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 new approach to simulating stream isotope dynamics using Markov switching autoregressive models

    Science.gov (United States)

    Birkel, Christian; Paroli, Roberta; Spezia, Luigi; Dunn, Sarah M.; Tetzlaff, Doerthe; Soulsby, Chris

    2012-09-01

    In this study we applied Markov switching autoregressive models (MSARMs) as a proof-of-concept to analyze the temporal dynamics and statistical characteristics of the time series of two conservative water isotopes, deuterium (δ2H) and oxygen-18 (δ18O), in daily stream water samples over two years in a small catchment in eastern Scotland. MSARMs enabled us to explicitly account for the identified non-linear, non-Normal and non-stationary isotope dynamics of both time series. The hidden states of the Markov chain could also be associated with meteorological and hydrological drivers identifying the short (event) and longer-term (inter-event) transport mechanisms for both isotopes. Inference was based on the Bayesian approach performed through Markov Chain Monte Carlo algorithms, which also allowed us to deal with a high rate of missing values (17%). Although it is usually assumed that both isotopes are conservative and exhibit similar dynamics, δ18O showed somewhat different time series characteristics. Both isotopes were best modelled with two hidden states, but δ18O demanded autoregressions of the first order, whereas δ2H of the second. Moreover, both the dynamics of observations and the hidden states of the two isotopes were explained by two different sets of covariates. Consequently use of the two tracers for transit time modelling and hydrograph separation may result in different interpretations on the functioning of a catchment system.

  3. A novel framework to simulating non-stationary, non-linear, non-Normal hydrological time series using Markov Switching Autoregressive Models

    Science.gov (United States)

    Birkel, C.; Paroli, R.; Spezia, L.; Tetzlaff, D.; Soulsby, C.

    2012-12-01

    In this paper we present a novel model framework using the class of Markov Switching Autoregressive Models (MSARMs) to examine catchments as complex stochastic systems that exhibit non-stationary, non-linear and non-Normal rainfall-runoff and solute dynamics. Hereby, MSARMs are pairs of stochastic processes, one observed and one unobserved, or hidden. We model the unobserved process as a finite state Markov chain and assume that the observed process, given the hidden Markov chain, is conditionally autoregressive, which means that the current observation depends on its recent past (system memory). The model is fully embedded in a Bayesian analysis based on Markov Chain Monte Carlo (MCMC) algorithms for model selection and uncertainty assessment. Hereby, the autoregressive order and the dimension of the hidden Markov chain state-space are essentially self-selected. The hidden states of the Markov chain represent unobserved levels of variability in the observed process that may result from complex interactions of hydroclimatic variability on the one hand and catchment characteristics affecting water and solute storage on the other. To deal with non-stationarity, additional meteorological and hydrological time series along with a periodic component can be included in the MSARMs as covariates. This extension allows identification of potential underlying drivers of temporal rainfall-runoff and solute dynamics. We applied the MSAR model framework to streamflow and conservative tracer (deuterium and oxygen-18) time series from an intensively monitored 2.3 km2 experimental catchment in eastern Scotland. Statistical time series analysis, in the form of MSARMs, suggested that the streamflow and isotope tracer time series are not controlled by simple linear rules. MSARMs showed that the dependence of current observations on past inputs observed by transport models often in form of the long-tailing of travel time and residence time distributions can be efficiently explained by

  4. A heteroskedastic error covariance matrix estimator using a first-order conditional autoregressive Markov simulation for deriving asympotical efficient estimates from ecological sampled Anopheles arabiensis aquatic habitat covariates

    Directory of Open Access Journals (Sweden)

    Githure John I

    2009-09-01

    Full Text Available Abstract Background Autoregressive regression coefficients for Anopheles arabiensis aquatic habitat models are usually assessed using global error techniques and are reported as error covariance matrices. A global statistic, however, will summarize error estimates from multiple habitat locations. This makes it difficult to identify where there are clusters of An. arabiensis aquatic habitats of acceptable prediction. It is therefore useful to conduct some form of spatial error analysis to detect clusters of An. arabiensis aquatic habitats based on uncertainty residuals from individual sampled habitats. In this research, a method of error estimation for spatial simulation models was demonstrated using autocorrelation indices and eigenfunction spatial filters to distinguish among the effects of parameter uncertainty on a stochastic simulation of ecological sampled Anopheles aquatic habitat covariates. A test for diagnostic checking error residuals in an An. arabiensis aquatic habitat model may enable intervention efforts targeting productive habitats clusters, based on larval/pupal productivity, by using the asymptotic distribution of parameter estimates from a residual autocovariance matrix. The models considered in this research extends a normal regression analysis previously considered in the literature. Methods Field and remote-sampled data were collected during July 2006 to December 2007 in Karima rice-village complex in Mwea, Kenya. SAS 9.1.4® was used to explore univariate statistics, correlations, distributions, and to generate global autocorrelation statistics from the ecological sampled datasets. A local autocorrelation index was also generated using spatial covariance parameters (i.e., Moran's Indices in a SAS/GIS® database. The Moran's statistic was decomposed into orthogonal and uncorrelated synthetic map pattern components using a Poisson model with a gamma-distributed mean (i.e. negative binomial regression. The eigenfunction

  5. Bias-correction in vector autoregressive models: A simulation study

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

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

  6. Autoregressive higher-order hidden Markov models: exploiting local chromosomal dependencies in the analysis of tumor expression profiles.

    Directory of Open Access Journals (Sweden)

    Michael Seifert

    Full Text Available Changes in gene expression programs play a central role in cancer. Chromosomal aberrations such as deletions, duplications and translocations of DNA segments can lead to highly significant positive correlations of gene expression levels of neighboring genes. This should be utilized to improve the analysis of tumor expression profiles. Here, we develop a novel model class of autoregressive higher-order Hidden Markov Models (HMMs that carefully exploit local data-dependent chromosomal dependencies to improve the identification of differentially expressed genes in tumor. Autoregressive higher-order HMMs overcome generally existing limitations of standard first-order HMMs in the modeling of dependencies between genes in close chromosomal proximity by the simultaneous usage of higher-order state-transitions and autoregressive emissions as novel model features. We apply autoregressive higher-order HMMs to the analysis of breast cancer and glioma gene expression data and perform in-depth model evaluation studies. We find that autoregressive higher-order HMMs clearly improve the identification of overexpressed genes with underlying gene copy number duplications in breast cancer in comparison to mixture models, standard first- and higher-order HMMs, and other related methods. The performance benefit is attributed to the simultaneous usage of higher-order state-transitions in combination with autoregressive emissions. This benefit could not be reached by using each of these two features independently. We also find that autoregressive higher-order HMMs are better able to identify differentially expressed genes in tumors independent of the underlying gene copy number status in comparison to the majority of related methods. This is further supported by the identification of well-known and of previously unreported hotspots of differential expression in glioblastomas demonstrating the efficacy of autoregressive higher-order HMMs for the analysis of individual

  7. 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...... 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...... 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....

  8. A novel approach to equipment health management based on auto-regressive hidden semi-Markov model (AR-HSMM)

    Institute of Scientific and Technical Information of China (English)

    DONG Ming

    2008-01-01

    As a new maintenance method, CBM (condition based maintenance) is becoming more and more important for the health management of complicated and costly equipment. A prerequisite to widespread deployment of CBM technology and prac-tice in industry is effective diagnostics and prognostics. Recently, a pattern recog-nition technique called HMM (hidden Markov model) was widely used in many fields. However, due to some unrealistic assumptions, diagnositic results from HMM were not so good, and it was difficult to use HMM directly for prognosis. By relaxing the unrealistic assumptions in HMM, this paper presents a novel approach to equip-ment health management based on auto-regressive hidden semi-Markov model (AR-HSMM). Compared with HMM, AR-HSMM has three advantages: 1)It allows explicitly modeling the time duration of the hidden states and therefore is capable of prognosis. 2) It can relax observations' independence assumption by accom-modating a link between consecutive observations. 3) It does not follow the unre-alistic Markov chain's memoryless assumption and therefore provides more pow-erful modeling and analysis capability for real problems. To facilitate the computation in the proposed AR-HSMM-based diagnostics and prognostics, new forwardbackward variables are defined and a modified forward-backward algorithm is developed. The evaluation of the proposed methodology was carried out through a real world application case study: health diagnosis and prognosis of hydraulic pumps in Caterpillar Inc. The testing results show that the proposed new approach based on AR-HSMM is effective and can provide useful support for the decision-making in equipment health management.

  9. Bias-Correction in Vector Autoregressive Models: A Simulation Study

    Directory of Open Access Journals (Sweden)

    Tom Engsted

    2014-03-01

    Full Text Available 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, we show that when the model is stationary this simple bias formula compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models, the analytical bias formula performs noticeably worse than bootstrapping. Both methods yield a notable improvement over ordinary least squares. We pay special attention to the risk of pushing an otherwise stationary model into the non-stationary region of the parameter space when correcting for bias. Finally, we consider a recently proposed reduced-bias weighted least squares estimator, and we find that it compares very favorably in non-stationary models.

  10. Cosmological Markov Chain Monte Carlo simulation with Cmbeasy

    CERN Document Server

    Müller, C M

    2004-01-01

    We introduce a Markov Chain Monte Carlo simulation and data analysis package for the cosmological computation package Cmbeasy. We have taken special care in implementing an adaptive step algorithm for the Markov Chain Monte Carlo in order to improve convergence. Data analysis routines are provided which allow to test models of the Universe against up-to-date measurements of the Cosmic Microwave Background, Supernovae Ia and Large Scale Structure. The observational data is provided with the software for convenient usage. The package is publicly available as part of the Cmbeasy software at www.cmbeasy.org.

  11. Markov

    Directory of Open Access Journals (Sweden)

    Carlos Alejandro De Luna Ortega

    2006-01-01

    Full Text Available En este artículo se aborda el diseño de un reconocedor de voz, con el idioma español mexicano, del estado de Aguascalientes, de palabras aisladas, con dependencia del hablante y vocabulario pequeño, empleando Redes Neuronales Artificiales (ANN por sus siglas en inglés, Alineamiento Dinámico del Tiempo (DTW por sus siglas en inglés y Modelos Ocultos de Markov (HMM por sus siglas en inglés para la realización del algoritmo de reconocimiento.

  12. Revisiting Weak Simulation for Substochastic Markov Chains

    DEFF Research Database (Denmark)

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

    2013-01-01

    The spectrum of branching-time relations for probabilistic systems has been investigated thoroughly by Baier, Hermanns, Katoen and Wolf (2003, 2005), including weak simulation for systems involving substochastic distributions. Weak simulation was proven to be sound w.r.t. the liveness fragment of....... In this paper, we present a novel definition that is sound for live PCTL\\x, and a variant that is both sound and complete. A long version of this article containing full proofs is available from [11]....

