Narayanan

    2002-11-01

    Full Text Available Abstract Background Computer-assisted arrhythmia recognition is critical for the management of cardiac disorders. Various techniques have been utilized to classify arrhythmias. Generally, these techniques classify two or three arrhythmias or have significantly large processing times. A simpler autoregressive modeling (AR technique is proposed to classify normal sinus rhythm (NSR and various cardiac arrhythmias including atrial premature contraction (APC, premature ventricular contraction (PVC, superventricular tachycardia (SVT, ventricular tachycardia (VT and ventricular fibrillation (VF. Methods AR Modeling was performed on ECG data from normal sinus rhythm as well as various arrhythmias. The AR coefficients were computed using Burg's algorithm. The AR coefficients were classified using a generalized linear model (GLM based algorithm in various stages. Results AR modeling results showed that an order of four was sufficient for modeling the ECG signals. The accuracy of detecting NSR, APC, PVC, SVT, VT and VF were 93.2% to 100% using the GLM based classification algorithm. Conclusion The results show that AR modeling is useful for the classification of cardiac arrhythmias, with reasonably high accuracies. Further validation of the proposed technique will yield acceptable results for clinical implementation.

  16. on the performance of Autoregressive Moving Average Polynomial

    African Journals Online (AJOL)

    Timothy Ademakinwa

    Using numerical example, DL, PDL, ARPDL and. ARMAPDL models were fitted. Autoregressive Moving Average Polynomial Distributed Lag Model. (ARMAPDL) model performed better than the other models. Keywords: Distributed Lag Model, Selection Criterion, Parameter Estimation, Residual Variance. ABSTRACT. 247.

  17. Estimation of Time Varying Autoregressive Symmetric Alpha Stable

    Data.gov (United States)

    National Aeronautics and Space Administration — In this work, we present a novel method for modeling time-varying autoregressive impulsive signals driven by symmetric alpha stable distributions. The proposed...

  18. Modeling non-Gaussian time-varying vector autoregressive process

    Data.gov (United States)

    National Aeronautics and Space Administration — We present a novel and general methodology for modeling time-varying vector autoregressive processes which are widely used in many areas such as modeling of chemical...

  19. Adaptive Autoregressive Model for Reduction of Noise in SPECT

    Directory of Open Access Journals (Sweden)

    Reijo Takalo

    2015-01-01

    Full Text Available This paper presents improved autoregressive modelling (AR to reduce noise in SPECT images. An AR filter was applied to prefilter projection images and postfilter ordered subset expectation maximisation (OSEM reconstruction images (AR-OSEM-AR method. The performance of this method was compared with filtered back projection (FBP preceded by Butterworth filtering (BW-FBP method and the OSEM reconstruction method followed by Butterworth filtering (OSEM-BW method. A mathematical cylinder phantom was used for the study. It consisted of hot and cold objects. The tests were performed using three simulated SPECT datasets. Image quality was assessed by means of the percentage contrast resolution (CR% and the full width at half maximum (FWHM of the line spread functions of the cylinders. The BW-FBP method showed the highest CR% values and the AR-OSEM-AR method gave the lowest CR% values for cold stacks. In the analysis of hot stacks, the BW-FBP method had higher CR% values than the OSEM-BW method. The BW-FBP method exhibited the lowest FWHM values for cold stacks and the AR-OSEM-AR method for hot stacks. In conclusion, the AR-OSEM-AR method is a feasible way to remove noise from SPECT images. It has good spatial resolution for hot objects.

  20. Approximate quantum Markov chains

    CERN Document Server

    Sutter, David

    2018-01-01

    This book is an introduction to quantum Markov chains and explains how this concept is connected to the question of how well a lost quantum mechanical system can be recovered from a correlated subsystem. To achieve this goal, we strengthen the data-processing inequality such that it reveals a statement about the reconstruction of lost information. The main difficulty in order to understand the behavior of quantum Markov chains arises from the fact that quantum mechanical operators do not commute in general. As a result we start by explaining two techniques of how to deal with non-commuting matrices: the spectral pinching method and complex interpolation theory. Once the reader is familiar with these techniques a novel inequality is presented that extends the celebrated Golden-Thompson inequality to arbitrarily many matrices. This inequality is the key ingredient in understanding approximate quantum Markov chains and it answers a question from matrix analysis that was open since 1973, i.e., if Lieb's triple ma...

  1. Robust filtering and prediction for systems with embedded finite-state Markov-Chain dynamics

    International Nuclear Information System (INIS)

    Pate, E.B.

    1986-01-01

    This research developed new methodologies for the design of robust near-optimal filters/predictors for a class of system models that exhibit embedded finite-state Markov-chain dynamics. These methodologies are developed through the concepts and methods of stochastic model building (including time-series analysis), game theory, decision theory, and filtering/prediction for linear dynamic systems. The methodology is based on the relationship between the robustness of a class of time-series models and quantization which is applied to the time series as part of the model identification process. This relationship is exploited by utilizing the concept of an equivalence, through invariance of spectra, between the class of Markov-chain models and the class of autoregressive moving average (ARMA) models. This spectral equivalence permits a straightforward implementation of the desirable robust properties of the Markov-chain approximation in a class of models which may be applied in linear-recursive form in a linear Kalman filter/predictor structure. The linear filter/predictor structure is shown to provide asymptotically optimal estimates of states which represent one or more integrations of the Markov-chain state. The development of a new saddle-point theorem for a game based on the Markov-chain model structure gives rise to a technique for determining a worst case Markov-chain process, upon which a robust filter/predictor design if based

  2. Temperature scaling method for Markov chains.

    Science.gov (United States)

    Crosby, Lonnie D; Windus, Theresa L

    2009-01-22

    The use of ab initio potentials in Monte Carlo simulations aimed at investigating the nucleation kinetics of water clusters is complicated by the computational expense of the potential energy determinations. Furthermore, the common desire to investigate the temperature dependence of kinetic properties leads to an urgent need to reduce the expense of performing simulations at many different temperatures. A method is detailed that allows a Markov chain (obtained via Monte Carlo) at one temperature to be scaled to other temperatures of interest without the need to perform additional large simulations. This Markov chain temperature-scaling (TeS) can be generally applied to simulations geared for numerous applications. This paper shows the quality of results which can be obtained by TeS and the possible quantities which may be extracted from scaled Markov chains. Results are obtained for a 1-D analytical potential for which the exact solutions are known. Also, this method is applied to water clusters consisting of between 2 and 5 monomers, using Dynamical Nucleation Theory to determine the evaporation rate constant for monomer loss. Although ab initio potentials are not utilized in this paper, the benefit of this method is made apparent by using the Dang-Chang polarizable classical potential for water to obtain statistical properties at various temperatures.

  3. A relation between non-Markov and Markov processes

    International Nuclear Information System (INIS)

    Hara, H.

    1980-01-01

    With the aid of a transformation technique, it is shown that some memory effects in the non-Markov processes can be eliminated. In other words, some non-Markov processes are rewritten in a form obtained by the random walk process; the Markov process. To this end, two model processes which have some memory or correlation in the random walk process are introduced. An explanation of the memory in the processes is given. (orig.)

  4. Markov or not Markov - this should be a question

    OpenAIRE

    Bode, Eckhardt; Bickenbach, Frank

    2002-01-01

    Although it is well known that Markov process theory, frequently applied in the literature on income convergence, imposes some very restrictive assumptions upon the data generating process, these assumptions have generally been taken for granted so far. The present paper proposes, resp. recalls chi-square tests of the Markov property, of spatial independence, and of homogeneity across time and space to assess the reliability of estimated Markov transition matrices. As an illustration we show ...

  5. A Bayesian localized conditional autoregressive model for estimating the health effects of air pollution.

    Science.gov (United States)

    Lee, Duncan; Rushworth, Alastair; Sahu, Sujit K

    2014-06-01

    Estimation of the long-term health effects of air pollution is a challenging task, especially when modeling spatial small-area disease incidence data in an ecological study design. The challenge comes from the unobserved underlying spatial autocorrelation structure in these data, which is accounted for using random effects modeled by a globally smooth conditional autoregressive model. These smooth random effects confound the effects of air pollution, which are also globally smooth. To avoid this collinearity a Bayesian localized conditional autoregressive model is developed for the random effects. This localized model is flexible spatially, in the sense that it is not only able to model areas of spatial smoothness, but also it is able to capture step changes in the random effects surface. This methodological development allows us to improve the estimation performance of the covariate effects, compared to using traditional conditional auto-regressive models. These results are established using a simulation study, and are then illustrated with our motivating study on air pollution and respiratory ill health in Greater Glasgow, Scotland in 2011. The model shows substantial health effects of particulate matter air pollution and nitrogen dioxide, whose effects have been consistently attenuated by the currently available globally smooth models. © 2014, The Authors Biometrics published by Wiley Periodicals, Inc. on behalf of International Biometric Society.

  6. Markov Chains For Testing Redundant Software

    Science.gov (United States)

    White, Allan L.; Sjogren, Jon A.

    1990-01-01

    Preliminary design developed for validation experiment that addresses problems unique to assuring extremely high quality of multiple-version programs in process-control software. Approach takes into account inertia of controlled system in sense it takes more than one failure of control program to cause controlled system to fail. Verification procedure consists of two steps: experimentation (numerical simulation) and computation, with Markov model for each step.

  7. Operational Markov Condition for Quantum Processes

    Science.gov (United States)

    Pollock, Felix A.; Rodríguez-Rosario, César; Frauenheim, Thomas; Paternostro, Mauro; Modi, Kavan

    2018-01-01

    We derive a necessary and sufficient condition for a quantum process to be Markovian which coincides with the classical one in the relevant limit. Our condition unifies all previously known definitions for quantum Markov processes by accounting for all potentially detectable memory effects. We then derive a family of measures of non-Markovianity with clear operational interpretations, such as the size of the memory required to simulate a process or the experimental falsifiability of a Markovian hypothesis.

  8. Bayesian Posterior Distributions Without Markov Chains

    OpenAIRE

    Cole, Stephen R.; Chu, Haitao; Greenland, Sander; Hamra, Ghassan; Richardson, David B.

    2012-01-01

    Bayesian posterior parameter distributions are often simulated using Markov chain Monte Carlo (MCMC) methods. However, MCMC methods are not always necessary and do not help the uninitiated understand Bayesian inference. As a bridge to understanding Bayesian inference, the authors illustrate a transparent rejection sampling method. In example 1, they illustrate rejection sampling using 36 cases and 198 controls from a case-control study (1976–1983) assessing the relation between residential ex...

  9. Ligand induced change of β2 adrenergic receptor from active to inactive conformation and its implication for the closed/open state of the water channel: insight from molecular dynamics simulation, free energy calculation and Markov state model analysis.

    Science.gov (United States)

    Bai, Qifeng; Pérez-Sánchez, Horacio; Zhang, Yang; Shao, Yonghua; Shi, Danfeng; Liu, Huanxiang; Yao, Xiaojun

    2014-08-14

    The reported crystal structures of β2 adrenergic receptor (β2AR) reveal that the open and closed states of the water channel are correlated with the inactive and active conformations of β2AR. However, more details about the process by which the water channel states are affected by the active to inactive conformational change of β2AR remain illusive. In this work, molecular dynamics simulations are performed to study the dynamical inactive and active conformational change of β2AR induced by inverse agonist ICI 118,551. Markov state model analysis and free energy calculation are employed to explore the open and close states of the water channel. The simulation results show that inverse agonist ICI 118,551 can induce water channel opening during the conformational transition of β2AR. Markov state model (MSM) analysis proves that the energy contour can be divided into seven states. States S1, S2 and S5, which represent the active conformation of β2AR, show that the water channel is in the closed state, while states S4 and S6, which correspond to the intermediate state conformation of β2AR, indicate the water channel opens gradually. State S7, which represents the inactive structure of β2AR, corresponds to the full open state of the water channel. The opening mechanism of the water channel is involved in the ligand-induced conformational change of β2AR. These results can provide useful information for understanding the opening mechanism of the water channel and will be useful for the rational design of potent inverse agonists of β2AR.

  10. Markov Chain Monte Carlo Methods

    Indian Academy of Sciences (India)

    Keywords. Markov chain; state space; stationary transition probability; stationary distribution; irreducibility; aperiodicity; stationarity; M-H algorithm; proposal distribution; acceptance probability; image processing; Gibbs sampler.

  11. Musical Markov Chains

    Science.gov (United States)

    Volchenkov, Dima; Dawin, Jean René

    A system for using dice to compose music randomly is known as the musical dice game. The discrete time MIDI models of 804 pieces of classical music written by 29 composers have been encoded into the transition matrices and studied by Markov chains. Contrary to human languages, entropy dominates over redundancy, in the musical dice games based on the compositions of classical music. The maximum complexity is achieved on the blocks consisting of just a few notes (8 notes, for the musical dice games generated over Bach's compositions). First passage times to notes can be used to resolve tonality and feature a composer.

  12. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

    DEFF Research Database (Denmark)

    Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger

    We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to highf......We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply...

  13. A complex autoregressive model and application to monthly temperature forecasts

    Directory of Open Access Journals (Sweden)

    X. Gu

    2005-11-01

    Full Text Available A complex autoregressive model was established based on the mathematic derivation of the least squares for the complex number domain which is referred to as the complex least squares. The model is different from the conventional way that the real number and the imaginary number are separately calculated. An application of this new model shows a better forecast than forecasts from other conventional statistical models, in predicting monthly temperature anomalies in July at 160 meteorological stations in mainland China. The conventional statistical models include an autoregressive model, where the real number and the imaginary number are separately disposed, an autoregressive model in the real number domain, and a persistence-forecast model.

  14. Markov Chain Monte Carlo Methods

    Indian Academy of Sciences (India)

    time Technical Consultant to. Systat Software Asia-Pacific. (P) Ltd., in Bangalore, where the technical work for the development of the statistical software Systat takes place. His research interests have been in statistical pattern recognition and biostatistics. Keywords. Markov chain, Monte Carlo sampling, Markov chain Monte.

  15. YMCA: Why Markov Chain Algebra?

    NARCIS (Netherlands)

    Bravetti, Mario; Hermanns, H.; Katoen, Joost P.; Aceto, L.; Gordon, A.

    2006-01-01

    Markov chains are widely used to determine system performance and reliability characteristics. The vast majority of applications considers continuous-time Markov chains (CTMCs). This note motivates how concurrency theory can be extended (as opposed to twisted) to CTMCs. We provide the core

  16. Nonlinear Markov processes: Deterministic case

    International Nuclear Information System (INIS)

    Frank, T.D.

    2008-01-01

    Deterministic Markov processes that exhibit nonlinear transition mechanisms for probability densities are studied. In this context, the following issues are addressed: Markov property, conditional probability densities, propagation of probability densities, multistability in terms of multiple stationary distributions, stability analysis of stationary distributions, and basin of attraction of stationary distribution

  17. Markov Chain Monte Carlo Methods

    Indian Academy of Sciences (India)

    Markov Chain Monte Carlo Methods. 2. The Markov Chain Case. K B Athreya, Mohan Delampady and T Krishnan. K B Athreya is a Professor at. Cornell University. His research interests include mathematical analysis, probability theory and its application and statistics. He enjoys writing for Resonance. His spare time is ...

  18. Markov Chain Monte Carlo Methods

    Indian Academy of Sciences (India)

    ter of the 20th century, due to rapid developments in computing technology ... early part of this development saw a host of Monte ... These iterative. Monte Carlo procedures typically generate a random se- quence with the Markov property such that the Markov chain is ergodic with a limiting distribution coinciding with the ...

  19. Markov Random Field Surface Reconstruction

    DEFF Research Database (Denmark)

    Paulsen, Rasmus Reinhold; Bærentzen, Jakob Andreas; Larsen, Rasmus

    2010-01-01

    A method for implicit surface reconstruction is proposed. The novelty in this paper is the adaption of Markov Random Field regularization of a distance field. The Markov Random Field formulation allows us to integrate both knowledge about the type of surface we wish to reconstruct (the prior) and...

  20. Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes

    Directory of Open Access Journals (Sweden)

    W. Wang

    2005-01-01

    Full Text Available Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average models for seasonal streamflow series. However, with McLeod-Li test and Engle's Lagrange Multiplier test, clear evidences are found for the existence of autoregressive conditional heteroskedasticity (i.e. the ARCH (AutoRegressive Conditional Heteroskedasticity effect, a nonlinear phenomenon of the variance behaviour, in the residual series from linear models fitted to daily and monthly streamflow processes of the upper Yellow River, China. It is shown that the major cause of the ARCH effect is the seasonal variation in variance of the residual series. However, while the seasonal variation in variance can fully explain the ARCH effect for monthly streamflow, it is only a partial explanation for daily flow. It is also shown that while the periodic autoregressive moving average model is adequate in modelling monthly flows, no model is adequate in modelling daily streamflow processes because none of the conventional time series models takes the seasonal variation in variance, as well as the ARCH effect in the residuals, into account. Therefore, an ARMA-GARCH (Generalized AutoRegressive Conditional Heteroskedasticity error model is proposed to capture the ARCH effect present in daily streamflow series, as well as to preserve seasonal variation in variance in the residuals. The ARMA-GARCH error model combines an ARMA model for modelling the mean behaviour and a GARCH model for modelling the variance behaviour of the residuals from the ARMA model. Since the GARCH model is not followed widely in statistical hydrology, the work can be a useful addition in terms of statistical modelling of daily streamflow processes for the hydrological community.

  1. Adaptive Markov Chain Monte Carlo

    KAUST Repository

    Jadoon, Khan

    2016-08-08

    A substantial interpretation of electromagnetic induction (EMI) measurements requires quantifying optimal model parameters and uncertainty of a nonlinear inverse problem. For this purpose, an adaptive Bayesian Markov chain Monte Carlo (MCMC) algorithm is used to assess multi-orientation and multi-offset EMI measurements in an agriculture field with non-saline and saline soil. In the MCMC simulations, posterior distribution was computed using Bayes rule. The electromagnetic forward model based on the full solution of Maxwell\\'s equations was used to simulate the apparent electrical conductivity measured with the configurations of EMI instrument, the CMD mini-Explorer. The model parameters and uncertainty for the three-layered earth model are investigated by using synthetic data. Our results show that in the scenario of non-saline soil, the parameters of layer thickness are not well estimated as compared to layers electrical conductivity because layer thicknesses in the model exhibits a low sensitivity to the EMI measurements, and is hence difficult to resolve. Application of the proposed MCMC based inversion to the field measurements in a drip irrigation system demonstrate that the parameters of the model can be well estimated for the saline soil as compared to the non-saline soil, and provide useful insight about parameter uncertainty for the assessment of the model outputs.

  2. An interlacing theorem for reversible Markov chains

    International Nuclear Information System (INIS)

    Grone, Robert; Salamon, Peter; Hoffmann, Karl Heinz

    2008-01-01

    Reversible Markov chains are an indispensable tool in the modeling of a vast class of physical, chemical, biological and statistical problems. Examples include the master equation descriptions of relaxing physical systems, stochastic optimization algorithms such as simulated annealing, chemical dynamics of protein folding and Markov chain Monte Carlo statistical estimation. Very often the large size of the state spaces requires the coarse graining or lumping of microstates into fewer mesoscopic states, and a question of utmost importance for the validity of the physical model is how the eigenvalues of the corresponding stochastic matrix change under this operation. In this paper we prove an interlacing theorem which gives explicit bounds on the eigenvalues of the lumped stochastic matrix. (fast track communication)

  3. Multilevel Autoregressive Mediation Models: Specification, Estimation, and Applications.

    Science.gov (United States)

    Zhang, Qian; Wang, Lijuan; Bergeman, C S

    2017-11-27

    In the current study, extending from the cross-lagged panel models (CLPMs) in Cole and Maxwell (2003), we proposed the multilevel autoregressive mediation models (MAMMs) by allowing the coefficients to differ across individuals. In addition, Level-2 covariates can be included to explain the interindividual differences of mediation effects. Given the complexity of the proposed models, Bayesian estimation was used. Both a CLPM and an unconditional MAMM were fitted to daily diary data. The 2 models yielded different statistical conclusions regarding the average mediation effect. A simulation study was conducted to examine the estimation accuracy of Bayesian estimation for MAMMs and consequences of model mis-specifications. Factors considered included the sample size (N), number of time points (T), fixed indirect and direct effect sizes, and Level-2 variances and covariances. Results indicated that the fixed effect estimates for the indirect effect components (a and b) and the fixed effects of Level-2 covariates were accurate when N ≥ 50 and T ≥ 5. For estimating Level-2 variances and covariances, they were accurate provided a sufficiently large N and T (e.g., N ≥ 500 and T ≥ 50). Estimates of the average mediation effect were generally accurate when N ≥ 100 and T ≥ 10, or N ≥ 50 and T ≥ 20. Furthermore, we found that when Level-2 variances were zero, MAMMs yielded valid inferences about the fixed effects, whereas when random effects existed, CLPMs had low coverage rates for fixed effects. DIC can be used for model selection. Limitations and future directions were discussed. (PsycINFO Database Record (c) 2017 APA, all rights reserved).

  4. Flux through a Markov chain

    International Nuclear Information System (INIS)

    Floriani, Elena; Lima, Ricardo; Ourrad, Ouerdia; Spinelli, Lionel

    2016-01-01

    Highlights: • The flux through a Markov chain of a conserved quantity (mass) is studied. • Mass is supplied by an external source and ends in the absorbing states of the chain. • Meaningful for modeling open systems whose dynamics has a Markov property. • The analytical expression of mass distribution is given for a constant source. • The expression of mass distribution is given for periodic or random sources. - Abstract: In this paper we study the flux through a finite Markov chain of a quantity, that we will call mass, which moves through the states of the chain according to the Markov transition probabilities. Mass is supplied by an external source and accumulates in the absorbing states of the chain. We believe that studying how this conserved quantity evolves through the transient (non-absorbing) states of the chain could be useful for the modelization of open systems whose dynamics has a Markov property.

  5. Application of autoregressive moving average model in reactor noise analysis

    International Nuclear Information System (INIS)

    Tran Dinh Tri

    1993-01-01

    The application of an autoregressive (AR) model to estimating noise measurements has achieved many successes in reactor noise analysis in the last ten years. The physical processes that take place in the nuclear reactor, however, are described by an autoregressive moving average (ARMA) model rather than by an AR model. Consequently more correct results could be obtained by applying the ARMA model instead of the AR model to reactor noise analysis. In this paper the system of the generalised Yule-Walker equations is derived from the equation of an ARMA model, then a method for its solution is given. Numerical results show the applications of the method proposed. (author)

  6. Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity

    Directory of Open Access Journals (Sweden)

    Isao Ishida

    2015-01-01

    Full Text Available We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor’s 500 (S&P 500 and several other indices, we obtained good performance using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear heterogeneous autoregressive and other models of realized volatility.

  7. A comparison of two least-squared random coefficient autoregressive models: with and without autocorrelated errors

    OpenAIRE

    Autcha Araveeporn

    2013-01-01

    This paper compares a Least-Squared Random Coefficient Autoregressive (RCA) model with a Least-Squared RCA model based on Autocorrelated Errors (RCA-AR). We looked at only the first order models, denoted RCA(1) and RCA(1)-AR(1). The efficiency of the Least-Squared method was checked by applying the models to Brownian motion and Wiener process, and the efficiency followed closely the asymptotic properties of a normal distribution. In a simulation study, we compared the performance of RCA(1) an...

  8. Non-Gaussian Autoregressive Processes with Tukey g-and-h Transformations

    KAUST Repository

    Yan, Yuan

    2017-11-20

    When performing a time series analysis of continuous data, for example from climate or environmental problems, the assumption that the process is Gaussian is often violated. Therefore, we introduce two non-Gaussian autoregressive time series models that are able to fit skewed and heavy-tailed time series data. Our two models are based on the Tukey g-and-h transformation. We discuss parameter estimation, order selection, and forecasting procedures for our models and examine their performances in a simulation study. We demonstrate the usefulness of our models by applying them to two sets of wind speed data.

  9. Rate estimation in partially observed Markov jump processes with measurement errors

    OpenAIRE

    Amrein, Michael; Kuensch, Hans R.

    2010-01-01

    We present a simulation methodology for Bayesian estimation of rate parameters in Markov jump processes arising for example in stochastic kinetic models. To handle the problem of missing components and measurement errors in observed data, we embed the Markov jump process into the framework of a general state space model. We do not use diffusion approximations. Markov chain Monte Carlo and particle filter type algorithms are introduced, which allow sampling from the posterior distribution of t...

  10. Tornadoes and related damage costs: statistical modeling with a semi-Markov approach

    OpenAIRE

    Corini, Chiara; D'Amico, Guglielmo; Petroni, Filippo; Prattico, Flavio; Manca, Raimondo

    2015-01-01

    We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita scale divides tornadoes intensity into six states, it is possible to model the tornadoes intensity by using Markov and semi-Markov models. We demonstrate that the semi-Markov approach is able to reprod...

  11. Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets.

    Science.gov (United States)

    Lu, Fengbin; Qiao, Han; Wang, Shouyang; Lai, Kin Keung; Li, Yuze

    2017-01-01

    This paper proposes a new time-varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation models (e.g. dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (GARCH) models, Markov-switching GARCH models and multivariate stochastic volatility models), which indicates that it can describe many types of time-varying causal effects. Time-varying causal relations between West Texas Intermediate (WTI) crude oil and the US Standard and Poor's 500 (S&P 500) stock markets are examined by the proposed model. The empirical results show that their causal relations evolve with time and display complex characters. Both positive and negative causal effects of the WTI on the S&P 500 in the subperiods have been found and confirmed by the traditional VAR models. Similar results have been obtained in the causal effects of S&P 500 on WTI. In addition, the proposed model outperforms the traditional VAR model. Copyright © 2016 Elsevier Ltd. All rights reserved.

  12. On The Value at Risk Using Bayesian Mixture Laplace Autoregressive Approach for Modelling the Islamic Stock Risk Investment

    Science.gov (United States)

    Miftahurrohmah, Brina; Iriawan, Nur; Fithriasari, Kartika

    2017-06-01

    Stocks are known as the financial instruments traded in the capital market which have a high level of risk. Their risks are indicated by their uncertainty of their return which have to be accepted by investors in the future. The higher the risk to be faced, the higher the return would be gained. Therefore, the measurements need to be made against the risk. Value at Risk (VaR) as the most popular risk measurement method, is frequently ignore when the pattern of return is not uni-modal Normal. The calculation of the risks using VaR method with the Normal Mixture Autoregressive (MNAR) approach has been considered. This paper proposes VaR method couple with the Mixture Laplace Autoregressive (MLAR) that would be implemented for analysing the first three biggest capitalization Islamic stock return in JII, namely PT. Astra International Tbk (ASII), PT. Telekomunikasi Indonesia Tbk (TLMK), and PT. Unilever Indonesia Tbk (UNVR). Parameter estimation is performed by employing Bayesian Markov Chain Monte Carlo (MCMC) approaches.

  13. Testing exact rational expectations in cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    Johansen, Søren; Swensen, Anders Rygh

    1999-01-01

    This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization...

  14. Robust bayesian analysis of an autoregressive model with ...

    African Journals Online (AJOL)

    In this work, robust Bayesian analysis of the Bayesian estimation of an autoregressive model with exponential innovations is performed. Using a Bayesian robustness methodology, we show that, using a suitable generalized quadratic loss, we obtain optimal Bayesian estimators of the parameters corresponding to the ...

  15. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

    DEFF Research Database (Denmark)

    Agosto, Arianna; Cavaliere, Guiseppe; Kristensen, Dennis

    We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn used...

  16. Vector bilinear autoregressive time series model and its superiority ...

    African Journals Online (AJOL)

    In this research, a vector bilinear autoregressive time series model was proposed and used to model three revenue series (X1, X2, X3) . The “orders” of the three series were identified on the basis of the distribution of autocorrelation and partial autocorrelation functions and were used to construct the vector bilinear models.

  17. Estimation of pure autoregressive vector models for revenue series ...

    African Journals Online (AJOL)

    This paper aims at applying multivariate approach to Box and Jenkins univariate time series modeling to three vector series. General Autoregressive Vector Models with time varying coefficients are estimated. The first vector is a response vector, while others are predictor vectors. By matrix expansion each vector, whether ...

  18. Exploration vs Exploitation with Partially Observable Gaussian Autoregressive Arms

    NARCIS (Netherlands)

    Kuhn, J.; Mandjes, M.; Nazarathy, Y.

    2015-01-01

    We consider a restless bandit problem with Gaussian autoregressive arms, where the state of an arm is only observed when it is played and the state-dependent reward is collected. Since arms are only partially observable, a good decision policy needs to account for the fact that information about the

  19. CICAAR - Convolutive ICA with an Auto-Regressive Inverse Model

    DEFF Research Database (Denmark)

    Dyrholm, Mads; Hansen, Lars Kai

    2004-01-01

    We invoke an auto-regressive IIR inverse model for convolutive ICA and derive expressions for the likelihood and its gradient. We argue that optimization will give a stable inverse. When there are more sensors than sources the mixing model parameters are estimated in a second step by least squares...

  20. A General Representation Theorem for Integrated Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid...

  1. The cointegrated vector autoregressive model with general deterministic terms

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)= Z(t) + Y(t), where Z(t) belongs to a large class...

  2. A note on intrinsic Conditional Autoregressive models for disconnected graphs

    KAUST Repository

    Freni-Sterrantino, Anna

    2017-05-13

    In this note we discuss (Gaussian) intrinsic conditional autoregressive (CAR) models for disconnected graphs, with the aim of providing practical guidelines for how these models should be defined, scaled and implemented. We show how these suggestions can be implemented in two examples on disease mapping.

  3. Automating Vector Autoregression on Electronic Patient Diary Data

    NARCIS (Netherlands)

    Emerencia, Ando Celino; van der Krieke, Lian; Bos, Elisabeth H.; de Jonge, Peter; Petkov, Nicolai; Aiello, Marco

    Finding the best vector autoregression model for any dataset, medical or otherwise, is a process that, to this day, is frequently performed manually in an iterative manner requiring a statistical expertize and time. Very few software solutions for automating this process exist, and they still

  4. Markov chains theory and applications

    CERN Document Server

    Sericola, Bruno

    2013-01-01

    Markov chains are a fundamental class of stochastic processes. They are widely used to solve problems in a large number of domains such as operational research, computer science, communication networks and manufacturing systems. The success of Markov chains is mainly due to their simplicity of use, the large number of available theoretical results and the quality of algorithms developed for the numerical evaluation of many metrics of interest.The author presents the theory of both discrete-time and continuous-time homogeneous Markov chains. He carefully examines the explosion phenomenon, the

  5. Regeneration and general Markov chains

    Directory of Open Access Journals (Sweden)

    Vladimir V. Kalashnikov

    1994-01-01

    Full Text Available Ergodicity, continuity, finite approximations and rare visits of general Markov chains are investigated. The obtained results permit further quantitative analysis of characteristics, such as, rates of convergence, continuity (measured as a distance between perturbed and non-perturbed characteristics, deviations between Markov chains, accuracy of approximations and bounds on the distribution function of the first visit time to a chosen subset, etc. The underlying techniques use the embedding of the general Markov chain into a wide sense regenerative process with the help of splitting construction.

  6. Quadratic Variation by Markov Chains

    DEFF Research Database (Denmark)

    Hansen, Peter Reinhard; Horel, Guillaume

    We introduce a novel estimator of the quadratic variation that is based on the the- ory of Markov chains. The estimator is motivated by some general results concerning filtering contaminated semimartingales. Specifically, we show that filtering can in prin- ciple remove the effects of market...... microstructure noise in a general framework where little is assumed about the noise. For the practical implementation, we adopt the dis- crete Markov chain model that is well suited for the analysis of financial high-frequency prices. The Markov chain framework facilitates simple expressions and elegant analyti...

  7. Modeling nonhomogeneous Markov processes via time transformation.

    Science.gov (United States)

    Hubbard, R A; Inoue, L Y T; Fann, J R

    2008-09-01

    Longitudinal studies are a powerful tool for characterizing the course of chronic disease. These studies are usually carried out with subjects observed at periodic visits giving rise to panel data. Under this observation scheme the exact times of disease state transitions and sequence of disease states visited are unknown and Markov process models are often used to describe disease progression. Most applications of Markov process models rely on the assumption of time homogeneity, that is, that the transition rates are constant over time. This assumption is not satisfied when transition rates depend on time from the process origin. However, limited statistical tools are available for dealing with nonhomogeneity. We propose models in which the time scale of a nonhomogeneous Markov process is transformed to an operational time scale on which the process is homogeneous. We develop a method for jointly estimating the time transformation and the transition intensity matrix for the time transformed homogeneous process. We assess maximum likelihood estimation using the Fisher scoring algorithm via simulation studies and compare performance of our method to homogeneous and piecewise homogeneous models. We apply our methodology to a study of delirium progression in a cohort of stem cell transplantation recipients and show that our method identifies temporal trends in delirium incidence and recovery.

  8. Markov properties of solar granulation

    Science.gov (United States)

    Asensio Ramos, A.

    2009-01-01

    Aims: We estimate the minimum length on which solar granulation can be considered to be a Markovian process. Methods: We measure the variation in the bright difference between two pixels in images of the solar granulation for different distances between the pixels. This scale-dependent data is empirically analyzed to find the minimum scale on which the process can be considered Markovian. Results: The results suggest that the solar granulation can be considered to be a Markovian process on scales longer than r_M=300-500 km. On longer length scales, solar images can be considered to be a Markovian stochastic process that consists of structures of size r_M. Smaller structures exhibit correlations on many scales simultaneously yet cannot be described by a hierarchical cascade in scales. An analysis of the longitudinal magnetic-flux density indicates that it cannot be a Markov process on any scale. Conclusions: The results presented in this paper constitute a stringent test for the realism of numerical magneto-hydrodynamical simulations of solar magneto-convection. In future exhaustive analyse, the non-Markovian properties of the magnetic flux density on all analyzed scales might help us to understand the physical mechanism generating the field that we detect in the solar surface.