  13. Classification of event-related potentials using multivariate autoregressive modeling combined with simulated annealing

    Directory of Open Access Journals (Sweden)

    Vasios C.E.

    2003-01-01

    Full Text Available In the present work, a new method for the classification of Event Related Potentials (ERPs is proposed. The proposed method consists of two modules: the feature extraction module and the classification module. The feature extraction module comprises the implementation of the Multivariate Autoregressive model in conjunction with the Simulated Annealing technique, for the selection of optimum features from ERPs. The classification module is implemented with a single three-layer neural network, trained with the back-propagation algorithm and classifies the data into two classes: patients and control subjects. The method, in the form of a Decision Support System (DSS, has been thoroughly tested to a number of patient data (OCD, FES, depressives and drug users, resulting successful classification up to 100%.

  14. 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...

  15. 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.

  16. Variance reduction techniques in the simulation of Markov processes

    International Nuclear Information System (INIS)

    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

  17. 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 ...

  18. 一种基于加权隐马尔可夫的自回归状态预测模型%Research on Condition Trend Prediction Based on Weighed Hidden Markov and Autoregressive Model

    Institute of Scientific and Technical Information of China (English)

    刘震; 王厚军; 龙兵; 张治国

    2009-01-01

    针对电子系统状态趋势预测问题,提出了一种加权隐马尔可夫模型的自回归趋势预测方法.该方法以自回归模型作为隐马尔可夫的状态输出,利用加权预测思想对马尔可夫链中的隐状态进行混合高斯模型的加权序列预测,并利用最大概率隐状态下的自回归系数计算模型输出.通过对实际的复杂混沌序列和电子系统BIT状态数据进行趋势预测,并针对不同模型参数下的预测结果进行实验分析,结果表明该方法对系统状态变化的趋势具有较好的预测性能.%A novel trend prediction approach based on weighed hidden Markov model (HMM) and autoregressive model (AR) is presented in order to solve this problem of bend prediction for complex electronic system. This approach regards the autoregressive model as the output of HMM, uses weighted prediction method and mixed Gaussianin model to predict the hidden state of Markov chain,and calculates the output of model by using the regression coefficient of the maximum probability hidden state. This approach is applied to the trend prediction of complex chaotic time series and typical electronic equipment's BIT data, and the effects of various model parameters on trend prediction precision are discussed.The experiments based on condition trend prediction for electronic equipments demonstrate the effectiveness of the method.

  19. 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...

  20. 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...

  1. 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...

  2. A computationally efficient autoregressive method for generating phase screens with frozen flow and turbulence in optical simulations

    CERN Document Server

    Srinath, Sriakr; Rudy, Alexander R; Ammons, S Mark

    2015-01-01

    We present a sample-based, autoregressive (AR) method for the generation and time evolution of atmospheric phase screens that is computationally efficient and uses a single parameter per Fourier mode to vary the power contained in the frozen flow and stochastic components. We address limitations of Fourier-based methods such as screen periodicity and low spatial frequency power content. Comparisons of adaptive optics (AO) simulator performance when fed AR phase screens and translating phase screens reveal significantly elevated residual closed-loop temporal power for small increases in added stochastic content at each time step, thus displaying the importance of properly modeling atmospheric "boiling". We present preliminary evidence that our model fits to AO telemetry are better reflections of real conditions than the pure frozen flow assumption.

  3. Using Markov models to simulate electron spin resonance spectra from molecular dynamics trajectories

    OpenAIRE

    Sezer, Deniz; Freed, Jack H.; Roux, Benoît

    2008-01-01

    Simulating electron spin resonance (ESR) spectra directly from molecular dynamics simulations of a spin labeled protein necessitates a large number (hundreds or thousands) of relatively long (hundreds of ns) trajectories. To meet this challenge, we explore the possibility of constructing accurate stochastic models of the spin label dynamics from atomistic trajectories. A systematic, two-step procedure, based on the probabilistic framework of hidden Markov models, is developed to build a discr...

  4. 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.

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

    Energy Technology Data Exchange (ETDEWEB)

    Li, Yao, E-mail: yaoli@math.umass.edu [Department of Mathematics and Statistics, University of Massachusetts Amherst, Amherst, Massachusetts 10003 (United States); Hu, Lili, E-mail: lilyhu86@gmail.com [School of Mathematics, Georgia Institute of Technology, Atlanta, Georgia 30332 (United States)

    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.

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

    Science.gov (United States)

    Li, Yao; Hu, Lili

    2015-11-01

    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.

  7. A new method for the fast simulation of models of highly dependable Markov system

    Institute of Scientific and Technical Information of China (English)

    XIAO Gang; LI Zhizhong

    2005-01-01

    To fast evaluate the small probability that starts from the all-components-up state, the system hits the failed sets before returning to the all-components-up state, Important Sampling or Important Splitting is used commonly. In this paper, a new approach distinguished from Important Sampling and Important Splitting is presented to estimate this small probability of highly dependable Markov system. This new approach achieves variance reduction through improving the estimator itself. The new estimator is derived from the integral equation describing the state transitions of Markov system. That the variance of this estimator is less than that of naive simulation at all time is proved theoretically. Two example involved reliability models with deferred repair are used to compare the methods of RB, IGBS, SB-RBS, naive simulation, and the method presented in this paper. Results show our method has the least RE.

  8. Consistent interpretation of molecular simulation kinetics using Markov state models biased with external information

    CERN Document Server

    Rudzinski, Joseph F; Bereau, Tristan

    2016-01-01

    Molecular simulations can provide microscopic insight into the physical and chemical driving forces of complex molecular processes. Despite continued advancement of simulation methodology, model errors may lead to inconsistencies between simulated and reference (e.g., from experiments or higher-level simulations) observables. To bound the microscopic information generated by computer simulations within reference measurements, we propose a method that reweights the microscopic transitions of the system to improve consistency with a set of coarse kinetic observables. The method employs the well-developed Markov state modeling framework to efficiently link microscopic dynamics with long-time scale constraints, thereby consistently addressing a wide range of time scales. To emphasize the robustness of the method, we consider two distinct coarse-grained models with significant kinetic inconsistencies. When applied to the simulated conformational dynamics of small peptides, the reweighting procedure systematically ...

  9. Discrete channel modelling based on genetic algorithm and simulated annealing for training hidden Markov model

    Institute of Scientific and Technical Information of China (English)

    Zhao Zhi-Jin; Zheng Shi-Lian; Xu Chun-Yun; Kong Xian-Zheng

    2007-01-01

    Hidden Markov models (HMMs) have been used to model burst error sources of wireless channels. This paper proposes a hybrid method of using genetic algorithm (GA) and simulated annealing (SA) to train HMM for discrete channel modelling. The proposed method is compared with pure GA, and experimental results show that the HMMs trained by the hybrid method can better describe the error sequences due to SA's ability of facilitating hill-climbing at the later stage of the search. The burst error statistics of the HMMs trained by the proposed method and the corresponding error sequences are also presented to validate the proposed method.

  10. Variance-reduced simulation of lattice discrete-time Markov chains with applications in reaction networks

    Science.gov (United States)

    Maginnis, P. A.; West, M.; Dullerud, G. E.

    2016-10-01

    We propose an algorithm to accelerate Monte Carlo simulation for a broad class of stochastic processes. Specifically, the class of countable-state, discrete-time Markov chains driven by additive Poisson noise, or lattice discrete-time Markov chains. In particular, this class includes simulation of reaction networks via the tau-leaping algorithm. To produce the speedup, we simulate pairs of fair-draw trajectories that are negatively correlated. Thus, when averaged, these paths produce an unbiased Monte Carlo estimator that has reduced variance and, therefore, reduced error. Numerical results for three example systems included in this work demonstrate two to four orders of magnitude reduction of mean-square error. The numerical examples were chosen to illustrate different application areas and levels of system complexity. The areas are: gene expression (affine state-dependent rates), aerosol particle coagulation with emission and human immunodeficiency virus infection (both with nonlinear state-dependent rates). Our algorithm views the system dynamics as a "black-box", i.e., we only require control of pseudorandom number generator inputs. As a result, typical codes can be retrofitted with our algorithm using only minor changes. We prove several analytical results. Among these, we characterize the relationship of covariances between paths in the general nonlinear state-dependent intensity rates case, and we prove variance reduction of mean estimators in the special case of affine intensity rates.

  11. 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.

  12. Conditional probability Markov chain simulation based reliability analysis method for nonnormal variables

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    Based on fast Markov chain simulation for generating the samples distributed in failure region and saddlepoint approximation(SA) technique,an efficient reliability analysis method is presented to evaluate the small failure probability of non-linear limit state function(LSF) with non-normal variables.In the presented method,the failure probability of the non-linear LSF is transformed into a product of the failure probability of the introduced linear LSF and a feature ratio factor.The introduced linear LSF which approximately has the same maximum likelihood points as the non-linear LSF is constructed and its failure probability can be calculated by SA technique.The feature ratio factor,which can be evaluated on the basis of multiplicative rule of probability,exhibits the relation between the failure probability of the non-linear LSF and that of the linear LSF,and it can be fast computed by utilizing the Markov chain algorithm to directly simulate the samples distributed in the failure regions of the non-linear LSF and those of the linear LSF.Moreover,the expectation and variance of the failure probability estimate are derived.The results of several examples demonstrate that the presented method has wide applicability,can be easily implemented,and possesses high precision and high efficiency.

  13. Bayesian Variable Selection in Spatial Autoregressive Models

    OpenAIRE

    Jesus Crespo Cuaresma; Philipp Piribauer

    2015-01-01

    This paper compares the performance of Bayesian variable selection approaches for spatial autoregressive models. We present two alternative approaches which can be implemented using Gibbs sampling methods in a straightforward way and allow us to deal with the problem of model uncertainty in spatial autoregressive models in a flexible and computationally efficient way. In a simulation study we show that the variable selection approaches tend to outperform existing Bayesian model averaging tech...