  9. Stable Parameter Estimation for Autoregressive Equations with Random Coefficients

    Directory of Open Access Journals (Sweden)

    V. B. Goryainov

    2014-01-01

    Full Text Available In recent yearsthere has been a growing interest in non-linear time series models. They are more flexible than traditional linear models and allow more adequate description of real data. Among these models a autoregressive model with random coefficients plays an important role. It is widely used in various fields of science and technology, for example, in physics, biology, economics and finance. The model parameters are the mean values of autoregressive coefficients. Their evaluation is the main task of model identification. The basic method of estimation is still the least squares method, which gives good results for Gaussian time series, but it is quite sensitive to even small disturbancesin the assumption of Gaussian observations. In this paper we propose estimates, which generalize the least squares estimate in the sense that the quadratic objective function is replaced by an arbitrary convex and even function. Reasonable choice of objective function allows you to keep the benefits of the least squares estimate and eliminate its shortcomings. In particular, you can make it so that they will be almost as effective as the least squares estimate in the Gaussian case, but almost never loose in accuracy with small deviations of the probability distribution of the observations from the Gaussian distribution.The main result is the proof of consistency and asymptotic normality of the proposed estimates in the particular case of the one-parameter model describing the stationary process with finite variance. Another important result is the finding of the asymptotic relative efficiency of the proposed estimates in relation to the least squares estimate. This allows you to compare the two estimates, depending on the probability distribution of innovation process and of autoregressive coefficients. The results can be used to identify an autoregressive process, especially with nonGaussian nature, and/or of autoregressive processes observed with gross

  10. Semi-Markov graph dynamics.

    Directory of Open Access Journals (Sweden)

    Marco Raberto

    Full Text Available In this paper, we outline a model of graph (or network dynamics based on two ingredients. The first ingredient is a Markov chain on the space of possible graphs. The second ingredient is a semi-Markov counting process of renewal type. The model consists in subordinating the Markov chain to the semi-Markov counting process. In simple words, this means that the chain transitions occur at random time instants called epochs. The model is quite rich and its possible connections with algebraic geometry are briefly discussed. Moreover, for the sake of simplicity, we focus on the space of undirected graphs with a fixed number of nodes. However, in an example, we present an interbank market model where it is meaningful to use directed graphs or even weighted graphs.

  11. Reviving Markov processes and applications

    International Nuclear Information System (INIS)

    Cai, H.

    1988-01-01

    In this dissertation we study a procedure which restarts a Markov process when the process is killed by some arbitrary multiplicative functional. The regenerative nature of this revival procedure is characterized through a Markov renewal equation. An interesting duality between the revival procedure and the classical killing operation is found. Under the condition that the multiplicative functional possesses an intensity, the generators of the revival process can be written down explicitly. An intimate connection is also found between the perturbation of the sample path of a Markov process and the perturbation of a generator (in Kato's sense). The applications of the theory include the study of the processes like piecewise-deterministic Markov process, virtual waiting time process and the first entrance decomposition (taboo probability)

  12. Bibliometric Application of Markov Chains.

    Science.gov (United States)

    Pao, Miranda Lee; McCreery, Laurie

    1986-01-01

    A rudimentary description of Markov Chains is presented in order to introduce its use to describe and to predict authors' movements among subareas of the discipline of ethnomusicology. Other possible applications are suggested. (Author)

  13. Entropy: The Markov Ordering Approach

    Directory of Open Access Journals (Sweden)

    Alexander N. Gorban

    2010-05-01

    Full Text Available The focus of this article is on entropy and Markov processes. We study the properties of functionals which are invariant with respect to monotonic transformations and analyze two invariant “additivity” properties: (i existence of a monotonic transformation which makes the functional additive with respect to the joining of independent systems and (ii existence of a monotonic transformation which makes the functional additive with respect to the partitioning of the space of states. All Lyapunov functionals for Markov chains which have properties (i and (ii are derived. We describe the most general ordering of the distribution space, with respect to which all continuous-time Markov processes are monotonic (the Markov order. The solution differs significantly from the ordering given by the inequality of entropy growth. For inference, this approach results in a convex compact set of conditionally “most random” distributions.

  14. Descriptive and predictive evaluation of high resolution Markov chain precipitation models

    DEFF Research Database (Denmark)

    Sørup, Hjalte Jomo Danielsen; Madsen, Henrik; Arnbjerg-Nielsen, Karsten

    2012-01-01

    . Continuous modelling of the Markov process proved attractive because of a marked decrease in the number of parameters. Inclusion of seasonality into the continuous Markov chain model proved difficult. Monte Carlo simulations with the models show that it is very difficult for all the model formulations......A time series of tipping bucket recordings of very high temporal and volumetric resolution precipitation is modelled using Markov chain models. Both first and second‐order Markov models as well as seasonal and diurnal models are investigated and evaluated using likelihood based techniques....... The first‐order Markov model seems to capture most of the properties of precipitation, but inclusion of seasonal and diurnal variation improves the model. Including a second‐order Markov Chain component does improve the descriptive capabilities of the model, but is very expensive in its parameter use...

  15. Characterization of autoregressive processes using entropic quantifiers

    Science.gov (United States)

    Traversaro, Francisco; Redelico, Francisco O.

    2018-01-01

    The aim of the contribution is to introduce a novel information plane, the causal-amplitude informational plane. As previous works seems to indicate, Bandt and Pompe methodology for estimating entropy does not allow to distinguish between probability distributions which could be fundamental for simulation or for probability analysis purposes. Once a time series is identified as stochastic by the causal complexity-entropy informational plane, the novel causal-amplitude gives a deeper understanding of the time series, quantifying both, the autocorrelation strength and the probability distribution of the data extracted from the generating processes. Two examples are presented, one from climate change model and the other from financial markets.

  16. Markov chain solution of photon multiple scattering through turbid slabs.

    Science.gov (United States)

    Lin, Ying; Northrop, William F; Li, Xuesong

    2016-11-14

    This work introduces a Markov Chain solution to model photon multiple scattering through turbid slabs via anisotropic scattering process, i.e., Mie scattering. Results show that the proposed Markov Chain model agree with commonly used Monte Carlo simulation for various mediums such as medium with non-uniform phase functions and absorbing medium. The proposed Markov Chain solution method successfully converts the complex multiple scattering problem with practical phase functions into a matrix form and solves transmitted/reflected photon angular distributions by matrix multiplications. Such characteristics would potentially allow practical inversions by matrix manipulation or stochastic algorithms where widely applied stochastic methods such as Monte Carlo simulations usually fail, and thus enable practical diagnostics reconstructions such as medical diagnosis, spray analysis, and atmosphere sciences.

  17. Markov chain modelling of pitting corrosion in underground pipelines

    International Nuclear Information System (INIS)

    Caleyo, F.; Velazquez, J.C.; Valor, A.; Hallen, J.M.

    2009-01-01

    A continuous-time, non-homogenous linear growth (pure birth) Markov process has been used to model external pitting corrosion in underground pipelines. The closed form solution of Kolmogorov's forward equations for this type of Markov process is used to describe the transition probability function in a discrete pit depth space. The identification of the transition probability function can be achieved by correlating the stochastic pit depth mean with the deterministic mean obtained experimentally. Monte-Carlo simulations previously reported have been used to predict the time evolution of the mean value of the pit depth distribution for different soil textural classes. The simulated distributions have been used to create an empirical Markov chain-based stochastic model for predicting the evolution of pitting corrosion depth and rate distributions from the observed properties of the soil. The proposed model has also been applied to pitting corrosion data from pipeline repeated in-line inspections and laboratory immersion experiments.

  18. Markov Chain Models for the Stochastic Modeling of Pitting Corrosion

    Directory of Open Access Journals (Sweden)

    A. Valor

    2013-01-01

    Full Text Available The stochastic nature of pitting corrosion of metallic structures has been widely recognized. It is assumed that this kind of deterioration retains no memory of the past, so only the current state of the damage influences its future development. This characteristic allows pitting corrosion to be categorized as a Markov process. In this paper, two different models of pitting corrosion, developed using Markov chains, are presented. Firstly, a continuous-time, nonhomogeneous linear growth (pure birth Markov process is used to model external pitting corrosion in underground pipelines. A closed-form solution of the system of Kolmogorov's forward equations is used to describe the transition probability function in a discrete pit depth space. The transition probability function is identified by correlating the stochastic pit depth mean with the empirical deterministic mean. In the second model, the distribution of maximum pit depths in a pitting experiment is successfully modeled after the combination of two stochastic processes: pit initiation and pit growth. Pit generation is modeled as a nonhomogeneous Poisson process, in which induction time is simulated as the realization of a Weibull process. Pit growth is simulated using a nonhomogeneous Markov process. An analytical solution of Kolmogorov's system of equations is also found for the transition probabilities from the first Markov state. Extreme value statistics is employed to find the distribution of maximum pit depths.

  19. Constructing Dynamic Event Trees from Markov Models

    International Nuclear Information System (INIS)

    Paolo Bucci; Jason Kirschenbaum; Tunc Aldemir; Curtis Smith; Ted Wood

    2006-01-01

    In the probabilistic risk assessment (PRA) of process plants, Markov models can be used to model accurately the complex dynamic interactions between plant physical process variables (e.g., temperature, pressure, etc.) and the instrumentation and control system that monitors and manages the process. One limitation of this approach that has prevented its use in nuclear power plant PRAs is the difficulty of integrating the results of a Markov analysis into an existing PRA. In this paper, we explore a new approach to the generation of failure scenarios and their compilation into dynamic event trees from a Markov model of the system. These event trees can be integrated into an existing PRA using software tools such as SAPHIRE. To implement our approach, we first construct a discrete-time Markov chain modeling the system of interest by: (a) partitioning the process variable state space into magnitude intervals (cells), (b) using analytical equations or a system simulator to determine the transition probabilities between the cells through the cell-to-cell mapping technique, and, (c) using given failure/repair data for all the components of interest. The Markov transition matrix thus generated can be thought of as a process model describing the stochastic dynamic behavior of the finite-state system. We can therefore search the state space starting from a set of initial states to explore all possible paths to failure (scenarios) with associated probabilities. We can also construct event trees of arbitrary depth by tracing paths from a chosen initiating event and recording the following events while keeping track of the probabilities associated with each branch in the tree. As an example of our approach, we use the simple level control system often used as benchmark in the literature with one process variable (liquid level in a tank), and three control units: a drain unit and two supply units. Each unit includes a separate level sensor to observe the liquid level in the tank

  20. Mathematical model with autoregressive process for electrocardiogram signals

    Science.gov (United States)

    Evaristo, Ronaldo M.; Batista, Antonio M.; Viana, Ricardo L.; Iarosz, Kelly C.; Szezech, José D., Jr.; Godoy, Moacir F. de

    2018-04-01

    The cardiovascular system is composed of the heart, blood and blood vessels. Regarding the heart, cardiac conditions are determined by the electrocardiogram, that is a noninvasive medical procedure. In this work, we propose autoregressive process in a mathematical model based on coupled differential equations in order to obtain the tachograms and the electrocardiogram signals of young adults with normal heartbeats. Our results are compared with experimental tachogram by means of Poincaré plot and dentrended fluctuation analysis. We verify that the results from the model with autoregressive process show good agreement with experimental measures from tachogram generated by electrical activity of the heartbeat. With the tachogram we build the electrocardiogram by means of coupled differential equations.

  1. Kumaraswamy autoregressive moving average models for double bounded environmental data

    Science.gov (United States)

    Bayer, Fábio Mariano; Bayer, Débora Missio; Pumi, Guilherme

    2017-12-01

    In this paper we introduce the Kumaraswamy autoregressive moving average models (KARMA), which is a dynamic class of models for time series taking values in the double bounded interval (a,b) following the Kumaraswamy distribution. The Kumaraswamy family of distribution is widely applied in many areas, especially hydrology and related fields. Classical examples are time series representing rates and proportions observed over time. In the proposed KARMA model, the median is modeled by a dynamic structure containing autoregressive and moving average terms, time-varying regressors, unknown parameters and a link function. We introduce the new class of models and discuss conditional maximum likelihood estimation, hypothesis testing inference, diagnostic analysis and forecasting. In particular, we provide closed-form expressions for the conditional score vector and conditional Fisher information matrix. An application to environmental real data is presented and discussed.

  2. Likelihood inference for a nonstationary fractional autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Ørregård Nielsen, Morten

    2010-01-01

    This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data X1......,...,X_{T} given the initial values X_{-n}, n=0,1,..., as is usually done. The initial values are not modeled but assumed to be bounded. This represents a considerable generalization relative to all previous work where it is assumed that initial values are zero. For the statistical analysis we assume...... the conditional Gaussian likelihood and for the probability analysis we also condition on initial values but assume that the errors in the autoregressive model are i.i.d. with suitable moment conditions. We analyze the conditional likelihood and its derivatives as stochastic processes in the parameters, including...

  3. Identification and estimation of non-Gaussian structural vector autoregressions

    DEFF Research Database (Denmark)

    Lanne, Markku; Meitz, Mika; Saikkonen, Pentti

    Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are typically imposed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent non......, additional economic identifying restrictions can be tested. In an empirical application, we find a negative impact of a contractionary monetary policy shock on financial markets, and clearly reject the commonly employed recursive identifying restrictions....

  4. Multistage Stochastic Programs via Autoregressive Sequences and Individual Probabiliy Constraints

    Czech Academy of Sciences Publication Activity Database

    Kaňková, Vlasta

    2008-01-01

    Roč. 44, č. 2 (2008), s. 151-70 ISSN 0023-5954 R&D Projects: GA ČR GA402/07/1113 Institutional research plan: CEZ:AV0Z10750506 Keywords : multistage stochastic programming problem * individual probebility constraints * autoregressive sequence * Wasserstein metric * empirical estimates * multiobjective problems Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.281, year: 2008

  5. Data-driven Markov models and their application in the evaluation of adverse events in radiotherapy

    CERN Document Server

    Abler, Daniel; Davies, Jim; Dosanjh, Manjit; Jena, Raj; Kirkby, Norman; Peach, Ken

    2013-01-01

    Decision-making processes in medicine rely increasingly on modelling and simulation techniques; they are especially useful when combining evidence from multiple sources. Markov models are frequently used to synthesize the available evidence for such simulation studies, by describing disease and treatment progress, as well as associated factors such as the treatment's effects on a patient's life and the costs to society. When the same decision problem is investigated by multiple stakeholders, differing modelling assumptions are often applied, making synthesis and interpretation of the results difficult. This paper proposes a standardized approach towards the creation of Markov models. It introduces the notion of ‘general Markov models’, providing a common definition of the Markov models that underlie many similar decision problems, and develops a language for their specification. We demonstrate the application of this language by developing a general Markov model for adverse event analysis in radiotherapy ...

  6. Performance criteria for graph clustering and Markov cluster experiments

    NARCIS (Netherlands)

    S. van Dongen

    2000-01-01

    textabstractIn~[1] a cluster algorithm for graphs was introduced called the Markov cluster algorithm or MCL~algorithm. The algorithm is based on simulation of (stochastic) flow in graphs by means of alternation of two operators, expansion and inflation. The results in~[2] establish an intrinsic

  7. Estimation of the workload correlation in a Markov fluid queue

    NARCIS (Netherlands)

    Kaynar, B.; Mandjes, M.R.H.

    2013-01-01

    This paper considers a Markov fluid queue, focusing on the correlation function of the stationary workload process. A simulation-based computation technique is proposed, which relies on a coupling idea. Then an upper bound on the variance of the resulting estimator is given, which reveals how the

  8. Optimal Number of States in Hidden Markov Models and its ...

    African Journals Online (AJOL)

    In this paper, Hidden Markov Model is applied to model human movements as to facilitate an automatic detection of the same. A number of activities were simulated with the help of two persons. The four movements considered are walking, sitting down-getting up, fall while walking and fall while standing. The data is ...

  9. Markov Networks in Evolutionary Computation

    CERN Document Server

    Shakya, Siddhartha

    2012-01-01

    Markov networks and other probabilistic graphical modes have recently received an upsurge in attention from Evolutionary computation community, particularly in the area of Estimation of distribution algorithms (EDAs).  EDAs have arisen as one of the most successful experiences in the application of machine learning methods in optimization, mainly due to their efficiency to solve complex real-world optimization problems and their suitability for theoretical analysis. This book focuses on the different steps involved in the conception, implementation and application of EDAs that use Markov networks, and undirected models in general. It can serve as a general introduction to EDAs but covers also an important current void in the study of these algorithms by explaining the specificities and benefits of modeling optimization problems by means of undirected probabilistic models. All major developments to date in the progressive introduction of Markov networks based EDAs are reviewed in the book. Hot current researc...

  10. Ozone Concentration Prediction via Spatiotemporal Autoregressive Model With Exogenous Variables

    Science.gov (United States)

    Kamoun, W.; Senoussi, R.

    2009-04-01

    Forecast of environmental variables are nowadays of main concern for public health or agricultural management. In this context a large literature is devoted to spatio-temporal modelling of these variables using different statistical approaches. However, most of studies ignored the potential contribution of local (e.g. meteorological and/or geographical) covariables as well as the dynamical characteristics of observations. In this study, we present a spatiotemporal short term forecasting model for ozone concentration based on regularly observed covariables in predefined geographical sites. Our driving system simply combines a multidimensional second order autoregressive structured process with a linear regression model over influent exogenous factors and reads as follows: ‘2 ‘q j Z (t) = A (Î&,cedil;D )Ã- [ αiZ(t- i)]+ B (Î&,cedil;D )Ã- [ βjX (t)]+ ɛ(t) i=1 j=1 Z(t)=(Z1(t),…,Zn(t)) represents the vector of ozone concentration at time t of the n geographical sites, whereas Xj(t)=(X1j(t),…,Xnj(t)) denotes the jth exogenous variable observed over these sites. The nxn matrix functions A and B account for the spatial relationships between sites through the inter site distance matrix D and a vector parameter Î&.cedil; Multidimensional white noise ɛ is assumed to be Gaussian and spatially correlated but temporally independent. A covariance structure of Z that takes account of noise spatial dependences is deduced under a stationary hypothesis and then included in the likelihood function. Statistical model and estimation procedure: Contrarily to the widely used choice of a {0,1}-valued neighbour matrix A, we put forward two more natural choices of exponential or power decay. Moreover, the model revealed enough stable to readily accommodate the crude observations without the usual tedious and somewhat arbitrarily variable transformations. Data set and preliminary analysis: In our case, ozone variable represents here the daily maximum ozone

  11. Benchmarking of a Markov multizone model of contaminant transport.

    Science.gov (United States)

    Jones, Rachael M; Nicas, Mark

    2014-10-01

    A Markov chain model previously applied to the simulation of advection and diffusion process of gaseous contaminants is extended to three-dimensional transport of particulates in indoor environments. The model framework and assumptions are described. The performance of the Markov model is benchmarked against simple conventional models of contaminant transport. The Markov model is able to replicate elutriation predictions of particle deposition with distance from a point source, and the stirred settling of respirable particles. Comparisons with turbulent eddy diffusion models indicate that the Markov model exhibits numerical diffusion in the first seconds after release, but over time accurately predicts mean lateral dispersion. The Markov model exhibits some instability with grid length aspect when turbulence is incorporated by way of the turbulent diffusion coefficient, and advection is present. However, the magnitude of prediction error may be tolerable for some applications and can be avoided by incorporating turbulence by way of fluctuating velocity (e.g. turbulence intensity). © The Author 2014. Published by Oxford University Press on behalf of the British Occupational Hygiene Society.

  12. Markov Models for Handwriting Recognition

    CERN Document Server

    Plotz, Thomas

    2011-01-01

    Since their first inception, automatic reading systems have evolved substantially, yet the recognition of handwriting remains an open research problem due to its substantial variation in appearance. With the introduction of Markovian models to the field, a promising modeling and recognition paradigm was established for automatic handwriting recognition. However, no standard procedures for building Markov model-based recognizers have yet been established. This text provides a comprehensive overview of the application of Markov models in the field of handwriting recognition, covering both hidden

  13. Markov chains and mixing times

    CERN Document Server

    Levin, David A; Wilmer, Elizabeth L

    2009-01-01

    This book is an introduction to the modern approach to the theory of Markov chains. The main goal of this approach is to determine the rate of convergence of a Markov chain to the stationary distribution as a function of the size and geometry of the state space. The authors develop the key tools for estimating convergence times, including coupling, strong stationary times, and spectral methods. Whenever possible, probabilistic methods are emphasized. The book includes many examples and provides brief introductions to some central models of statistical mechanics. Also provided are accounts of r

  14. Numerical research of the optimal control problem in the semi-Markov inventory model

    International Nuclear Information System (INIS)

    Gorshenin, Andrey K.; Belousov, Vasily V.; Shnourkoff, Peter V.; Ivanov, Alexey V.

    2015-01-01

    This paper is devoted to the numerical simulation of stochastic system for inventory management products using controlled semi-Markov process. The results of a special software for the system’s research and finding the optimal control are presented

  15. From Bray-Curtis ordination to Markov Chain Monte Carlo simulation: assessing anthropogenically-induced and/or climatically-induced changes in arboreal ecosystems

    Science.gov (United States)

    Madurapperuma, Buddhika Dilhan

    Mapping forest resources is useful for identifying threat patterns and monitoring changes associated with landscapes. Remote Sensing and Geographic Information Science techniques are effective tools used to identify and forecast forest resource threats such as exotic plant invasion, vulnerability to climate change, and land-use/cover change. This research focused on mapping abundance and distribution of Russian-olive using soil and land-use/cover data, evaluating historic land-use/cover change using mappable water-related indices addressing the primary loss of riparian arboreal ecosystems, and detecting year-to-year land-cover changes on forest conversion processes. Digital image processing techniques were used to detect the changes of arboreal ecosystems using ArcGIS ArcInfoRTM 9.3, ENVIRTM, and ENVIRTM EX platforms. Research results showed that Russian-olive at the inundated habitats of the Missouri River is abundant compared to terrestrial habitats in the Bismarck-Mandan Wildland Urban Interface. This could be a consequence of habitat quality of the floodplain, such as its silt loam and silty clay soil type, which favors Russian-olive regeneration. Russian-olive has close assemblage with cottonwood (Populus deltoides) and buffaloberry (Shepherdia argentea) trees at the lower elevations. In addition, the Russian-olive-cottonwood association correlated with low nitrogen, low pH, and high Fe, while Russian-olive- buffaloberry association occurred in highly eroded areas. The Devils Lake sub-watershed was selected to demonstrate how both land-use/cover modification and climatic variability have caused the vulnerability of arboreal ecosystems on the fringe to such changes. Land-cover change showed that the forest acreage declined from 9% to 1%, water extent increased from 13% to 25%, and cropland extent increased from 34% to 39% between 1992 and 2006. In addition, stochastic modeling was adapted to simulate how land-use/cover change influenced forest conversion to non

  16. Estimation and uncertainty of reversible Markov models.

    Science.gov (United States)

    Trendelkamp-Schroer, Benjamin; Wu, Hao; Paul, Fabian; Noé, Frank

    2015-11-07

    Reversibility is a key concept in Markov models and master-equation models of molecular kinetics. The analysis and interpretation of the transition matrix encoding the kinetic properties of the model rely heavily on the reversibility property. The estimation of a reversible transition matrix from simulation data is, therefore, crucial to the successful application of the previously developed theory. In this work, we discuss methods for the maximum likelihood estimation of transition matrices from finite simulation data and present a new algorithm for the estimation if reversibility with respect to a given stationary vector is desired. We also develop new methods for the Bayesian posterior inference of reversible transition matrices with and without given stationary vector taking into account the need for a suitable prior distribution preserving the meta-stable features of the observed process during posterior inference. All algorithms here are implemented in the PyEMMA software--http://pyemma.org--as of version 2.0.

  17. Markov processes in Thermodynamics and Turbulence

    OpenAIRE

    Nickelsen, Daniel

    2014-01-01

    This thesis deals with Markov processes in stochastic thermodynamics and fully developed turbulence. In the first part of the thesis, a detailed account on the theory of Markov processes is given, forming the mathematical fundament. In the course of developing the theory of continuous Markov processes, stochastic differential equations, the Fokker-Planck equation and Wiener path integrals are introduced and embedded into the class of discontinuous Markov processes. Special attention is pai...

  18. A canonical representation for aggregated Markov processes

    OpenAIRE

    Larget, Bret

    1998-01-01

    A deterministic function of a Markov process is called an aggregated Markov process. We give necessary and sufficient conditions for the equivalence of continuous-time aggregated Markov processes. For both discrete- and continuous-time, we show that any aggregated Markov process which satisfies mild regularity conditions can be directly converted to a canonical representation which is unique for each class of equivalent models, and furthermore, is a minimal parameterization ...

  19. Markov Switching Autoregressive Conditional Heteroscedasticity (SWARCH) Model to Detect Financial Crisis in Indonesia Based on Import and Export Indicators

    Science.gov (United States)

    Sugiyanto; Zukhronah, Etik; Susanti, Yuliana; Rahma Dwi, Sisca

    2017-06-01

    A country is said to be a crisis when the financial system is experiencing a disruption that affects systems that can not function efficiently. The performance efficiency of macroeconomic indicators especially in imports and exports can be used to detect the financial crisis in Indonesia. Based on the import and export indicators from 1987 to 2015, the movement of these indicators can be modelled using SWARCH three states. The results showed that SWARCH (3,1) model was able to detect the crisis that occurred in Indonesia in 1997 and 2008. Using this model, it can be concluded that Indonesia is prone to financial crisis in 2016.

  20. On Markov processes in the hadron-nuclear and nuclear-nuclear collisions at superhigh energies

    International Nuclear Information System (INIS)

    Lebedeva, A.A.; Rus'kin, V.I.

    2001-01-01

    In the article the possibility of the Markov processes use as simulation method for mean characteristics of hadron-nuclear and nucleus-nuclear collisions at superhigh energies is discussed. The simple (hadron-nuclear collisions) and non-simple (nucleus-nuclear collisions) non-uniform Markov process of output constant spectrum and absorption in a nucleon's nucleus-target with rapidity y are considered. The expression allowing to simulate the different collision modes were obtained

  1. Markov Chain Monte Carlo

    Indian Academy of Sciences (India)

    degrees before you begin simulation; further, it will be practicable only if the number of required chits is small. There are many situations where one of these is not true. In [1], we have seen how randomization is used to start a game of cricket. Another game where randomization is much more important is any game of cards.

  2. Open Markov Processes and Reaction Networks

    Science.gov (United States)

    Swistock Pollard, Blake Stephen

    2017-01-01

    We begin by defining the concept of "open" Markov processes, which are continuous-time Markov chains where probability can flow in and out through certain "boundary" states. We study open Markov processes which in the absence of such boundary flows admit equilibrium states satisfying detailed balance, meaning that the net flow…

  3. Continuously monitored barrier options under Markov processes

    NARCIS (Netherlands)

    Mijatović, A.; Pistorius, M.

    2011-01-01

    In this paper, we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given Markov model. We illustrate the method by implementing it for a

  4. Consistency and Refinement for Interval Markov Chains

    DEFF Research Database (Denmark)

    Delahaye, Benoit; Larsen, Kim Guldstrand; Legay, Axel

    2012-01-01

    Interval Markov Chains (IMC), or Markov Chains with probability intervals in the transition matrix, are the base of a classic specification theory for probabilistic systems [18]. The standard semantics of IMCs assigns to a specification the set of all Markov Chains that satisfy its interval...

  5. Markov Decision Processes in Practice

    NARCIS (Netherlands)

    Boucherie, Richardus J.; van Dijk, N.M.

    2017-01-01

    It is over 30 years ago since D.J. White started his series of surveys on practical applications of Markov decision processes (MDP), over 20 years after the phenomenal book by Martin Puterman on the theory of MDP, and over 10 years since Eugene A. Feinberg and Adam Shwartz published their Handbook

  6. Adaptive Partially Hidden Markov Models

    DEFF Research Database (Denmark)

    Forchhammer, Søren Otto; Rasmussen, Tage

    1996-01-01

    Partially Hidden Markov Models (PHMM) have recently been introduced. The transition and emission probabilities are conditioned on the past. In this report, the PHMM is extended with a multiple token version. The different versions of the PHMM are applied to bi-level image coding....

  7. Markov Chain Monte Carlo Methods

    Indian Academy of Sciences (India)

    GENERAL ! ARTICLE. Markov Chain Monte Carlo Methods. 3. Statistical Concepts. K B Athreya, Mohan Delampady and T Krishnan. K B Athreya is a Professor at. Cornell University. His research interests include mathematical analysis, probability theory and its application and statistics. He enjoys writing for Resonance.

  8. Markov Chain Monte Carlo Methods

    Indian Academy of Sciences (India)

    2. The Markov Chain Case. K B Athreya, Mohan Delampady and T Krishnan. K B Athreya is a Professor at. Cornell University. His research interests include mathematical analysis, probability theory and its application and statistics. He enjoys writing for Resonance. His spare time is spent listening to Indian classical music.

  9. Markov Chain Monte Carlo Methods

    Indian Academy of Sciences (India)

    Systat Software Asia-Pacific. (P) Ltd., in Bangalore, where the technical work for the development of the ... Markov chain structure) with applications to integration including integration in a Bayesian context. In Pa.rt 2, ... The applications of MCMC to Bayesian infer- ence will have to wait for the concluding pa,rt of this series.

  10. Methodology for the AutoRegressive Planet Search (ARPS) Project

    Science.gov (United States)

    Feigelson, Eric; Caceres, Gabriel; ARPS Collaboration

    2018-01-01

    The detection of periodic signals of transiting exoplanets is often impeded by the presence of aperiodic photometric variations. This variability is intrinsic to the host star in space-based observations (typically arising from magnetic activity) and from observational conditions in ground-based observations. The most common statistical procedures to remove stellar variations are nonparametric, such as wavelet decomposition or Gaussian Processes regression. However, many stars display variability with autoregressive properties, wherein later flux values are correlated with previous ones. Providing the time series is evenly spaced, parametric autoregressive models can prove very effective. Here we present the methodology of the Autoregessive Planet Search (ARPS) project which uses Autoregressive Integrated Moving Average (ARIMA) models to treat a wide variety of stochastic short-memory processes, as well as nonstationarity. Additionally, we introduce a planet-search algorithm to detect periodic transits in the time-series residuals after application of ARIMA models. Our matched-filter algorithm, the Transit Comb Filter (TCF), replaces the traditional box-fitting step. We construct a periodogram based on the TCF to concentrate the signal of these periodic spikes. Various features of the original light curves, the ARIMA fits, the TCF periodograms, and folded light curves at peaks of the TCF periodogram can then be collected to provide constraints for planet detection. These features provide input into a multivariate classifier when a training set is available. The ARPS procedure has been applied NASA's Kepler mission observations of ~200,000 stars (Caceres, Dissertation Talk, this meeting) and will be applied in the future to other datasets.

  11. Honest Importance Sampling with Multiple Markov Chains.

    Science.gov (United States)

    Tan, Aixin; Doss, Hani; Hobert, James P

    2015-01-01

    Importance sampling is a classical Monte Carlo technique in which a random sample from one probability density, π 1 , is used to estimate an expectation with respect to another, π . The importance sampling estimator is strongly consistent and, as long as two simple moment conditions are satisfied, it obeys a central limit theorem (CLT). Moreover, there is a simple consistent estimator for the asymptotic variance in the CLT, which makes for routine computation of standard errors. Importance sampling can also be used in the Markov chain Monte Carlo (MCMC) context. Indeed, if the random sample from π 1 is replaced by a Harris ergodic Markov chain with invariant density π 1 , then the resulting estimator remains strongly consistent. There is a price to be paid however, as the computation of standard errors becomes more complicated. First, the two simple moment conditions that guarantee a CLT in the iid case are not enough in the MCMC context. Second, even when a CLT does hold, the asymptotic variance has a complex form and is difficult to estimate consistently. In this paper, we explain how to use regenerative simulation to overcome these problems. Actually, we consider a more general set up, where we assume that Markov chain samples from several probability densities, π 1 , …, π k , are available. We construct multiple-chain importance sampling estimators for which we obtain a CLT based on regeneration. We show that if the Markov chains converge to their respective target distributions at a geometric rate, then under moment conditions similar to those required in the iid case, the MCMC-based importance sampling estimator obeys a CLT. Furthermore, because the CLT is based on a regenerative process, there is a simple consistent estimator of the asymptotic variance. We illustrate the method with two applications in Bayesian sensitivity analysis. The first concerns one-way random effects models under different priors. The second involves Bayesian variable

  12. Analysis of nonlinear systems using ARMA [autoregressive moving average] models

    International Nuclear Information System (INIS)

    Hunter, N.F. Jr.

    1990-01-01

    While many vibration systems exhibit primarily linear behavior, a significant percentage of the systems encountered in vibration and model testing are mildly to severely nonlinear. Analysis methods for such nonlinear systems are not yet well developed and the response of such systems is not accurately predicted by linear models. Nonlinear ARMA (autoregressive moving average) models are one method for the analysis and response prediction of nonlinear vibratory systems. In this paper we review the background of linear and nonlinear ARMA models, and illustrate the application of these models to nonlinear vibration systems. We conclude by summarizing the advantages and disadvantages of ARMA models and emphasizing prospects for future development. 14 refs., 11 figs

  13. Temporal aggregation in first order cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    La Cour, Lisbeth Funding; Milhøj, Anders

    We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of ...... of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline...

  14. Temporal aggregation in first order cointegrated vector autoregressive

    DEFF Research Database (Denmark)

    la Cour, Lisbeth Funding; Milhøj, Anders

    2006-01-01

    We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of ...... of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline....