  14. 应用阶数自学习自回归隐马尔可夫模型对控制过程异常数据的在线检测%On-line detection of outliers in control process data based on autoregressive hidden Markov model with order self-learning

    Institute of Scientific and Technical Information of China (English)

    刘芳; 毛志忠

    2011-01-01

    针对过程工业中强噪声环境下实时采集的控制过程海量数据难以在线精确检测的问题,提出了基于阶数自学习自回归隐马尔可夫模型(ARHMM)的工业控制过程异常数据在线检测方法.该算法采用自同归(AR)模型对时间序列进行拟合,利用隐马尔科夫模型(HMM)作为数据检测的工具,避免了传统检测方法中需要预先设定检测阈值的问题,并将传统的BDT(Brockwell-Dahlhaus-Trindade)算法改进成为对于时间和阶数均实施迭代的双重迭代结构,以实现ARHMM参数在线更新.为了减小异常数据对ARHMM参数更新的影响,本文采用先检测后更新的方式,根据检测结果采取不同的更新方法,提高了该算法的鲁棒性.模型数据仿真与应用试验结果证明,该算法具有较高的检测精度和抗干扰能力,同时具备在线检测的能力.通过与传统基于AR模型的异常数据检测方法比较,证明了该方法更适合作为过程工业控制过程数据的异常检测工具.%For the accurate online detection and collection of massive real-time data of a control process in strong noise environment, we propose an autoregressive hidden Markov model (AJRHMM) algorithm with order self-learning. This algorithm employs an AR model to fit the time series and makes use of the hidden Markov model as the basic detection tool for avoiding the deficiency in presetting the threshold in traditional detection methods. In order to update the parameters of ARHMM online, we adopt the improved traditional BDT(Brockwell-Dahlhaus-Trindade) algorithm with double iterative structures, in which the iterative calculations are performed respectively for both time and order. To reduce the influence of outlier on parameter updating in ARHMM, we adopt the strategy of detection-before-update, and select the method for updating based on the detection results. This strategy improves the robustness of the algorithm. Simulation with emulation data and

  15. Communication: Consistent interpretation of molecular simulation kinetics using Markov state models biased with external information

    Science.gov (United States)

    Rudzinski, Joseph F.; Kremer, Kurt; Bereau, Tristan

    2016-02-01

    Molecular simulations can provide microscopic insight into the physical and chemical driving forces of complex molecular processes. Despite continued advancement of simulation methodology, model errors may lead to inconsistencies between simulated and reference (e.g., from experiments or higher-level simulations) observables. To bound the microscopic information generated by computer simulations within reference measurements, we propose a method that reweights the microscopic transitions of the system to improve consistency with a set of coarse kinetic observables. The method employs the well-developed Markov state modeling framework to efficiently link microscopic dynamics with long-time scale constraints, thereby consistently addressing a wide range of time scales. To emphasize the robustness of the method, we consider two distinct coarse-grained models with significant kinetic inconsistencies. When applied to the simulated conformational dynamics of small peptides, the reweighting procedure systematically improves the time scale separation of the slowest processes. Additionally, constraining the forward and backward rates between metastable states leads to slight improvement of their relative stabilities and, thus, refined equilibrium properties of the resulting model. Finally, we find that difficulties in simultaneously describing both the simulated data and the provided constraints can help identify specific limitations of the underlying simulation approach.

  16. A hidden Markov model combined with climate indices for multidecadal streamflow simulation

    Science.gov (United States)

    Bracken, C.; Rajagopalan, B.; Zagona, E.

    2014-10-01

    Hydroclimate time series often exhibit very low year-to-year autocorrelation while showing prolonged wet and dry epochs reminiscent of regime-shifting behavior. Traditional stochastic time series models cannot capture the regime-shifting features thereby misrepresenting the risk of prolonged wet and dry periods, consequently impacting management and planning efforts. Upper Colorado River Basin (UCRB) annual flow series highlights this clearly. To address this, a simulation framework is developed using a hidden Markov (HM) model in combination with large-scale climate indices that drive multidecadal variability. We demonstrate this on the UCRB flows and show that the simulations are able to capture the regime features by reproducing the multidecadal spectral features present in the data where a basic HM model without climate information cannot.

  17. Simulating Replica Exchange: Markov State Models, Proposal Schemes, and the Infinite Swapping Limit.

    Science.gov (United States)

    Zhang, Bin W; Dai, Wei; Gallicchio, Emilio; He, Peng; Xia, Junchao; Tan, Zhiqiang; Levy, Ronald M

    2016-08-25

    Replica exchange molecular dynamics is a multicanonical simulation technique commonly used to enhance the sampling of solvated biomolecules on rugged free energy landscapes. While replica exchange is relatively easy to implement, there are many unanswered questions about how to use this technique most efficiently, especially because it is frequently the case in practice that replica exchange simulations are not fully converged. A replica exchange cycle consists of a series of molecular dynamics steps of a set of replicas moving under different Hamiltonians or at different thermodynamic states followed by one or more replica exchange attempts to swap replicas among the different states. How the replica exchange cycle is constructed affects how rapidly the system equilibrates. We have constructed a Markov state model of replica exchange (MSMRE) using long molecular dynamics simulations of a host-guest binding system as an example, in order to study how different implementations of the replica exchange cycle can affect the sampling efficiency. We analyze how the number of replica exchange attempts per cycle, the number of MD steps per cycle, and the interaction between the two parameters affects the largest implied time scale of the MSMRE simulation. The infinite swapping limit is an important concept in replica exchange. We show how to estimate the infinite swapping limit from the diagonal elements of the exchange transition matrix constructed from MSMRE "simulations of simulations" as well as from relatively short runs of the actual replica exchange simulations.

  18. Simulating Replica Exchange: Markov State Models, Proposal Schemes, and the Infinite Swapping Limit.

    Science.gov (United States)

    Zhang, Bin W; Dai, Wei; Gallicchio, Emilio; He, Peng; Xia, Junchao; Tan, Zhiqiang; Levy, Ronald M

    2016-08-25

    Replica exchange molecular dynamics is a multicanonical simulation technique commonly used to enhance the sampling of solvated biomolecules on rugged free energy landscapes. While replica exchange is relatively easy to implement, there are many unanswered questions about how to use this technique most efficiently, especially because it is frequently the case in practice that replica exchange simulations are not fully converged. A replica exchange cycle consists of a series of molecular dynamics steps of a set of replicas moving under different Hamiltonians or at different thermodynamic states followed by one or more replica exchange attempts to swap replicas among the different states. How the replica exchange cycle is constructed affects how rapidly the system equilibrates. We have constructed a Markov state model of replica exchange (MSMRE) using long molecular dynamics simulations of a host-guest binding system as an example, in order to study how different implementations of the replica exchange cycle can affect the sampling efficiency. We analyze how the number of replica exchange attempts per cycle, the number of MD steps per cycle, and the interaction between the two parameters affects the largest implied time scale of the MSMRE simulation. The infinite swapping limit is an important concept in replica exchange. We show how to estimate the infinite swapping limit from the diagonal elements of the exchange transition matrix constructed from MSMRE "simulations of simulations" as well as from relatively short runs of the actual replica exchange simulations. PMID:27079355

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

    Energy Technology Data Exchange (ETDEWEB)

    Kim, Joo Yeon; Jang, Han Ki; Jang, Sol Ah; Park, Tae Jin [Korean Association for Radiation Application, Seoul (Korea, Republic of)

    2014-04-15

    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?.

  20. DIM SUM: demography and individual migration simulated using a Markov chain.

    Science.gov (United States)

    Brown, Jeremy M; Savidge, Kevin; McTavish, Emily Jane B

    2011-03-01

    An increasing number of studies seek to infer demographic history, often jointly with genetic relationships. Despite numerous analytical methods for such data, few simulations have investigated the methods' power and robustness, especially when underlying assumptions have been violated. DIM SUM (Demography and Individual Migration Simulated Using a Markov chain) is a stand-alone Java program for the simulation of population demography and individual migration while recording ancestor-descendant relationships. It does not employ coalescent assumptions or discrete population boundaries. It is extremely flexible, allowing the user to specify border positions, reactions of organisms to borders, local and global carrying capacities, individual dispersal kernels, rates of reproduction and strategies for sampling individuals. Spatial variables may be specified using image files (e.g., as exported from gis software) and may vary through time. In combination with software for genetic marker simulation, DIM SUM will be useful for testing phylogeographic (e.g., nested clade phylogeographic analysis, coalescent-based tests and continuous-landscape frameworks) and landscape-genetic methods, specifically regarding violations of coalescent assumptions. It can also be used to explore the qualitative features of proposed demographic scenarios (e.g. regarding biological invasions) and as a pedagogical tool. DIM SUM (with user's manual) can be downloaded from http://code.google.com/p/bio-dimsum. PMID:21429144

  1. Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models

    Science.gov (United States)

    Smith, Jason F.; Chen, Kewei; Pillai, Ajay S.; Horwitz, Barry

    2013-01-01

    The number and variety of connectivity estimation methods is likely to continue to grow over the coming decade. Comparisons between methods are necessary to prune this growth to only the most accurate and robust methods. However, the nature of connectivity is elusive with different methods potentially attempting to identify different aspects of connectivity. Commonalities of connectivity definitions across methods upon which base direct comparisons can be difficult to derive. Here, we explicitly define “effective connectivity” using a common set of observation and state equations that are appropriate for three connectivity methods: dynamic causal modeling (DCM), multivariate autoregressive modeling (MAR), and switching linear dynamic systems for fMRI (sLDSf). In addition while deriving this set, we show how many other popular functional and effective connectivity methods are actually simplifications of these equations. We discuss implications of these connections for the practice of using one method to simulate data for another method. After mathematically connecting the three effective connectivity methods, simulated fMRI data with varying numbers of regions and task conditions is generated from the common equation. This simulated data explicitly contains the type of the connectivity that the three models were intended to identify. Each method is applied to the simulated data sets and the accuracy of parameter identification is analyzed. All methods perform above chance levels at identifying correct connectivity parameters. The sLDSf method was superior in parameter estimation accuracy to both DCM and MAR for all types of comparisons. PMID:23717258

  2. Using Hidden Markov Models to Improve Quantifying Physical Activity in Accelerometer Data – A Simulation Study

    Science.gov (United States)

    Witowski, Vitali; Foraita, Ronja; Pitsiladis, Yannis; Pigeot, Iris; Wirsik, Norman

    2014-01-01

    Introduction The use of accelerometers to objectively measure physical activity (PA) has become the most preferred method of choice in recent years. Traditionally, cutpoints are used to assign impulse counts recorded by the devices to sedentary and activity ranges. Here, hidden Markov models (HMM) are used to improve the cutpoint method to achieve a more accurate identification of the sequence of modes of PA. Methods 1,000 days of labeled accelerometer data have been simulated. For the simulated data the actual sedentary behavior and activity range of each count is known. The cutpoint method is compared with HMMs based on the Poisson distribution (HMM[Pois]), the generalized Poisson distribution (HMM[GenPois]) and the Gaussian distribution (HMM[Gauss]) with regard to misclassification rate (MCR), bout detection, detection of the number of activities performed during the day and runtime. Results The cutpoint method had a misclassification rate (MCR) of 11% followed by HMM[Pois] with 8%, HMM[GenPois] with 3% and HMM[Gauss] having the best MCR with less than 2%. HMM[Gauss] detected the correct number of bouts in 12.8% of the days, HMM[GenPois] in 16.1%, HMM[Pois] and the cutpoint method in none. HMM[GenPois] identified the correct number of activities in 61.3% of the days, whereas HMM[Gauss] only in 26.8%. HMM[Pois] did not identify the correct number at all and seemed to overestimate the number of activities. Runtime varied between 0.01 seconds (cutpoint), 2.0 minutes (HMM[Gauss]) and 14.2 minutes (HMM[GenPois]). Conclusions Using simulated data, HMM-based methods were superior in activity classification when compared to the traditional cutpoint method and seem to be appropriate to model accelerometer data. Of the HMM-based methods, HMM[Gauss] seemed to be the most appropriate choice to assess real-life accelerometer data. PMID:25464514

  3. 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

    2016-04-01

    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.

  4. 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,...

  5. 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, with part......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...... forecasting experiment to evaluate its point and density forecasting performances. In all the cases, the dynamic asymmetry in the cycle is efficiently captured by the new model. The GSTAR beats AR and STAR competitors in point forecasting, while this superiority becomes less evident in density forecasting...

  6. Using hidden markov models to improve quantifying physical activity in accelerometer data - a simulation study.

    Directory of Open Access Journals (Sweden)

    Vitali Witowski

    Full Text Available INTRODUCTION: The use of accelerometers to objectively measure physical activity (PA has become the most preferred method of choice in recent years. Traditionally, cutpoints are used to assign impulse counts recorded by the devices to sedentary and activity ranges. Here, hidden Markov models (HMM are used to improve the cutpoint method to achieve a more accurate identification of the sequence of modes of PA. METHODS: 1,000 days of labeled accelerometer data have been simulated. For the simulated data the actual sedentary behavior and activity range of each count is known. The cutpoint method is compared with HMMs based on the Poisson distribution (HMM[Pois], the generalized Poisson distribution (HMM[GenPois] and the Gaussian distribution (HMM[Gauss] with regard to misclassification rate (MCR, bout detection, detection of the number of activities performed during the day and runtime. RESULTS: The cutpoint method had a misclassification rate (MCR of 11% followed by HMM[Pois] with 8%, HMM[GenPois] with 3% and HMM[Gauss] having the best MCR with less than 2%. HMM[Gauss] detected the correct number of bouts in 12.8% of the days, HMM[GenPois] in 16.1%, HMM[Pois] and the cutpoint method in none. HMM[GenPois] identified the correct number of activities in 61.3% of the days, whereas HMM[Gauss] only in 26.8%. HMM[Pois] did not identify the correct number at all and seemed to overestimate the number of activities. Runtime varied between 0.01 seconds (cutpoint, 2.0 minutes (HMM[Gauss] and 14.2 minutes (HMM[GenPois]. CONCLUSIONS: Using simulated data, HMM-based methods were superior in activity classification when compared to the traditional cutpoint method and seem to be appropriate to model accelerometer data. Of the HMM-based methods, HMM[Gauss] seemed to be the most appropriate choice to assess real-life accelerometer data.

  7. Integration of logistic regression, Markov chain and cellular automata models to simulate urban expansion

    NARCIS (Netherlands)

    Jokar Arsanjani, J.; Helbich, M.; Kainz, W.; Boloorani, A.

    2013-01-01

    This research analyses the suburban expansion in the metropolitan area of Tehran, Iran. A hybrid model consisting of logistic regression model, Markov chain (MC), and cellular automata (CA) was designed to improve the performance of the standard logistic regression model. Environmental and socio-eco

  8. SMURFLite: combining simplified Markov random fields with simulated evolution improves remote homology detection for beta-structural proteins into the twilight zone

    OpenAIRE

    Daniels, Noah M.; Hosur, Raghavendra; Berger, Bonnie; Lenore J Cowen

    2012-01-01

    Motivation: One of the most successful methods to date for recognizing protein sequences that are evolutionarily related has been profile hidden Markov models (HMMs). However, these models do not capture pairwise statistical preferences of residues that are hydrogen bonded in beta sheets. These dependencies have been partially captured in the HMM setting by simulated evolution in the training phase and can be fully captured by Markov random fields (MRFs). However, the MRFs can be computationa...

  9. 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. PMID:22994891

  10. Dynamic temperature selection for parallel-tempering in Markov chain Monte Carlo simulations

    CERN Document Server

    Vousden, Will; Mandel, Ilya

    2015-01-01

    Modern problems in astronomical Bayesian inference require efficient methods for sampling from complex, high-dimensional, often multi-modal probability distributions. Most popular methods, such as Markov chain Monte Carlo sampling, perform poorly on strongly multi-modal probability distributions, rarely jumping between modes or settling on just one mode without finding others. Parallel tempering addresses this problem by sampling simultaneously with separate Markov chains from tempered versions of the target distribution with reduced contrast levels. Gaps between modes can be traversed at higher temperatures, while individual modes can be efficiently explored at lower temperatures. In this paper, we investigate how one might choose the ladder of temperatures to achieve lower autocorrelation time for the sampler (and therefore more efficient sampling). In particular, we present a simple, easily-implemented algorithm for dynamically adapting the temperature configuration of a sampler while sampling in order to ...

  11. Approximate regenerative-block bootstrap for Markov chains: some simulation studies

    OpenAIRE

    Bertail, Patrice; Clémençon, Stéphan

    2007-01-01

    Abstract : In Bertail & Clémençon (2005a) a novel methodology for bootstrappinggeneral Harris Markov chains has been proposed, which crucially exploits their renewalproperties (when eventually extended via the Nummelin splitting technique) and has theoreticalproperties that surpass other existing methods within the Markovian framework(bmoving block bootstrap, sieve bootstrap etc...). This paper is devoted to discuss practicalissues related to the implementation of this specific resampling met...

  12. 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...... 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...

  13. Modeling the effects and uncertainties of contaminated sediment remediation scenarios in a Norwegian fjord by Markov chain Monte Carlo simulation.

    Science.gov (United States)

    Saloranta, Tuomo M; Armitage, James M; Haario, Heikki; Naes, Kristoffer; Cousins, Ian T; Barton, David N

    2008-01-01

    Multimedia environmental fate models are useful tools to investigate the long-term impacts of remediation measures designed to alleviate potential ecological and human health concerns in contaminated areas. Estimating and communicating the uncertainties associated with the model simulations is a critical task for demonstrating the transparency and reliability of the results. The Extended Fourier Amplitude Sensitivity Test(Extended FAST) method for sensitivity analysis and Bayesian Markov chain Monte Carlo (MCMC) method for uncertainty analysis and model calibration have several advantages over methods typically applied for multimedia environmental fate models. Most importantly, the simulation results and their uncertainties can be anchored to the available observations and their uncertainties. We apply these techniques for simulating the historical fate of polychlorinated dibenzo-p-dioxins and dibenzofurans (PCDD/Fs) in the Grenland fjords, Norway, and for predicting the effects of different contaminated sediment remediation (capping) scenarios on the future levels of PCDD/Fs in cod and crab therein. The remediation scenario simulations show that a significant remediation effect can first be seen when significant portions of the contaminated sediment areas are cleaned up, and that increase in capping area leads to both earlier achievement of good fjord status and narrower uncertainty in the predicted timing for this. PMID:18350897

  14. Implementing Bayesian Vector Autoregressions Implementing Bayesian Vector Autoregressions

    Directory of Open Access Journals (Sweden)

    Richard M. Todd

    1988-03-01

    Full Text Available Implementing Bayesian Vector Autoregressions This paper discusses how the Bayesian approach can be used to construct a type of multivariate forecasting model known as a Bayesian vector autoregression (BVAR. In doing so, we mainly explain Doan, Littermann, and Sims (1984 propositions on how to estimate a BVAR based on a certain family of prior probability distributions. indexed by a fairly small set of hyperparameters. There is also a discussion on how to specify a BVAR and set up a BVAR database. A 4-variable model is used to iliustrate the BVAR approach.

  15. Markov-switching model for nonstationary runoff conditioned on El Nino information

    DEFF Research Database (Denmark)

    Gelati, Emiliano; Madsen, H.; Rosbjerg, Dan

    2010-01-01

    We define a Markov-modulated autoregressive model with exogenous input (MARX) to generate runoff scenarios using climatic information. Runoff parameterization is assumed to be conditioned on a hidden climate state following a Markov chain, where state transition probabilities are functions...

  16. Dynamic temperature selection for parallel tempering in Markov chain Monte Carlo simulations

    Science.gov (United States)

    Vousden, W. D.; Farr, W. M.; Mandel, I.

    2016-01-01

    Modern problems in astronomical Bayesian inference require efficient methods for sampling from complex, high-dimensional, often multimodal probability distributions. Most popular methods, such as MCMC sampling, perform poorly on strongly multimodal probability distributions, rarely jumping between modes or settling on just one mode without finding others. Parallel tempering addresses this problem by sampling simultaneously with separate Markov chains from tempered versions of the target distribution with reduced contrast levels. Gaps between modes can be traversed at higher temperatures, while individual modes can be efficiently explored at lower temperatures. In this paper, we investigate how one might choose the ladder of temperatures to achieve more efficient sampling, as measured by the autocorrelation time of the sampler. In particular, we present a simple, easily implemented algorithm for dynamically adapting the temperature configuration of a sampler while sampling. This algorithm dynamically adjusts the temperature spacing to achieve a uniform rate of exchanges between chains at neighbouring temperatures. We compare the algorithm to conventional geometric temperature configurations on a number of test distributions and on an astrophysical inference problem, reporting efficiency gains by a factor of 1.2-2.5 over a well-chosen geometric temperature configuration and by a factor of 1.5-5 over a poorly chosen configuration. On all of these problems, a sampler using the dynamical adaptations to achieve uniform acceptance ratios between neighbouring chains outperforms one that does not.

  17. A Nonstationary Hidden Markov Model for Stochastic Streamflow Simulation and Inter-annual Forecasting in the Upper Colorado River Basin

    Science.gov (United States)

    Bracken, C. W.; Rajagopalan, B.; Zagona, E. A.

    2011-12-01

    Upper Colorado River Basin annual flow exhibits very low autocorrelation but regime shifting behavior causing long departures from the historical average flow producing sustained wet and dry periods. Traditional stochastic time series models do not capture this feature thereby misleading the water resources system risk and consequently impacting the management and planning efforts. To address this, we developed a nonstationary Hidden Markov (HM) model with Gamma component distributions, as opposed to Normal distributions which is widely used in literature, for stochastic simulation and short term forecasting. Global decoding from this model reveals and captures strong underlying persistent structure in the Lees Ferry flow time series. In addition to capturing the shifting mean, simulations from this model have a 20% greater chance than a first order Auto Regressive model (AR1), the best time series model for this data, of simulating wet and dry runs of 6 or more years. Relative to AR1 the HM model also captures the spectral features quite well. When applied to short term forecasting (i.e. of 1-2 years) they show higher skill relative to climatology but also to an AR1 model.