  15. Processing on weak electric signals by the autoregressive model

    Science.gov (United States)

    Ding, Jinli; Zhao, Jiayin; Wang, Lanzhou; Li, Qiao

    2008-10-01

    A model of the autoregressive model of weak electric signals in two plants was set up for the first time. The result of the AR model to forecast 10 values of the weak electric signals is well. It will construct a standard set of the AR model coefficient of the plant electric signal and the environmental factor, and can be used as the preferences for the intelligent autocontrol system based on the adaptive characteristic of plants to achieve the energy saving on agricultural productions.

  16. Representation of cointegrated autoregressive processes with application to fractional processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    2009-01-01

    We analyse vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this  paper is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new re...... results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution....

  17. Integer Valued Autoregressive Models for Tipping Bucket Rainfall Measurements

    DEFF Research Database (Denmark)

    Thyregod, Peter; Carstensen, Niels Jacob; Madsen, Henrik

    1999-01-01

    A new method for modelling the dynamics of rain sampled by a tipping bucket rain gauge is proposed. The considered models belong to the class of integer valued autoregressive processes. The models take the autocorelation and discrete nature of the data into account. A first order, a second order...... and a threshold model are presented together with methods to estimate the parameters of each model. The models are demonstrated to provide a good description of dt from actual rain events requiring only two to four parameters....

  18. Order Selection for General Expression of Nonlinear Autoregressive Model Based on Multivariate Stepwise Regression

    Science.gov (United States)

    Shi, Jinfei; Zhu, Songqing; Chen, Ruwen

    2017-12-01

    An order selection method based on multiple stepwise regressions is proposed for General Expression of Nonlinear Autoregressive model which converts the model order problem into the variable selection of multiple linear regression equation. The partial autocorrelation function is adopted to define the linear term in GNAR model. The result is set as the initial model, and then the nonlinear terms are introduced gradually. Statistics are chosen to study the improvements of both the new introduced and originally existed variables for the model characteristics, which are adopted to determine the model variables to retain or eliminate. So the optimal model is obtained through data fitting effect measurement or significance test. The simulation and classic time-series data experiment results show that the method proposed is simple, reliable and can be applied to practical engineering.

  19. Robust nonlinear autoregressive moving average model parameter estimation using stochastic recurrent artificial neural networks

    DEFF Research Database (Denmark)

    Chon, K H; Hoyer, D; Armoundas, A A

    1999-01-01

    In this study, we introduce a new approach for estimating linear and nonlinear stochastic autoregressive moving average (ARMA) model parameters, given a corrupt signal, using artificial recurrent neural networks. This new approach is a two-step approach in which the parameters of the deterministic...... error is obtained by subtracting the corrupt signal of the estimated ARMA model obtained via the deterministic estimation step from the system output response. We present computer simulation examples to show the efficacy of the proposed stochastic recurrent neural network approach in obtaining accurate...... model predictions. Furthermore, we compare the performance of the new approach to that of the deterministic recurrent neural network approach. Using this simple two-step procedure, we obtain more robust model predictions than with the deterministic recurrent neural network approach despite the presence...

  20. Forecasting hourly global solar radiation using hybrid k-means and nonlinear autoregressive neural network models

    International Nuclear Information System (INIS)

    Benmouiza, Khalil; Cheknane, Ali

    2013-01-01

    Highlights: • An unsupervised clustering algorithm with a neural network model was explored. • The forecasting results of solar radiation time series and the comparison of their performance was simulated. • A new method was proposed combining k-means algorithm and NAR network to provide better prediction results. - Abstract: In this paper, we review our work for forecasting hourly global horizontal solar radiation based on the combination of unsupervised k-means clustering algorithm and artificial neural networks (ANN). k-Means algorithm focused on extracting useful information from the data with the aim of modeling the time series behavior and find patterns of the input space by clustering the data. On the other hand, nonlinear autoregressive (NAR) neural networks are powerful computational models for modeling and forecasting nonlinear time series. Taking the advantage of both methods, a new method was proposed combining k-means algorithm and NAR network to provide better forecasting results

  1. Quantum Markov processes and applications in many-body systems

    International Nuclear Information System (INIS)

    Temme, P. K.

    2010-01-01

    This thesis is concerned with the investigation of quantum as well as classical Markov processes and their application in the field of strongly correlated many-body systems. A Markov process is a special kind of stochastic process, which is determined by an evolution that is independent of its history and only depends on the current state of the system. The application of Markov processes has a long history in the field of statistical mechanics and classical many-body theory. Not only are Markov processes used to describe the dynamics of stochastic systems, but they predominantly also serve as a practical method that allows for the computation of fundamental properties of complex many-body systems by means of probabilistic algorithms. The aim of this thesis is to investigate the properties of quantum Markov processes, i.e. Markov processes taking place in a quantum mechanical state space, and to gain a better insight into complex many-body systems by means thereof. Moreover, we formulate a novel quantum algorithm which allows for the computation of the thermal and ground states of quantum many-body systems. After a brief introduction to quantum Markov processes we turn to an investigation of their convergence properties. We find bounds on the convergence rate of the quantum process by generalizing geometric bounds found for classical processes. We generalize a distance measure that serves as the basis for our investigations, the chi-square divergence, to non-commuting probability spaces. This divergence allows for a convenient generalization of the detailed balance condition to quantum processes. We then devise the quantum algorithm that can be seen as the natural generalization of the ubiquitous Metropolis algorithm to simulate quantum many-body Hamiltonians. By this we intend to provide further evidence, that a quantum computer can serve as a fully-fledged quantum simulator, which is not only capable of describing the dynamical evolution of quantum systems, but

  2. Unmixing hyperspectral images using Markov random fields

    International Nuclear Information System (INIS)

    Eches, Olivier; Dobigeon, Nicolas; Tourneret, Jean-Yves

    2011-01-01

    This paper proposes a new spectral unmixing strategy based on the normal compositional model that exploits the spatial correlations between the image pixels. The pure materials (referred to as endmembers) contained in the image are assumed to be available (they can be obtained by using an appropriate endmember extraction algorithm), while the corresponding fractions (referred to as abundances) are estimated by the proposed algorithm. Due to physical constraints, the abundances have to satisfy positivity and sum-to-one constraints. The image is divided into homogeneous distinct regions having the same statistical properties for the abundance coefficients. The spatial dependencies within each class are modeled thanks to Potts-Markov random fields. Within a Bayesian framework, prior distributions for the abundances and the associated hyperparameters are introduced. A reparametrization of the abundance coefficients is proposed to handle the physical constraints (positivity and sum-to-one) inherent to hyperspectral imagery. The parameters (abundances), hyperparameters (abundance mean and variance for each class) and the classification map indicating the classes of all pixels in the image are inferred from the resulting joint posterior distribution. To overcome the complexity of the joint posterior distribution, Markov chain Monte Carlo methods are used to generate samples asymptotically distributed according to the joint posterior of interest. Simulations conducted on synthetic and real data are presented to illustrate the performance of the proposed algorithm.

  3. Monthly streamflow forecasting with auto-regressive integrated moving average

    Science.gov (United States)

    Nasir, Najah; Samsudin, Ruhaidah; Shabri, Ani

    2017-09-01

    Forecasting of streamflow is one of the many ways that can contribute to better decision making for water resource management. The auto-regressive integrated moving average (ARIMA) model was selected in this research for monthly streamflow forecasting with enhancement made by pre-processing the data using singular spectrum analysis (SSA). This study also proposed an extension of the SSA technique to include a step where clustering was performed on the eigenvector pairs before reconstruction of the time series. The monthly streamflow data of Sungai Muda at Jeniang, Sungai Muda at Jambatan Syed Omar and Sungai Ketil at Kuala Pegang was gathered from the Department of Irrigation and Drainage Malaysia. A ratio of 9:1 was used to divide the data into training and testing sets. The ARIMA, SSA-ARIMA and Clustered SSA-ARIMA models were all developed in R software. Results from the proposed model are then compared to a conventional auto-regressive integrated moving average model using the root-mean-square error and mean absolute error values. It was found that the proposed model can outperform the conventional model.

  4. Markov chains and mixing times

    CERN Document Server

    Levin, David A

    2017-01-01

    Markov Chains and Mixing Times is a magical book, managing to be both friendly and deep. It gently introduces probabilistic techniques so that an outsider can follow. At the same time, it is the first book covering the geometric theory of Markov chains and has much that will be new to experts. It is certainly THE book that I will use to teach from. I recommend it to all comers, an amazing achievement. -Persi Diaconis, Mary V. Sunseri Professor of Statistics and Mathematics, Stanford University Mixing times are an active research topic within many fields from statistical physics to the theory of algorithms, as well as having intrinsic interest within mathematical probability and exploiting discrete analogs of important geometry concepts. The first edition became an instant classic, being accessible to advanced undergraduates and yet bringing readers close to current research frontiers. This second edition adds chapters on monotone chains, the exclusion process and hitting time parameters. Having both exercises...

  5. Markov state models and molecular alchemy

    Science.gov (United States)

    Schütte, Christof; Nielsen, Adam; Weber, Marcus

    2015-01-01

    In recent years, Markov state models (MSMs) have attracted a considerable amount of attention with regard to modelling conformation changes and associated function of biomolecular systems. They have been used successfully, e.g. for peptides including time-resolved spectroscopic experiments, protein function and protein folding , DNA and RNA, and ligand-receptor interaction in drug design and more complicated multivalent scenarios. In this article, a novel reweighting scheme is introduced that allows to construct an MSM for certain molecular system out of an MSM for a similar system. This permits studying how molecular properties on long timescales differ between similar molecular systems without performing full molecular dynamics simulations for each system under consideration. The performance of the reweighting scheme is illustrated for simple test cases, including one where the main wells of the respective energy landscapes are located differently and an alchemical transformation of butane to pentane where the dimension of the state space is changed.

  6. Improved hidden Markov model for nosocomial infections.

    Science.gov (United States)

    Khader, Karim; Leecaster, Molly; Greene, Tom; Samore, Matthew; Thomas, Alun

    2014-12-01

    We propose a novel hidden Markov model (HMM) for parameter estimation in hospital transmission models, and show that commonly made simplifying assumptions can lead to severe model misspecification and poor parameter estimates. A standard HMM that embodies two commonly made simplifying assumptions, namely a fixed patient count and binomially distributed detections is compared with a new alternative HMM that does not require these simplifying assumptions. Using simulated data, we demonstrate how each of the simplifying assumptions used by the standard model leads to model misspecification, whereas the alternative model results in accurate parameter estimates. © The Authors 2013. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.

  7. Least squares autoregressive (maximum entropy) spectral estimation for Fourier spectroscopy and its application to the electron cyclotron emission from plasma

    International Nuclear Information System (INIS)

    Iwama, N.; Inoue, A.; Tsukishima, T.; Sato, M.; Kawahata, K.

    1981-07-01

    A new procedure for the maximum entropy spectral estimation is studied for the purpose of data processing in Fourier transform spectroscopy. The autoregressive model fitting is examined under a least squares criterion based on the Yule-Walker equations. An AIC-like criterion is suggested for selecting the model order. The principal advantage of the new procedure lies in the enhanced frequency resolution particularly for small values of the maximum optical path-difference of the interferogram. The usefulness of the procedure is ascertained by some numerical simulations and further by experiments with respect to a highly coherent submillimeter wave and the electron cyclotron emission from a stellarator plasma. (author)

  8. Bayesian tomography by interacting Markov chains

    Science.gov (United States)

    Romary, T.

    2017-12-01

    In seismic tomography, we seek to determine the velocity of the undergound from noisy first arrival travel time observations. In most situations, this is an ill posed inverse problem that admits several unperfect solutions. Given an a priori distribution over the parameters of the velocity model, the Bayesian formulation allows to state this problem as a probabilistic one, with a solution under the form of a posterior distribution. The posterior distribution is generally high dimensional and may exhibit multimodality. Moreover, as it is known only up to a constant, the only sensible way to addressthis problem is to try to generate simulations from the posterior. The natural tools to perform these simulations are Monte Carlo Markov chains (MCMC). Classical implementations of MCMC algorithms generally suffer from slow mixing: the generated states are slow to enter the stationary regime, that is to fit the observations, and when one mode of the posterior is eventually identified, it may become difficult to visit others. Using a varying temperature parameter relaxing the constraint on the data may help to enter the stationary regime. Besides, the sequential nature of MCMC makes them ill fitted toparallel implementation. Running a large number of chains in parallel may be suboptimal as the information gathered by each chain is not mutualized. Parallel tempering (PT) can be seen as a first attempt to make parallel chains at different temperatures communicate but only exchange information between current states. In this talk, I will show that PT actually belongs to a general class of interacting Markov chains algorithm. I will also show that this class enables to design interacting schemes that can take advantage of the whole history of the chain, by authorizing exchanges toward already visited states. The algorithms will be illustrated with toy examples and an application to first arrival traveltime tomography.

  9. Markov processes characterization and convergence

    CERN Document Server

    Ethier, Stewart N

    2009-01-01

    The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists."[A]nyone who works with Markov processes whose state space is uncountably infinite will need this most impressive book as a guide and reference."-American Scientist"There is no question but that space should immediately be reserved for [this] book on the library shelf. Those who aspire to mastery of the contents should also reserve a large number of long winter evenings."-Zentralblatt f?r Mathematik und ihre Grenzgebiete/Mathematics Abstracts"Ethier and Kurtz have produced an excellent treatment of the modern theory of Markov processes that [is] useful both as a reference work and as a graduate textbook."-Journal of Statistical PhysicsMarkov Proce...

  10. Auto-correlograms and auto-regressive models of trace metal distributions in Cochin backwaters

    Digital Repository Service at National Institute of Oceanography (India)

    Jayalakshmy, K.V.; Sankaranarayanan, V.N.

    ,2 and 3 and for Zn at stations 1 and 4. The stability in time for the concentration profiles increases as Fe Mn Ni Cu Co. The fraction of variability in the variables obtained by the auto-regressive model of order 1 ranges from 20 to 50%. Auto-regressive...

  11. Inferring parental genomic ancestries using pooled semi-Markov processes.

    Science.gov (United States)

    Zou, James Y; Halperin, Eran; Burchard, Esteban; Sankararaman, Sriram

    2015-06-15

    A basic problem of broad public and scientific interest is to use the DNA of an individual to infer the genomic ancestries of the parents. In particular, we are often interested in the fraction of each parent's genome that comes from specific ancestries (e.g. European, African, Native American, etc). This has many applications ranging from understanding the inheritance of ancestry-related risks and traits to quantifying human assortative mating patterns. We model the problem of parental genomic ancestry inference as a pooled semi-Markov process. We develop a general mathematical framework for pooled semi-Markov processes and construct efficient inference algorithms for these models. Applying our inference algorithm to genotype data from 231 Mexican trios and 258 Puerto Rican trios where we have the true genomic ancestry of each parent, we demonstrate that our method accurately infers parameters of the semi-Markov processes and parents' genomic ancestries. We additionally validated the method on simulations. Our model of pooled semi-Markov process and inference algorithms may be of independent interest in other settings in genomics and machine learning. © The Author 2015. Published by Oxford University Press.

  12. Optimal hedging with the cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Gatarek, Lukasz; Johansen, Søren

    We derive the optimal hedging ratios for a portfolio of assets driven by a Coin- tegrated Vector Autoregressive model (CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated...... with the hedged asset and among themselves. We nd that the minimum variance hedge for assets driven by the CVAR, depends strongly on the portfolio holding period. The hedge is dened as a function of correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long...... horizons, the hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite horizon, the hedge ratios shall be equal to the cointegrating vector. The hedge ratios for any intermediate portfolio holding period should be based on the weighted average...

  13. Unit Root Vector Autoregression with volatility Induced Stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    We propose a discrete-time multivariate model where lagged levels of the process enter both the conditional mean and the conditional variance. This way we allow for the empirically observed persistence in time series such as interest rates, often implying unit-roots, while at the same time maintain...... stationarity despite such unit-roots. Specifically, the model bridges vector autoregressions and multivariate ARCH models in which residuals are replaced by levels lagged. An empirical illustration using recent US term structure data is given in which the individual interest rates have unit roots, have...... and geometrically ergodic. Interestingly, these conditions include the case of unit roots and a reduced rank structure in the conditional mean, known from linear co-integration to imply non-stationarity. Asymptotic theory of the maximum likelihood estimators for a particular structured case (so-called self...

  14. 4K Video Traffic Prediction using Seasonal Autoregressive Modeling

    Directory of Open Access Journals (Sweden)

    D. R. Marković

    2017-06-01

    Full Text Available From the perspective of average viewer, high definition video streams such as HD (High Definition and UHD (Ultra HD are increasing their internet presence year over year. This is not surprising, having in mind expansion of HD streaming services, such as YouTube, Netflix etc. Therefore, high definition video streams are starting to challenge network resource allocation with their bandwidth requirements and statistical characteristics. Need for analysis and modeling of this demanding video traffic has essential importance for better quality of service and experience support. In this paper we use an easy-to-apply statistical model for prediction of 4K video traffic. Namely, seasonal autoregressive modeling is applied in prediction of 4K video traffic, encoded with HEVC (High Efficiency Video Coding. Analysis and modeling were performed within R programming environment using over 17.000 high definition video frames. It is shown that the proposed methodology provides good accuracy in high definition video traffic modeling.

  15. Aperiodicity in one-way Markov cycles and repeat times of large earthquakes in faults

    OpenAIRE

    Tejedor, Alejandro; Gómez, Javier; Pacheco, Amalio F.

    2011-01-01

    A common use of Markov Chains is the simulation of the seismic cycle in a fault, i.e. as a renewal model for the repetition of its characteristic earthquakes. This representation is consistent with Reid's elastic rebound theory. Here it is proved that in {\\it any} one-way Markov cycle, the aperiodicity of the corresponding distribution of cycle lengths is always lower than one. This fact concurs with observations of large earthquakes in faults all over the world.

  16. Markov Chains on Orbits of Permutation Groups

    OpenAIRE

    Niepert, Mathias

    2014-01-01

    We present a novel approach to detecting and utilizing symmetries in probabilistic graphical models with two main contributions. First, we present a scalable approach to computing generating sets of permutation groups representing the symmetries of graphical models. Second, we introduce orbital Markov chains, a novel family of Markov chains leveraging model symmetries to reduce mixing times. We establish an insightful connection between model symmetries and rapid mixing of orbital Markov chai...

  17. Markov Trends in Macroeconomic Time Series

    OpenAIRE

    Paap, Richard

    1997-01-01

    textabstractMany macroeconomic time series are characterised by long periods of positive growth, expansion periods, and short periods of negative growth, recessions. A popular model to describe this phenomenon is the Markov trend, which is a stochastic segmented trend where the slope depends on the value of an unobserved two-state first-order Markov process. The two slopes of the Markov trend describe the growth rates in the two phases of the business cycle. This thesis deals with a Bayesian ...

  18. Spectral methods for quantum Markov chains

    International Nuclear Information System (INIS)

    Szehr, Oleg

    2014-01-01

    The aim of this project is to contribute to our understanding of quantum time evolutions, whereby we focus on quantum Markov chains. The latter constitute a natural generalization of the ubiquitous concept of a classical Markov chain to describe evolutions of quantum mechanical systems. We contribute to the theory of such processes by introducing novel methods that allow us to relate the eigenvalue spectrum of the transition map to convergence as well as stability properties of the Markov chain.

  19. A scaling analysis of a cat and mouse Markov chain

    NARCIS (Netherlands)

    Litvak, Nelli; Robert, Philippe

    2012-01-01

    If ($C_n$) a Markov chain on a discrete state space $S$, a Markov chain ($C_n, M_n$) on the product space $S \\times S$, the cat and mouse Markov chain, is constructed. The first coordinate of this Markov chain behaves like the original Markov chain and the second component changes only when both

  20. Markov and mixed models with applications

    DEFF Research Database (Denmark)

    Mortensen, Stig Bousgaard

    the individual in almost any thinkable way. This project focuses on measuring the eects on sleep in both humans and animals. The sleep process is usually analyzed by categorizing small time segments into a number of sleep states and this can be modelled using a Markov process. For this purpose new methods...... for non-parametric estimation of Markov processes are proposed to give a detailed description of the sleep process during the night. Statistically the Markov models considered for sleep states are closely related to the PK models based on SDEs as both models share the Markov property. When the models...

  1. Schmidt games and Markov partitions

    Science.gov (United States)

    Tseng, Jimmy

    2009-03-01

    Let T be a C2-expanding self-map of a compact, connected, C∞, Riemannian manifold M. We correct a minor gap in the proof of a theorem from the literature: the set of points whose forward orbits are nondense has full Hausdorff dimension. Our correction allows us to strengthen the theorem. Combining the correction with Schmidt games, we generalize the theorem in dimension one: given a point x0 ∈ M, the set of points whose forward orbit closures miss x0 is a winning set. Finally, our key lemma, the no matching lemma, may be of independent interest in the theory of symbolic dynamics or the theory of Markov partitions.

  2. Maximizing entropy over Markov processes

    DEFF Research Database (Denmark)

    Biondi, Fabrizio; Legay, Axel; Nielsen, Bo Friis

    2014-01-01

    computation reduces to finding a model of a specification with highest entropy. Entropy maximization for probabilistic process specifications has not been studied before, even though it is well known in Bayesian inference for discrete distributions. We give a characterization of global entropy of a process...... as a reward function, a polynomial algorithm to verify the existence of a system maximizing entropy among those respecting a specification, a procedure for the maximization of reward functions over Interval Markov Chains and its application to synthesize an implementation maximizing entropy. We show how...

  3. Maximizing Entropy over Markov Processes

    DEFF Research Database (Denmark)

    Biondi, Fabrizio; Legay, Axel; Nielsen, Bo Friis

    2013-01-01

    computation reduces to finding a model of a specification with highest entropy. Entropy maximization for probabilistic process specifications has not been studied before, even though it is well known in Bayesian inference for discrete distributions. We give a characterization of global entropy of a process...... as a reward function, a polynomial algorithm to verify the existence of an system maximizing entropy among those respecting a specification, a procedure for the maximization of reward functions over Interval Markov Chains and its application to synthesize an implementation maximizing entropy. We show how...

  4. Markov process of muscle motors

    International Nuclear Information System (INIS)

    Kondratiev, Yu; Pechersky, E; Pirogov, S

    2008-01-01

    We study a Markov random process describing muscle molecular motor behaviour. Every motor is either bound up with a thin filament or unbound. In the bound state the motor creates a force proportional to its displacement from the neutral position. In both states the motor spends an exponential time depending on the state. The thin filament moves at a velocity proportional to the average of all displacements of all motors. We assume that the time which a motor stays in the bound state does not depend on its displacement. Then one can find an exact solution of a nonlinear equation appearing in the limit of an infinite number of motors

  5. Multivariate autoregressive modelling of sea level time series from TOPEX/Poseidon satellite altimetry

    Directory of Open Access Journals (Sweden)

    S. M. Barbosa

    2006-01-01

    Full Text Available This work addresses the autoregressive modelling of sea level time series from TOPEX/Poseidon satellite altimetry mission. Datasets from remote sensing applications are typically very large and correlated both in time and space. Multivariate analysis methods are useful tools to summarise and extract information from such large space-time datasets. Multivariate autoregressive analysis is a generalisation of Principal Oscillation Pattern (POP analysis, widely used in the geosciences for the extraction of dynamical modes by eigen-decomposition of a first order autoregressive model fitted to the multivariate dataset of observations. The extension of the POP methodology to autoregressions of higher order, although increasing the difficulties in estimation, allows one to model a larger class of complex systems. Here, sea level variability in the North Atlantic is modelled by a third order multivariate autoregressive model estimated by stepwise least squares. Eigen-decomposition of the fitted model yields physically-interpretable seasonal modes. The leading autoregressive mode is an annual oscillation and exhibits a very homogeneous spatial structure in terms of amplitude reflecting the large scale coherent behaviour of the annual pattern in the Northern hemisphere. The phase structure reflects the seesaw pattern between the western and eastern regions in the tropical North Atlantic associated with the trade winds regime. The second mode is close to a semi-annual oscillation. Multivariate autoregressive models provide a useful framework for the description of time-varying fields while enclosing a predictive potential.

  6. Autoregressive transitional ordinal model to test for treatment effect in neurological trials with complex endpoints

    Directory of Open Access Journals (Sweden)

    Lorenzo G. Tanadini

    2016-11-01

    Full Text Available Abstract Background A number of potential therapeutic approaches for neurological disorders have failed to provide convincing evidence of efficacy, prompting pharmaceutical and health companies to discontinue their involvement in drug development. Limitations in the statistical analysis of complex endpoints have very likely had a negative impact on the translational process. Methods We propose a transitional ordinal model with an autoregressive component to overcome previous limitations in the analysis of Upper Extremity Motor Scores, a relevant endpoint in the field of Spinal Cord Injury. Statistical power and clinical interpretation of estimated treatment effects of the proposed model were compared to routinely employed approaches in a large simulation study of two-arm randomized clinical trials. A revisitation of a key historical trial provides further comparison between the different analysis approaches. Results The proposed model outperformed all other approaches in virtually all simulation settings, achieving on average 14 % higher statistical power than the respective second-best performing approach (range: -1 %, +34 %. Only the transitional model allows treatment effect estimates to be interpreted as conditional odds ratios, providing clear interpretation and visualization. Conclusion The proposed model takes into account the complex ordinal nature of the endpoint under investigation and explicitly accounts for relevant prognostic factors such as lesion level and baseline information. Superior statistical power, combined with clear clinical interpretation of estimated treatment effects and widespread availability in commercial software, are strong arguments for clinicians and trial scientists to adopt, and further extend, the proposed approach.

  7. Markov-modulated and feedback fluid queues

    NARCIS (Netherlands)

    Scheinhardt, Willem R.W.

    1998-01-01

    In the last twenty years the field of Markov-modulated fluid queues has received considerable attention. In these models a fluid reservoir receives and/or releases fluid at rates which depend on the actual state of a background Markov chain. In the first chapter of this thesis we give a short

  8. Model Checking Algorithms for Markov Reward Models

    NARCIS (Netherlands)

    Cloth, Lucia; Cloth, L.

    2006-01-01

    Model checking Markov reward models unites two different approaches of model-based system validation. On the one hand, Markov reward models have a long tradition in model-based performance and dependability evaluation. On the other hand, a formal method like model checking allows for the precise

  9. Inhomogeneous Markov point processes by transformation

    DEFF Research Database (Denmark)

    Jensen, Eva B. Vedel; Nielsen, Linda Stougaard

    2000-01-01

    We construct parametrized models for point processes, allowing for both inhomogeneity and interaction. The inhomogeneity is obtained by applying parametrized transformations to homogeneous Markov point processes. An interesting model class, which can be constructed by this transformation approach......, is that of exponential inhomogeneous Markov point processes. Statistical inference For such processes is discussed in some detail....

  10. Finding metastabilities in reversible Markov chains based on incomplete sampling

    Directory of Open Access Journals (Sweden)

    Fackeldey Konstantin

    2017-01-01

    Full Text Available In order to fully characterize the state-transition behaviour of finite Markov chains one needs to provide the corresponding transition matrix P. In many applications such as molecular simulation and drug design, the entries of the transition matrix P are estimated by generating realizations of the Markov chain and determining the one-step conditional probability Pij for a transition from one state i to state j. This sampling can be computational very demanding. Therefore, it is a good idea to reduce the sampling effort. The main purpose of this paper is to design a sampling strategy, which provides a partial sampling of only a subset of the rows of such a matrix P. Our proposed approach fits very well to stochastic processes stemming from simulation of molecular systems or random walks on graphs and it is different from the matrix completion approaches which try to approximate the transition matrix by using a low-rank-assumption. It will be shown how Markov chains can be analyzed on the basis of a partial sampling. More precisely. First, we will estimate the stationary distribution from a partially given matrix P. Second, we will estimate the infinitesimal generator Q of P on the basis of this stationary distribution. Third, from the generator we will compute the leading invariant subspace, which should be identical to the leading invariant subspace of P. Forth, we will apply Robust Perron Cluster Analysis (PCCA+ in order to identify metastabilities using this subspace.

  11. Data-driven Markov models and their application in the evaluation of adverse events in radiotherapy

    Science.gov (United States)

    Abler, Daniel; Kanellopoulos, Vassiliki; Davies, Jim; Dosanjh, Manjit; Jena, Raj; Kirkby, Norman; Peach, Ken

    2013-01-01

    Decision-making processes in medicine rely increasingly on modelling and simulation techniques; they are especially useful when combining evidence from multiple sources. Markov models are frequently used to synthesize the available evidence for such simulation studies, by describing disease and treatment progress, as well as associated factors such as the treatment's effects on a patient's life and the costs to society. When the same decision problem is investigated by multiple stakeholders, differing modelling assumptions are often applied, making synthesis and interpretation of the results difficult. This paper proposes a standardized approach towards the creation of Markov models. It introduces the notion of ‘general Markov models’, providing a common definition of the Markov models that underlie many similar decision problems, and develops a language for their specification. We demonstrate the application of this language by developing a general Markov model for adverse event analysis in radiotherapy and argue that the proposed method can automate the creation of Markov models from existing data. The approach has the potential to support the radiotherapy community in conducting systematic analyses involving predictive modelling of existing and upcoming radiotherapy data. We expect it to facilitate the application of modelling techniques in medical decision problems beyond the field of radiotherapy, and to improve the comparability of their results. PMID:23824126

  12. Data-driven Markov models and their application in the evaluation of adverse events in radiotherapy

    International Nuclear Information System (INIS)

    Abler, Daniel; Kanellopoulos, Vassiliki; Dosanjh, Manjit; Davies, Jim; Peach, Ken; Jena, Raj; Kirkby, Norman

    2013-01-01

    Decision-making processes in medicine rely increasingly on modelling and simulation techniques; they are especially useful when combining evidence from multiple sources. Markov models are frequently used to synthesize the available evidence for such simulation studies, by describing disease and treatment progress, as well as associated factors such as the treatment's effects on a patient's life and the costs to society. When the same decision problem is investigated by multiple stakeholders, differing modelling assumptions are often applied, making synthesis and interpretation of the results difficult. This paper proposes a standardized approach towards the creation of Markov models. It introduces the notion of 'general Markov models', providing a common definition of the Markov models that underlie many similar decision problems, and develops a language for their specification. We demonstrate the application of this language by developing a general Markov model for adverse event analysis in radiotherapy and argue that the proposed method can automate the creation of Markov models from existing data. The approach has the potential to support the radiotherapy community in conducting systematic analyses involving predictive modelling of existing and upcoming radiotherapy data. We expect it to facilitate the application of modelling techniques in medical decision problems beyond the field of radiotherapy, and to improve the comparability of their results. (author)

  13. Choice of the parameters of the cusum algorithms for parameter estimation in the markov modulated poisson process

    OpenAIRE

    Burkatovskaya, Yuliya Borisovna; Kabanova, T.; Khaustov, Pavel Aleksandrovich

    2016-01-01

    CUSUM algorithm for controlling chain state switching in the Markov modulated Poissonprocess was investigated via simulation. Recommendations concerning the parameter choice were givensubject to characteristics of the process. Procedure of the process parameter estimation was described.

  14. Multivariate longitudinal data analysis with mixed effects hidden Markov models.

    Science.gov (United States)

    Raffa, Jesse D; Dubin, Joel A

    2015-09-01

    Multiple longitudinal responses are often collected as a means to capture relevant features of the true outcome of interest, which is often hidden and not directly measurable. We outline an approach which models these multivariate longitudinal responses as generated from a hidden disease process. We propose a class of models which uses a hidden Markov model with separate but correlated random effects between multiple longitudinal responses. This approach was motivated by a smoking cessation clinical trial, where a bivariate longitudinal response involving both a continuous and a binomial response was collected for each participant to monitor smoking behavior. A Bayesian method using Markov chain Monte Carlo is used. Comparison of separate univariate response models to the bivariate response models was undertaken. Our methods are demonstrated on the smoking cessation clinical trial dataset, and properties of our approach are examined through extensive simulation studies. © 2015, The International Biometric Society.

  15. Geometric allocation approaches in Markov chain Monte Carlo

    International Nuclear Information System (INIS)

    Todo, S; Suwa, H

    2013-01-01

    The Markov chain Monte Carlo method is a versatile tool in statistical physics to evaluate multi-dimensional integrals numerically. For the method to work effectively, we must consider the following key issues: the choice of ensemble, the selection of candidate states, the optimization of transition kernel, algorithm for choosing a configuration according to the transition probabilities. We show that the unconventional approaches based on the geometric allocation of probabilities or weights can improve the dynamics and scaling of the Monte Carlo simulation in several aspects. Particularly, the approach using the irreversible kernel can reduce or sometimes completely eliminate the rejection of trial move in the Markov chain. We also discuss how the space-time interchange technique together with Walker's method of aliases can reduce the computational time especially for the case where the number of candidates is large, such as models with long-range interactions

  16. Quantum Markov Chain Mixing and Dissipative Engineering

    DEFF Research Database (Denmark)

    Kastoryano, Michael James

    2012-01-01

    (stationary states). The aim of Markov chain mixing is to obtain (upper and/or lower) bounds on the number of steps it takes for the Markov chain to reach a stationary state. The natural quantum extensions of these notions are density matrices and quantum channels. We set out to develop a general mathematical......This thesis is the fruit of investigations on the extension of ideas of Markov chain mixing to the quantum setting, and its application to problems of dissipative engineering. A Markov chain describes a statistical process where the probability of future events depends only on the state...... framework for studying quantum Markov chain mixing. We introduce two new distance measures into the quantum setting; the quantum $\\chi^2$-divergence and Hilbert's projective metric. With the help of these distance measures, we are able to derive some basic bounds on the the mixing times of quantum channels...