  18. Blind identification of threshold auto-regressive model for machine fault diagnosis

    Institute of Scientific and Technical Information of China (English)

    LI Zhinong; HE Yongyong; CHU Fulei; WU Zhaotong

    2007-01-01

    A blind identification method was developed for the threshold auto-regressive (TAR) model. The method had good identification accuracy and rapid convergence, especially for higher order systems. The proposed method was then combined with the hidden Markov model (HMM) to determine the auto-regressive (AR) coefficients for each interval used for feature extraction, with the HMM as a classifier. The fault diagnoses during the speed-up and speed- down processes for rotating machinery have been success- fully completed. The result of the experiment shows that the proposed method is practical and effective.

  19. 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. PMID:26645083

  20. 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.

  1. Gaussian Processes for Functional Autoregression

    OpenAIRE

    Kowal, Daniel R.; David S. Matteson; Ruppert, David

    2016-01-01

    We develop a hierarchical Gaussian process model for forecasting and inference of functional time series data. Unlike existing methods, our approach is especially suited for sparsely or irregularly sampled curves and for curves sampled with non-negligible measurement error. The latent process is dynamically modeled as a functional autoregression (FAR) with Gaussian process innovations. We propose a fully nonparametric dynamic functional factor model for the dynamic innovation process, with br...

  2. Deep AutoRegressive Networks

    OpenAIRE

    Gregor, Karol; Danihelka, Ivo; Mnih, Andriy; Blundell, Charles; Wierstra, Daan

    2013-01-01

    We introduce a deep, generative autoencoder capable of learning hierarchies of distributed representations from data. Successive deep stochastic hidden layers are equipped with autoregressive connections, which enable the model to be sampled from quickly and exactly via ancestral sampling. We derive an efficient approximate parameter estimation method based on the minimum description length (MDL) principle, which can be seen as maximising a variational lower bound on the log-likelihood, with ...

  3. Multivariate elliptically contoured autoregressive process

    OpenAIRE

    Taras Bodnar; Arjun K. Gupta

    2014-01-01

    In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-dia...

  4. A Markov computer simulation model of the economics of neuromuscular blockade in patients with acute respiratory distress syndrome

    Directory of Open Access Journals (Sweden)

    Chow John L

    2006-03-01

    Full Text Available Abstract Background Management of acute respiratory distress syndrome (ARDS in the intensive care unit (ICU is clinically challenging and costly. Neuromuscular blocking agents may facilitate mechanical ventilation and improve oxygenation, but may result in prolonged recovery of neuromuscular function and acute quadriplegic myopathy syndrome (AQMS. The goal of this study was to address a hypothetical question via computer modeling: Would a reduction in intubation time of 6 hours and/or a reduction in the incidence of AQMS from 25% to 21%, provide enough benefit to justify a drug with an additional expenditure of $267 (the difference in acquisition cost between a generic and brand name neuromuscular blocker? Methods The base case was a 55 year-old man in the ICU with ARDS who receives neuromuscular blockade for 3.5 days. A Markov model was designed with hypothetical patients in 1 of 6 mutually exclusive health states: ICU-intubated, ICU-extubated, hospital ward, long-term care, home, or death, over a period of 6 months. The net monetary benefit was computed. Results Our computer simulation modeling predicted the mean cost for ARDS patients receiving standard care for 6 months to be $62,238 (5% – 95% percentiles $42,259 – $83,766, with an overall 6-month mortality of 39%. Assuming a ceiling ratio of $35,000, even if a drug (that cost $267 more hypothetically reduced AQMS from 25% to 21% and decreased intubation time by 6 hours, the net monetary benefit would only equal $137. Conclusion ARDS patients receiving a neuromuscular blocker have a high mortality, and unpredictable outcome, which results in large variability in costs per case. If a patient dies, there is no benefit to any drug that reduces ventilation time or AQMS incidence. A prospective, randomized pharmacoeconomic study of neuromuscular blockers in the ICU to asses AQMS or intubation times is impractical because of the highly variable clinical course of patients with ARDS.

  5. 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.

  6. A Note on Parameter Estimations of Panel Vector Autoregressive Models with Intercorrelation

    Institute of Scientific and Technical Information of China (English)

    Jian-hong Wu; Li-xing Zhu; Zai-xing Li

    2009-01-01

    This note considers parameter estimation for panel vector autoregressive models with intercorrela-tion. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carried out for illustration.

  7. Multivariate elliptically contoured autoregressive process

    Directory of Open Access Journals (Sweden)

    Taras Bodnar

    2014-05-01

    Full Text Available In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-diagonal elements of the dispersion matrix are slowly varying in time.

  8. 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...

  9. Discrete Quantum Markov Chains

    CERN Document Server

    Faigle, Ulrich

    2010-01-01

    A framework for finite-dimensional quantum Markov chains on Hilbert spaces is introduced. Quantum Markov chains generalize both classical Markov chains with possibly hidden states and existing models of quantum walks on finite graphs. Quantum Markov chains are based on Markov operations that may be applied to quantum systems and include quantum measurements, for example. It is proved that quantum Markov chains are asymptotically stationary and hence possess ergodic and entropic properties. With a quantum Markov chain one may associate a quantum Markov process, which is a stochastic process in the classical sense. Generalized Markov chains allow a representation with respect to a generalized Markov source model with definite (but possibly hidden) states relative to which observables give rise to classical stochastic processes. It is demonstrated that this model allows for observables to violate Bell's inequality.

  10. Autoregressive description of biological phenomena

    CERN Document Server

    Morariu, Vasile V; Pop, Alexadru; Soltuz, Stefan M; Buimaga-Iarinca, Luiza; Zainea, Oana

    2008-01-01

    Many natural phenomena can be described by power-laws. A closer look at various experimental data reveals more or less significant deviations from a 1/f spectrum. We exemplify such cases with phenomena offered by molecular biology, cell biophysics, and cognitive psychology. Some of these cases can be described by first order autoregressive (AR) models or by higher order AR models which are short range correlation models. The calculations are checked against astrophysical data which were fitted to a an AR model by a different method. We found that our fitting method of the data give similar results for the astrhophysical data and therefore applied the method for examples mentioned above. Our results show that such phenomena can be described by first or higher order of AR models. Therefore such examples are described by short range correlation properties while they can be easily confounded with long range correlation phenomena.

  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. 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

    Energy Technology Data Exchange (ETDEWEB)

    Kadoura, Ahmad; Sun, Shuyu, E-mail: shuyu.sun@kaust.edu.sa; Salama, Amgad

    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.

  13. 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.

  14. Testing the Markov condition in ion channel recordings

    CERN Document Server

    Timmer, J

    1997-01-01

    A statistical test is presented to decide whether data are adequately described by probabilistic functions of finite state Markov chains (''hidden Markov models'') as applied in the analysis of ion channel data. Particularly, the test can be used to decide whether a system obeys the Markov condition. Simulation studies are performed in order to investigate the sensitivity of the proposed test against violations of the model assumptions. The test can be applied analogously to Markov models.

  15. Temporal relation between the ADC and DC potential responses to transient focal ischemia in the rat: a Markov chain Monte Carlo simulation analysis.

    Science.gov (United States)

    King, Martin D; Crowder, Martin J; Hand, David J; Harris, Neil G; Williams, Stephen R; Obrenovitch, Tihomir P; Gadian, David G

    2003-06-01

    Markov chain Monte Carlo simulation was used in a reanalysis of the longitudinal data obtained by Harris et al. (J Cereb Blood Flow Metab 20:28-36) in a study of the direct current (DC) potential and apparent diffusion coefficient (ADC) responses to focal ischemia. The main purpose was to provide a formal analysis of the temporal relationship between the ADC and DC responses, to explore the possible involvement of a common latent (driving) process. A Bayesian nonlinear hierarchical random coefficients model was adopted. DC and ADC transition parameter posterior probability distributions were generated using three parallel Markov chains created using the Metropolis algorithm. Particular attention was paid to the within-subject differences between the DC and ADC time course characteristics. The results show that the DC response is biphasic, whereas the ADC exhibits monophasic behavior, and that the two DC components are each distinguishable from the ADC response in their time dependencies. The DC and ADC changes are not, therefore, driven by a common latent process. This work demonstrates a general analytical approach to the multivariate, longitudinal data-processing problem that commonly arises in stroke and other biomedical research. PMID:12796716

  16. Nonlinear autoregressive models and long memory

    OpenAIRE

    Kapetanios, George

    2004-01-01

    This note shows that regime switching nonlinear autoregressive models widely used in the time series literature can exhibit arbitrary degrees of long memory via appropriate definition of the model regimes.

  17. Nonuniform Markov Geometric Measures

    OpenAIRE

    Neunhäuserer, J.

    2015-01-01

    We generalize results of Fan and Zhang [6] on absolute continuity and singularity of the golden Markov geometric series to nonuniform stochastic series given by arbitrary Markov process. In addition we describe an application of these results in fractal geometry.

  18. Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks

    OpenAIRE

    Katsuhiro Sugita

    2015-01-01

    In this paper we analyze the predictive power of the yield curve on output growth using a vector autoregressive model with multiple structural breaks in the intercept term and the volatility. To estimate the model and to detect the number of breaks, we apply a Bayesian approach with Markov chain Monte Carlo algorithm. We find strong evidence of three structural breaks using the US data.

  19. Stochastic differential equations and comparison of financial models with levy process using Markov chain Monte Carlo (MCMC simulation

    Directory of Open Access Journals (Sweden)

    Kianoush Fathi Vajargah

    2015-01-01

    Full Text Available An available method of modeling and predicting the economic time series is the use of stochastic differential equations, which are often determined as jump-diffusion stochastic differential equations in financial markets and underlier economic dynamics. Besides the diffusion term that is a geometric Brownian model with Wiener random process, these equations contain a jump term that follows Poisson process and depends on the type of market. This study presented two different models based on a certain class of jump-diffusion stochastic differential equations with random fluctuations: Black- Scholes model and Merton model (1976, including jump-diffusion (JD model, which were compared, and their parameters and hidden variables were evaluated using Markov chain Monte Carlo (MCMC method.

  20. Weighted maximum posterior marginals for random fields using an ensemble of conditional densities from multiple Markov chain Monte Carlo simulations.