  17. Classification Using Markov Blanket for Feature Selection

    DEFF Research Database (Denmark)

    Zeng, Yifeng; Luo, Jian

    2009-01-01

    Selecting relevant features is in demand when a large data set is of interest in a classification task. It produces a tractable number of features that are sufficient and possibly improve the classification performance. This paper studies a statistical method of Markov blanket induction algorithm...... for filtering features and then applies a classifier using the Markov blanket predictors. The Markov blanket contains a minimal subset of relevant features that yields optimal classification performance. We experimentally demonstrate the improved performance of several classifiers using a Markov blanket...... induction as a feature selection method. In addition, we point out an important assumption behind the Markov blanket induction algorithm and show its effect on the classification performance....

  18. ANALYSIS OF ROLLING GROUP THERAPY DATA USING CONDITIONALLY AUTOREGRESSIVE PRIORS.

    Science.gov (United States)

    Paddock, Susan M; Hunter, Sarah B; Watkins, Katherine E; McCaffrey, Daniel F

    2011-06-01

    Group therapy is a central treatment modality for behavioral health disorders such as alcohol and other drug use (AOD) and depression. Group therapy is often delivered under a rolling (or open) admissions policy, where new clients are continuously enrolled into a group as space permits. Rolling admissions policies result in a complex correlation structure among client outcomes. Despite the ubiquity of rolling admissions in practice, little guidance on the analysis of such data is available. We discuss the limitations of previously proposed approaches in the context of a study that delivered group cognitive behavioral therapy for depression to clients in residential substance abuse treatment. We improve upon previous rolling group analytic approaches by fully modeling the interrelatedness of client depressive symptom scores using a hierarchical Bayesian model that assumes a conditionally autoregressive prior for session-level random effects. We demonstrate improved performance using our method for estimating the variance of model parameters and the enhanced ability to learn about the complex correlation structure among participants in rolling therapy groups. Our approach broadly applies to any group therapy setting where groups have changing client composition. It will lead to more efficient analyses of client-level data and improve the group therapy research community's ability to understand how the dynamics of rolling groups lead to client outcomes.

  19. Prediction of municipal solid waste generation using nonlinear autoregressive network.

    Science.gov (United States)

    Younes, Mohammad K; Nopiah, Z M; Basri, N E Ahmad; Basri, H; Abushammala, Mohammed F M; Maulud, K N A

    2015-12-01

    Most of the developing countries have solid waste management problems. Solid waste strategic planning requires accurate prediction of the quality and quantity of the generated waste. In developing countries, such as Malaysia, the solid waste generation rate is increasing rapidly, due to population growth and new consumption trends that characterize society. This paper proposes an artificial neural network (ANN) approach using feedforward nonlinear autoregressive network with exogenous inputs (NARX) to predict annual solid waste generation in relation to demographic and economic variables like population number, gross domestic product, electricity demand per capita and employment and unemployment numbers. In addition, variable selection procedures are also developed to select a significant explanatory variable. The model evaluation was performed using coefficient of determination (R(2)) and mean square error (MSE). The optimum model that produced the lowest testing MSE (2.46) and the highest R(2) (0.97) had three inputs (gross domestic product, population and employment), eight neurons and one lag in the hidden layer, and used Fletcher-Powell's conjugate gradient as the training algorithm.

  20. Biometeorological and autoregressive indices for predicting olive pollen intensity.

    Science.gov (United States)

    Oteros, J; García-Mozo, H; Hervás, C; Galán, C

    2013-03-01

    This paper reports on modelling to predict airborne olive pollen season severity, expressed as a pollen index (PI), in Córdoba province (southern Spain) several weeks prior to the pollen season start. Using a 29-year database (1982-2010), a multivariate regression model based on five indices-the index-based model-was built to enhance the efficacy of prediction models. Four of the indices used were biometeorological indices: thermal index, pre-flowering hydric index, dormancy hydric index and summer index; the fifth was an autoregressive cyclicity index based on pollen data from previous years. The extreme weather events characteristic of the Mediterranean climate were also taken into account by applying different adjustment criteria. The results obtained with this model were compared with those yielded by a traditional meteorological-based model built using multivariate regression analysis of simple meteorological-related variables. The performance of the models (confidence intervals, significance levels and standard errors) was compared, and they were also validated using the bootstrap method. The index-based model built on biometeorological and cyclicity indices was found to perform better for olive pollen forecasting purposes than the traditional meteorological-based model.

  1. Likelihood inference for a fractionally cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Ørregård Nielsen, Morten

    2012-01-01

    such that the process X_{t} is fractional of order d and cofractional of order d-b; that is, there exist vectors ß for which ß'X_{t} is fractional of order d-b, and no other fractionality order is possible. We define the statistical model by 0inference when the true values satisfy b0¿1/2 and d0-b0......We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model with a restricted constant term, ¿, based on the Gaussian likelihood conditional on initial values. The model nests the I(d) VAR model. We give conditions on the parameters...... process in the parameters when errors are i.i.d. with suitable moment conditions and initial values are bounded. When the limit is deterministic this implies uniform convergence in probability of the conditional likelihood function. If the true value b0>1/2, we prove that the limit distribution of (ß...

  2. On Determining the Order of Markov Dependence of an Observed Process Governed by a Hidden Markov Model

    OpenAIRE

    R.J. Boys; D.A. Henderson

    2002-01-01

    This paper describes a Bayesian approach to determining the order of a finite state Markov chain whose transition probabilities are themselves governed by a homogeneous finite state Markov chain. It extends previous work on homogeneous Markov chains to more general and applicable hidden Markov models. The method we describe uses a Markov chain Monte Carlo algorithm to obtain samples from the (posterior) distribution for both the order of Markov dependence in the observed sequence and the othe...

  3. Dynamic modeling of presence of occupants using inhomogeneous Markov chains

    DEFF Research Database (Denmark)

    Andersen, Philip Hvidthøft Delff; Iversen, Anne; Madsen, Henrik

    2014-01-01

    on inhomogeneous Markov chains with where the transition probabilities are estimated using generalized linear models with polynomials, B-splines, and a filter of passed observations as inputs. For treating the dispersion of the data series, a hierarchical model structure is used where one model is for low presence......Occupancy modeling is a necessary step towards reliable simulation of energy consumption in buildings. This paper outlines a method for fitting recordings of presence of occupants and simulation of single-person to multiple-persons office environments. The method includes modeling of dependence...

  4. Autoregressive Modeling of Drift and Random Error to Characterize a Continuous Intravascular Glucose Monitoring Sensor.

    Science.gov (United States)

    Zhou, Tony; Dickson, Jennifer L; Geoffrey Chase, J

    2018-01-01

    Continuous glucose monitoring (CGM) devices have been effective in managing diabetes and offer potential benefits for use in the intensive care unit (ICU). Use of CGM devices in the ICU has been limited, primarily due to the higher point accuracy errors over currently used traditional intermittent blood glucose (BG) measures. General models of CGM errors, including drift and random errors, are lacking, but would enable better design of protocols to utilize these devices. This article presents an autoregressive (AR) based modeling method that separately characterizes the drift and random noise of the GlySure CGM sensor (GlySure Limited, Oxfordshire, UK). Clinical sensor data (n = 33) and reference measurements were used to generate 2 AR models to describe sensor drift and noise. These models were used to generate 100 Monte Carlo simulations based on reference blood glucose measurements. These were then compared to the original CGM clinical data using mean absolute relative difference (MARD) and a Trend Compass. The point accuracy MARD was very similar between simulated and clinical data (9.6% vs 9.9%). A Trend Compass was used to assess trend accuracy, and found simulated and clinical sensor profiles were similar (simulated trend index 11.4° vs clinical trend index 10.9°). The model and method accurately represents cohort sensor behavior over patients, providing a general modeling approach to any such sensor by separately characterizing each type of error that can arise in the data. Overall, it enables better protocol design based on accurate expected CGM sensor behavior, as well as enabling the analysis of what level of each type of sensor error would be necessary to obtain desired glycemic control safety and performance with a given protocol.

  5. Schmidt games and Markov partitions

    International Nuclear Information System (INIS)

    Tseng, Jimmy

    2009-01-01

    Let T be a C 2 -expanding self-map of a compact, connected, C ∞ , Riemannian manifold M. We correct a minor gap in the proof of a theorem from the literature: the set of points whose forward orbits are nondense has full Hausdorff dimension. Our correction allows us to strengthen the theorem. Combining the correction with Schmidt games, we generalize the theorem in dimension one: given a point x 0 in M, the set of points whose forward orbit closures miss x 0 is a winning set. Finally, our key lemma, the no matching lemma, may be of independent interest in the theory of symbolic dynamics or the theory of Markov partitions

  6. Analysis of queueing system with discrete autoregressive arrivals having DML as marginal distribution

    Directory of Open Access Journals (Sweden)

    Bindu Abraham

    2014-05-01

    Full Text Available In this paper we analyze DAR(1/D/s Queue with Discrete Mittag-Leffler [DML(α] as marginal distribution. Simulation study of the sample path of the arrival process is conducted. For this queueing system, the stationary distribution of the system size and the waiting time distribution of an arbitrary packet is obtained with the help of matrix analytic methods and Markov regenerative theory. The quantitative effect of the stationary distribution on system size, waiting time and  the autocorrelation function as well as the parameters of the input traffic is illustrated empirically. The model is applied to a real data on the passenger arrivals at a subway bus terminal in Santiago de Chile and is established that the model well suits this data.

  7. Modeling Nonstationary Emotion Dynamics in Dyads using a Time-Varying Vector-Autoregressive Model.

    Science.gov (United States)

    Bringmann, Laura F; Ferrer, Emilio; Hamaker, Ellen L; Borsboom, Denny; Tuerlinckx, Francis

    2018-03-05

    Emotion dynamics are likely to arise in an interpersonal context. Standard methods to study emotions in interpersonal interaction are limited because stationarity is assumed. This means that the dynamics, for example, time-lagged relations, are invariant across time periods. However, this is generally an unrealistic assumption. Whether caused by an external (e.g., divorce) or an internal (e.g., rumination) event, emotion dynamics are prone to change. The semi-parametric time-varying vector-autoregressive (TV-VAR) model is based on well-studied generalized additive models, implemented in the software R. The TV-VAR can explicitly model changes in temporal dependency without pre-existing knowledge about the nature of change. A simulation study is presented, showing that the TV-VAR model is superior to the standard time-invariant VAR model when the dynamics change over time. The TV-VAR model is applied to empirical data on daily feelings of positive affect (PA) from a single couple. Our analyses indicate reliable changes in the male's emotion dynamics over time, but not in the female's-which were not predicted by her own affect or that of her partner. This application illustrates the usefulness of using a TV-VAR model to detect changes in the dynamics in a system.

  8. A Ramp Cosine Cepstrum Model for the Parameter Estimation of Autoregressive Systems at Low SNR

    Directory of Open Access Journals (Sweden)

    Shaikh Anowarul Fattah

    2010-01-01

    Full Text Available A new cosine cepstrum model-based scheme is presented for the parameter estimation of a minimum-phase autoregressive (AR system under low levels of signal-to-noise ratio (SNR. A ramp cosine cepstrum (RCC model for the one-sided autocorrelation function (OSACF of an AR signal is first proposed by considering both white noise and periodic impulse-train excitations. Using the RCC model, a residue-based least-squares optimization technique that guarantees the stability of the system is then presented in order to estimate the AR parameters from noisy output observations. For the purpose of implementation, the discrete cosine transform, which can efficiently handle the phase unwrapping problem and offer computational advantages as compared to the discrete Fourier transform, is employed. From extensive experimentations on AR systems of different orders, it is shown that the proposed method is capable of estimating parameters accurately and consistently in comparison to some of the existing methods for the SNR levels as low as −5 dB. As a practical application of the proposed technique, simulation results are also provided for the identification of a human vocal tract system using noise-corrupted natural speech signals demonstrating a superior estimation performance in terms of the power spectral density of the synthesized speech signals.

  9. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size

    Directory of Open Access Journals (Sweden)

    Zhihua Wang

    2014-01-01

    Full Text Available Reasonable prediction makes significant practical sense to stochastic and unstable time series analysis with small or limited sample size. Motivated by the rolling idea in grey theory and the practical relevance of very short-term forecasting or 1-step-ahead prediction, a novel autoregressive (AR prediction approach with rolling mechanism is proposed. In the modeling procedure, a new developed AR equation, which can be used to model nonstationary time series, is constructed in each prediction step. Meanwhile, the data window, for the next step ahead forecasting, rolls on by adding the most recent derived prediction result while deleting the first value of the former used sample data set. This rolling mechanism is an efficient technique for its advantages of improved forecasting accuracy, applicability in the case of limited and unstable data situations, and requirement of little computational effort. The general performance, influence of sample size, nonlinearity dynamic mechanism, and significance of the observed trends, as well as innovation variance, are illustrated and verified with Monte Carlo simulations. The proposed methodology is then applied to several practical data sets, including multiple building settlement sequences and two economic series.

  10. Double sampling control chart for a first order autoregressive process

    Directory of Open Access Journals (Sweden)

    Fernando A. E. Claro

    2008-12-01

    Full Text Available In this paper we propose the Double Sampling control chart for monitoring processes in which the observations follow a first order autoregressive model. We consider sampling intervals that are sufficiently long to meet the rational subgroup concept. The Double Sampling chart is substantially more efficient than the Shewhart chart and the Variable Sample Size chart. To study the properties of these charts we derived closed-form expressions for the average run length (ARL taking into account the within-subgroup correlation. Numerical results show that this correlation has a significant impact on the chart properties.Neste artigo propomos o gráfico de controle de amostragem dupla para monitoramento de processos nos quais as observações seguem um modelo autoregressivo de primeira ordem. Nós consideramos intervalos de amostragem suficientemente longos em linha com o conceito de subgrupos racionais. O gráfico de controle de amostragem dupla é substancialmente mais eficiente que o Gráfico de Shewhart e do que o Gráfico com Amostra de Tamanho Variável. Para estudar as propriedades destes gráficos nós derivamos expressões de forma-fechada para o Numero Médio de Amostras até o Sinal (NMA levando em conta a correlação dentro do subgrupo. Os resultados numéricos mostram que esta correlação tem impacto significante sobre as propriedades do gráfico.

  11. Finite Markov processes and their applications

    CERN Document Server

    Iosifescu, Marius

    2007-01-01

    A self-contained treatment of finite Markov chains and processes, this text covers both theory and applications. Author Marius Iosifescu, vice president of the Romanian Academy and director of its Center for Mathematical Statistics, begins with a review of relevant aspects of probability theory and linear algebra. Experienced readers may start with the second chapter, a treatment of fundamental concepts of homogeneous finite Markov chain theory that offers examples of applicable models.The text advances to studies of two basic types of homogeneous finite Markov chains: absorbing and ergodic ch

  12. Markov chains models, algorithms and applications

    CERN Document Server

    Ching, Wai-Ki; Ng, Michael K; Siu, Tak-Kuen

    2013-01-01

    This new edition of Markov Chains: Models, Algorithms and Applications has been completely reformatted as a text, complete with end-of-chapter exercises, a new focus on management science, new applications of the models, and new examples with applications in financial risk management and modeling of financial data.This book consists of eight chapters.  Chapter 1 gives a brief introduction to the classical theory on both discrete and continuous time Markov chains. The relationship between Markov chains of finite states and matrix theory will also be highlighted. Some classical iterative methods

  13. Coding with partially hidden Markov models

    DEFF Research Database (Denmark)

    Forchhammer, Søren; Rissanen, J.

    1995-01-01

    Partially hidden Markov models (PHMM) are introduced. They are a variation of the hidden Markov models (HMM) combining the power of explicit conditioning on past observations and the power of using hidden states. (P)HMM may be combined with arithmetic coding for lossless data compression. A general....... The PHMM structure and the conditions of the convergence proof allows for application of the PHMM to image coding. Relations between the PHMM and hidden Markov models (HMM) are treated. Results of coding bi-level images with the PHMM coding scheme is given. The results indicate that the PHMM can adapt...

  14. On the entropy of a hidden Markov process.

    Science.gov (United States)

    Jacquet, Philippe; Seroussi, Gadiel; Szpankowski, Wojciech

    2008-05-01

    We study the entropy rate of a hidden Markov process (HMP) defined by observing the output of a binary symmetric channel whose input is a first-order binary Markov process. Despite the simplicity of the models involved, the characterization of this entropy is a long standing open problem. By presenting the probability of a sequence under the model as a product of random matrices, one can see that the entropy rate sought is equal to a top Lyapunov exponent of the product. This offers an explanation for the elusiveness of explicit expressions for the HMP entropy rate, as Lyapunov exponents are notoriously difficult to compute. Consequently, we focus on asymptotic estimates, and apply the same product of random matrices to derive an explicit expression for a Taylor approximation of the entropy rate with respect to the parameter of the binary symmetric channel. The accuracy of the approximation is validated against empirical simulation results. We also extend our results to higher-order Markov processes and to Rényi entropies of any order.

  15. Tornadoes and related damage costs: statistical modelling with a semi-Markov approach

    Directory of Open Access Journals (Sweden)

    Guglielmo D’Amico

    2016-09-01

    Full Text Available We propose a statistical approach to modelling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modelling the tornado intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita scale divides tornado intensity into six states, it is possible to model the tornado intensity by using Markov and semi-Markov models. We demonstrate that the semi-Markov approach is able to reproduce the duration effect that is detected in tornado occurrence. The superiority of the semi-Markov model as compared to the Markov chain model is also affirmed by means of a statistical test of hypothesis. As an application, we compute the expected value and the variance of the costs generated by the tornadoes over a given time interval in a given area. The paper contributes to the literature by demonstrating that semi-Markov models represent an effective tool for physical analysis of tornadoes as well as for the estimation of the economic damages to human things.

  16. Bayesian posterior distributions without Markov chains.

    Science.gov (United States)

    Cole, Stephen R; Chu, Haitao; Greenland, Sander; Hamra, Ghassan; Richardson, David B

    2012-03-01

    Bayesian posterior parameter distributions are often simulated using Markov chain Monte Carlo (MCMC) methods. However, MCMC methods are not always necessary and do not help the uninitiated understand Bayesian inference. As a bridge to understanding Bayesian inference, the authors illustrate a transparent rejection sampling method. In example 1, they illustrate rejection sampling using 36 cases and 198 controls from a case-control study (1976-1983) assessing the relation between residential exposure to magnetic fields and the development of childhood cancer. Results from rejection sampling (odds ratio (OR) = 1.69, 95% posterior interval (PI): 0.57, 5.00) were similar to MCMC results (OR = 1.69, 95% PI: 0.58, 4.95) and approximations from data-augmentation priors (OR = 1.74, 95% PI: 0.60, 5.06). In example 2, the authors apply rejection sampling to a cohort study of 315 human immunodeficiency virus seroconverters (1984-1998) to assess the relation between viral load after infection and 5-year incidence of acquired immunodeficiency syndrome, adjusting for (continuous) age at seroconversion and race. In this more complex example, rejection sampling required a notably longer run time than MCMC sampling but remained feasible and again yielded similar results. The transparency of the proposed approach comes at a price of being less broadly applicable than MCMC.

  17. Bayesian Posterior Distributions Without Markov Chains

    Science.gov (United States)

    Cole, Stephen R.; Chu, Haitao; Greenland, Sander; Hamra, Ghassan; Richardson, David B.

    2012-01-01

    Bayesian posterior parameter distributions are often simulated using Markov chain Monte Carlo (MCMC) methods. However, MCMC methods are not always necessary and do not help the uninitiated understand Bayesian inference. As a bridge to understanding Bayesian inference, the authors illustrate a transparent rejection sampling method. In example 1, they illustrate rejection sampling using 36 cases and 198 controls from a case-control study (1976–1983) assessing the relation between residential exposure to magnetic fields and the development of childhood cancer. Results from rejection sampling (odds ratio (OR) = 1.69, 95% posterior interval (PI): 0.57, 5.00) were similar to MCMC results (OR = 1.69, 95% PI: 0.58, 4.95) and approximations from data-augmentation priors (OR = 1.74, 95% PI: 0.60, 5.06). In example 2, the authors apply rejection sampling to a cohort study of 315 human immunodeficiency virus seroconverters (1984–1998) to assess the relation between viral load after infection and 5-year incidence of acquired immunodeficiency syndrome, adjusting for (continuous) age at seroconversion and race. In this more complex example, rejection sampling required a notably longer run time than MCMC sampling but remained feasible and again yielded similar results. The transparency of the proposed approach comes at a price of being less broadly applicable than MCMC. PMID:22306565

  18. Mission reliability of semi-Markov systems under generalized operational time requirements

    International Nuclear Information System (INIS)

    Wu, Xiaoyue; Hillston, Jane

    2015-01-01

    Mission reliability of a system depends on specific criteria for mission success. To evaluate the mission reliability of some mission systems that do not need to work normally for the whole mission time, two types of mission reliability for such systems are studied. The first type corresponds to the mission requirement that the system must remain operational continuously for a minimum time within the given mission time interval, while the second corresponds to the mission requirement that the total operational time of the system within the mission time window must be greater than a given value. Based on Markov renewal properties, matrix integral equations are derived for semi-Markov systems. Numerical algorithms and a simulation procedure are provided for both types of mission reliability. Two examples are used for illustration purposes. One is a one-unit repairable Markov system, and the other is a cold standby semi-Markov system consisting of two components. By the proposed approaches, the mission reliability of systems with time redundancy can be more precisely estimated to avoid possible unnecessary redundancy of system resources. - Highlights: • Two types of mission reliability under generalized requirements are defined. • Equations for both types of reliability are derived for semi-Markov systems. • Numerical methods are given for solving both types of reliability. • Simulation procedure is given for estimating both types of reliability. • Verification of the numerical methods is given by the results of simulation

  19. A Bayesian method for construction of Markov models to describe dynamics on various time-scales.

    Science.gov (United States)

    Rains, Emily K; Andersen, Hans C

    2010-10-14

    The dynamics of many biological processes of interest, such as the folding of a protein, are slow and complicated enough that a single molecular dynamics simulation trajectory of the entire process is difficult to obtain in any reasonable amount of time. Moreover, one such simulation may not be sufficient to develop an understanding of the mechanism of the process, and multiple simulations may be necessary. One approach to circumvent this computational barrier is the use of Markov state models. These models are useful because they can be constructed using data from a large number of shorter simulations instead of a single long simulation. This paper presents a new Bayesian method for the construction of Markov models from simulation data. A Markov model is specified by (τ,P,T), where τ is the mesoscopic time step, P is a partition of configuration space into mesostates, and T is an N(P)×N(P) transition rate matrix for transitions between the mesostates in one mesoscopic time step, where N(P) is the number of mesostates in P. The method presented here is different from previous Bayesian methods in several ways. (1) The method uses Bayesian analysis to determine the partition as well as the transition probabilities. (2) The method allows the construction of a Markov model for any chosen mesoscopic time-scale τ. (3) It constructs Markov models for which the diagonal elements of T are all equal to or greater than 0.5. Such a model will be called a "consistent mesoscopic Markov model" (CMMM). Such models have important advantages for providing an understanding of the dynamics on a mesoscopic time-scale. The Bayesian method uses simulation data to find a posterior probability distribution for (P,T) for any chosen τ. This distribution can be regarded as the Bayesian probability that the kinetics observed in the atomistic simulation data on the mesoscopic time-scale τ was generated by the CMMM specified by (P,T). An optimization algorithm is used to find the most

  20. Hidden Markov models: the best models for forager movements?

    Science.gov (United States)

    Joo, Rocio; Bertrand, Sophie; Tam, Jorge; Fablet, Ronan

    2013-01-01

    One major challenge in the emerging field of movement ecology is the inference of behavioural modes from movement patterns. This has been mainly addressed through Hidden Markov models (HMMs). We propose here to evaluate two sets of alternative and state-of-the-art modelling approaches. First, we consider hidden semi-Markov models (HSMMs). They may better represent the behavioural dynamics of foragers since they explicitly model the duration of the behavioural modes. Second, we consider discriminative models which state the inference of behavioural modes as a classification issue, and may take better advantage of multivariate and non linear combinations of movement pattern descriptors. For this work, we use a dataset of >200 trips from human foragers, Peruvian fishermen targeting anchovy. Their movements were recorded through a Vessel Monitoring System (∼1 record per hour), while their behavioural modes (fishing, searching and cruising) were reported by on-board observers. We compare the efficiency of hidden Markov, hidden semi-Markov, and three discriminative models (random forests, artificial neural networks and support vector machines) for inferring the fishermen behavioural modes, using a cross-validation procedure. HSMMs show the highest accuracy (80%), significantly outperforming HMMs and discriminative models. Simulations show that data with higher temporal resolution, HSMMs reach nearly 100% of accuracy. Our results demonstrate to what extent the sequential nature of movement is critical for accurately inferring behavioural modes from a trajectory and we strongly recommend the use of HSMMs for such purpose. In addition, this work opens perspectives on the use of hybrid HSMM-discriminative models, where a discriminative setting for the observation process of HSMMs could greatly improve inference performance.

  1. Hidden Markov models: the best models for forager movements?

    Directory of Open Access Journals (Sweden)

    Rocio Joo

    Full Text Available One major challenge in the emerging field of movement ecology is the inference of behavioural modes from movement patterns. This has been mainly addressed through Hidden Markov models (HMMs. We propose here to evaluate two sets of alternative and state-of-the-art modelling approaches. First, we consider hidden semi-Markov models (HSMMs. They may better represent the behavioural dynamics of foragers since they explicitly model the duration of the behavioural modes. Second, we consider discriminative models which state the inference of behavioural modes as a classification issue, and may take better advantage of multivariate and non linear combinations of movement pattern descriptors. For this work, we use a dataset of >200 trips from human foragers, Peruvian fishermen targeting anchovy. Their movements were recorded through a Vessel Monitoring System (∼1 record per hour, while their behavioural modes (fishing, searching and cruising were reported by on-board observers. We compare the efficiency of hidden Markov, hidden semi-Markov, and three discriminative models (random forests, artificial neural networks and support vector machines for inferring the fishermen behavioural modes, using a cross-validation procedure. HSMMs show the highest accuracy (80%, significantly outperforming HMMs and discriminative models. Simulations show that data with higher temporal resolution, HSMMs reach nearly 100% of accuracy. Our results demonstrate to what extent the sequential nature of movement is critical for accurately inferring behavioural modes from a trajectory and we strongly recommend the use of HSMMs for such purpose. In addition, this work opens perspectives on the use of hybrid HSMM-discriminative models, where a discriminative setting for the observation process of HSMMs could greatly improve inference performance.

  2. A scaling analysis of a cat and mouse Markov chain

    NARCIS (Netherlands)

    Litvak, Nelli; Robert, Philippe

    Motivated by an original on-line page-ranking algorithm, starting from an arbitrary Markov chain $(C_n)$ on a discrete state space ${\\cal S}$, a Markov chain $(C_n,M_n)$ on the product space ${\\cal S}^2$, the cat and mouse Markov chain, is constructed. The first coordinate of this Markov chain

  3. Generated dynamics of Markov and quantum processes

    CERN Document Server

    Janßen, Martin

    2016-01-01

    This book presents Markov and quantum processes as two sides of a coin called generated stochastic processes. It deals with quantum processes as reversible stochastic processes generated by one-step unitary operators, while Markov processes are irreversible stochastic processes generated by one-step stochastic operators. The characteristic feature of quantum processes are oscillations, interference, lots of stationary states in bounded systems and possible asymptotic stationary scattering states in open systems, while the characteristic feature of Markov processes are relaxations to a single stationary state. Quantum processes apply to systems where all variables, that control reversibility, are taken as relevant variables, while Markov processes emerge when some of those variables cannot be followed and are thus irrelevant for the dynamic description. Their absence renders the dynamic irreversible. A further aim is to demonstrate that almost any subdiscipline of theoretical physics can conceptually be put in...

  4. Timed Comparisons of Semi-Markov Processes

    DEFF Research Database (Denmark)

    Pedersen, Mathias Ruggaard; Larsen, Kim Guldstrand; Bacci, Giorgio

    2018-01-01

    Semi-Markov processes are Markovian processes in which the firing time of transitions is modelled by probabilistic distributions over positive reals interpreted as the probability of firing a transition at a certain moment in time. In this paper we consider the trace-based semantics of semi......-Markov processes, and investigate the question of how to compare two semi-Markov processes with respect to their time-dependent behaviour. To this end, we introduce the relation of being “faster than” between processes and study its algorithmic complexity. Through a connection to probabilistic automata we obtain...... hardness results showing in particular that this relation is undecidable. However, we present an additive approximation algorithm for a time-bounded variant of the faster-than problem over semi-Markov processes with slow residence-time functions, and a coNP algorithm for the exact faster-than problem over...

  5. On Continuous Time Markov Processes in Bargaining

    NARCIS (Netherlands)

    Houba, H.E.D.

    2008-01-01

    For bilateral stochastic bargaining procedures embedded in stable homogeneous continuous-time Markov processes, we show unusual limit results when time between rounds vanish. Standard convergence results require that some states are instantaneous. © 2008.

  6. Ricin and the assassination of Georgi Markov.

    Science.gov (United States)

    Papaloucas, M; Papaloucas, C; Stergioulas, A

    2008-10-01

    The purpose of this study was to investigate the dead reasons of Georgi Markov. Georgi Markov, a well known Bulgarian novelist and playwright, dissident of the communist regime in his country, escaped to England where, he dedicated himself in broadcasting from BBC World Service, the Radio Free Europe and the German Deutsche Welle against the communist party and especially against its leader Todor Zhivkov who in a party's meeting told that he wanted Markov silenced for ever. On the 7th September 1978 Markov received a deadly dose of the poison ricin by injection to his thigh by a specially modified umbrella. He died without a final diagnosis a few days later. The autopsy revealed the poisoning. The murderer, in spite of the efforts of the Police, Interpol and Diplomacy still remains unknown.

  7. Perspective: Markov models for long-timescale biomolecular dynamics

    International Nuclear Information System (INIS)

    Schwantes, C. R.; McGibbon, R. T.; Pande, V. S.

    2014-01-01

    Molecular dynamics simulations have the potential to provide atomic-level detail and insight to important questions in chemical physics that cannot be observed in typical experiments. However, simply generating a long trajectory is insufficient, as researchers must be able to transform the data in a simulation trajectory into specific scientific insights. Although this analysis step has often been taken for granted, it deserves further attention as large-scale simulations become increasingly routine. In this perspective, we discuss the application of Markov models to the analysis of large-scale biomolecular simulations. We draw attention to recent improvements in the construction of these models as well as several important open issues. In addition, we highlight recent theoretical advances that pave the way for a new generation of models of molecular kinetics

  8. Financial Applications of Bivariate Markov Processes

    OpenAIRE

    Ortobelli Lozza, Sergio; Angelelli, Enrico; Bianchi, Annamaria

    2011-01-01

    This paper describes a methodology to approximate a bivariate Markov process by means of a proper Markov chain and presents possible financial applications in portfolio theory, option pricing and risk management. In particular, we first show how to model the joint distribution between market stochastic bounds and future wealth and propose an application to large-scale portfolio problems. Secondly, we examine an application to VaR estimation. Finally, we propose a methodology...

  9. Markov chains and decision processes for engineers and managers

    CERN Document Server

    Sheskin, Theodore J

    2010-01-01

    Markov Chain Structure and ModelsHistorical NoteStates and TransitionsModel of the WeatherRandom WalksEstimating Transition ProbabilitiesMultiple-Step Transition ProbabilitiesState Probabilities after Multiple StepsClassification of StatesMarkov Chain StructureMarkov Chain ModelsProblemsReferencesRegular Markov ChainsSteady State ProbabilitiesFirst Passage to a Target StateProblemsReferencesReducible Markov ChainsCanonical Form of the Transition MatrixTh

  10. A Poisson-lognormal conditional-autoregressive model for multivariate spatial analysis of pedestrian crash counts across neighborhoods.

    Science.gov (United States)

    Wang, Yiyi; Kockelman, Kara M

    2013-11-01

    This work examines the relationship between 3-year pedestrian crash counts across Census tracts in Austin, Texas, and various land use, network, and demographic attributes, such as land use balance, residents' access to commercial land uses, sidewalk density, lane-mile densities (by roadway class), and population and employment densities (by type). The model specification allows for region-specific heterogeneity, correlation across response types, and spatial autocorrelation via a Poisson-based multivariate conditional auto-regressive (CAR) framework and is estimated using Bayesian Markov chain Monte Carlo methods. Least-squares regression estimates of walk-miles traveled per zone serve as the exposure measure. Here, the Poisson-lognormal multivariate CAR model outperforms an aspatial Poisson-lognormal multivariate model and a spatial model (without cross-severity correlation), both in terms of fit and inference. Positive spatial autocorrelation emerges across neighborhoods, as expected (due to latent heterogeneity or missing variables that trend in space, resulting in spatial clustering of crash counts). In comparison, the positive aspatial, bivariate cross correlation of severe (fatal or incapacitating) and non-severe crash rates reflects latent covariates that have impacts across severity levels but are more local in nature (such as lighting conditions and local sight obstructions), along with spatially lagged cross correlation. Results also suggest greater mixing of residences and commercial land uses is associated with higher pedestrian crash risk across different severity levels, ceteris paribus, presumably since such access produces more potential conflicts between pedestrian and vehicle movements. Interestingly, network densities show variable effects, and sidewalk provision is associated with lower severe-crash rates. Copyright © 2013 Elsevier Ltd. All rights reserved.

  11. Master equation for She-Leveque scaling and its classification in terms of other Markov models of developed turbulence

    OpenAIRE

    Nickelsen, Daniel

    2017-01-01

    We derive the Markov process equivalent to She-Leveque scaling in homogeneous and isotropic turbulence. The Markov process is a jump process for velocity increments $u(r)$ in scale $r$ in which the jumps occur randomly but with deterministic width in $u$. From its master equation we establish a prescription to simulate the She-Leveque process and compare it with Kolmogorov scaling. To put the She-Leveque process into the context of other established turbulence models on the Markov level, we d...

  12. Non-parametric Bayesian inference for inhomogeneous Markov point processes

    DEFF Research Database (Denmark)

    Berthelsen, Kasper Klitgaard; Møller, Jesper; Johansen, Per Michael

    is a shot noise process, and the interaction function for a pair of points depends only on the distance between the two points and is a piecewise linear function modelled by a marked Poisson process. Simulation of the resulting posterior using a Metropolis-Hastings algorithm in the "conventional" way...... involves evaluating ratios of unknown normalising constants. We avoid this problem by applying a new auxiliary variable technique introduced by Møller, Pettitt, Reeves & Berthelsen (2006). In the present setting the auxiliary variable used is an example of a partially ordered Markov point process model....

  13. Traffic data reconstruction based on Markov random field modeling

    International Nuclear Information System (INIS)

    Kataoka, Shun; Tanaka, Kazuyuki; Yasuda, Muneki; Furtlehner, Cyril

    2014-01-01

    We consider the traffic data reconstruction problem. Suppose we have the traffic data of an entire city that are incomplete because some road data are unobserved. The problem is to reconstruct the unobserved parts of the data. In this paper, we propose a new method to reconstruct incomplete traffic data collected from various sensors. Our approach is based on Markov random field modeling of road traffic. The reconstruction is achieved by using a mean-field method and a machine learning method. We numerically verify the performance of our method using realistic simulated traffic data for the real road network of Sendai, Japan. (paper)

  14. Comparison of Langevin and Markov channel noise models for neuronal signal generation.

    Science.gov (United States)

    Sengupta, B; Laughlin, S B; Niven, J E

    2010-01-01

    The stochastic opening and closing of voltage-gated ion channels produce noise in neurons. The effect of this noise on the neuronal performance has been modeled using either an approximate or Langevin model based on stochastic differential equations or an exact model based on a Markov process model of channel gating. Yet whether the Langevin model accurately reproduces the channel noise produced by the Markov model remains unclear. Here we present a comparison between Langevin and Markov models of channel noise in neurons using single compartment Hodgkin-Huxley models containing either Na+ and K+, or only K+ voltage-gated ion channels. The performance of the Langevin and Markov models was quantified over a range of stimulus statistics, membrane areas, and channel numbers. We find that in comparison to the Markov model, the Langevin model underestimates the noise contributed by voltage-gated ion channels, overestimating information rates for both spiking and nonspiking membranes. Even with increasing numbers of channels, the difference between the two models persists. This suggests that the Langevin model may not be suitable for accurately simulating channel noise in neurons, even in simulations with large numbers of ion channels.

  15. On Markov Earth Mover's Distance.

    Science.gov (United States)

    Wei, Jie

    2014-10-01

    In statistics, pattern recognition and signal processing, it is of utmost importance to have an effective and efficient distance to measure the similarity between two distributions and sequences. In statistics this is referred to as goodness-of-fit problem . Two leading goodness of fit methods are chi-square and Kolmogorov-Smirnov distances. The strictly localized nature of these two measures hinders their practical utilities in patterns and signals where the sample size is usually small. In view of this problem Rubner and colleagues developed the earth mover's distance (EMD) to allow for cross-bin moves in evaluating the distance between two patterns, which find a broad spectrum of applications. EMD-L1 was later proposed to reduce the time complexity of EMD from super-cubic by one order of magnitude by exploiting the special L1 metric. EMD-hat was developed to turn the global EMD to a localized one by discarding long-distance earth movements. In this work, we introduce a Markov EMD (MEMD) by treating the source and destination nodes absolutely symmetrically. In MEMD, like hat-EMD, the earth is only moved locally as dictated by the degree d of neighborhood system. Nodes that cannot be matched locally is handled by dummy source and destination nodes. By use of this localized network structure, a greedy algorithm that is linear to the degree d and number of nodes is then developed to evaluate the MEMD. Empirical studies on the use of MEMD on deterministic and statistical synthetic sequences and SIFT-based image retrieval suggested encouraging performances.

  16. A Note on the Properties of Generalised Separable Spatial Autoregressive Process

    Directory of Open Access Journals (Sweden)

    Mahendran Shitan

    2009-01-01

    Full Text Available Spatial modelling has its applications in many fields like geology, agriculture, meteorology, geography, and so forth. In time series a class of models known as Generalised Autoregressive (GAR has been introduced by Peiris (2003 that includes an index parameter δ. It has been shown that the inclusion of this additional parameter aids in modelling and forecasting many real data sets. This paper studies the properties of a new class of spatial autoregressive process of order 1 with an index. We will call this a Generalised Separable Spatial Autoregressive (GENSSAR Model. The spectral density function (SDF, the autocovariance function (ACVF, and the autocorrelation function (ACF are derived. The theoretical ACF and SDF plots are presented as three-dimensional figures.

  17. Adaptive spline autoregression threshold method in forecasting Mitsubishi car sales volume at PT Srikandi Diamond Motors

    Science.gov (United States)

    Susanti, D.; Hartini, E.; Permana, A.

    2017-01-01

    Sale and purchase of the growing competition between companies in Indonesian, make every company should have a proper planning in order to win the competition with other companies. One of the things that can be done to design the plan is to make car sales forecast for the next few periods, it’s required that the amount of inventory of cars that will be sold in proportion to the number of cars needed. While to get the correct forecasting, on of the methods that can be used is the method of Adaptive Spline Threshold Autoregression (ASTAR). Therefore, this time the discussion will focus on the use of Adaptive Spline Threshold Autoregression (ASTAR) method in forecasting the volume of car sales in PT.Srikandi Diamond Motors using time series data.In the discussion of this research, forecasting using the method of forecasting value Adaptive Spline Threshold Autoregression (ASTAR) produce approximately correct.

  18. Hidden Semi Markov Models for Multiple Observation Sequences: The mhsmm Package for R

    DEFF Research Database (Denmark)

    O'Connell, Jarad Michael; Højsgaard, Søren

    2011-01-01

    models only allow a geometrically distributed sojourn time in a given state, while hidden semi-Markov models extend this by allowing an arbitrary sojourn distribution. We demonstrate the software with simulation examples and an application involving the modelling of the ovarian cycle of dairy cows...

  19. Counseling as a Stochastic Process: Fitting a Markov Chain Model to Initial Counseling Interviews

    Science.gov (United States)

    Lichtenberg, James W.; Hummel, Thomas J.

    1976-01-01

    The goodness of fit of a first-order Markov chain model to six counseling interviews was assessed by using chi-square tests of homogeneity and simulating sampling distributions of selected process characteristics against which the same characteristics in the actual interviews were compared. The model fit four of the interviews. Presented at AERA,…

  20. 438 Optimal Number of States in Hidden Markov Models and its ...

    African Journals Online (AJOL)

    In this paper, Hidden Markov Model is applied to model human movements as to facilitate an automatic detection of the same. A number of activities were simulated with the help of two persons. The four movements considered are walking, sitting down-getting up, fall while walking and fall while standing. The.

  1. Integration within the Felsenstein equation for improved Markov chain Monte Carlo methods in population genetics

    DEFF Research Database (Denmark)

    Hey, Jody; Nielsen, Rasmus

    2007-01-01

    Carlo methods, have been developed to find approximate solutions. Here, we describe an approach in which Markov chain Monte Carlo simulations are used to integrate over the space of genealogies, whereas other parameters are integrated out analytically. The result is an approximation to the full joint...

  2. Study on homogenization of synthetic GNSS-retrieved IWV time series and its impact on trend estimates with autoregressive noise

    Science.gov (United States)

    Klos, Anna; Pottiaux, Eric; Van Malderen, Roeland; Bock, Olivier; Bogusz, Janusz

    2017-04-01

    A synthetic benchmark dataset of Integrated Water Vapour (IWV) was created within the activity of "Data homogenisation" of sub-working group WG3 of COST ES1206 Action. The benchmark dataset was created basing on the analysis of IWV differences retrieved by Global Positioning System (GPS) International GNSS Service (IGS) stations using European Centre for Medium-Range Weather Forecats (ECMWF) reanalysis data (ERA-Interim). Having analysed a set of 120 series of IWV differences (ERAI-GPS) derived for IGS stations, we delivered parameters of a number of gaps and breaks for every certain station. Moreover, we estimated values of trends, significant seasonalities and character of residuals when deterministic model was removed. We tested five different noise models and found that a combination of white and autoregressive processes of first order describes the stochastic part with a good accuracy. Basing on this analysis, we performed Monte Carlo simulations of 25 years long data with two different types of noise: white as well as combination of white and autoregressive processes. We also added few strictly defined offsets, creating three variants of synthetic dataset: easy, less-complicated and fully-complicated. The 'Easy' dataset included seasonal signals (annual, semi-annual, 3 and 4 months if present for a particular station), offsets and white noise. The 'Less-complicated' dataset included above-mentioned, as well as the combination of white and first order autoregressive processes (AR(1)+WH). The 'Fully-complicated' dataset included, beyond above, a trend and gaps. In this research, we show the impact of manual homogenisation on the estimates of trend and its error. We also cross-compare the results for three above-mentioned datasets, as the synthetized noise type might have a significant influence on manual homogenisation. Therefore, it might mostly affect the values of trend and their uncertainties when inappropriately handled. In a future, the synthetic dataset

  3. Hidden Markov Model Application to Transfer The Trader Online Forex Brokers

    Directory of Open Access Journals (Sweden)

    Farida Suharleni

    2012-05-01

    Full Text Available Hidden Markov Model is elaboration of Markov chain, which is applicable to cases that can’t directly observe. In this research, Hidden Markov Model is used to know trader’s transition to broker forex online. In Hidden Markov Model, observed state is observable part and hidden state is hidden part. Hidden Markov Model allows modeling system that contains interrelated observed state and hidden state. As observed state in trader’s transition to broker forex online is category 1, category 2, category 3, category 4, category 5 by condition of every broker forex online, whereas as hidden state is broker forex online Marketiva, Masterforex, Instaforex, FBS and Others. First step on application of Hidden Markov Model in this research is making construction model by making a probability of transition matrix (A from every broker forex online. Next step is making a probability of observation matrix (B by making conditional probability of five categories, that is category 1, category 2, category 3, category 4, category 5 by condition of every broker forex online and also need to determine an initial state probability (π from every broker forex online. The last step is using Viterbi algorithm to find hidden state sequences that is broker forex online sequences which is the most possible based on model and observed state that is the five categories. Application of Hidden Markov Model is done by making program with Viterbi algorithm using Delphi 7.0 software with observed state based on simulation data. Example: By the number of observation T = 5 and observed state sequences O = (2,4,3,5,1 is found hidden state sequences which the most possible with observed state O as following : where X1 = FBS, X2 = Masterforex, X3 = Marketiva, X4 = Others, and X5 = Instaforex.

  4. Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments

    Directory of Open Access Journals (Sweden)

    Fei Jin

    2013-05-01

    Full Text Available This paper studies the generalized spatial two stage least squares (GS2SLS estimation of spatial autoregressive models with autoregressive disturbances when there are endogenous regressors with many valid instruments. Using many instruments may improve the efficiency of estimators asymptotically, but the bias might be large in finite samples, making the inference inaccurate. We consider the case that the number of instruments K increases with, but at a rate slower than, the sample size, and derive the approximate mean square errors (MSE that account for the trade-offs between the bias and variance, for both the GS2SLS estimator and a bias-corrected GS2SLS estimator. A criterion function for the optimal K selection can be based on the approximate MSEs. Monte Carlo experiments are provided to show the performance of our procedure of choosing K.

  5. The Fracture Mechanical Markov Chain Fatigue Model Compared with Empirical Data

    DEFF Research Database (Denmark)

    Gansted, L.; Brincker, Rune; Hansen, Lars Pilegaard

    The applicability of the FMF-model (Fracture Mechanical Markov Chain Fatigue Model) introduced in Gansted, L., R. Brincker and L. Pilegaard Hansen (1991) is tested by simulations and compared with empirical data. Two sets of data have been used, the Virkler data (aluminium alloy) and data...... established at the Laboratory of Structural Engineering at Aalborg University, the AUC-data, (mild steel). The model, which is based on the assumption, that the crack propagation process can be described by a discrete Space Markov theory, is applicable to constant as well as random loading. It is shown...

  6. Discrete-time semi-Markov modeling of human papillomavirus persistence

    Science.gov (United States)

    Mitchell, C. E.; Hudgens, M. G.; King, C. C.; Cu-Uvin, S.; Lo, Y.; Rompalo, A.; Sobel, J.; Smith, J. S.

    2011-01-01

    Multi-state modeling is often employed to describe the progression of a disease process. In epidemiological studies of certain diseases, the disease state is typically only observed at periodic clinical visits, producing incomplete longitudinal data. In this paper we consider fitting semi-Markov models to estimate the persistence of human papillomavirus (HPV) type-specific infection in studies where the status of HPV type(s) is assessed periodically. Simulation study results are presented indicating the semi-Markov estimator is more accurate than an estimator currently used in the HPV literature. The methods are illustrated using data from the HIV Epidemiology Research Study (HERS). PMID:21538985

  7. Dissipativity-Based Reliable Control for Fuzzy Markov Jump Systems With Actuator Faults.

    Science.gov (United States)

    Tao, Jie; Lu, Renquan; Shi, Peng; Su, Hongye; Wu, Zheng-Guang

    2017-09-01

    This paper is concerned with the problem of reliable dissipative control for Takagi-Sugeno fuzzy systems with Markov jumping parameters. Considering the influence of actuator faults, a sufficient condition is developed to ensure that the resultant closed-loop system is stochastically stable and strictly ( Q, S,R )-dissipative based on a relaxed approach in which mode-dependent and fuzzy-basis-dependent Lyapunov functions are employed. Then a reliable dissipative control for fuzzy Markov jump systems is designed, with sufficient condition proposed for the existence of guaranteed stability and dissipativity controller. The effectiveness and potential of the obtained design method is verified by two simulation examples.

  8. Markov dynamic models for long-timescale protein motion.

    KAUST Repository

    Chiang, Tsung-Han

    2010-06-01

    Molecular dynamics (MD) simulation is a well-established method for studying protein motion at the atomic scale. However, it is computationally intensive and generates massive amounts of data. One way of addressing the dual challenges of computation efficiency and data analysis is to construct simplified models of long-timescale protein motion from MD simulation data. In this direction, we propose to use Markov models with hidden states, in which the Markovian states represent potentially overlapping probabilistic distributions over protein conformations. We also propose a principled criterion for evaluating the quality of a model by its ability to predict long-timescale protein motions. Our method was tested on 2D synthetic energy landscapes and two extensively studied peptides, alanine dipeptide and the villin headpiece subdomain (HP-35 NleNle). One interesting finding is that although a widely accepted model of alanine dipeptide contains six states, a simpler model with only three states is equally good for predicting long-timescale motions. We also used the constructed Markov models to estimate important kinetic and dynamic quantities for protein folding, in particular, mean first-passage time. The results are consistent with available experimental measurements.

  9. LISA data analysis using Markov chain Monte Carlo methods

    International Nuclear Information System (INIS)

    Cornish, Neil J.; Crowder, Jeff

    2005-01-01

    The Laser Interferometer Space Antenna (LISA) is expected to simultaneously detect many thousands of low-frequency gravitational wave signals. This presents a data analysis challenge that is very different to the one encountered in ground based gravitational wave astronomy. LISA data analysis requires the identification of individual signals from a data stream containing an unknown number of overlapping signals. Because of the signal overlaps, a global fit to all the signals has to be performed in order to avoid biasing the solution. However, performing such a global fit requires the exploration of an enormous parameter space with a dimension upwards of 50 000. Markov Chain Monte Carlo (MCMC) methods offer a very promising solution to the LISA data analysis problem. MCMC algorithms are able to efficiently explore large parameter spaces, simultaneously providing parameter estimates, error analysis, and even model selection. Here we present the first application of MCMC methods to simulated LISA data and demonstrate the great potential of the MCMC approach. Our implementation uses a generalized F-statistic to evaluate the likelihoods, and simulated annealing to speed convergence of the Markov chains. As a final step we supercool the chains to extract maximum likelihood estimates, and estimates of the Bayes factors for competing models. We find that the MCMC approach is able to correctly identify the number of signals present, extract the source parameters, and return error estimates consistent with Fisher information matrix predictions

  10. Autoregressive Generalized Linear Mixed Effect Models with Crossed Random Effects: An Application to Intensive Binary Time Series Eye-Tracking Data.

    Science.gov (United States)

    Cho, Sun-Joo; Brown-Schmidt, Sarah; Lee, Woo-Yeol

    2018-02-07

    As a method to ascertain person and item effects in psycholinguistics, a generalized linear mixed effect model (GLMM) with crossed random effects has met limitations in handing serial dependence across persons and items. This paper presents an autoregressive GLMM with crossed random effects that accounts for variability in lag effects across persons and items. The model is shown to be applicable to intensive binary time series eye-tracking data when researchers are interested in detecting experimental condition effects while controlling for previous responses. In addition, a simulation study shows that ignoring lag effects can lead to biased estimates and underestimated standard errors for the experimental condition effects.

  11. Consistent Estimation of Partition Markov Models

    Directory of Open Access Journals (Sweden)

    Jesús E. García

    2017-04-01

    Full Text Available The Partition Markov Model characterizes the process by a partition L of the state space, where the elements in each part of L share the same transition probability to an arbitrary element in the alphabet. This model aims to answer the following questions: what is the minimal number of parameters needed to specify a Markov chain and how to estimate these parameters. In order to answer these questions, we build a consistent strategy for model selection which consist of: giving a size n realization of the process, finding a model within the Partition Markov class, with a minimal number of parts to represent the process law. From the strategy, we derive a measure that establishes a metric in the state space. In addition, we show that if the law of the process is Markovian, then, eventually, when n goes to infinity, L will be retrieved. We show an application to model internet navigation patterns.

  12. Uncovering and testing the fuzzy clusters based on lumped Markov chain in complex network.

    Science.gov (United States)

    Jing, Fan; Jianbin, Xie; Jinlong, Wang; Jinshuai, Qu

    2013-01-01

    Identifying clusters, namely groups of nodes with comparatively strong internal connectivity, is a fundamental task for deeply understanding the structure and function of a network. By means of a lumped Markov chain model of a random walker, we propose two novel ways of inferring the lumped markov transition matrix. Furthermore, some useful results are proposed based on the analysis of the properties of the lumped Markov process. To find the best partition of complex networks, a novel framework including two algorithms for network partition based on the optimal lumped Markovian dynamics is derived to solve this problem. The algorithms are constructed to minimize the objective function under this framework. It is demonstrated by the simulation experiments that our algorithms can efficiently determine the probabilities with which a node belongs to different clusters during the learning process and naturally supports the fuzzy partition. Moreover, they are successfully applied to real-world network, including the social interactions between members of a karate club.

  13. Projected metastable Markov processes and their estimation with observable operator models

    International Nuclear Information System (INIS)

    Wu, Hao; Prinz, Jan-Hendrik; Noé, Frank

    2015-01-01

    The determination of kinetics of high-dimensional dynamical systems, such as macromolecules, polymers, or spin systems, is a difficult and generally unsolved problem — both in simulation, where the optimal reaction coordinate(s) are generally unknown and are difficult to compute, and in experimental measurements, where only specific coordinates are observable. Markov models, or Markov state models, are widely used but suffer from the fact that the dynamics on a coarsely discretized state spaced are no longer Markovian, even if the dynamics in the full phase space are. The recently proposed projected Markov models (PMMs) are a formulation that provides a description of the kinetics on a low-dimensional projection without making the Markovianity assumption. However, as yet no general way of estimating PMMs from data has been available. Here, we show that the observed dynamics of a PMM can be exactly described by an observable operator model (OOM) and derive a PMM estimator based on the OOM learning

  14. The application of Markov decision process with penalty function in restaurant delivery robot

    Science.gov (United States)

    Wang, Yong; Hu, Zhen; Wang, Ying

    2017-05-01

    As the restaurant delivery robot is often in a dynamic and complex environment, including the chairs inadvertently moved to the channel and customers coming and going. The traditional Markov decision process path planning algorithm is not save, the robot is very close to the table and chairs. To solve this problem, this paper proposes the Markov Decision Process with a penalty term called MDPPT path planning algorithm according to the traditional Markov decision process (MDP). For MDP, if the restaurant delivery robot bumps into an obstacle, the reward it receives is part of the current status reward. For the MDPPT, the reward it receives not only the part of the current status but also a negative constant term. Simulation results show that the MDPPT algorithm can plan a more secure path.

  15. Dual-component model of respiratory motion based on the periodic autoregressive moving average (periodic ARMA) method

    International Nuclear Information System (INIS)

    McCall, K C; Jeraj, R

    2007-01-01

    A new approach to the problem of modelling and predicting respiration motion has been implemented. This is a dual-component model, which describes the respiration motion as a non-periodic time series superimposed onto a periodic waveform. A periodic autoregressive moving average algorithm has been used to define a mathematical model of the periodic and non-periodic components of the respiration motion. The periodic components of the motion were found by projecting multiple inhale-exhale cycles onto a common subspace. The component of the respiration signal that is left after removing this periodicity is a partially autocorrelated time series and was modelled as an autoregressive moving average (ARMA) process. The accuracy of the periodic ARMA model with respect to fluctuation in amplitude and variation in length of cycles has been assessed. A respiration phantom was developed to simulate the inter-cycle variations seen in free-breathing and coached respiration patterns. At ±14% variability in cycle length and maximum amplitude of motion, the prediction errors were 4.8% of the total motion extent for a 0.5 s ahead prediction, and 9.4% at 1.0 s lag. The prediction errors increased to 11.6% at 0.5 s and 21.6% at 1.0 s when the respiration pattern had ±34% variations in both these parameters. Our results have shown that the accuracy of the periodic ARMA model is more strongly dependent on the variations in cycle length than the amplitude of the respiration cycles

  16. Markov decision processes: a tool for sequential decision making under uncertainty.

    Science.gov (United States)

    Alagoz, Oguzhan; Hsu, Heather; Schaefer, Andrew J; Roberts, Mark S

    2010-01-01

    We provide a tutorial on the construction and evaluation of Markov decision processes (MDPs), which are powerful analytical tools used for sequential decision making under uncertainty that have been widely used in many industrial and manufacturing applications but are underutilized in medical decision making (MDM). We demonstrate the use of an MDP to solve a sequential clinical treatment problem under uncertainty. Markov decision processes generalize standard Markov models in that a decision process is embedded in the model and multiple decisions are made over time. Furthermore, they have significant advantages over standard decision analysis. We compare MDPs to standard Markov-based simulation models by solving the problem of the optimal timing of living-donor liver transplantation using both methods. Both models result in the same optimal transplantation policy and the same total life expectancies for the same patient and living donor. The computation time for solving the MDP model is significantly smaller than that for solving the Markov model. We briefly describe the growing literature of MDPs applied to medical decisions.

  17. Estimation with Right-Censored Observations Under A Semi-Markov Model.

    Science.gov (United States)

    Zhao, Lihui; Hu, X Joan

    2013-06-01

    The semi-Markov process often provides a better framework than the classical Markov process for the analysis of events with multiple states. The purpose of this paper is twofold. First, we show that in the presence of right censoring, when the right end-point of the support of the censoring time is strictly less than the right end-point of the support of the semi-Markov kernel, the transition probability of the semi-Markov process is nonidentifiable, and the estimators proposed in the literature are inconsistent in general. We derive the set of all attainable values for the transition probability based on the censored data, and we propose a nonparametric inference procedure for the transition probability using this set. Second, the conventional approach to constructing confidence bands is not applicable for the semi-Markov kernel and the sojourn time distribution. We propose new perturbation resampling methods to construct these confidence bands. Different weights and transformations are explored in the construction. We use simulation to examine our proposals and illustrate them with hospitalization data from a recent cancer survivor study.

  18. Markov processes an introduction for physical scientists

    CERN Document Server

    Gillespie, Daniel T

    1991-01-01

    Markov process theory is basically an extension of ordinary calculus to accommodate functions whos time evolutions are not entirely deterministic. It is a subject that is becoming increasingly important for many fields of science. This book develops the single-variable theory of both continuous and jump Markov processes in a way that should appeal especially to physicists and chemists at the senior and graduate level.Key Features* A self-contained, prgamatic exposition of the needed elements of random variable theory* Logically integrated derviations of the Chapman-Kolmogorov e

  19. Conditioned real self-similar Markov processes

    OpenAIRE

    Kyprianou, Andreas E.; Rivero, Víctor M.; Satitkanitkul, Weerapat

    2015-01-01

    In recent work, Chaumont et al. [9] showed that is possible to condition a stable process with index ${\\alpha} \\in (1,2)$ to avoid the origin. Specifically, they describe a new Markov process which is the Doob h-transform of a stable process and which arises from a limiting procedure in which the stable process is conditioned to have avoided the origin at later and later times. A stable process is a particular example of a real self-similar Markov process (rssMp) and we develop the idea of su...

  20. Detecting Structural Breaks using Hidden Markov Models

    DEFF Research Database (Denmark)

    Ntantamis, Christos

    Testing for structural breaks and identifying their location is essential for econometric modeling. In this paper, a Hidden Markov Model (HMM) approach is used in order to perform these tasks. Breaks are defined as the data points where the underlying Markov Chain switches from one state to another....... The estimation of the HMM is conducted using a variant of the Iterative Conditional Expectation-Generalized Mixture (ICE-GEMI) algorithm proposed by Delignon et al. (1997), that permits analysis of the conditional distributions of economic data and allows for different functional forms across regimes...

  1. Markov decision processes in artificial intelligence

    CERN Document Server

    Sigaud, Olivier

    2013-01-01

    Markov Decision Processes (MDPs) are a mathematical framework for modeling sequential decision problems under uncertainty as well as Reinforcement Learning problems. Written by experts in the field, this book provides a global view of current research using MDPs in Artificial Intelligence. It starts with an introductory presentation of the fundamental aspects of MDPs (planning in MDPs, Reinforcement Learning, Partially Observable MDPs, Markov games and the use of non-classical criteria). Then it presents more advanced research trends in the domain and gives some concrete examples using illustr

  2. Inhomogeneous Markov Models for Describing Driving Patterns

    DEFF Research Database (Denmark)

    Iversen, Emil Banning; Møller, Jan K.; Morales, Juan Miguel

    2017-01-01

    . Specifically, an inhomogeneous Markov model that captures the diurnal variation in the use of a vehicle is presented. The model is defined by the time-varying probabilities of starting and ending a trip, and is justified due to the uncertainty associated with the use of the vehicle. The model is fitted to data...... collected from the actual utilization of a vehicle. Inhomogeneous Markov models imply a large number of parameters. The number of parameters in the proposed model is reduced using B-splines....

  3. Predicting Protein Secondary Structure with Markov Models

    DEFF Research Database (Denmark)

    Fischer, Paul; Larsen, Simon; Thomsen, Claus

    2004-01-01

    we are considering here, is to predict the secondary structure from the primary one. To this end we train a Markov model on training data and then use it to classify parts of unknown protein sequences as sheets, helices or coils. We show how to exploit the directional information contained...... in the Markov model for this task. Classifications that are purely based on statistical models might not always be biologically meaningful. We present combinatorial methods to incorporate biological background knowledge to enhance the prediction performance....

  4. Performance evaluation:= (process algebra + model checking) x Markov chains

    NARCIS (Netherlands)

    Hermanns, H.; Larsen, K.G.; Nielsen, Mogens; Katoen, Joost P.

    2001-01-01

    Markov chains are widely used in practice to determine system performance and reliability characteristics. The vast majority of applications considers continuous-time Markov chains (CTMCs). This tutorial paper shows how successful model specification and analysis techniques from concurrency theory

  5. Medical imaging feasibility in body fluids using Markov chains

    Science.gov (United States)

    Kavehrad, M.; Armstrong, A. D.

    2017-02-01

    A relatively wide field-of-view and high resolution imaging is necessary for navigating the scope within the body, inspecting tissue, diagnosing disease, and guiding surgical interventions. As the large number of modes available in the multimode fibers (MMF) provides higher resolution, MMFs could replace the millimeters-thick bundles of fibers and lenses currently used in endoscopes. However, attributes of body fluids and obscurants such as blood, impose perennial limitations on resolution and reliability of optical imaging inside human body. To design and evaluate optimum imaging techniques that operate under realistic body fluids conditions, a good understanding of the channel (medium) behavior is necessary. In most prior works, Monte-Carlo Ray Tracing (MCRT) algorithm has been used to analyze the channel behavior. This task is quite numerically intensive. The focus of this paper is on investigating the possibility of simplifying this task by a direct extraction of state transition matrices associated with standard Markov modeling from the MCRT computer simulations programs. We show that by tracing a photon's trajectory in the body fluids via a Markov chain model, the angular distribution can be calculated by simple matrix multiplications. We also demonstrate that the new approach produces result that are close to those obtained by MCRT and other known methods. Furthermore, considering the fact that angular, spatial, and temporal distributions of energy are inter-related, mixing time of Monte- Carlo Markov Chain (MCMC) for different types of liquid concentrations is calculated based on Eigen-analysis of the state transition matrix and possibility of imaging in scattering media are investigated. To this end, we have started to characterize the body fluids that reduce the resolution of imaging [1].

  6. Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets

    DEFF Research Database (Denmark)

    Dias, Gustavo Fruet; Kapetanios, George

    We address the issue of modelling and forecasting macroeconomic variables using rich datasets, by adopting the class of Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary least squares (...

  7. Finite-Sample Bias Propagation in Autoregressive Estimation With the Yule–Walker Method

    NARCIS (Netherlands)

    Broersen, P.M.T.

    2009-01-01

    The Yule-Walker (YW) method for autoregressive (AR) estimation uses lagged-product (LP) autocorrelation estimates to compute an AR parametric spectral model. The LP estimates only have a small triangular bias in the estimated autocorrelation function and are asymptotically unbiased. However, using

  8. Autoregressive Model Using Fuzzy C-Regression Model Clustering for Traffic Modeling

    Science.gov (United States)

    Tanaka, Fumiaki; Suzuki, Yukinori; Maeda, Junji

    A robust traffic modeling is required to perform an effective congestion control for the broad band digital network. An autoregressive model using a fuzzy c-regression model (FCRM) clustering is proposed for a traffic modeling. This is a simpler modeling method than previous methods. The experiments show that the proposed method is more robust for traffic modeling than the previous method.

  9. Time to burn: Modeling wildland arson as an autoregressive crime function

    Science.gov (United States)

    Jeffrey P. Prestemon; David T. Butry

    2005-01-01

    Six Poisson autoregressive models of order p [PAR(p)] of daily wildland arson ignition counts are estimated for five locations in Florida (1994-2001). In addition, a fixed effects time-series Poisson model of annual arson counts is estimated for all Florida counties (1995-2001). PAR(p) model estimates reveal highly significant arson ignition autocorrelation, lasting up...

  10. A Comparison of Inverse-Wishart Prior Specifications for Covariance Matrices in Multilevel Autoregressive Models

    NARCIS (Netherlands)

    Schuurman, N. K.; Grasman, R. P P P; Hamaker, E. L.

    2016-01-01

    Multilevel autoregressive models are especially suited for modeling between-person differences in within-person processes. Fitting these models with Bayesian techniques requires the specification of prior distributions for all parameters. Often it is desirable to specify prior distributions that

  11. Fitting multistate transition models with autoregressive logistic regression : Supervised exercise in intermittent claudication

    NARCIS (Netherlands)

    de Vries, S O; Fidler, Vaclav; Kuipers, Wietze D; Hunink, Maria G M

    1998-01-01

    The purpose of this study was to develop a model that predicts the outcome of supervised exercise for intermittent claudication. The authors present an example of the use of autoregressive logistic regression for modeling observed longitudinal data. Data were collected from 329 participants in a

  12. A Vector AutoRegressive (VAR) Approach to the Credit Channel for ...

    African Journals Online (AJOL)

    This paper is an attempt to determine the presence and empirical significance of monetary policy and the bank lending view of the credit channel for Mauritius, which is particularly relevant at these times. A vector autoregressive (VAR) model of order three is used to examine the monetary transmission mechanism using ...

  13. A representation theory for a class of vector autoregressive models for fractional processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    2008-01-01

    Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a un...

  14. Compact and accurate linear and nonlinear autoregressive moving average model parameter estimation using laguerre functions

    DEFF Research Database (Denmark)

    Chon, K H; Cohen, R J; Holstein-Rathlou, N H

    1997-01-01

    A linear and nonlinear autoregressive moving average (ARMA) identification algorithm is developed for modeling time series data. The algorithm uses Laguerre expansion of kernals (LEK) to estimate Volterra-Wiener kernals. However, instead of estimating linear and nonlinear system dynamics via movi...

  15. Prediction of Annual Rainfall Pattern Using Hidden Markov Model ...

    African Journals Online (AJOL)

    ADOWIE PERE

    the stochastic processes is an underlying Markov chain, the other stochastic process is an observable stochastic ... Keywords: Markov model, Hidden Markov model, Transition probability, Observation probability, Crop. Production, Annual Rainfall .... with highest value of the forward probability at time. T+1 is taken as ...

  16. Optimal mixing of Markov decision rules for MDP control

    NARCIS (Netherlands)

    van der Laan, D.A.

    2011-01-01

    In this article we study Markov decision process (MDP) problems with the restriction that at decision epochs, only a finite number of given Markov decision rules are admissible. For example, the set of admissible Markov decision rules D could consist of some easy-implementable decision rules.

  17. On the Markov Chain Monte Carlo (MCMC) method

    Indian Academy of Sciences (India)

    In this article, we give an introduction to Monte Carlo techniques with special emphasis on. Markov Chain Monte Carlo (MCMC). Since the latter needs Markov chains with state space that is R or Rd and most text books on Markov chains do not discuss such chains, we have included a short appendix that gives basic ...