    Science.gov (United States)

    Monaco, James Peter; Madabhushi, Anant

    2011-07-01

    The ability of classification systems to adjust their performance (sensitivity/specificity) is essential for tasks in which certain errors are more significant than others. For example, mislabeling cancerous lesions as benign is typically more detrimental than mislabeling benign lesions as cancerous. Unfortunately, methods for modifying the performance of Markov random field (MRF) based classifiers are noticeably absent from the literature, and thus most such systems restrict their performance to a single, static operating point (a paired sensitivity/specificity). To address this deficiency we present weighted maximum posterior marginals (WMPM) estimation, an extension of maximum posterior marginals (MPM) estimation. Whereas the MPM cost function penalizes each error equally, the WMPM cost function allows misclassifications associated with certain classes to be weighted more heavily than others. This creates a preference for specific classes, and consequently a means for adjusting classifier performance. Realizing WMPM estimation (like MPM estimation) requires estimates of the posterior marginal distributions. The most prevalent means for estimating these--proposed by Marroquin--utilizes a Markov chain Monte Carlo (MCMC) method. Though Marroquin's method (M-MCMC) yields estimates that are sufficiently accurate for MPM estimation, they are inadequate for WMPM. To more accurately estimate the posterior marginals we present an equally simple, but more effective extension of the MCMC method (E-MCMC). Assuming an identical number of iterations, E-MCMC as compared to M-MCMC yields estimates with higher fidelity, thereby 1) allowing a far greater number and diversity of operating points and 2) improving overall classifier performance. To illustrate the utility of WMPM and compare the efficacies of M-MCMC and E-MCMC, we integrate them into our MRF-based classification system for detecting cancerous glands in (whole-mount or quarter) histological sections of the prostate

  1. Reconstruction of Exposure to m-Xylene from Human Biomonitoring Data Using PBPK Modelling, Bayesian Inference, and Markov Chain Monte Carlo Simulation

    Directory of Open Access Journals (Sweden)

    Kevin McNally

    2012-01-01

    Full Text Available There are numerous biomonitoring programs, both recent and ongoing, to evaluate environmental exposure of humans to chemicals. Due to the lack of exposure and kinetic data, the correlation of biomarker levels with exposure concentrations leads to difficulty in utilizing biomonitoring data for biological guidance values. Exposure reconstruction or reverse dosimetry is the retrospective interpretation of external exposure consistent with biomonitoring data. We investigated the integration of physiologically based pharmacokinetic modelling, global sensitivity analysis, Bayesian inference, and Markov chain Monte Carlo simulation to obtain a population estimate of inhalation exposure to m-xylene. We used exhaled breath and venous blood m-xylene and urinary 3-methylhippuric acid measurements from a controlled human volunteer study in order to evaluate the ability of our computational framework to predict known inhalation exposures. We also investigated the importance of model structure and dimensionality with respect to its ability to reconstruct exposure.

  2. Theory of Markov processes

    CERN Document Server

    Dynkin, E B

    1960-01-01

    Theory of Markov Processes provides information pertinent to the logical foundations of the theory of Markov random processes. This book discusses the properties of the trajectories of Markov processes and their infinitesimal operators.Organized into six chapters, this book begins with an overview of the necessary concepts and theorems from measure theory. This text then provides a general definition of Markov process and investigates the operations that make possible an inspection of the class of Markov processes corresponding to a given transition function. Other chapters consider the more c

  3. Relative survival multistate Markov model.

    Science.gov (United States)

    Huszti, Ella; Abrahamowicz, Michal; Alioum, Ahmadou; Binquet, Christine; Quantin, Catherine

    2012-02-10

    Prognostic studies often have to deal with two important challenges: (i) separating effects of predictions on different 'competing' events and (ii) uncertainty about cause of death. Multistate Markov models permit multivariable analyses of competing risks of, for example, mortality versus disease recurrence. On the other hand, relative survival methods help estimate disease-specific mortality risks even in the absence of data on causes of death. In this paper, we propose a new Markov relative survival (MRS) model that attempts to combine these two methodologies. Our MRS model extends the existing multistate Markov piecewise constant intensities model to relative survival modeling. The intensity of transitions leading to death in the MRS model is modeled as the sum of an estimable excess hazard of mortality from the disease of interest and an 'offset' defined as the expected hazard of all-cause 'natural' mortality obtained from relevant life-tables. We evaluate the new MRS model through simulations, with a design based on registry-based prognostic studies of colon cancer. Simulation results show almost unbiased estimates of prognostic factor effects for the MRS model. We also applied the new MRS model to reassess the role of prognostic factors for mortality in a study of colorectal cancer. The MRS model considerably reduces the bias observed with the conventional Markov model that does not permit accounting for unknown causes of death, especially if the 'true' effects of a prognostic factor on the two types of mortality differ substantially.

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

    Directory of Open Access Journals (Sweden)

    J. A. Vrugt

    2011-04-01

    Full Text Available 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.

  5. Context Tree Estimation in Variable Length Hidden Markov Models

    CERN Document Server

    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 exponents in hidden Markov model order estimation(2003)). We propose an algorithm to efficiently compute the estimator and provide simulation studies to support our result.

  6. 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

  7. Oracle Inequalities for High Dimensional Vector Autoregressions

    DEFF Research Database (Denmark)

    Callot, Laurent; Kock, Anders Bredahl

    This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger order...... hence the correct sparsity pattern). Finally conditions under which the Adaptive LASSO reveals the correct sign pattern with probability tending to one are given. Again, the number of parameters may be much larger than the sample size. Some maximal inequalities for vector autoregressions which might...

  8. MAXIMUM LIKELIHOOD ESTIMATION FOR PERIODIC AUTOREGRESSIVE MOVING AVERAGE MODELS.

    Science.gov (United States)

    Vecchia, A.V.

    1985-01-01

    A useful class of models for seasonal time series that cannot be filtered or standardized to achieve second-order stationarity is that of periodic autoregressive moving average (PARMA) models, which are extensions of ARMA models that allow periodic (seasonal) parameters. An approximation to the exact likelihood for Gaussian PARMA processes is developed, and a straightforward algorithm for its maximization is presented. The algorithm is tested on several periodic ARMA(1, 1) models through simulation studies and is compared to moment estimation via the seasonal Yule-Walker equations. Applicability of the technique is demonstrated through an analysis of a seasonal stream-flow series from the Rio Caroni River in Venezuela.

  9. Modified Testing for Structural Changes in Autoregressive Processes

    Institute of Scientific and Technical Information of China (English)

    Hao JIN; Zheng TIAN; Yun Feng YANG

    2011-01-01

    In this paper, we consider the problem of detecting for structural changes in the autoregressive processes including AR(p) process. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampiing method introduced by Jach and Kokoszka [J. Methodology and Computing in Applied Probability 25(2004)]. It is shown that under regularity conditions, the asymptotic distribution of the test statistic is the function of a standard Brownian bridge. Simulation results as to AR(1)process and an example of real data analysis axe provided for illustration.

  10. 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

  11. 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...

  12. Testing for vector autoregressive dynamics under heteroskedasticity

    NARCIS (Netherlands)

    C.M. Hafner (Christian); H. Herwartz

    2002-01-01

    textabstractIn this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process

  13. Bayesian Vector Autoregressions with Stochastic Volatility

    NARCIS (Netherlands)

    Uhlig, H.F.H.V.S.

    1996-01-01

    This paper proposes a Bayesian approach to a vector autoregression with stochastic volatility, where the multiplicative evolution of the precision matrix is driven by a multivariate beta variate.Exact updating formulas are given to the nonlinear filtering of the precision matrix.Estimation of the au

  14. Cardiac arrhythmia classification using autoregressive modeling

    OpenAIRE

    Srinivasan Narayanan; Ge Dingfei; Krishnan Shankar M

    2002-01-01

    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 (...

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

    Science.gov (United States)

    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 have negligible effects on the resulting parameter estimates. However, the conjugate prior distribution for covariance matrices-the Inverse-Wishart distribution-tends to be informative when variances are close to zero. This is problematic for multilevel autoregressive models, because autoregressive parameters are usually small for each individual, so that the variance of these parameters will be small. We performed a simulation study to compare the performance of three Inverse-Wishart prior specifications suggested in the literature, when one or more variances for the random effects in the multilevel autoregressive model are small. Our results show that the prior specification that uses plug-in ML estimates of the variances performs best. We advise to always include a sensitivity analysis for the prior specification for covariance matrices of random parameters, especially in autoregressive models, and to include a data-based prior specification in this analysis. We illustrate such an analysis by means of an empirical application on repeated measures data on worrying and positive affect.

  17. A Study of Wind Statistics Through Auto-Regressive and Moving-Average (ARMA) Modeling

    Institute of Scientific and Technical Information of China (English)

    尹彰; 周宗仁

    2001-01-01

    Statistical properties of winds near the Taichung Harbour are investigated. The 26 years′incomplete data of wind speeds, measured on an hourly basis, are used as reference. The possibility of imputation using simulated results of the Auto-Regressive (AR), Moving-Average (MA), and/or Auto-Regressive and Moving-Average (ARMA) models is studied. Predictions of the 25-year extreme wind speeds based upon the augmented data are compared with the original series. Based upon the results, predictions of the 50- and 100-year extreme wind speeds are then made.

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

    NARCIS (Netherlands)

    Schoups, G.H.W.; 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 e

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

    NARCIS (Netherlands)

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

    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 e

  20. Search for periodicities in experimental data using an autoregression data model

    CERN Document Server

    Belashev, B Z

    2001-01-01

    To process data obtained during interference experiments in high-energy physics, methods of spectral analysis are employed. Methods of spectral analysis, in which an autoregression model of experimental data is used, such as the maximum entropy technique as well as Pisarenko and Prony's method, are described. To show the potentials of the methods, experimental and simulated hummed data are discussed as an example.

  1. Detrended Fluctuation Analysis of Autoregressive Processes

    CERN Document Server

    Morariu, V V; Vamos, C; Soltuz, S

    2007-01-01

    Autoregressive processes (AR) have typical short-range memory. Detrended Fluctuation Analysis (DFA) was basically designed to reveal long range correlation in non stationary processes. However DFA can also be regarded as a suitable method to investigate both long-range and short range correlation in non-stationary and stationary systems. Applying DFA to AR processes can help understanding the non uniform correlation structure of such processes. We systematically investigated a first order autoregressive model AR(1) by DFA and established the relationship between the interaction constant of AR(1) and the DFA correlation exponent. The higher the interaction constant the higher is the short range correlation exponent. They are exponentially related. The investigation was extended to AR(2) processes. The presence of a distant positive interaction in addition to a near by interaction will increase the correlation exponent and the range of correlation while the effect of a distant negative interaction will decrease...