  18. Model Checking Structured Infinite Markov Chains

    NARCIS (Netherlands)

    Remke, Anne Katharina Ingrid

    2008-01-01

    In the past probabilistic model checking hast mostly been restricted to finite state models. This thesis explores the possibilities of model checking with continuous stochastic logic (CSL) on infinite-state Markov chains. We present an in-depth treatment of model checking algorithms for two special

  19. Nonlinearly perturbed semi-Markov processes

    CERN Document Server

    Silvestrov, Dmitrii

    2017-01-01

    The book presents new methods of asymptotic analysis for nonlinearly perturbed semi-Markov processes with a finite phase space. These methods are based on special time-space screening procedures for sequential phase space reduction of semi-Markov processes combined with the systematical use of operational calculus for Laurent asymptotic expansions. Effective recurrent algorithms are composed for getting asymptotic expansions, without and with explicit upper bounds for remainders, for power moments of hitting times, stationary and conditional quasi-stationary distributions for nonlinearly perturbed semi-Markov processes. These results are illustrated by asymptotic expansions for birth-death-type semi-Markov processes, which play an important role in various applications. The book will be a useful contribution to the continuing intensive studies in the area. It is an essential reference for theoretical and applied researchers in the field of stochastic processes and their applications that will cont...

  20. Hidden Markov Models for Human Genes

    DEFF Research Database (Denmark)

    Baldi, Pierre; Brunak, Søren; Chauvin, Yves

    1997-01-01

    We analyse the sequential structure of human genomic DNA by hidden Markov models. We apply models of widely different design: conventional left-right constructs and models with a built-in periodic architecture. The models are trained on segments of DNA sequences extracted such that they cover com...

  1. Generalizing Markov Decision Processes to Imprecise Probabilities

    Czech Academy of Sciences Publication Activity Database

    Harmanec, David

    2002-01-01

    Roč. 105, - (2002), s. 199-213 ISSN 0378-3758 Grant - others:Ministry of Education(SG) RP960351 Institutional research plan: AV0Z1030915 Keywords : generalized Markov decission process * sequential decision making * interval utilities Subject RIV: BA - General Mathematics Impact factor: 0.385, year: 2002

  2. Continuity Properties of Distances for Markov Processes

    DEFF Research Database (Denmark)

    Jaeger, Manfred; Mao, Hua; Larsen, Kim Guldstrand

    2014-01-01

    In this paper we investigate distance functions on finite state Markov processes that measure the behavioural similarity of non-bisimilar processes. We consider both probabilistic bisimilarity metrics, and trace-based distances derived from standard Lp and Kullback-Leibler distances. Two desirable...

  3. A Martingale Decomposition of Discrete Markov Chains

    DEFF Research Database (Denmark)

    Hansen, Peter Reinhard

    We consider a multivariate time series whose increments are given from a homogeneous Markov chain. We show that the martingale component of this process can be extracted by a filtering method and establish the corresponding martingale decomposition in closed-form. This representation is useful...

  4. Hidden Markov models for labeled sequences

    DEFF Research Database (Denmark)

    Krogh, Anders Stærmose

    1994-01-01

    A hidden Markov model for labeled observations, called a class HMM, is introduced and a maximum likelihood method is developed for estimating the parameters of the model. Instead of training it to model the statistics of the training sequences it is trained to optimize recognition. It resembles MMI...

  5. Learning Markov models for stationary system behaviors

    DEFF Research Database (Denmark)

    Chen, Yingke; Mao, Hua; Jaeger, Manfred

    2012-01-01

    to a single long observation sequence, and in these situations existing automatic learning methods cannot be applied. In this paper, we adapt algorithms for learning variable order Markov chains from a single observation sequence of a target system, so that stationary system properties can be verified using...

  6. Markov Random Fields on Triangle Meshes

    DEFF Research Database (Denmark)

    Andersen, Vedrana; Aanæs, Henrik; Bærentzen, Jakob Andreas

    2010-01-01

    In this paper we propose a novel anisotropic smoothing scheme based on Markov Random Fields (MRF). Our scheme is formulated as two coupled processes. A vertex process is used to smooth the mesh by displacing the vertices according to a MRF smoothness prior, while an independent edge process labels...

  7. Evolving the structure of hidden Markov Models

    DEFF Research Database (Denmark)

    won, K. J.; Prugel-Bennett, A.; Krogh, A.

    2006-01-01

    A genetic algorithm (GA) is proposed for finding the structure of hidden Markov Models (HMMs) used for biological sequence analysis. The GA is designed to preserve biologically meaningful building blocks. The search through the space of HMM structures is combined with optimization of the emission...

  8. Pruning Boltzmann networks and hidden Markov models

    DEFF Research Database (Denmark)

    Pedersen, Morten With; Stork, D.

    1996-01-01

    Boltzmann chains and hidden Markov models (HMMs), we argue that our method can be applied to HMMs as well. We illustrate pruning on Boltzmann zippers, which are equivalent to two HMMs with cross-connection links. We verify that our second-order approximation preserves the rank ordering of weight saliencies...

  9. A Metrized Duality Theorem for Markov Processes

    DEFF Research Database (Denmark)

    Kozen, Dexter; Mardare, Radu Iulian; Panangaden, Prakash

    2014-01-01

    We extend our previous duality theorem for Markov processes by equipping the processes with a pseudometric and the algebras with a notion of metric diameter. We are able to show that the isomorphisms of our previous duality theorem become isometries in this quantitative setting. This opens the way...

  10. Markov Trends in Macroeconomic Time Series

    NARCIS (Netherlands)

    R. Paap (Richard)

    1997-01-01

    textabstractMany macroeconomic time series are characterised by long periods of positive growth, expansion periods, and short periods of negative growth, recessions. A popular model to describe this phenomenon is the Markov trend, which is a stochastic segmented trend where the slope depends on the

  11. Application of autoregressive methods and Lyapunov coefficients for instability studies of nuclear reactors

    International Nuclear Information System (INIS)

    Aruquipa Coloma, Wilmer

    2017-01-01

    Nuclear reactors are susceptible to instability, causing oscillations in reactor power in specific working regions characterized by determined values of power and coolant mass flow. During reactor startup, there is a greater probability that these regions of instability will be present; another reason may be due to transient processes in some reactor parameters. The analysis of the temporal evolution of the power reveals a stable or unstable process after the disturbance in a light water reactor of type BWR (Boiling Water Reactor). In this work, the instability problem was approached in two ways. The first form is based on the ARMA (Autoregressive Moving Average models) model. This model was used to calculate the Decay Ratio (DR) and natural frequency (NF) of the oscillations, parameters that indicate if the one power signal is stable or not. In this sense, the DRARMA code was developed. In the second form, the problems of instability were analyzed using the classical concepts of non-linear systems, such as Lyapunov exponents, phase space and attractors. The Lyapunov exponents quantify the exponential divergence of the trajectories initially close to the phase space and estimate the amount of chaos in a system; the phase space and the attractors describe the dynamic behavior of the system. The main aim of the instability phenomena studies in nuclear reactors is to try to identify points or regions of operation that can lead to power oscillations conditions. The two approaches were applied to two sets of signals. The first set comes from signals of instability events of the commercial Forsmark reactors 1 and 2 and were used to validate the DRARMA code. The second set was obtained from the simulation of transient events of the Peach Bottom reactor; for the simulation, the PARCS and RELAP5 codes were used for the neutronic/thermal hydraulic coupling calculation. For all analyzes made in this work, the Matlab software was used due to its ease of programming and

  12. Linear and non-linear autoregressive models for short-term wind speed forecasting

    International Nuclear Information System (INIS)

    Lydia, M.; Suresh Kumar, S.; Immanuel Selvakumar, A.; Edwin Prem Kumar, G.

    2016-01-01

    Highlights: • Models for wind speed prediction at 10-min intervals up to 1 h built on time-series wind speed data. • Four different multivariate models for wind speed built based on exogenous variables. • Non-linear models built using three data mining algorithms outperform the linear models. • Autoregressive models based on wind direction perform better than other models. - Abstract: Wind speed forecasting aids in estimating the energy produced from wind farms. The soaring energy demands of the world and minimal availability of conventional energy sources have significantly increased the role of non-conventional sources of energy like solar, wind, etc. Development of models for wind speed forecasting with higher reliability and greater accuracy is the need of the hour. In this paper, models for predicting wind speed at 10-min intervals up to 1 h have been built based on linear and non-linear autoregressive moving average models with and without external variables. The autoregressive moving average models based on wind direction and annual trends have been built using data obtained from Sotavento Galicia Plc. and autoregressive moving average models based on wind direction, wind shear and temperature have been built on data obtained from Centre for Wind Energy Technology, Chennai, India. While the parameters of the linear models are obtained using the Gauss–Newton algorithm, the non-linear autoregressive models are developed using three different data mining algorithms. The accuracy of the models has been measured using three performance metrics namely, the Mean Absolute Error, Root Mean Squared Error and Mean Absolute Percentage Error.

  13. SemiMarkov: An R Package for Parametric Estimation in Multi-State Semi-Markov Models

    OpenAIRE

    Listwon, Agnieszka; Saint-Pierre, Philippe

    2015-01-01

    Multi-state models provide a relevant tool for studying the observations of a continuous-time process at arbitrary times. Markov models are often considered even if semi-Markov are better adapted in various situations. Such models are still not frequently applied mainly due to lack of available software. We have developed the R package SemiMarkov to fit homogeneous semi-Markov models to longitudinal data. The package performs maximum likelihood estimation in a parametric framework where the d...

  14. Efficient Markov Chain Monte Carlo Sampling for Hierarchical Hidden Markov Models

    OpenAIRE

    Turek, Daniel; de Valpine, Perry; Paciorek, Christopher J.

    2016-01-01

    Traditional Markov chain Monte Carlo (MCMC) sampling of hidden Markov models (HMMs) involves latent states underlying an imperfect observation process, and generates posterior samples for top-level parameters concurrently with nuisance latent variables. When potentially many HMMs are embedded within a hierarchical model, this can result in prohibitively long MCMC runtimes. We study combinations of existing methods, which are shown to vastly improve computational efficiency for these hierarchi...

  15. The application of Markov decision process in restaurant delivery robot

    Science.gov (United States)

    Wang, Yong; Hu, Zhen; Wang, Ying

    2017-05-01

    As the restaurant delivery robot is often in a dynamic and complex environment, including the chairs inadvertently moved to the channel and customers coming and going. The traditional path planning algorithm is not very ideal. To solve this problem, this paper proposes the Markov dynamic state immediate reward (MDR) path planning algorithm according to the traditional Markov decision process. First of all, it uses MDR to plan a global path, then navigates along this path. When the sensor detects there is no obstructions in front state, increase its immediate state reward value; when the sensor detects there is an obstacle in front, plan a global path that can avoid obstacle with the current position as the new starting point and reduce its state immediate reward value. This continues until the target is reached. When the robot learns for a period of time, it can avoid those places where obstacles are often present when planning the path. By analyzing the simulation experiment, the algorithm has achieved good results in the global path planning under the dynamic environment.

  16. Hidden Markov latent variable models with multivariate longitudinal data.

    Science.gov (United States)

    Song, Xinyuan; Xia, Yemao; Zhu, Hongtu

    2017-03-01

    Cocaine addiction is chronic and persistent, and has become a major social and health problem in many countries. Existing studies have shown that cocaine addicts often undergo episodic periods of addiction to, moderate dependence on, or swearing off cocaine. Given its reversible feature, cocaine use can be formulated as a stochastic process that transits from one state to another, while the impacts of various factors, such as treatment received and individuals' psychological problems on cocaine use, may vary across states. This article develops a hidden Markov latent variable model to study multivariate longitudinal data concerning cocaine use from a California Civil Addict Program. The proposed model generalizes conventional latent variable models to allow bidirectional transition between cocaine-addiction states and conventional hidden Markov models to allow latent variables and their dynamic interrelationship. We develop a maximum-likelihood approach, along with a Monte Carlo expectation conditional maximization (MCECM) algorithm, to conduct parameter estimation. The asymptotic properties of the parameter estimates and statistics for testing the heterogeneity of model parameters are investigated. The finite sample performance of the proposed methodology is demonstrated by simulation studies. The application to cocaine use study provides insights into the prevention of cocaine use. © 2016, The International Biometric Society.

  17. A multistate additive relative survival semi-Markov model.

    Science.gov (United States)

    Gillaizeau, Florence; Dantan, Etienne; Giral, Magali; Foucher, Yohann

    2017-08-01

    Medical researchers are often interested to investigate the relationship between explicative variables and times-to-events such as disease progression or death. Such multiple times-to-events can be studied using multistate models. For chronic diseases, it may be relevant to consider semi-Markov multistate models because the transition intensities between two clinical states more likely depend on the time already spent in the current state than on the chronological time. When the cause of death for a patient is unavailable or not totally attributable to the disease, it is not possible to specifically study the associations with the excess mortality related to the disease. Relative survival analysis allows an estimate of the net survival in the hypothetical situation where the disease would be the only possible cause of death. In this paper, we propose a semi-Markov additive relative survival (SMRS) model that combines the multistate and the relative survival approaches. The usefulness of the SMRS model is illustrated by two applications with data from a French cohort of kidney transplant recipients. Using simulated data, we also highlight the effectiveness of the SMRS model: the results tend to those obtained if the different causes of death are known.

  18. A Hidden Markov Model of Daily Precipitation over Western Colombia.

    Science.gov (United States)

    Rojo Hernández, Julián; Lall, Upmanu; Mesa Sanchez, Oscar

    2017-04-01

    A Hidden Markov Model of Daily Precipitation over Western Colombia. The western Pacific coast of Colombia (Chocó Region) is among the rainiest on earth, largely due to low level jet activity and orographic lifting along the western Andes. A hidden Markov model (HMM) is used to characterize daily rainfall occurrence at 250 gauge stations over the Western Pacific coast and Andean plateau in Colombia during the wet season (September - November) from 1970 to 2015. Four ''hidden'' rainfall states are identified, with the first pair representing wet and dry conditions at all stations, and the second pair North-West to South-East gradients in rainfall occurrence. Using the ERA-Interim reanalysis data (1979-2012) we show that the first pair of states are associated with low level jet convergence and divergence, while the second pair is associated with South Atlantic Convergence Zone activity and local convection. The estimated daily state-sequence is characterized by a systematic seasonal evolution, together with considerable variability on intraseasonal and interannual time scales, exhibiting a strong relationship with ENSO. Finally, a nonhomogeneous HMM (NHMM) is then used to simulate daily precipitation occurrence at the 250 stations, using the ERA-Interim vertically integrated moisture flux anomalies (two weeks lagged) and monthly means of the sea surface temperatures (one month lagged). Simulations from the NHMM are found to reproduce the relationship between the ENSO and the western Colombian precipitation. The NHMM simulations are also able to capture interannual changes in daily rainfall occurrence and dry-wet frequencies at some individual stations. It is suggested that a) HMM provides a useful tool that contributes to characterizing the Colombian's Hydro-Meteorology and it's anomalies during the ENSO, and b) the NHMM is an important tool to produce station-scale daily rainfall sequence scenarios for input into hydrological models.

  19. Bayesian comparison of Markov models of molecular dynamics with detailed balance constraint

    Science.gov (United States)

    Bacallado, Sergio; Chodera, John D.; Pande, Vijay

    2009-07-01

    Discrete-space Markov models are a convenient way of describing the kinetics of biomolecules. The most common strategies used to validate these models employ statistics from simulation data, such as the eigenvalue spectrum of the inferred rate matrix, which are often associated with large uncertainties. Here, we propose a Bayesian approach, which makes it possible to differentiate between models at a fixed lag time making use of short trajectories. The hierarchical definition of the models allows one to compare instances with any number of states. We apply a conjugate prior for reversible Markov chains, which was recently introduced in the statistics literature. The method is tested in two different systems, a Monte Carlo dynamics simulation of a two-dimensional model system and molecular dynamics simulations of the terminally blocked alanine dipeptide.

  20. Gaussian Process Autoregression for Simultaneous Proportional Multi-Modal Prosthetic Control With Natural Hand Kinematics.

    Science.gov (United States)

    Xiloyannis, Michele; Gavriel, Constantinos; Thomik, Andreas A C; Faisal, A Aldo

    2017-10-01

    Matching the dexterity, versatility, and robustness of the human hand is still an unachieved goal in bionics, robotics, and neural engineering. A major limitation for hand prosthetics lies in the challenges of reliably decoding user intention from muscle signals when controlling complex robotic hands. Most of the commercially available prosthetic hands use muscle-related signals to decode a finite number of predefined motions and some offer proportional control of open/close movements of the whole hand. Here, in contrast, we aim to offer users flexible control of individual joints of their artificial hand. We propose a novel framework for decoding neural information that enables a user to independently control 11 joints of the hand in a continuous manner-much like we control our natural hands. Toward this end, we instructed six able-bodied subjects to perform everyday object manipulation tasks combining both dynamic, free movements (e.g., grasping) and isometric force tasks (e.g., squeezing). We recorded the electromyographic and mechanomyographic activities of five extrinsic muscles of the hand in the forearm, while simultaneously monitoring 11 joints of hand and fingers using a sensorized data glove that tracked the joints of the hand. Instead of learning just a direct mapping from current muscle activity to intended hand movement, we formulated a novel autoregressive approach that combines the context of previous hand movements with instantaneous muscle activity to predict future hand movements. Specifically, we evaluated a linear vector autoregressive moving average model with exogenous inputs and a novel Gaussian process ( ) autoregressive framework to learn the continuous mapping from hand joint dynamics and muscle activity to decode intended hand movement. Our approach achieves high levels of performance (RMSE of 8°/s and ). Crucially, we use a small set of sensors that allows us to control a larger set of independently actuated degrees of freedom of a hand

  1. Bayesian inference for Markov jump processes with informative observations.

    Science.gov (United States)

    Golightly, Andrew; Wilkinson, Darren J

    2015-04-01

    In this paper we consider the problem of parameter inference for Markov jump process (MJP) representations of stochastic kinetic models. Since transition probabilities are intractable for most processes of interest yet forward simulation is straightforward, Bayesian inference typically proceeds through computationally intensive methods such as (particle) MCMC. Such methods ostensibly require the ability to simulate trajectories from the conditioned jump process. When observations are highly informative, use of the forward simulator is likely to be inefficient and may even preclude an exact (simulation based) analysis. We therefore propose three methods for improving the efficiency of simulating conditioned jump processes. A conditioned hazard is derived based on an approximation to the jump process, and used to generate end-point conditioned trajectories for use inside an importance sampling algorithm. We also adapt a recently proposed sequential Monte Carlo scheme to our problem. Essentially, trajectories are reweighted at a set of intermediate time points, with more weight assigned to trajectories that are consistent with the next observation. We consider two implementations of this approach, based on two continuous approximations of the MJP. We compare these constructs for a simple tractable jump process before using them to perform inference for a Lotka-Volterra system. The best performing construct is used to infer the parameters governing a simple model of motility regulation in Bacillus subtilis.

  2. Real time damage detection using recursive principal components and time varying auto-regressive modeling

    Science.gov (United States)

    Krishnan, M.; Bhowmik, B.; Hazra, B.; Pakrashi, V.

    2018-02-01

    In this paper, a novel baseline free approach for continuous online damage detection of multi degree of freedom vibrating structures using Recursive Principal Component Analysis (RPCA) in conjunction with Time Varying Auto-Regressive Modeling (TVAR) is proposed. In this method, the acceleration data is used to obtain recursive proper orthogonal components online using rank-one perturbation method, followed by TVAR modeling of the first transformed response, to detect the change in the dynamic behavior of the vibrating system from its pristine state to contiguous linear/non-linear-states that indicate damage. Most of the works available in the literature deal with algorithms that require windowing of the gathered data owing to their data-driven nature which renders them ineffective for online implementation. Algorithms focussed on mathematically consistent recursive techniques in a rigorous theoretical framework of structural damage detection is missing, which motivates the development of the present framework that is amenable for online implementation which could be utilized along with suite experimental and numerical investigations. The RPCA algorithm iterates the eigenvector and eigenvalue estimates for sample covariance matrices and new data point at each successive time instants, using the rank-one perturbation method. TVAR modeling on the principal component explaining maximum variance is utilized and the damage is identified by tracking the TVAR coefficients. This eliminates the need for offline post processing and facilitates online damage detection especially when applied to streaming data without requiring any baseline data. Numerical simulations performed on a 5-dof nonlinear system under white noise excitation and El Centro (also known as 1940 Imperial Valley earthquake) excitation, for different damage scenarios, demonstrate the robustness of the proposed algorithm. The method is further validated on results obtained from case studies involving

  3. MARKOV CHAIN PORTFOLIO LIQUIDITY OPTIMIZATION MODEL

    Directory of Open Access Journals (Sweden)

    Eder Oliveira Abensur

    2014-05-01

    Full Text Available 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 Markov chain and Genetic Algorithms concepts as it considers the classic duality of risk versus return and incorporating liquidity costs. The work intends to propose a multi-criterion non-linear optimization model using liquidity based on a Markov chain. The non-linear model was tested using Genetic Algorithms with twenty five Brazilian stocks from 2007 to 2009. The results suggest that this is an innovative development methodology and useful for developing an efficient and realistic financial portfolio, as it considers many attributes such as risk, return and liquidity.

  4. Exact solution of the hidden Markov processes

    Science.gov (United States)

    Saakian, David B.

    2017-11-01

    We write a master equation for the distributions related to hidden Markov processes (HMPs) and solve it using a functional equation. Thus the solution of HMPs is mapped exactly to the solution of the functional equation. For a general case the latter can be solved only numerically. We derive an exact expression for the entropy of HMPs. Our expression for the entropy is an alternative to the ones given before by the solution of integral equations. The exact solution is possible because actually the model can be considered as a generalized random walk on a one-dimensional strip. While we give the solution for the two second-order matrices, our solution can be easily generalized for the L values of the Markov process and M values of observables: We should be able to solve a system of L functional equations in the space of dimension M -1 .

  5. Markov State Model of Ion Assembling Process.

    Science.gov (United States)

    Shevchuk, Roman

    2016-05-12

    We study the process of ion assembling in aqueous solution by means of molecular dynamics. In this article, we present a method to study many-particle assembly using the Markov state model formalism. We observed that at NaCl concentration higher than 1.49 mol/kg, the system tends to form a big ionic cluster composed of roughly 70-90% of the total number of ions. Using Markov state models, we estimated the average time needed for the system to make a transition from discorded state to a state with big ionic cluster. Our results suggest that the characteristic time to form an ionic cluster is a negative exponential function of the salt concentration. Moreover, we defined and analyzed three different kinetic states of a single ion particle. These states correspond to a different particle location during nucleation process.

  6. Lindeberg theorem for Gibbs–Markov dynamics

    Science.gov (United States)

    Denker, Manfred; Senti, Samuel; Zhang, Xuan

    2017-12-01

    A dynamical array consists of a family of functions \\{ fn, i: 1≤slant i≤slant k_n, n≥slant 1\\} and a family of initial times \\{τn, i: 1≤slant i≤slant k_n, n≥slant 1\\} . For a dynamical system (X, T) we identify distributional limits for sums of the form for suitable (non-random) constants s_n>0 and an, i\\in { R} . We derive a Lindeberg-type central limit theorem for dynamical arrays. Applications include new central limit theorems for functions which are not locally Lipschitz continuous and central limit theorems for statistical functions of time series obtained from Gibbs–Markov systems. Our results, which hold for more general dynamics, are stated in the context of Gibbs–Markov dynamical systems for convenience.

  7. Markov and Bernstein type inequalities for polynomials

    Directory of Open Access Journals (Sweden)

    Mohapatra RN

    1999-01-01

    Full Text Available In an answer to a question raised by chemist Mendeleev, A. Markov proved that if is a real polynomial of degree , then The above inequality which is known as Markov's Inequality is best possible and becomes equality for the Chebyshev polynomial . Few years later, Serge Bernstein needed the analogue of this result for the unit disk in the complex plane instead of the interval and the following is known as Bernstein's Inequality. If is a polynomial of degree then This inequality is also best possible and is attained for , being a complex number. The above two inequalities have been the starting point of a considerable literature in Mathematics and in this article we discuss some of the research centered around these inequalities.

  8. Stochastic Dynamics through Hierarchically Embedded Markov Chains

    Science.gov (United States)

    Vasconcelos, Vítor V.; Santos, Fernando P.; Santos, Francisco C.; Pacheco, Jorge M.

    2017-02-01

    Studying dynamical phenomena in finite populations often involves Markov processes of significant mathematical and/or computational complexity, which rapidly becomes prohibitive with increasing population size or an increasing number of individual configuration states. Here, we develop a framework that allows us to define a hierarchy of approximations to the stationary distribution of general systems that can be described as discrete Markov processes with time invariant transition probabilities and (possibly) a large number of states. This results in an efficient method for studying social and biological communities in the presence of stochastic effects—such as mutations in evolutionary dynamics and a random exploration of choices in social systems—including situations where the dynamics encompasses the existence of stable polymorphic configurations, thus overcoming the limitations of existing methods. The present formalism is shown to be general in scope, widely applicable, and of relevance to a variety of interdisciplinary problems.

  9. HYDRA: a Java library for Markov Chain Monte Carlo

    Directory of Open Access Journals (Sweden)

    Gregory R. Warnes

    2002-03-01

    Full Text Available Hydra is an open-source, platform-neutral library for performing Markov Chain Monte Carlo. It implements the logic of standard MCMC samplers within a framework designed to be easy to use, extend, and integrate with other software tools. In this paper, we describe the problem that motivated our work, outline our goals for the Hydra pro ject, and describe the current features of the Hydra library. We then provide a step-by-step example of using Hydra to simulate from a mixture model drawn from cancer genetics, first using a variable-at-a-time Metropolis sampler and then a Normal Kernel Coupler. We conclude with a discussion of future directions for Hydra.

  10. Markov modulated Poisson process models incorporating covariates for rainfall intensity.

    Science.gov (United States)

    Thayakaran, R; Ramesh, N I

    2013-01-01

    Time series of rainfall bucket tip times at the Beaufort Park station, Bracknell, in the UK are modelled by a class of Markov modulated Poisson processes (MMPP) which may be thought of as a generalization of the Poisson process. Our main focus in this paper is to investigate the effects of including covariate information into the MMPP model framework on statistical properties. In particular, we look at three types of time-varying covariates namely temperature, sea level pressure, and relative humidity that are thought to be affecting the rainfall arrival process. Maximum likelihood estimation is used to obtain the parameter estimates, and likelihood ratio tests are employed in model comparison. Simulated data from the fitted model are used to make statistical inferences about the accumulated rainfall in the discrete time interval. Variability of the daily Poisson arrival rates is studied.

  11. Dimensional reduction of Markov state models from renormalization group theory

    Science.gov (United States)

    Orioli, S.; Faccioli, P.

    2016-09-01

    Renormalization Group (RG) theory provides the theoretical framework to define rigorous effective theories, i.e., systematic low-resolution approximations of arbitrary microscopic models. Markov state models are shown to be rigorous effective theories for Molecular Dynamics (MD). Based on this fact, we use real space RG to vary the resolution of the stochastic model and define an algorithm for clustering microstates into macrostates. The result is a lower dimensional stochastic model which, by construction, provides the optimal coarse-grained Markovian representation of the system's relaxation kinetics. To illustrate and validate our theory, we analyze a number of test systems of increasing complexity, ranging from synthetic toy models to two realistic applications, built form all-atom MD simulations. The computational cost of computing the low-dimensional model remains affordable on a desktop computer even for thousands of microstates.

  12. Geolocating fish using Hidden Markov Models and Data Storage Tags

    DEFF Research Database (Denmark)

    Thygesen, Uffe Høgsbro; Pedersen, Martin Wæver; Madsen, Henrik

    2009-01-01

    Geolocation of fish based on data from archival tags typically requires a statistical analysis to reduce the effect of measurement errors. In this paper we present a novel technique for this analysis, one based on Hidden Markov Models (HMM's). We assume that the actual path of the fish is generated...... by a biased random walk. The HMM methodology produces, for each time step, the probability that the fish resides in each grid cell. Because there is no Monte Carlo step in our technique, we are able to estimate parameters within the likelihood framework. The method does not require the distribution...... of inference in state-space models of animals. The technique can be applied to geolocation based on light, on tidal patterns, or measurement of other variables that vary with space. We illustrate the method through application to a simulated data set where geolocation relies on depth data exclusively....

  13. Handbook of Markov chain Monte Carlo

    CERN Document Server

    Brooks, Steve

    2011-01-01

    ""Handbook of Markov Chain Monte Carlo"" brings together the major advances that have occurred in recent years while incorporating enough introductory material for new users of MCMC. Along with thorough coverage of the theoretical foundations and algorithmic and computational methodology, this comprehensive handbook includes substantial realistic case studies from a variety of disciplines. These case studies demonstrate the application of MCMC methods and serve as a series of templates for the construction, implementation, and choice of MCMC methodology.

  14. Exploring Disease Interactions Using Markov Networks

    OpenAIRE

    Haaren, J. Van; Davis, J; Lappenschaar, G.A.M.; Hommersom, A.J.

    2013-01-01

    Network medicine is an emerging paradigm for studying the co-occurrence between diseases. While diseases are often interlinked through complex patterns, most of the existing work in this area has focused on studying pairwise relationships between diseases. In this paper, we use a state-of-the-art Markov network learning method to learn interactions between musculoskeletal disorders and cardiovascular diseases and compare this to pairwise approaches. Our experimental results confirm that the s...

  15. Dynamical fluctuations for semi-Markov processes

    Czech Academy of Sciences Publication Activity Database

    Maes, C.; Netočný, Karel; Wynants, B.

    2009-01-01

    Roč. 42, č. 36 (2009), 365002/1-365002/21 ISSN 1751-8113 R&D Projects: GA ČR GC202/07/J051 Institutional research plan: CEZ:AV0Z10100520 Keywords : nonequilibrium fluctuations * semi-Markov processes Subject RIV: BM - Solid Matter Physics ; Magnetism Impact factor: 1.577, year: 2009 http://www.iop.org/EJ/abstract/1751-8121/42/36/365002

  16. Numerical methods in Markov chain modeling

    Science.gov (United States)

    Philippe, Bernard; Saad, Youcef; Stewart, William J.

    1989-01-01

    Several methods for computing stationary probability distributions of Markov chains are described and compared. The main linear algebra problem consists of computing an eigenvector of a sparse, usually nonsymmetric, matrix associated with a known eigenvalue. It can also be cast as a problem of solving a homogeneous singular linear system. Several methods based on combinations of Krylov subspace techniques are presented. The performance of these methods on some realistic problems are compared.

  17. Second Order Optimality in Markov Decision Chains

    Czech Academy of Sciences Publication Activity Database

    Sladký, Karel

    2017-01-01

    Roč. 53, č. 6 (2017), s. 1086-1099 ISSN 0023-5954 R&D Projects: GA ČR GA15-10331S Institutional support: RVO:67985556 Keywords : Markov decision chains * second order optimality * optimalilty conditions for transient, discounted and average models * policy and value iterations Subject RIV: BB - Applied Statistics, Operational Research OBOR OECD: Statistics and probability Impact factor: 0.379, year: 2016 http://library.utia.cas.cz/separaty/2017/E/sladky-0485146.pdf

  18. Dirichlet forms and symmetric Markov processes

    CERN Document Server

    Oshima, Yoichi; Fukushima, Masatoshi

    2010-01-01

    Since the publication of the first edition in 1994, this book has attracted constant interests from readers and is by now regarded as a standard reference for the theory of Dirichlet forms. For the present second edition, the authors not only revised the existing text, but also added some new sections as well as several exercises with solutions. The book addresses to researchers and graduate students who wish to comprehend the area of Dirichlet forms and symmetric Markov processes.

  19. Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach

    OpenAIRE

    Mohd Haniff, NorAzza; Masih, Mansur

    2016-01-01

    The purpose of this paper is to determine the nature of relationship between consumer sentiment and consumer spending in the Malaysian context. The autoregressive distributed lag (ARDL) methodology is employed to test this relationship, controlling for information in other financial and economic indicators. The stability of the functions is tested by CUSUM and CUSUMQ and no structural break was found. Overall, the results show that the Consumer Sentiment Index does not have any predictive val...

  20. Testing for rational bubbles in a co-explosive vector autoregression

    DEFF Research Database (Denmark)

    Engsted, Tom; Nielsen, Bent

    We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are d...... is analysed using a co-explosive framework. The methodology is illustrated using US stock prices and dividends for the period 1872-2000....

  1. Modelling economic interdependencies of international tourism Demand : the global vector autoregressive approach.

    OpenAIRE

    CAO, Z.

    2016-01-01

    Tourism demand is one of the major areas of tourism economics research. The current research studies the interdependencies of international tourism demand across 24 major countries around the world. To this end, it proposes to develop a tourism demand model using an innovative approach, called the global vector autoregressive (GVAR) model. While existing tourism demand models are successful in measuring the causal effects of economic variables on tourism demand for a single origin-destinat...

  2. Exchange rate pass-through in Switzerland: Evidence from vector autoregressions

    OpenAIRE

    Jonas Stulz

    2007-01-01

    This study investigates the pass-through of exchange rate and import price shocks to different aggregated prices in Switzerland. The baseline analysis is carried out with recursively identified vector autoregressive (VAR) models. The data set comprises monthly observations, and pass-through effects are quantified by means of impulse response functions. Evidence shows that the exchange rate pass-through to import prices is substantial (although incomplete), but only moderate to total consumer ...

  3. Brillouin Scattering Spectrum Analysis Based on Auto-Regressive Spectral Estimation

    Science.gov (United States)

    Huang, Mengyun; Li, Wei; Liu, Zhangyun; Cheng, Linghao; Guan, Bai-Ou

    2018-03-01

    Auto-regressive (AR) spectral estimation technology is proposed to analyze the Brillouin scattering spectrum in Brillouin optical time-domain refelectometry. It shows that AR based method can reliably estimate the Brillouin frequency shift with an accuracy much better than fast Fourier transform (FFT) based methods provided the data length is not too short. It enables about 3 times improvement over FFT at a moderate spatial resolution.

  4. Consistent and Conservative Model Selection with the Adaptive LASSO in Stationary and Nonstationary Autoregressions

    DEFF Research Database (Denmark)

    Kock, Anders Bredahl

    2016-01-01

    as if only these had been included in the model from the outset. In particular, this implies that it is able to discriminate between stationary and nonstationary autoregressions and it thereby constitutes an addition to the set of unit root tests. Next, and important in practice, we show that choosing...... to perform conservative model selection it has power even against shrinking alternatives of this form and compare it to the plain Lasso....

  5. Hierarchical Bayesian Markov switching models with application to predicting spawning success of shovelnose sturgeon

    Science.gov (United States)

    Holan, S.H.; Davis, G.M.; Wildhaber, M.L.; DeLonay, A.J.; Papoulias, D.M.

    2009-01-01

    The timing of spawning in fish is tightly linked to environmental factors; however, these factors are not very well understood for many species. Specifically, little information is available to guide recruitment efforts for endangered species such as the sturgeon. Therefore, we propose a Bayesian hierarchical model for predicting the success of spawning of the shovelnose sturgeon which uses both biological and behavioural (longitudinal) data. In particular, we use data that were produced from a tracking study that was conducted in the Lower Missouri River. The data that were produced from this study consist of biological variables associated with readiness to spawn along with longitudinal behavioural data collected by using telemetry and archival data storage tags. These high frequency data are complex both biologically and in the underlying behavioural process. To accommodate such complexity we developed a hierarchical linear regression model that uses an eigenvalue predictor, derived from the transition probability matrix of a two-state Markov switching model with generalized auto-regressive conditional heteroscedastic dynamics. Finally, to minimize the computational burden that is associated with estimation of this model, a parallel computing approach is proposed. ?? Journal compilation 2009 Royal Statistical Society.

  6. Parameterizing the Spatial Markov Model From Breakthrough Curve Data Alone

    Science.gov (United States)

    Sherman, Thomas; Fakhari, Abbas; Miller, Savannah; Singha, Kamini; Bolster, Diogo

    2017-12-01

    The spatial Markov model (SMM) is an upscaled Lagrangian model that effectively captures anomalous transport across a diverse range of hydrologic systems. The distinct feature of the SMM relative to other random walk models is that successive steps are correlated. To date, with some notable exceptions, the model has primarily been applied to data from high-resolution numerical simulations and correlation effects have been measured from simulated particle trajectories. In real systems such knowledge is practically unattainable and the best one might hope for is breakthrough curves (BTCs) at successive downstream locations. We introduce a novel methodology to quantify velocity correlation from BTC data alone. By discretizing two measured BTCs into a set of arrival times and developing an inverse model, we estimate velocity correlation, thereby enabling parameterization of the SMM in studies where detailed Lagrangian velocity statistics are unavailable. The proposed methodology is applied to two synthetic numerical problems, where we measure all details and thus test the veracity of the approach by comparison of estimated parameters with known simulated values. Our results suggest that our estimated transition probabilities agree with simulated values and using the SMM with this estimated parameterization accurately predicts BTCs downstream. Our methodology naturally allows for estimates of uncertainty by calculating lower and upper bounds of velocity correlation, enabling prediction of a range of BTCs. The measured BTCs fall within the range of predicted BTCs. This novel method to parameterize the SMM from BTC data alone is quite parsimonious, thereby widening the SMM's practical applicability.

  7. Performance of the Autoregressive Method in Long-Term Prediction of Sunspot Number

    Science.gov (United States)

    Chae, Jongchul; Kim, Yeon Han

    2017-04-01

    The autoregressive method provides a univariate procedure to predict the future sunspot number (SSN) based on past record. The strength of this method lies in the possibility that from past data it yields the SSN in the future as a function of time. On the other hand, its major limitation comes from the intrinsic complexity of solar magnetic activity that may deviate from the linear stationary process assumption that is the basis of the autoregressive model. By analyzing the residual errors produced by the method, we have obtained the following conclusions: (1) the optimal duration of the past time for the forecast is found to be 8.5 years; (2) the standard error increases with prediction horizon and the errors are mostly systematic ones resulting from the incompleteness of the autoregressive model; (3) there is a tendency that the predicted value is underestimated in the activity rising phase, while it is overestimated in the declining phase; (5) the model prediction of a new Solar Cycle is fairly good when it is similar to the previous one, but is bad when the new cycle is much different from the previous one; (6) a reasonably good prediction of a new cycle can be made using the AR model 1.5 years after the start of the cycle. In addition, we predict the next cycle (Solar Cycle 25) will reach the peak in 2024 at the activity level similar to the current cycle.

  8. Prediction of global ionospheric VTEC maps using an adaptive autoregressive model

    Science.gov (United States)

    Wang, Cheng; Xin, Shaoming; Liu, Xiaolu; Shi, Chuang; Fan, Lei

    2018-02-01

    In this contribution, an adaptive autoregressive model is proposed and developed to predict global ionospheric vertical total electron content maps (VTEC). Specifically, the spherical harmonic (SH) coefficients are predicted based on the autoregressive model, and the order of the autoregressive model is determined adaptively using the F-test method. To test our method, final CODE and IGS global ionospheric map (GIM) products, as well as altimeter TEC data during low and mid-to-high solar activity period collected by JASON, are used to evaluate the precision of our forecasting products. Results indicate that the predicted products derived from the model proposed in this paper have good consistency with the final GIMs in low solar activity, where the annual mean of the root-mean-square value is approximately 1.5 TECU. However, the performance of predicted vertical TEC in periods of mid-to-high solar activity has less accuracy than that during low solar activity periods, especially in the equatorial ionization anomaly region and the Southern Hemisphere. Additionally, in comparison with forecasting products, the final IGS GIMs have the best consistency with altimeter TEC data. Future work is needed to investigate the performance of forecasting products using the proposed method in an operational environment, rather than using the SH coefficients from the final CODE products, to understand the real-time applicability of the method.

  9. Reliability analysis of nuclear component cooling water system using semi-Markov process model

    International Nuclear Information System (INIS)

    Veeramany, Arun; Pandey, Mahesh D.

    2011-01-01

    Research highlights: → Semi-Markov process (SMP) model is used to evaluate system failure probability of the nuclear component cooling water (NCCW) system. → SMP is used because it can solve reliability block diagram with a mixture of redundant repairable and non-repairable components. → The primary objective is to demonstrate that SMP can consider Weibull failure time distribution for components while a Markov model cannot → Result: the variability in component failure time is directly proportional to the NCCW system failure probability. → The result can be utilized as an initiating event probability in probabilistic safety assessment projects. - Abstract: A reliability analysis of nuclear component cooling water (NCCW) system is carried out. Semi-Markov process model is used in the analysis because it has potential to solve a reliability block diagram with a mixture of repairable and non-repairable components. With Markov models it is only possible to assume an exponential profile for component failure times. An advantage of the proposed model is the ability to assume Weibull distribution for the failure time of components. In an attempt to reduce the number of states in the model, it is shown that usage of poly-Weibull distribution arises. The objective of the paper is to determine system failure probability under these assumptions. Monte Carlo simulation is used to validate the model result. This result can be utilized as an initiating event probability in probabilistic safety assessment projects.

  10. [Markov process of vegetation cover change in arid area of northwest China based on FVC index].

    Science.gov (United States)

    Wang, Zhi; Chang, Shun-li; Shi, Qing-dong; Ma, Ke; Liang, Feng-chao

    2010-05-01

    Based on the fractional vegetation cover (FVC) data of 1982-2000 NOAA/AVHRR (National Oceanic and Atmospheric Administration/ the Advanced Very High Resolution Radiometer) images, the whole arid area of Northwest China was divided into three sub-areas, and then, the vegetation cover in each sub-area was classified by altitude. Furthermore, the Markov process of vegetation cover change was analyzed and tested through calculating the limit probability of any two years and the continuous and interval mean transition matrixes of vegetation cover change with 8 km x 8 km spatial resolution. By this method, the Markov process of vegetation cover change and its indicative significance were approached. The results showed that the vegetation cover change in the study area was controlled by some random processes and affected by long-term stable driving factors, and the transitional change of vegetation cover was a multiple Markov process. Therefore, only using two term image data, no matter they were successive or intervallic, Markov process could not accurately estimate the trend of vegetation cover change. As for the arid area of Northwest China, more than 10 years successive data could basically reflect all the factors affecting regional vegetation cover change, and using long term average transition matrix data could reliably simulate and predict the vegetation cover change. Vegetation cover change was a long term dynamic balance. Once the balance was broken down, it should be a long time process to establish a new balance.

  11. Markov chains and semi-Markov models in time-to-event analysis

    Science.gov (United States)

    Abner, Erin L.; Charnigo, Richard J.; Kryscio, Richard J.

    2014-01-01

    A variety of statistical methods are available to investigators for analysis of time-to-event data, often referred to as survival analysis. Kaplan-Meier estimation and Cox proportional hazards regression are commonly employed tools but are not appropriate for all studies, particularly in the presence of competing risks and when multiple or recurrent outcomes are of interest. Markov chain models can accommodate censored data, competing risks (informative censoring), multiple outcomes, recurrent outcomes, frailty, and non-constant survival probabilities. Markov chain models, though often overlooked by investigators in time-to-event analysis, have long been used in clinical studies and have widespread application in other fields. PMID:24818062

  12. Derivation of Markov processes that violate detailed balance

    Science.gov (United States)

    Lee, Julian

    2018-03-01

    Time-reversal symmetry of the microscopic laws dictates that the equilibrium distribution of a stochastic process must obey the condition of detailed balance. However, cyclic Markov processes that do not admit equilibrium distributions with detailed balance are often used to model systems driven out of equilibrium by external agents. I show that for a Markov model without detailed balance, an extended Markov model can be constructed, which explicitly includes the degrees of freedom for the driving agent and satisfies the detailed balance condition. The original cyclic Markov model for the driven system is then recovered as an approximation at early times by summing over the degrees of freedom for the driving agent. I also show that the widely accepted expression for the entropy production in a cyclic Markov model is actually a time derivative of an entropy component in the extended model. Further, I present an analytic expression for the entropy component that is hidden in the cyclic Markov model.

  13. Assistive system for people with Apraxia using a Markov decision process.

    Science.gov (United States)

    Jean-Baptiste, Emilie M D; Russell, Martin; Rothstein, Pia

    2014-01-01

    CogWatch is an assistive system to re-train stroke survivors suffering from Apraxia or Action Disorganization Syndrome (AADS) to complete activities of daily living (ADLs). This paper describes the approach to real-time planning based on a Markov Decision Process (MDP), and demonstrates its ability to improve task's performance via user simulation. The paper concludes with a discussion of the remaining challenges and future enhancements.

  14. Cost-effectiveness of prevention and treatment of the diabetic foot: a Markov analysis

    OpenAIRE

    Ortegon, Monica; Redekop, Ken; Niessen, Louis Wilhelmus

    2004-01-01

    textabstractOBJECTIVE: To estimate the lifetime health and economic effects of optimal prevention and treatment of the diabetic foot according to international standards and to determine the cost-effectiveness of these interventions in the Netherlands. RESEARCH DESIGN AND METHODS: A risk-based Markov model was developed to simulate the onset and progression of diabetic foot disease in patients with newly diagnosed type 2 diabetes managed with care according to guidelines for their lifetime. M...

  15. ADAPTIVE LEARNING OF HIDDEN MARKOV MODELS FOR EMOTIONAL SPEECH

    Directory of Open Access Journals (Sweden)

    A. V. Tkachenia

    2014-01-01

    Full Text Available An on-line unsupervised algorithm for estimating the hidden Markov models (HMM parame-ters is presented. The problem of hidden Markov models adaptation to emotional speech is solved. To increase the reliability of estimated HMM parameters, a mechanism of forgetting and updating is proposed. A functional block diagram of the hidden Markov models adaptation algorithm is also provided with obtained results, which improve the efficiency of emotional speech recognition.

  16. A Markov Process Inspired Cellular Automata Model of Road Traffic

    OpenAIRE

    Wang, Fa; Li, Li; Hu, Jianming; Ji, Yan; Yao, Danya; Zhang, Yi; Jin, Xuexiang; Su, Yuelong; Wei, Zheng

    2008-01-01

    To provide a more accurate description of the driving behaviors in vehicle queues, a namely Markov-Gap cellular automata model is proposed in this paper. It views the variation of the gap between two consequent vehicles as a Markov process whose stationary distribution corresponds to the observed distribution of practical gaps. The multiformity of this Markov process provides the model enough flexibility to describe various driving behaviors. Two examples are given to show how to specialize i...

  17. The Independence of Markov's Principle in Type Theory

    DEFF Research Database (Denmark)

    Coquand, Thierry; Mannaa, Bassel

    2017-01-01

    In this paper, we show that Markov's principle is not derivable in dependent type theory with natural numbers and one universe. One way to prove this would be to remark that Markov's principle does not hold in a sheaf model of type theory over Cantor space, since Markov's principle does not hold...... for the generic point of this model. Instead we design an extension of type theory, which intuitively extends type theory by the addition of a generic point of Cantor space. We then show the consistency of this extension by a normalization argument. Markov's principle does not hold in this extension......, and it follows that it cannot be proved in type theory....

  18. Context Tree Estimation in Variable Length Hidden Markov Models

    OpenAIRE

    Dumont, Thierry

    2011-01-01

    We address the issue of context tree estimation in variable length hidden Markov models. We propose an estimator of the context tree of the hidden Markov process which needs no prior upper bound on the depth of the context tree. We prove that the estimator is strongly consistent. This uses information-theoretic mixture inequalities in the spirit of Finesso and Lorenzo(Consistent estimation of the order for Markov and hidden Markov chains(1990)) and E.Gassiat and S.Boucheron (Optimal error exp...

  19. Deteksi Fraud Menggunakan Metode Model Markov Tersembunyi Pada Proses Bisnis

    Directory of Open Access Journals (Sweden)

    Andrean Hutama Koosasi

    2017-03-01

    Full Text Available Model Markov Tersembunyi merupakan sebuah metode statistik berdasarkan Model Markov sederhana yang memodelkan sistem serta membaginya dalam 2 (dua state, state tersembunyi dan state observasi. Dalam pengerjaan tugas akhir ini, penulis mengusulkan penggunaan metode Model Markov Tersembunyi untuk menemukan fraud didalam sebuah pelaksanaan proses bisnis. Dengan penggunaan metode Model Markov Tersembunyi ini, maka pengamatan terhadap elemen penyusun sebuah kasus/kejadian, yakni beberapa aktivitas, akan diperoleh sebuah nilai peluang, yang sekaligus memberikan prediksi terhadap kasus/kejadian tersebut, sebuah fraud atau tidak. Hasil ekpserimen ini menunjukkan bahwa metode yang diusulkan mampu memberikan prediksi akhir dengan evaluasi TPR sebesar 87,5% dan TNR sebesar 99,4%.

  20. Modelling and Simulation: An Overview

    NARCIS (Netherlands)

    M.J. McAleer (Michael); F. Chan (Felix); L. Oxley (Les)

    2013-01-01

    textabstractThe papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are

  1. Detecting critical state before phase transition of complex biological systems by hidden Markov model.

    Science.gov (United States)

    Chen, Pei; Liu, Rui; Li, Yongjun; Chen, Luonan

    2016-07-15

    Identifying the critical state or pre-transition state just before the occurrence of a phase transition is a challenging task, because the state of the system may show little apparent change before this critical transition during the gradual parameter variations. Such dynamics of phase transition is generally composed of three stages, i.e. before-transition state, pre-transition state and after-transition state, which can be considered as three different Markov processes. By exploring the rich dynamical information provided by high-throughput data, we present a novel computational method, i.e. hidden Markov model (HMM) based approach, to detect the switching point of the two Markov processes from the before-transition state (a stationary Markov process) to the pre-transition state (a time-varying Markov process), thereby identifying the pre-transition state or early-warning signals of the phase transition. To validate the effectiveness, we apply this method to detect the signals of the imminent phase transitions of complex systems based on the simulated datasets, and further identify the pre-transition states as well as their critical modules for three real datasets, i.e. the acute lung injury triggered by phosgene inhalation, MCF-7 human breast cancer caused by heregulin and HCV-induced dysplasia and hepatocellular carcinoma. Both functional and pathway enrichment analyses validate the computational results. The source code and some supporting files are available at https://github.com/rabbitpei/HMM_based-method lnchen@sibs.ac.cn or liyj@scut.edu.cn Supplementary data are available at Bioinformatics online. © The Author 2016. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com.

  2. Master equation for She-Leveque scaling and its classification in terms of other Markov models of developed turbulence

    Science.gov (United States)

    Nickelsen, Daniel

    2017-07-01

    The statistics of velocity increments in homogeneous and isotropic turbulence exhibit universal features in the limit of infinite Reynolds numbers. After Kolmogorov’s scaling law from 1941, many turbulence models aim for capturing these universal features, some are known to have an equivalent formulation in terms of Markov processes. We derive the Markov process equivalent to the particularly successful scaling law postulated by She and Leveque. The Markov process is a jump process for velocity increments u(r) in scale r in which the jumps occur randomly but with deterministic width in u. From its master equation we establish a prescription to simulate the She-Leveque process and compare it with Kolmogorov scaling. To put the She-Leveque process into the context of other established turbulence models on the Markov level, we derive a diffusion process for u(r) using two properties of the Navier-Stokes equation. This diffusion process already includes Kolmogorov scaling, extended self-similarity and a class of random cascade models. The fluctuation theorem of this Markov process implies a ‘second law’ that puts a loose bound on the multipliers of the random cascade models. This bound explicitly allows for instances of inverse cascades, which are necessary to satisfy the fluctuation theorem. By adding a jump process to the diffusion process, we go beyond Kolmogorov scaling and formulate the most general scaling law for the class of Markov processes having both diffusion and jump parts. This Markov scaling law includes She-Leveque scaling and a scaling law derived by Yakhot.

  3. First and second order semi-Markov chains for wind speed modeling

    Science.gov (United States)

    Prattico, F.; Petroni, F.; D'Amico, G.

    2012-04-01

    -order Markov chain with different number of states, and Weibull distribution. All this model use Markov chains to generate synthetic wind speed time series but the search for a better model is still open. Approaching this issue, we applied new models which are generalization of Markov models. More precisely we applied semi-Markov models to generate synthetic wind speed time series. Semi-Markov processes (SMP) are a wide class of stochastic processes which generalize at the same time both Markov chains and renewal processes. Their main advantage is that of using whatever type of waiting time distribution for modeling the time to have a transition from one state to another one. This major flexibility has a price to pay: availability of data to estimate the parameters of the model which are more numerous. Data availability is not an issue in wind speed studies, therefore, semi-Markov models can be used in a statistical efficient way. In this work we present three different semi-Markov chain models: the first one is a first-order SMP where the transition probabilities from two speed states (at time Tn and Tn-1) depend on the initial state (the state at Tn-1), final state (the state at Tn) and on the waiting time (given by t=Tn-Tn-1), the second model is a second order SMP where we consider the transition probabilities as depending also on the state the wind speed was before the initial state (which is the state at Tn-2) and the last one is still a second order SMP where the transition probabilities depends on the three states at Tn-2,Tn-1 and Tn and on the waiting times t_1=Tn-1-Tn-2 and t_2=Tn-Tn-1. The three models are used to generate synthetic time series for wind speed by means of Monte Carlo simulations and the time lagged autocorrelation is used to compare statistical properties of the proposed models with those of real data and also with a time series generated though a simple Markov chain. [1] F. Youcef Ettoumi, H. Sauvageot, A.-E.-H. Adane, Statistical bivariate modeling

  4. Developing a statistically powerful measure for quartet tree inference using phylogenetic identities and Markov invariants.

    Science.gov (United States)

    Sumner, Jeremy G; Taylor, Amelia; Holland, Barbara R; Jarvis, Peter D

    2017-12-01

    Recently there has been renewed interest in phylogenetic inference methods based on phylogenetic invariants, alongside the related Markov invariants. Broadly speaking, both these approaches give rise to polynomial functions of sequence site patterns that, in expectation value, either vanish for particular evolutionary trees (in the case of phylogenetic invariants) or have well understood transformation properties (in the case of Markov invariants). While both approaches have been valued for their intrinsic mathematical interest, it is not clear how they relate to each other, and to what extent they can be used as practical tools for inference of phylogenetic trees. In this paper, by focusing on the special case of binary sequence data and quartets of taxa, we are able to view these two different polynomial-based approaches within a common framework. To motivate the discussion, we present three desirable statistical properties that we argue any invariant-based phylogenetic method should satisfy: (1) sensible behaviour under reordering of input sequences; (2) stability as the taxa evolve independently according to a Markov process; and (3) explicit dependence on the assumption of a continuous-time process. Motivated by these statistical properties, we develop and explore several new phylogenetic inference methods. In particular, we develop a statistically bias-corrected version of the Markov invariants approach which satisfies all three properties. We also extend previous work by showing that the phylogenetic invariants can be implemented in such a way as to satisfy property (3). A simulation study shows that, in comparison to other methods, our new proposed approach based on bias-corrected Markov invariants is extremely powerful for phylogenetic inference. The binary case is of particular theoretical interest as-in this case only-the Markov invariants can be expressed as linear combinations of the phylogenetic invariants. A wider implication of this is that, for

  5. Dynamic system evolution and markov chain approximation

    Directory of Open Access Journals (Sweden)

    Roderick V. Nicholas Melnik

    1998-01-01

    Full Text Available In this paper computational aspects of the mathematical modelling of dynamic system evolution have been considered as a problem in information theory. The construction of mathematical models is treated as a decision making process with limited available information.The solution of the problem is associated with a computational model based on heuristics of a Markov Chain in a discrete space–time of events. A stable approximation of the chain has been derived and the limiting cases are discussed. An intrinsic interconnection of constructive, sequential, and evolutionary approaches in related optimization problems provides new challenges for future work.

  6. Markov random fields on triangle meshes

    DEFF Research Database (Denmark)

    Andersen, Vedrana; Aanæs, Henrik; Bærentzen, Jakob Andreas

    2010-01-01

    In this paper we propose a novel anisotropic smoothing scheme based on Markov Random Fields (MRF). Our scheme is formulated as two coupled processes. A vertex process is used to smooth the mesh by displacing the vertices according to a MRF smoothness prior, while an independent edge process labels...... mesh edges according to a feature detecting prior. Since we should not smooth across a sharp feature, we use edge labels to control the vertex process. In a Bayesian framework, MRF priors are combined with the likelihood function related to the mesh formation method. The output of our algorithm...

  7. Hybrid Discrete-Continuous Markov Decision Processes

    Science.gov (United States)

    Feng, Zhengzhu; Dearden, Richard; Meuleau, Nicholas; Washington, Rich

    2003-01-01

    This paper proposes a Markov decision process (MDP) model that features both discrete and continuous state variables. We extend previous work by Boyan and Littman on the mono-dimensional time-dependent MDP to multiple dimensions. We present the principle of lazy discretization, and piecewise constant and linear approximations of the model. Having to deal with several continuous dimensions raises several new problems that require new solutions. In the (piecewise) linear case, we use techniques from partially- observable MDPs (POMDPS) to represent value functions as sets of linear functions attached to different partitions of the state space.

  8. Markov Chain Analysis of Musical Dice Games

    Science.gov (United States)

    Volchenkov, D.; Dawin, J. R.

    2012-07-01

    A system for using dice to compose music randomly is known as the musical dice game. The discrete time MIDI models of 804 pieces of classical music written by 29 composers have been encoded into the transition matrices and studied by Markov chains. Contrary to human languages, entropy dominates over redundancy, in the musical dice games based on the compositions of classical music. The maximum complexity is achieved on the blocks consisting of just a few notes (8 notes, for the musical dice games generated over Bach's compositions). First passage times to notes can be used to resolve tonality and feature a composer.

  9. Genetic Algorithms Principles Towards Hidden Markov Model

    Directory of Open Access Journals (Sweden)

    Nabil M. Hewahi

    2011-10-01

    Full Text Available In this paper we propose a general approach based on Genetic Algorithms (GAs to evolve Hidden Markov Models (HMM. The problem appears when experts assign probability values for HMM, they use only some limited inputs. The assigned probability values might not be accurate to serve in other cases related to the same domain. We introduce an approach based on GAs to find
    out the suitable probability values for the HMM to be mostly correct in more cases than what have been used to assign the probability values.

  10. Pseudo-extended Markov chain Monte Carlo

    OpenAIRE

    Nemeth, Christopher; Lindsten, Fredrik; Filippone, Maurizio; Hensman, James

    2017-01-01

    Sampling from the posterior distribution using Markov chain Monte Carlo (MCMC) methods can require an exhaustive number of iterations to fully explore the correct posterior. This is often the case when the posterior of interest is multi-modal, as the MCMC sampler can become trapped in a local mode for a large number of iterations. In this paper, we introduce the pseudo-extended MCMC method as an approach for improving the mixing of the MCMC sampler in complex posterior distributions. The pseu...

  11. Scalable approximate policies for Markov decision process models of hospital elective admissions.

    Science.gov (United States)

    Zhu, George; Lizotte, Dan; Hoey, Jesse

    2014-05-01

    To demonstrate the feasibility of using stochastic simulation methods for the solution of a large-scale Markov decision process model of on-line patient admissions scheduling. The problem of admissions scheduling is modeled as a Markov decision process in which the states represent numbers of patients using each of a number of resources. We investigate current state-of-the-art real time planning methods to compute solutions to this Markov decision process. Due to the complexity of the model, traditional model-based planners are limited in scalability since they require an explicit enumeration of the model dynamics. To overcome this challenge, we apply sample-based planners along with efficient simulation techniques that given an initial start state, generate an action on-demand while avoiding portions of the model that are irrelevant to the start state. We also propose a novel variant of a popular sample-based planner that is particularly well suited to the elective admissions problem. Results show that the stochastic simulation methods allow for the problem size to be scaled by a factor of almost 10 in the action space, and exponentially in the state space. We have demonstrated our approach on a problem with 81 actions, four specialities and four treatment patterns, and shown that we can generate solutions that are near-optimal in about 100s. Sample-based planners are a viable alternative to state-based planners for large Markov decision process models of elective admissions scheduling. Copyright © 2014 Elsevier B.V. All rights reserved.

  12. Modelling and Simulation: An Overview

    OpenAIRE

    McAleer, Michael; Chan, Felix; Oxley, Les

    2013-01-01

    This discussion paper resulted in a publication in 'Selected Papers of the MSSANZ 19th Biennial Conference on Modelling and Simulation Mathematics and Computers in Simulation', 2013, pp. viii. The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal: the emp...

  13. A high-fidelity weather time series generator using the Markov Chain process on a piecewise level

    Science.gov (United States)

    Hersvik, K.; Endrerud, O.-E. V.

    2017-12-01

    A method is developed for generating a set of unique weather time-series based on an existing weather series. The method allows statistically valid weather variations to take place within repeated simulations of offshore operations. The numerous generated time series need to share the same statistical qualities as the original time series. Statistical qualities here refer mainly to the distribution of weather windows available for work, including durations and frequencies of such weather windows, and seasonal characteristics. The method is based on the Markov chain process. The core new development lies in how the Markov Process is used, specifically by joining small pieces of random length time series together rather than joining individual weather states, each from a single time step, which is a common solution found in the literature. This new Markov model shows favorable characteristics with respect to the requirements set forth and all aspects of the validation performed.

  14. Nonparametric estimation of transition probabilities in the non-Markov illness-death model: A comparative study.

    Science.gov (United States)

    de Uña-Álvarez, Jacobo; Meira-Machado, Luís

    2015-06-01

    Multi-state models are often used for modeling complex event history data. In these models the estimation of the transition probabilities is of particular interest, since they allow for long-term predictions of the process. These quantities have been traditionally estimated by the Aalen-Johansen estimator, which is consistent if the process is Markov. Several non-Markov estimators have been proposed in the recent literature, and their superiority with respect to the Aalen-Johansen estimator has been proved in situations in which the Markov condition is strongly violated. However, the existing estimators have the drawback of requiring that the support of the censoring distribution contains the support of the lifetime distribution, which is not often the case. In this article, we propose two new methods for estimating the transition probabilities in the progressive illness-death model. Some asymptotic results are derived. The proposed estimators are consistent regardless the Markov condition and the referred assumption about the censoring support. We explore the finite sample behavior of the estimators through simulations. The main conclusion of this piece of research is that the proposed estimators are much more efficient than the existing non-Markov estimators in most cases. An application to a clinical trial on colon cancer is included. Extensions to progressive processes beyond the three-state illness-death model are discussed. © 2015, The International Biometric Society.

  15. Approximating Markov Chains: What and why

    International Nuclear Information System (INIS)

    Pincus, S.

    1996-01-01

    Much of the current study of dynamical systems is focused on geometry (e.g., chaos and bifurcations) and ergodic theory. Yet dynamical systems were originally motivated by an attempt to open-quote open-quote solve,close-quote close-quote or at least understand, a discrete-time analogue of differential equations. As such, numerical, analytical solution techniques for dynamical systems would seem desirable. We discuss an approach that provides such techniques, the approximation of dynamical systems by suitable finite state Markov Chains. Steady state distributions for these Markov Chains, a straightforward calculation, will converge to the true dynamical system steady state distribution, with appropriate limit theorems indicated. Thus (i) approximation by a computable, linear map holds the promise of vastly faster steady state solutions for nonlinear, multidimensional differential equations; (ii) the solution procedure is unaffected by the presence or absence of a probability density function for the attractor, entirely skirting singularity, fractal/multifractal, and renormalization considerations. The theoretical machinery underpinning this development also implies that under very general conditions, steady state measures are weakly continuous with control parameter evolution. This means that even though a system may change periodicity, or become chaotic in its limiting behavior, such statistical parameters as the mean, standard deviation, and tail probabilities change continuously, not abruptly with system evolution. copyright 1996 American Institute of Physics

  16. Monitoring volcano activity through Hidden Markov Model

    Science.gov (United States)

    Cassisi, C.; Montalto, P.; Prestifilippo, M.; Aliotta, M.; Cannata, A.; Patanè, D.

    2013-12-01

    During 2011-2013, Mt. Etna was mainly characterized by cyclic occurrences of lava fountains, totaling to 38 episodes. During this time interval Etna volcano's states (QUIET, PRE-FOUNTAIN, FOUNTAIN, POST-FOUNTAIN), whose automatic recognition is very useful for monitoring purposes, turned out to be strongly related to the trend of RMS (Root Mean Square) of the seismic signal recorded by stations close to the summit area. Since RMS time series behavior is considered to be stochastic, we can try to model the system generating its values, assuming to be a Markov process, by using Hidden Markov models (HMMs). HMMs are a powerful tool in modeling any time-varying series. HMMs analysis seeks to recover the sequence of hidden states from the observed emissions. In our framework, observed emissions are characters generated by the SAX (Symbolic Aggregate approXimation) technique, which maps RMS time series values with discrete literal emissions. The experiments show how it is possible to guess volcano states by means of HMMs and SAX.

  17. Epitope discovery with phylogenetic hidden Markov models.

    LENUS (Irish Health Repository)

    Lacerda, Miguel

    2010-05-01

    Existing methods for the prediction of immunologically active T-cell epitopes are based on the amino acid sequence or structure of pathogen proteins. Additional information regarding the locations of epitopes may be acquired by considering the evolution of viruses in hosts with different immune backgrounds. In particular, immune-dependent evolutionary patterns at sites within or near T-cell epitopes can be used to enhance epitope identification. We have developed a mutation-selection model of T-cell epitope evolution that allows the human leukocyte antigen (HLA) genotype of the host to influence the evolutionary process. This is one of the first examples of the incorporation of environmental parameters into a phylogenetic model and has many other potential applications where the selection pressures exerted on an organism can be related directly to environmental factors. We combine this novel evolutionary model with a hidden Markov model to identify contiguous amino acid positions that appear to evolve under immune pressure in the presence of specific host immune alleles and that therefore represent potential epitopes. This phylogenetic hidden Markov model provides a rigorous probabilistic framework that can be combined with sequence or structural information to improve epitope prediction. As a demonstration, we apply the model to a data set of HIV-1 protein-coding sequences and host HLA genotypes.

  18. A Two-Factor Autoregressive Moving Average Model Based on Fuzzy Fluctuation Logical Relationships

    Directory of Open Access Journals (Sweden)

    Shuang Guan

    2017-10-01

    Full Text Available Many of the existing autoregressive moving average (ARMA forecast models are based on one main factor. In this paper, we proposed a new two-factor first-order ARMA forecast model based on fuzzy fluctuation logical relationships of both a main factor and a secondary factor of a historical training time series. Firstly, we generated a fluctuation time series (FTS for two factors by calculating the difference of each data point with its previous day, then finding the absolute means of the two FTSs. We then constructed a fuzzy fluctuation time series (FFTS according to the defined linguistic sets. The next step was establishing fuzzy fluctuation logical relation groups (FFLRGs for a two-factor first-order autoregressive (AR(1 model and forecasting the training data with the AR(1 model. Then we built FFLRGs for a two-factor first-order autoregressive moving average (ARMA(1,m model. Lastly, we forecasted test data with the ARMA(1,m model. To illustrate the performance of our model, we used real Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX and Dow Jones datasets as a secondary factor to forecast TAIEX. The experiment results indicate that the proposed two-factor fluctuation ARMA method outperformed the one-factor method based on real historic data. The secondary factor may have some effects on the main factor and thereby impact the forecasting results. Using fuzzified fluctuations rather than fuzzified real data could avoid the influence of extreme values in historic data, which performs negatively while forecasting. To verify the accuracy and effectiveness of the model, we also employed our method to forecast the Shanghai Stock Exchange Composite Index (SHSECI from 2001 to 2015 and the international gold price from 2000 to 2010.