  2. Order 1 autoregressive process of finite length

    CERN Document Server

    Vamos, Calin; Craciun, Maria

    2007-01-01

    The stochastic processes of finite length defined by recurrence relations request additional relations specifying the first terms of the process analogously to the initial conditions for the differential equations. As a general rule, in time series theory one analyzes only stochastic processes of infinite length which need no such initial conditions and their properties are less difficult to be determined. In this paper we compare the properties of the order 1 autoregressive processes of finite and infinite length and we prove that the time series length has an important influence mainly if the serial correlation is significant. These different properties can manifest themselves as transient effects produced when a time series is numerically generated. We show that for an order 1 autoregressive process the transient behavior can be avoided if the first term is a Gaussian random variable with standard deviation equal to that of the theoretical infinite process and not to that of the white noise innovation.

  3. Generalization of Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper introduces a generalization of Brownian motion with continuous sample paths and stationary, autoregressive increments. This process, which we call a Brownian ray with drift, is characterized by three parameters quantifying distinct effects of drift, volatility, and autoregressiveness. A Brownian ray with drift, conditioned on its state at the beginning of an interval, is another Brownian ray with drift over the interval, and its expected path over the interval is a ray with a slope that depends on the conditioned state. This paper shows how Brownian rays can be applied in finance for the analysis of queues or inventories and the valuation of options. We model a queue's net input process as a superposition of Brownian rays with drift and derive the transient distribution of the queue length conditional on past queue lengths and on past states of the individual Brownian rays comprising the superposition. The transient distributions of Regulated Brownian Motion and of the Regulated Brownian Bridge are...

  4. Discovery of a regioselectivity switch in nitrating P450s guided by molecular dynamics simulations and Markov models

    Science.gov (United States)

    Dodani, Sheel C.; Kiss, Gert; Cahn, Jackson K. B.; Su, Ye; Pande, Vijay S.; Arnold, Frances H.

    2016-05-01

    The dynamic motions of protein structural elements, particularly flexible loops, are intimately linked with diverse aspects of enzyme catalysis. Engineering of these loop regions can alter protein stability, substrate binding and even dramatically impact enzyme function. When these flexible regions are unresolvable structurally, computational reconstruction in combination with large-scale molecular dynamics simulations can be used to guide the engineering strategy. Here we present a collaborative approach that consists of both experiment and computation and led to the discovery of a single mutation in the F/G loop of the nitrating cytochrome P450 TxtE that simultaneously controls loop dynamics and completely shifts the enzyme's regioselectivity from the C4 to the C5 position of L-tryptophan. Furthermore, we find that this loop mutation is naturally present in a subset of homologous nitrating P450s and confirm that these uncharacterized enzymes exclusively produce 5-nitro-L-tryptophan, a previously unknown biosynthetic intermediate.

  5. 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. PMID:26584064

  6. 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

  7. Microstructure Image Simulation of Minced Pork Based on Markov Random Field%基于Markov随机场的猪肉糜微结构图像模拟

    Institute of Scientific and Technical Information of China (English)

    李华北; 赵杰文

    2001-01-01

    A stochastic simulation model of minced pork microstructure image was derived with the help of Markov random field theory and Gibbs distribution. The minced pork images of various microstructure were simulated iteratively, and the obtained images were compared with their original ones. The analysis and simulation for the microstructure images of minced food material are key processes in quantitatively studying the influence of microstructure pattern on rheological behavior. By getting the geometry features of minced food material microstructure from the known rheological behavior, the dynamic mechanism and process of the microstructure can be investigated and studied further, therefore the relationship between the rheological behavior and the microstructure was founded. So the conditions quantitatively describing rheological behavior of the minced food material were provided.%利用Markov随机场和Gibbs分布理论,建立了猪肉糜微结构图像的随机场模型,然后通过迭代方法,对不同微结构的猪肉糜图像进行了随机模拟,同时对随机模拟图像和原始图像作了对比分析。 糜状食品物料微观结构图像的分析和模拟是定量研究其微结构模式形态对流变特性影响的关键问题。通过从已知流变特性反演糜状食品物料微结构的几何形态,可以更深入地探讨、研究微结构形成的动力学机制和过程,进而沟通流变特性和微结构形态之间的联系,从而为定量描述糜状食品物料的流变特性提供了条件。

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

    Directory of Open Access Journals (Sweden)

    R.J. Boys

    2002-01-01

    Full Text Available 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 other governing model parameters. These samples allow coherent inferences to be made straightforwardly in contrast to those which use information criteria. The methods are illustrated by their application to both simulated and real data sets.

  9. Efficient Blind System Identification of Non-Gaussian Auto-Regressive Models with HMM Modeling of the Excitation

    DEFF Research Database (Denmark)

    Li, Chunjian; Andersen, Søren Vang

    2007-01-01

    We propose two blind system identification methods that exploit the underlying dynamics of non-Gaussian signals. The two signal models to be identified are: an Auto-Regressive (AR) model driven by a discrete-state Hidden Markov process, and the same model whose output is perturbed by white Gaussian...... iterative schemes. The proposed methods also enjoy good data efficiency since only second order statistics is involved in the computation. When measurement noise is present, a novel Switching Kalman Smoother is incorporated into the EM algorithm, obtaining optimum nonlinear MMSE estimates of the system...

  10. Robust Burg estimation of stationary autoregressive mixtures covariance

    Science.gov (United States)

    Decurninge, Alexis; Barbaresco, Frédéric

    2015-01-01

    Burg estimators are classically used for the estimation of the autocovariance of a stationary autoregressive process. We propose to consider scale mixtures of stationary autoregressive processes, a non-Gaussian extension of the latter. The traces of such processes are Spherically Invariant Random Vectors (SIRV) with a constraint on the scatter matrix due to the autoregressive model. We propose adaptations of the Burg estimators to the considered models and their associated robust versions based on geometrical considerations.

  11. Multiple phase derivative estimation using autoregressive modeling in holographic interferometry

    International Nuclear Information System (INIS)

    A novel technique is proposed for the direct and simultaneous estimation of multiple phase derivatives from a deformation modulated carrier fringe pattern in a multi-wave holographic interferometry set-up. The fringe intensity is represented as a spatially-varying autoregressive (SVAR) model. The spatially-varying coefficients of the SVAR model are derived using a forward–backward approach of linear estimation of the fringe intensity. Using these coefficients, the poles of the SVAR model transfer function are computed and the angles of these poles provide the estimation of phase derivatives. The estimation of carrier frequency is performed by the proposed method using a reference interferogram. Simulation results are provided in the presence of noise and fringe amplitude modulation. (paper)

  12. Autoregressive model selection with simultaneous sparse coefficient estimation

    CERN Document Server

    Sang, Hailin

    2011-01-01

    In this paper we propose a sparse coefficient estimation procedure for autoregressive (AR) models based on penalized conditional maximum likelihood. The penalized conditional maximum likelihood estimator (PCMLE) thus developed has the advantage of performing simultaneous coefficient estimation and model selection. Mild conditions are given on the penalty function and the innovation process, under which the PCMLE satisfies a strong consistency, local $N^{-1/2}$ consistency, and oracle property, respectively, where N is sample size. Two penalty functions, least absolute shrinkage and selection operator (LASSO) and smoothly clipped average deviation (SCAD), are considered as examples, and SCAD is shown to have better performances than LASSO. A simulation study confirms our theoretical results. At the end, we provide an application of our method to a historical price data of the US Industrial Production Index for consumer goods, and the result is very promising.

  13. Modeling of non-stationary autoregressive alpha-stable processe

    Data.gov (United States)

    National Aeronautics and Space Administration — In the literature, impulsive signals are mostly modeled by symmetric alpha-stable processes. To represent their temporal dependencies, usually autoregressive models...

  14. Modeling Monetary Policy Transmission in Acceding Countries : Vector Autoregression Versus Structural Vector Autoregression

    NARCIS (Netherlands)

    Elbourne, Adam; de Haan, Jakob

    2009-01-01

    Using the vector autoregressive methodology, we present estimates of monetary transmission for five new EU member countries in Central and Eastern Europe with more or less flexible exchange rates. We select sample periods to estimate over the longest possible period that can be considered as a singl

  15. Phasic Triplet Markov Chains.

    Science.gov (United States)

    El Yazid Boudaren, Mohamed; Monfrini, Emmanuel; Pieczynski, Wojciech; Aïssani, Amar

    2014-11-01

    Hidden Markov chains have been shown to be inadequate for data modeling under some complex conditions. In this work, we address the problem of statistical modeling of phenomena involving two heterogeneous system states. Such phenomena may arise in biology or communications, among other fields. Namely, we consider that a sequence of meaningful words is to be searched within a whole observation that also contains arbitrary one-by-one symbols. Moreover, a word may be interrupted at some site to be carried on later. Applying plain hidden Markov chains to such data, while ignoring their specificity, yields unsatisfactory results. The Phasic triplet Markov chain, proposed in this paper, overcomes this difficulty by means of an auxiliary underlying process in accordance with the triplet Markov chains theory. Related Bayesian restoration techniques and parameters estimation procedures according to the new model are then described. Finally, to assess the performance of the proposed model against the conventional hidden Markov chain model, experiments are conducted on synthetic and real data. PMID:26353069

  16. Hidden hybrid Markov/semi-Markov chains.

    OpenAIRE

    GUÉDON, YANN

    2005-01-01

    http://www.sciencedirect.com/science?ₒb=IssueURL&_tockey=%23TOC%235880%232005%23999509996%23596026%23FLA%23&ₐuth=y&view=c&ₐcct=C000056834&_version=1&_urlVersion=0&_userid=2292769&md5=87e7f8be94f92a8574da566c600ce631 International audience Models that combine Markovian states with implicit geometric state occupancy distributions and semi-Markovian states with explicit state occupancy distributions, are investigated. This type of model retains the flexibility of hidden semi-Markov chains ...

  17. ENSO Prediction using Vector Autoregressive Models

    Science.gov (United States)

    Chapman, D. R.; Cane, M. A.; Henderson, N.; Lee, D.; Chen, C.

    2013-12-01

    A recent comparison (Barnston et al, 2012 BAMS) shows the ENSO forecasting skill of dynamical models now exceeds that of statistical models, but the best statistical models are comparable to all but the very best dynamical models. In this comparison the leading statistical model is the one based on the Empirical Model Reduction (EMR) method. Here we report on experiments with multilevel Vector Autoregressive models using only sea surface temperatures (SSTs) as predictors. VAR(L) models generalizes Linear Inverse Models (LIM), which are a VAR(1) method, as well as multilevel univariate autoregressive models. Optimal forecast skill is achieved using 12 to 14 months of prior state information (i.e 12-14 levels), which allows SSTs alone to capture the effects of other variables such as heat content as well as seasonality. The use of multiple levels allows the model advancing one month at a time to perform at least as well for a 6 month forecast as a model constructed to explicitly forecast 6 months ahead. We infer that the multilevel model has fully captured the linear dynamics (cf. Penland and Magorian, 1993 J. Climate). Finally, while VAR(L) is equivalent to L-level EMR, we show in a 150 year cross validated assessment that we can increase forecast skill by improving on the EMR initialization procedure. The greatest benefit of this change is in allowing the prediction to make effective use of information over many more months.