  19. Simulations

    CERN Document Server

    Ngada, Narcisse

    2015-06-15

    The complexity and cost of building and running high-power electrical systems make the use of simulations unavoidable. The simulations available today provide great understanding about how systems really operate. This paper helps the reader to gain an insight into simulation in the field of power converters for particle accelerators. Starting with the definition and basic principles of simulation, two simulation types, as well as their leading tools, are presented: analog and numerical simulations. Some practical applications of each simulation type are also considered. The final conclusion then summarizes the main important items to keep in mind before opting for a simulation tool or before performing a simulation.

  20. Autoregressive Model with Partial Forgetting within Rao-Blackwellized Particle Filter

    Czech Academy of Sciences Publication Activity Database

    Dedecius, Kamil; Hofman, Radek

    2012-01-01

    Roč. 41, č. 5 (2012), s. 582-589 ISSN 0361-0918 R&D Projects: GA MV VG20102013018; GA ČR GA102/08/0567 Grant - others:ČVUT(CZ) SGS 10/099/OHK3/1T/16 Institutional research plan: CEZ:AV0Z10750506 Keywords : Bayesian methods * Particle filters * Recursive estimation Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.295, year: 2012 http://library.utia.cas.cz/separaty/2012/AS/dedecius-autoregressive model with partial forgetting within rao-blackwellized particle filter.pdf

  1. Analyzing the House Fly’s Exploratory Behavior with Autoregression Methods

    Science.gov (United States)

    Takahashi, Hisanao; Horibe, Naoto; Shimada, Masakazu; Ikegami, Takashi

    2008-08-01

    This paper presents a detailed characterization of the trajectory of a single housefly with free range of a square cage. The trajectory of the fly was recorded and transformed into a time series, which was fully analyzed using an autoregressive model, which describes a stationary time series by a linear regression of prior state values with the white noise. The main discovery was that the fly switched styles of motion from a low dimensional regular pattern to a higher dimensional disordered pattern. This discovered exploratory behavior is, irrespective of the presence of food, characterized by anomalous diffusion.

  2. Robust estimation of autoregressive processes using a mixture-based filter-bank

    Czech Academy of Sciences Publication Activity Database

    Šmídl, V.; Anthony, Q.; Kárný, Miroslav; Guy, Tatiana Valentine

    2005-01-01

    Roč. 54, č. 4 (2005), s. 315-323 ISSN 0167-6911 R&D Projects: GA AV ČR IBS1075351; GA ČR GA102/03/0049; GA ČR GP102/03/P010; GA MŠk 1M0572 Institutional research plan: CEZ:AV0Z10750506 Keywords : Bayesian estimation * probabilistic mixtures * recursive estimation Subject RIV: BC - Control Systems Theory Impact factor: 1.239, year: 2005 http://library.utia.cas.cz/separaty/historie/karny-robust estimation of autoregressive processes using a mixture-based filter- bank .pdf

  3. Application of Motion Correction using 3D Autoregressive Model in Kinect-based Telemedicine

    Directory of Open Access Journals (Sweden)

    Kim Baek Seob

    2017-01-01

    Full Text Available In telemedicine, where the convergence of different types of medical treatment occurs, it is very important to establish credibility regarding the mutual communication between patients and medical workers by acquiring and sharing more accurate data. For rehabilitation treatment in particular, where motion data are required, auxiliary equipment such as a Kinect sensor is being more widely used. This study proposes a methodology for improving the motion recognition rate by compensating the noise from a Kinect sensor using a 3D autoregressive model. Moreover, this study investigates the methods applied for vitalizing the area of telemedicine under this particular trend.

  4. Insurance-growth nexus in Ghana: An autoregressive distributed lag bounds cointegration approach

    Directory of Open Access Journals (Sweden)

    Abdul Latif Alhassan

    2014-12-01

    Full Text Available This paper examines the long-run causal relationship between insurance penetration and economic growth in Ghana from 1990 to 2010. Using the autoregressive distributed lag (ARDL bounds approach to cointegration by Pesaran et al. (1996, 2001, the study finds a long-run positive relationship between insurance penetration and economic growth which implies that funds mobilized from insurance business have a long run impact on economic growth. A unidirectional causality was found to run from aggregate insurance penetration, life and non-life insurance penetration to economic growth to support the ‘supply-leading’ hypothesis. The findings have implications for insurance market development in Ghana.

  5. ANALYTIC WORD RECOGNITION WITHOUT SEGMENTATION BASED ON MARKOV RANDOM FIELDS

    NARCIS (Netherlands)

    Coisy, C.; Belaid, A.

    2004-01-01

    In this paper, a method for analytic handwritten word recognition based on causal Markov random fields is described. The words models are HMMs where each state corresponds to a letter; each letter is modelled by a NSHP­HMM (Markov field). Global models are build dynamically, and used for recognition

  6. Asymptotics for Estimating Equations in Hidden Markov Models

    DEFF Research Database (Denmark)

    Hansen, Jørgen Vinsløv; Jensen, Jens Ledet

    Results on asymptotic normality for the maximum likelihood estimate in hidden Markov models are extended in two directions. The stationarity assumption is relaxed, which allows for a covariate process influencing the hidden Markov process. Furthermore a class of estimating equations is considered...

  7. Pathwise duals of monotone and additive Markov processes

    Czech Academy of Sciences Publication Activity Database

    Sturm, A.; Swart, Jan M.

    -, - (2018) ISSN 0894-9840 R&D Projects: GA ČR GAP201/12/2613 Institutional support: RVO:67985556 Keywords : pathwise duality * monotone Markov process * additive Markov process * interacting particle system Subject RIV: BA - General Mathematics Impact factor: 0.854, year: 2016 http://library.utia.cas.cz/separaty/2016/SI/swart-0465436.pdf

  8. Optimisation of Hidden Markov Model using Baum–Welch algorithm ...

    Indian Academy of Sciences (India)

    Home; Journals; Journal of Earth System Science; Volume 126; Issue 1. Optimisation of Hidden Markov ... The present work is a part of development of Hidden Markov Model (HMM) based avalanche forecasting system for Pir-Panjal and Great Himalayan mountain ranges of the Himalaya. In this work, HMMs have been ...

  9. Limit theorems for Markov-modulated and reflected diffusion processes

    NARCIS (Netherlands)

    Huang, G.

    2015-01-01

    In this thesis, asymptotic properties of two variants of one-dimensional diffusion processes, which are Markov-modulated and reflected Ornstein-Uhlenbeck processes, are studied. Besides the random term of the Brownian motion, the Markov-modulated diffusion process evolves in an extra random

  10. Traffic generated by a semi-Markov additive process

    NARCIS (Netherlands)

    J.G. Blom (Joke); M.R.H. Mandjes (Michel)

    2011-01-01

    textabstractWe consider a semi-Markov additive process $A(\\cdot)$, i.e., a Markov additive process for which the sojourn times in the various states have general (rather than exponential) distributions. Letting the L\\'evy processes $X_i(\\cdot)$, which describe the evolution of $A(\\cdot)$ while

  11. Efficient Incorporation of Markov Random Fields in Change Detection

    DEFF Research Database (Denmark)

    Aanæs, Henrik; Nielsen, Allan Aasbjerg; Carstensen, Jens Michael

    2009-01-01

    of noise, implying that the pixel-wise classifier is also noisy. There is thus a need for incorporating local homogeneity constraints into such a change detection framework. For this modelling task Markov Random Fields are suitable. Markov Random Fields have, however, previously been plagued by lack...

  12. A Markov decision model for optimising economic production lot size ...

    African Journals Online (AJOL)

    Adopting such a Markov decision process approach, the states of a Markov chain represent possible states of demand. The decision of whether or not to produce additional inventory units is made using dynamic programming. This approach demonstrates the existence of an optimal state-dependent EPL size, and produces ...

  13. Portfolio allocation under the vendor managed inventory: A Markov ...

    African Journals Online (AJOL)

    Portfolio allocation under the vendor managed inventory: A Markov decision process. ... Journal of Applied Sciences and Environmental Management ... a review of Markov decision processes and investigates its suitability for solutions to portfolio allocation problems under vendor managed inventory in an uncertain market ...

  14. On Chebyshev-Markov rational functions over several intervals

    NARCIS (Netherlands)

    Lukashov, AL

    1998-01-01

    Chebyshev-Markov rational functions are the solutions of the following extremal problem [GRAPHICS] with K being a compact subset of R and omega(n)(x) being a fixed real polynomial of degree less than n, positive on K. A parametric representation of Chebyshev-Markov rational functions is found for K

  15. Ensemble bayesian model averaging using markov chain Monte Carlo sampling

    Energy Technology Data Exchange (ETDEWEB)

    Vrugt, Jasper A [Los Alamos National Laboratory; Diks, Cees G H [NON LANL; Clark, Martyn P [NON LANL

    2008-01-01

    Bayesian model averaging (BMA) has recently been proposed as a statistical method to calibrate forecast ensembles from numerical weather models. Successful implementation of BMA however, requires accurate estimates of the weights and variances of the individual competing models in the ensemble. In their seminal paper (Raftery etal. Mon Weather Rev 133: 1155-1174, 2(05)) has recommended the Expectation-Maximization (EM) algorithm for BMA model training, even though global convergence of this algorithm cannot be guaranteed. In this paper, we compare the performance of the EM algorithm and the recently developed Differential Evolution Adaptive Metropolis (DREAM) Markov Chain Monte Carlo (MCMC) algorithm for estimating the BMA weights and variances. Simulation experiments using 48-hour ensemble data of surface temperature and multi-model stream-flow forecasts show that both methods produce similar results, and that their performance is unaffected by the length of the training data set. However, MCMC simulation with DREAM is capable of efficiently handling a wide variety of BMA predictive distributions, and provides useful information about the uncertainty associated with the estimated BMA weights and variances.

  16. Markov Jump Processes Approximating a Non-Symmetric Generalized Diffusion

    International Nuclear Information System (INIS)

    Limić, Nedžad

    2011-01-01

    Consider a non-symmetric generalized diffusion X(⋅) in ℝ d determined by the differential operator A(x) = -Σ ij ∂ i a ij (x)∂ j + Σ i b i (x)∂ i . In this paper the diffusion process is approximated by Markov jump processes X n (⋅), in homogeneous and isotropic grids G n ⊂ℝ d , which converge in distribution in the Skorokhod space D([0,∞),ℝ d ) to the diffusion X(⋅). The generators of X n (⋅) are constructed explicitly. Due to the homogeneity and isotropy of grids, the proposed method for d≥3 can be applied to processes for which the diffusion tensor {a ij (x)} 11 dd fulfills an additional condition. The proposed construction offers a simple method for simulation of sample paths of non-symmetric generalized diffusion. Simulations are carried out in terms of jump processes X n (⋅). For piece-wise constant functions a ij on ℝ d and piece-wise continuous functions a ij on ℝ 2 the construction and principal algorithm are described enabling an easy implementation into a computer code.

  17. Girsanov reweighting for path ensembles and Markov state models

    Science.gov (United States)

    Donati, L.; Hartmann, C.; Keller, B. G.

    2017-06-01

    The sensitivity of molecular dynamics on changes in the potential energy function plays an important role in understanding the dynamics and function of complex molecules. We present a method to obtain path ensemble averages of a perturbed dynamics from a set of paths generated by a reference dynamics. It is based on the concept of path probability measure and the Girsanov theorem, a result from stochastic analysis to estimate a change of measure of a path ensemble. Since Markov state models (MSMs) of the molecular dynamics can be formulated as a combined phase-space and path ensemble average, the method can be extended to reweight MSMs by combining it with a reweighting of the Boltzmann distribution. We demonstrate how to efficiently implement the Girsanov reweighting in a molecular dynamics simulation program by calculating parts of the reweighting factor "on the fly" during the simulation, and we benchmark the method on test systems ranging from a two-dimensional diffusion process and an artificial many-body system to alanine dipeptide and valine dipeptide in implicit and explicit water. The method can be used to study the sensitivity of molecular dynamics on external perturbations as well as to reweight trajectories generated by enhanced sampling schemes to the original dynamics.

  18. Modelling and evaluation of surgical performance using hidden Markov models.

    Science.gov (United States)

    Megali, Giuseppe; Sinigaglia, Stefano; Tonet, Oliver; Dario, Paolo

    2006-10-01

    Minimally invasive surgery has become very widespread in the last ten years. Since surgeons experience difficulties in learning and mastering minimally invasive techniques, the development of training methods is of great importance. While the introduction of virtual reality-based simulators has introduced a new paradigm in surgical training, skill evaluation methods are far from being objective. This paper proposes a method for defining a model of surgical expertise and an objective metric to evaluate performance in laparoscopic surgery. Our approach is based on the processing of kinematic data describing movements of surgical instruments. We use hidden Markov model theory to define an expert model that describes expert surgical gesture. The model is trained on kinematic data related to exercises performed on a surgical simulator by experienced surgeons. Subsequently, we use this expert model as a reference model in the definition of an objective metric to evaluate performance of surgeons with different abilities. Preliminary results show that, using different topologies for the expert model, the method can be efficiently used both for the discrimination between experienced and novice surgeons, and for the quantitative assessment of surgical ability.

  19. Robust Transmission of Speech LSFs Using Hidden Markov Model-Based Multiple Description Index Assignments

    Directory of Open Access Journals (Sweden)

    Rondeau Paul

    2008-01-01

    Full Text Available Speech coding techniques capable of generating encoded representations which are robust against channel losses play an important role in enabling reliable voice communication over packet networks and mobile wireless systems. In this paper, we investigate the use of multiple description index assignments (MDIAs for loss-tolerant transmission of line spectral frequency (LSF coefficients, typically generated by state-of-the-art speech coders. We propose a simulated annealing-based approach for optimizing MDIAs for Markov-model-based decoders which exploit inter- and intraframe correlations in LSF coefficients to reconstruct the quantized LSFs from coded bit streams corrupted by channel losses. Experimental results are presented which compare the performance of a number of novel LSF transmission schemes. These results clearly demonstrate that Markov-model-based decoders, when used in conjunction with optimized MDIA, can yield average spectral distortion much lower than that produced by methods such as interleaving/interpolation, commonly used to combat the packet losses.

  20. Robust Transmission of Speech LSFs Using Hidden Markov Model-Based Multiple Description Index Assignments

    Directory of Open Access Journals (Sweden)

    Pradeepa Yahampath

    2008-03-01

    Full Text Available Speech coding techniques capable of generating encoded representations which are robust against channel losses play an important role in enabling reliable voice communication over packet networks and mobile wireless systems. In this paper, we investigate the use of multiple description index assignments (MDIAs for loss-tolerant transmission of line spectral frequency (LSF coefficients, typically generated by state-of-the-art speech coders. We propose a simulated annealing-based approach for optimizing MDIAs for Markov-model-based decoders which exploit inter- and intraframe correlations in LSF coefficients to reconstruct the quantized LSFs from coded bit streams corrupted by channel losses. Experimental results are presented which compare the performance of a number of novel LSF transmission schemes. These results clearly demonstrate that Markov-model-based decoders, when used in conjunction with optimized MDIA, can yield average spectral distortion much lower than that produced by methods such as interleaving/interpolation, commonly used to combat the packet losses.

  1. A Correlated Random Effects Model for Non-homogeneous Markov Processes with Nonignorable Missingness.

    Science.gov (United States)

    Chen, Baojiang; Zhou, Xiao-Hua

    2013-05-01

    Life history data arising in clusters with prespecified assessment time points for patients often feature incomplete data since patients may choose to visit the clinic based on their needs. Markov process models provide a useful tool describing disease progression for life history data. The literature mainly focuses on time homogeneous process. In this paper we develop methods to deal with non-homogeneous Markov process with incomplete clustered life history data. A correlated random effects model is developed to deal with the nonignorable missingness, and a time transformation is employed to address the non-homogeneity in the transition model. Maximum likelihood estimate based on the Monte-Carlo EM algorithm is advocated for parameter estimation. Simulation studies demonstrate that the proposed method works well in many situations. We also apply this method to an Alzheimer's disease study.

  2. Network Security Risk Assessment System Based on Attack Graph and Markov Chain

    Science.gov (United States)

    Sun, Fuxiong; Pi, Juntao; Lv, Jin; Cao, Tian

    2017-10-01

    Network security risk assessment technology can be found in advance of the network problems and related vulnerabilities, it has become an important means to solve the problem of network security. Based on attack graph and Markov chain, this paper provides a Network Security Risk Assessment Model (NSRAM). Based on the network infiltration tests, NSRAM generates the attack graph by the breadth traversal algorithm. Combines with the international standard CVSS, the attack probability of atomic nodes are counted, and then the attack transition probabilities of ones are calculated by Markov chain. NSRAM selects the optimal attack path after comprehensive measurement to assessment network security risk. The simulation results show that NSRAM can reflect the actual situation of network security objectively.

  3. Reduced equations of motion for quantum systems driven by diffusive Markov processes.

    Science.gov (United States)

    Sarovar, Mohan; Grace, Matthew D

    2012-09-28

    The expansion of a stochastic Liouville equation for the coupled evolution of a quantum system and an Ornstein-Uhlenbeck process into a hierarchy of coupled differential equations is a useful technique that simplifies the simulation of stochastically driven quantum systems. We expand the applicability of this technique by completely characterizing the class of diffusive Markov processes for which a useful hierarchy of equations can be derived. The expansion of this technique enables the examination of quantum systems driven by non-Gaussian stochastic processes with bounded range. We present an application of this extended technique by simulating Stark-tuned Förster resonance transfer in Rydberg atoms with nonperturbative position fluctuations.

  4. Mori-Zwanzig theory for dissipative forces in coarse-grained dynamics in the Markov limit

    Science.gov (United States)

    Izvekov, Sergei

    2017-01-01

    We derive alternative Markov approximations for the projected (stochastic) force and memory function in the coarse-grained (CG) generalized Langevin equation, which describes the time evolution of the center-of-mass coordinates of clusters of particles in the microscopic ensemble. This is done with the aid of the Mori-Zwanzig projection operator method based on the recently introduced projection operator [S. Izvekov, J. Chem. Phys. 138, 134106 (2013), 10.1063/1.4795091]. The derivation exploits the "generalized additive fluctuating force" representation to which the projected force reduces in the adopted projection operator formalism. For the projected force, we present a first-order time expansion which correctly extends the static fluctuating force ansatz with the terms necessary to maintain the required orthogonality of the projected dynamics in the Markov limit to the space of CG phase variables. The approximant of the memory function correctly accounts for the momentum dependence in the lowest (second) order and indicates that such a dependence may be important in the CG dynamics approaching the Markov limit. In the case of CG dynamics with a weak dependence of the memory effects on the particle momenta, the expression for the memory function presented in this work is applicable to non-Markov systems. The approximations are formulated in a propagator-free form allowing their efficient evaluation from the microscopic data sampled by standard molecular dynamics simulations. A numerical application is presented for a molecular liquid (nitromethane). With our formalism we do not observe the "plateau-value problem" if the friction tensors for dissipative particle dynamics (DPD) are computed using the Green-Kubo relation. Our formalism provides a consistent bottom-up route for hierarchical parametrization of DPD models from atomistic simulations.

  5. An approximation approach for the deviation matrix of continuous-time Markov processes with application to Markov decision theory

    NARCIS (Netherlands)

    Heidergott, B.F.; Hordijk, A.; Leder, N.

    2010-01-01

    We present an update formula that allows the expression of the deviation matrix of a continuous-time Markov process with denumerable state space having generator matrix Q* through a continuous-time Markov process with generator matrix Q. We show that under suitable stability conditions the algorithm

  6. Recursive wind speed forecasting based on Hammerstein Auto-Regressive model

    International Nuclear Information System (INIS)

    Ait Maatallah, Othman; Achuthan, Ajit; Janoyan, Kerop; Marzocca, Pier

    2015-01-01

    Highlights: • Developed a new recursive WSF model for 1–24 h horizon based on Hammerstein model. • Nonlinear HAR model successfully captured chaotic dynamics of wind speed time series. • Recursive WSF intrinsic error accumulation corrected by applying rotation. • Model verified for real wind speed data from two sites with different characteristics. • HAR model outperformed both ARIMA and ANN models in terms of accuracy of prediction. - Abstract: A new Wind Speed Forecasting (WSF) model, suitable for a short term 1–24 h forecast horizon, is developed by adapting Hammerstein model to an Autoregressive approach. The model is applied to real data collected for a period of three years (2004–2006) from two different sites. The performance of HAR model is evaluated by comparing its prediction with the classical Autoregressive Integrated Moving Average (ARIMA) model and a multi-layer perceptron Artificial Neural Network (ANN). Results show that the HAR model outperforms both the ARIMA model and ANN model in terms of root mean square error (RMSE), mean absolute error (MAE), and Mean Absolute Percentage Error (MAPE). When compared to the conventional models, the new HAR model can better capture various wind speed characteristics, including asymmetric (non-gaussian) wind speed distribution, non-stationary time series profile, and the chaotic dynamics. The new model is beneficial for various applications in the renewable energy area, particularly for power scheduling

  7. Forecasting Rice Productivity and Production of Odisha, India, Using Autoregressive Integrated Moving Average Models

    Directory of Open Access Journals (Sweden)

    Rahul Tripathi

    2014-01-01

    Full Text Available Forecasting of rice area, production, and productivity of Odisha was made from the historical data of 1950-51 to 2008-09 by using univariate autoregressive integrated moving average (ARIMA models and was compared with the forecasted all Indian data. The autoregressive (p and moving average (q parameters were identified based on the significant spikes in the plots of partial autocorrelation function (PACF and autocorrelation function (ACF of the different time series. ARIMA (2, 1, 0 model was found suitable for all Indian rice productivity and production, whereas ARIMA (1, 1, 1 was best fitted for forecasting of rice productivity and production in Odisha. Prediction was made for the immediate next three years, that is, 2007-08, 2008-09, and 2009-10, using the best fitted ARIMA models based on minimum value of the selection criterion, that is, Akaike information criteria (AIC and Schwarz-Bayesian information criteria (SBC. The performances of models were validated by comparing with percentage deviation from the actual values and mean absolute percent error (MAPE, which was found to be 0.61 and 2.99% for the area under rice in Odisha and India, respectively. Similarly for prediction of rice production and productivity in Odisha and India, the MAPE was found to be less than 6%.

  8. Markov and non-Markov processes in complex systems by the dynamical information entropy

    Science.gov (United States)

    Yulmetyev, R. M.; Gafarov, F. M.

    1999-12-01

    We consider the Markov and non-Markov processes in complex systems by the dynamical information Shannon entropy (DISE) method. The influence and important role of the two mutually dependent channels of entropy alternation (creation or generation of correlation) and anti-correlation (destroying or annihilation of correlation) have been discussed. The developed method has been used for the analysis of the complex systems of various natures: slow neutron scattering in liquid cesium, psychology (short-time numeral and pattern human memory and effect of stress on the dynamical taping-test), random dynamics of RR-intervals in human ECG (problem of diagnosis of various disease of the human cardio-vascular systems), chaotic dynamics of the parameters of financial markets and ecological systems.

  9. Markov or non-Markov property of $cM-X$ processes

    OpenAIRE

    MATSUMOTO, Hiroyuki; OGURA, Yukio

    2004-01-01

    For a Brownian motion with a constant drift $X$ and its maximum process $M,$ $M-X$ and $2M-X$ are diffusion processes by the extensions of Lévy's and Pitman's theorems. We show that $cM-X$ is not a Markov process if $c\\in R\\backslash \\{0,1,2\\}$ ∊ $R\\backslash \\{0,1,2\\}$ . We also give other elementary proofs of Lévy's and Pitman's theorems.

  10. Markov chains and semi-Markov models in time-to-event analysis

    OpenAIRE

    Abner, Erin L.; Charnigo, Richard J.; Kryscio, Richard J.

    2013-01-01

    A variety of statistical methods are available to investigators for analysis of time-to-event data, often referred to as survival analysis. Kaplan-Meier estimation and Cox proportional hazards regression are commonly employed tools but are not appropriate for all studies, particularly in the presence of competing risks and when multiple or recurrent outcomes are of interest. Markov chain models can accommodate censored data, competing risks (informative censoring), multiple outcomes, recurren...

  11. A Markov Chain Model for Contagion

    Directory of Open Access Journals (Sweden)

    Angelos Dassios

    2014-11-01

    Full Text Available We introduce a bivariate Markov chain counting process with contagion for modelling the clustering arrival of loss claims with delayed settlement for an insurance company. It is a general continuous-time model framework that also has the potential to be applicable to modelling the clustering arrival of events, such as jumps, bankruptcies, crises and catastrophes in finance, insurance and economics with both internal contagion risk and external common risk. Key distributional properties, such as the moments and probability generating functions, for this process are derived. Some special cases with explicit results and numerical examples and the motivation for further actuarial applications are also discussed. The model can be considered a generalisation of the dynamic contagion process introduced by Dassios and Zhao (2011.

  12. Transition-Independent Decentralized Markov Decision Processes

    Science.gov (United States)

    Becker, Raphen; Silberstein, Shlomo; Lesser, Victor; Goldman, Claudia V.; Morris, Robert (Technical Monitor)

    2003-01-01

    There has been substantial progress with formal models for sequential decision making by individual agents using the Markov decision process (MDP). However, similar treatment of multi-agent systems is lacking. A recent complexity result, showing that solving decentralized MDPs is NEXP-hard, provides a partial explanation. To overcome this complexity barrier, we identify a general class of transition-independent decentralized MDPs that is widely applicable. The class consists of independent collaborating agents that are tied up by a global reward function that depends on both of their histories. We present a novel algorithm for solving this class of problems and examine its properties. The result is the first effective technique to solve optimally a class of decentralized MDPs. This lays the foundation for further work in this area on both exact and approximate solutions.

  13. Day of the year-based prediction of horizontal global solar radiation by a neural network auto-regressive model

    Science.gov (United States)

    Gani, Abdullah; Mohammadi, Kasra; Shamshirband, Shahaboddin; Khorasanizadeh, Hossein; Seyed Danesh, Amir; Piri, Jamshid; Ismail, Zuraini; Zamani, Mazdak

    2016-08-01

    The availability of accurate solar radiation data is essential for designing as well as simulating the solar energy systems. In this study, by employing the long-term daily measured solar data, a neural network auto-regressive model with exogenous inputs (NN-ARX) is applied to predict daily horizontal global solar radiation using day of the year as the sole input. The prime aim is to provide a convenient and precise way for rapid daily global solar radiation prediction, for the stations and their immediate surroundings with such an observation, without utilizing any meteorological-based inputs. To fulfill this, seven Iranian cities with different geographical locations and solar radiation characteristics are considered as case studies. The performance of NN-ARX is compared against the adaptive neuro-fuzzy inference system (ANFIS). The achieved results prove that day of the year-based prediction of daily global solar radiation by both NN-ARX and ANFIS models would be highly feasible owing to the accurate predictions attained. Nevertheless, the statistical analysis indicates the superiority of NN-ARX over ANFIS. In fact, the NN-ARX model represents high potential to follow the measured data favorably for all cities. For the considered cities, the attained statistical indicators of mean absolute bias error, root mean square error, and coefficient of determination for the NN-ARX models are in the ranges of 0.44-0.61 kWh/m2, 0.50-0.71 kWh/m2, and 0.78-0.91, respectively.

  14. IMPLEMENTASI METODE MARKOV CHAIN MONTE CARLO DALAM PENENTUAN HARGA KONTRAK BERJANGKA KOMODITAS

    Directory of Open Access Journals (Sweden)

    PUTU AMANDA SETIAWANI

    2015-06-01

    Full Text Available The aim of the research is to implement Markov Chain Monte Carlo (MCMC simulation method to price the futures contract of cocoa commodities. The result shows that MCMC is more flexible than Standard Monte Carlo (SMC simulation method because MCMC method uses hit-and-run sampler algorithm to generate proposal movements that are subsequently accepted or rejected with a probability that depends on the distribution of the target that we want to be achieved. This research shows that MCMC method is suitable to be used to simulate the model of cocoa commodity price movement. The result of this research is a simulation of future contract prices for the next three months and future contract prices that must be paid at the time the contract expires. Pricing future contract by using MCMC method will produce the cheaper contract price if it compares to Standard Monte Carlo simulation.

  15. Modeling Uncertainty of Directed Movement via Markov Chains

    Directory of Open Access Journals (Sweden)

    YIN Zhangcai

    2015-10-01

    Full Text Available Probabilistic time geography (PTG is suggested as an extension of (classical time geography, in order to present the uncertainty of an agent located at the accessible position by probability. This may provide a quantitative basis for most likely finding an agent at a location. In recent years, PTG based on normal distribution or Brown bridge has been proposed, its variance, however, is irrelevant with the agent's speed or divergent with the increase of the speed; so they are difficult to take into account application pertinence and stability. In this paper, a new method is proposed to model PTG based on Markov chain. Firstly, a bidirectional conditions Markov chain is modeled, the limit of which, when the moving speed is large enough, can be regarded as the Brown bridge, thus has the characteristics of digital stability. Then, the directed movement is mapped to Markov chains. The essential part is to build step length, the state space and transfer matrix of Markov chain according to the space and time position of directional movement, movement speed information, to make sure the Markov chain related to the movement speed. Finally, calculating continuously the probability distribution of the directed movement at any time by the Markov chains, it can be get the possibility of an agent located at the accessible position. Experimental results show that, the variance based on Markov chains not only is related to speed, but also is tending towards stability with increasing the agent's maximum speed.

  16. Irreversible Local Markov Chains with Rapid Convergence towards Equilibrium

    Science.gov (United States)

    Kapfer, Sebastian C.; Krauth, Werner

    2017-12-01

    We study the continuous one-dimensional hard-sphere model and present irreversible local Markov chains that mix on faster time scales than the reversible heat bath or Metropolis algorithms. The mixing time scales appear to fall into two distinct universality classes, both faster than for reversible local Markov chains. The event-chain algorithm, the infinitesimal limit of one of these Markov chains, belongs to the class presenting the fastest decay. For the lattice-gas limit of the hard-sphere model, reversible local Markov chains correspond to the symmetric simple exclusion process (SEP) with periodic boundary conditions. The two universality classes for irreversible Markov chains are realized by the totally asymmetric SEP (TASEP), and by a faster variant (lifted TASEP) that we propose here. We discuss how our irreversible hard-sphere Markov chains generalize to arbitrary repulsive pair interactions and carry over to higher dimensions through the concept of lifted Markov chains and the recently introduced factorized Metropolis acceptance rule.

  17. Markov processes from K. Ito's perspective (AM-155)

    CERN Document Server

    Stroock, Daniel W

    2003-01-01

    Kiyosi Itô''s greatest contribution to probability theory may be his introduction of stochastic differential equations to explain the Kolmogorov-Feller theory of Markov processes. Starting with the geometric ideas that guided him, this book gives an account of Itô''s program. The modern theory of Markov processes was initiated by A. N. Kolmogorov. However, Kolmogorov''s approach was too analytic to reveal the probabilistic foundations on which it rests. In particular, it hides the central role played by the simplest Markov processes: those with independent, identically distributed incremen

  18. Performability analysis using semi-Markov reward processes

    Science.gov (United States)

    Ciardo, Gianfranco; Marie, Raymond A.; Sericola, Bruno; Trivedi, Kishor S.

    1990-01-01

    Beaudry (1978) proposed a simple method of computing the distribution of performability in a Markov reward process. Two extensions of Beaudry's approach are presented. The method is generalized to a semi-Markov reward process by removing the restriction requiring the association of zero reward to absorbing states only. The algorithm proceeds by replacing zero-reward nonabsorbing states by a probabilistic switch; it is therefore related to the elimination of vanishing states from the reachability graph of a generalized stochastic Petri net and to the elimination of fast transient states in a decomposition approach to stiff Markov chains. The use of the approach is illustrated with three applications.

  19. Specification test for Markov models with measurement errors.

    Science.gov (United States)

    Kim, Seonjin; Zhao, Zhibiao

    2014-09-01

    Most existing works on specification testing assume that we have direct observations from the model of interest. We study specification testing for Markov models based on contaminated observations. The evolving model dynamics of the unobservable Markov chain is implicitly coded into the conditional distribution of the observed process. To test whether the underlying Markov chain follows a parametric model, we propose measuring the deviation between nonparametric and parametric estimates of conditional regression functions of the observed process. Specifically, we construct a nonparametric simultaneous confidence band for conditional regression functions and check whether the parametric estimate is contained within the band.

  20. Diffusion maps, clustering and fuzzy Markov modeling in peptide folding transitions

    International Nuclear Information System (INIS)

    Nedialkova, Lilia V.; Amat, Miguel A.; Kevrekidis, Ioannis G.; Hummer, Gerhard

    2014-01-01

    Using the helix-coil transitions of alanine pentapeptide as an illustrative example, we demonstrate the use of diffusion maps in the analysis of molecular dynamics simulation trajectories. Diffusion maps and other nonlinear data-mining techniques provide powerful tools to visualize the distribution of structures in conformation space. The resulting low-dimensional representations help in partitioning conformation space, and in constructing Markov state models that capture the conformational dynamics. In an initial step, we use diffusion maps to reduce the dimensionality of the conformational dynamics of Ala5. The resulting pretreated data are then used in a clustering step. The identified clusters show excellent overlap with clusters obtained previously by using the backbone dihedral angles as input, with small—but nontrivial—differences reflecting torsional degrees of freedom ignored in the earlier approach. We then construct a Markov state model describing the conformational dynamics in terms of a discrete-time random walk between the clusters. We show that by combining fuzzy C-means clustering with a transition-based assignment of states, we can construct robust Markov state models. This state-assignment procedure suppresses short-time memory effects that result from the non-Markovianity of the dynamics projected onto the space of clusters. In a comparison with previous work, we demonstrate how manifold learning techniques may complement and enhance informed intuition commonly used to construct reduced descriptions of the dynamics in molecular conformation space