  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...

  19. 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...

  20. Sensitivity of hidden Markov models

    OpenAIRE

    Mitrophanov, Alexander Yu.; Lomsadze, Alexandre; Borodovsky, Mark

    2005-01-01

    We derive a tight perturbation bound for hidden Markov models. Using this bound, we show that, in many cases, the distribution of a hidden Markov model is considerably more sensitive to perturbations in the emission probabilities than to perturbations in the transition probability matrix and the initial distribution of the underlying Markov chain. Our approach can also be used to assess the sensitivity of other stochastic models, such as mixture processes and semi-Markov ...

  1. A new Markov Binomial distribution.

    OpenAIRE

    Omey, Edward; Minkova, Leda D.

    2011-01-01

    In this paper, we introduce a two state homogeneous Markov chain and define a geometric distribution related to this Markov chain. We define also the negative binomial distribution similar to the classical case and call it NB related to interrupted Markov chain. The new binomial distribution is related to the interrupted Markov chain. Some characterization properties of the Geometric distributions are given. Recursion formulas and probability mass functions for the NB distribution and the new...

  2. 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...... for I(d) vector autoregressive processes...

  3. Improving Forecasts of Generalized Autoregressive Conditional Heteroskedasticity with Wavelet Transform

    Directory of Open Access Journals (Sweden)

    Yu Zhao

    2013-01-01

    Full Text Available In the study, we discussed the generalized autoregressive conditional heteroskedasticity model and enhanced it with wavelet transform to evaluate the daily returns for 1/4/2002-30/12/2011 period in Brent oil market. We proposed discrete wavelet transform generalized autoregressive conditional heteroskedasticity model to increase the forecasting performance of the generalized autoregressive conditional heteroskedasticity model. Our new approach can overcome the defect of generalized autoregressive conditional heteroskedasticity family models which can’t describe the detail and partial features of times series and retain the advantages of them at the same time. Comparing with the generalized autoregressive conditional heteroskedasticity model, the new approach significantly improved forecast results and greatly reduces conditional variances.

  4. 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

  5. On Weak Markov's Principle

    DEFF Research Database (Denmark)

    Kohlenbach, Ulrich Wilhelm

    2002-01-01

    We show that the so-called weak Markov's principle (WMP) which states that every pseudo-positive real number is positive is underivable in E-HA + AC. Since allows one to formalize (atl eastl arge parts of) Bishop's constructive mathematics, this makes it unlikely that WMP can be proved within the...

  6. 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...

  7. 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

  8. 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...

  9. Autoregressive Time Series Forecasting of Computational Demand

    CERN Document Server

    Sandholm, Thomas

    2007-01-01

    We study the predictive power of autoregressive moving average models when forecasting demand in two shared computational networks, PlanetLab and Tycoon. Demand in these networks is very volatile, and predictive techniques to plan usage in advance can improve the performance obtained drastically. Our key finding is that a random walk predictor performs best for one-step-ahead forecasts, whereas ARIMA(1,1,0) and adaptive exponential smoothing models perform better for two and three-step-ahead forecasts. A Monte Carlo bootstrap test is proposed to evaluate the continuous prediction performance of different models with arbitrary confidence and statistical significance levels. Although the prediction results differ between the Tycoon and PlanetLab networks, we observe very similar overall statistical properties, such as volatility dynamics.

  10. Autoregression of Quasi-Stationary Time Series (Invited)

    Science.gov (United States)

    Meier, T. M.; Küperkoch, L.

    2009-12-01

    Autoregression is a model based tool for spectral analysis and prediction of time series. It has the potential to increase the resolution of spectral estimates. However, the validity of the assumed model has to be tested. Here we review shortly methods for the determination of the parameters of autoregression and summarize properties of autoregressive prediction and autoregressive spectral analysis. Time series with a limited number of dominant frequencies varying slowly in time (quasi-stationary time series) may well be described by a time-dependent autoregressive model of low order. An algorithm for the estimation of the autoregression parameters in a moving window is presented. Time-varying dominant frequencies are estimated. The comparison to results obtained by Fourier transform based methods and the visualization of the time dependent normalized prediction error are essential for quality assessment of the results. The algorithm is applied to synthetic examples as well as to mircoseism and tremor. The sensitivity of the results to the choice of model and filter parameters is discussed. Autoregressive forward prediction offers the opportunity to detect body wave phases in seismograms and to determine arrival times automatically. Examples are shown for P- and S-phases at local and regional distances. In order to determine S-wave arrival times the autoregressive model is extended to multi-component recordings. For the detection of significant temporal changes in waveforms, the choice of the model appears to be less crucial compared to spectral analysis. Temporal changes in frequency, amplitude, phase, and polarisation are detectable by autoregressive prediction. Quality estimates of automatically determined onset times may be obtained from the slope of the absolute prediction error as a function of time and the signal-to-noise ratio. Results are compared to manual readings.

  11. Variance bounding Markov chains

    OpenAIRE

    Roberts, Gareth O.; Jeffrey S. Rosenthal

    2008-01-01

    We introduce a new property of Markov chains, called variance bounding. We prove that, for reversible chains at least, variance bounding is weaker than, but closely related to, geometric ergodicity. Furthermore, variance bounding is equivalent to the existence of usual central limit theorems for all L2 functionals. Also, variance bounding (unlike geometric ergodicity) is preserved under the Peskun order. We close with some applications to Metropolis–Hastings algorithms.

  12. Stable continuous-time autoregressive process driven by stable subordinator

    Science.gov (United States)

    Wyłomańska, Agnieszka; Gajda, Janusz

    2016-02-01

    In this paper we examine the continuous-time autoregressive moving average process driven by α-stable Lévy motion delayed by inverse stable subordinator. This process can be applied to high-frequency data with visible jumps and so-called "trapping-events". Those properties are often visible in financial time series but also in amorphous semiconductors, technical data describing the rotational speed of a machine working under various load regimes or data related to indoor air quality. We concentrate on the main characteristics of the examined subordinated process expressed in the language of the measures of dependence which are main tools used in statistical investigation of real data. However, because the analyzed system is based on the α-stable distribution therefore we cannot consider here the correlation (or covariance) as a main measure which indicates at the dependence inside the process. In the paper we examine the codifference, the more general measure of dependence defined for wide class of processes. Moreover we present the simulation procedure of the considered system and indicate how to estimate its parameters. The theoretical results we illustrate by the simulated data analysis.

  13. Dealing with Multiple Solutions in Structural Vector Autoregressive Models.

    Science.gov (United States)

    Beltz, Adriene M; Molenaar, Peter C M

    2016-01-01

    Structural vector autoregressive models (VARs) hold great potential for psychological science, particularly for time series data analysis. They capture the magnitude, direction of influence, and temporal (lagged and contemporaneous) nature of relations among variables. Unified structural equation modeling (uSEM) is an optimal structural VAR instantiation, according to large-scale simulation studies, and it is implemented within an SEM framework. However, little is known about the uniqueness of uSEM results. Thus, the goal of this study was to investigate whether multiple solutions result from uSEM analysis and, if so, to demonstrate ways to select an optimal solution. This was accomplished with two simulated data sets, an empirical data set concerning children's dyadic play, and modifications to the group iterative multiple model estimation (GIMME) program, which implements uSEMs with group- and individual-level relations in a data-driven manner. Results revealed multiple solutions when there were large contemporaneous relations among variables. Results also verified several ways to select the correct solution when the complete solution set was generated, such as the use of cross-validation, maximum standardized residuals, and information criteria. This work has immediate and direct implications for the analysis of time series data and for the inferences drawn from those data concerning human behavior.

  14. Dealing with Multiple Solutions in Structural Vector Autoregressive Models.

    Science.gov (United States)

    Beltz, Adriene M; Molenaar, Peter C M

    2016-01-01

    Structural vector autoregressive models (VARs) hold great potential for psychological science, particularly for time series data analysis. They capture the magnitude, direction of influence, and temporal (lagged and contemporaneous) nature of relations among variables. Unified structural equation modeling (uSEM) is an optimal structural VAR instantiation, according to large-scale simulation studies, and it is implemented within an SEM framework. However, little is known about the uniqueness of uSEM results. Thus, the goal of this study was to investigate whether multiple solutions result from uSEM analysis and, if so, to demonstrate ways to select an optimal solution. This was accomplished with two simulated data sets, an empirical data set concerning children's dyadic play, and modifications to the group iterative multiple model estimation (GIMME) program, which implements uSEMs with group- and individual-level relations in a data-driven manner. Results revealed multiple solutions when there were large contemporaneous relations among variables. Results also verified several ways to select the correct solution when the complete solution set was generated, such as the use of cross-validation, maximum standardized residuals, and information criteria. This work has immediate and direct implications for the analysis of time series data and for the inferences drawn from those data concerning human behavior. PMID:27093380

  15. Predicting heartbeat arrival time for failure detection over internet using auto-regressive exogenous model

    Institute of Scientific and Technical Information of China (English)

    Zhao Haijun; Ma Yan; Huang Xiaohong; Su Yujie

    2008-01-01

    Predicting heartbeat message arrival time is crucial for the quality of failure detection service over internet. However, internet dynamic characteristics make it very difficult to understand message behavior and accurately predict heartbeat arrival time. To solve this problem, a novel black-box model is proposed to predict the next heartbeat arrival time. Heartbeat arrival time is modeled as auto-regressive process, heartbeat sending time is modeled as exogenous variable, the model's coefficients are estimated based on the sliding window of observations and this result is used to predict the next heartbeat arrival time. Simulation shows that this adaptive auto-regressive exogenous (ARX) model can accurately capture heartbeat arrival dynamics and minimize prediction error in different network environments.

  16. Calibration of environmental radionuclide transfer models using a Bayesian approach with Markov chain Monte Carlo simulations and model comparisons - Calibration of radionuclides transfer models in the environment using a Bayesian approach with Markov chain Monte Carlo simulation and comparison of models

    Energy Technology Data Exchange (ETDEWEB)

    Nicoulaud-Gouin, V.; Giacalone, M.; Gonze, M.A. [Institut de Radioprotection et de Surete Nucleaire-PRP-ENV/SERIS/LM2E (France); Martin-Garin, A.; Garcia-Sanchez, L. [IRSN-PRP-ENV/SERIS/L2BT (France)

    2014-07-01

    , distinguishes instantaneous (K{sub d}1) and first-order kinetics of sorption and desorption processes (λ{sub fix}, λ{sub rem}), each having potentially a limited sorption capacity. A Soil-Plant Deposition Model describing the weeds contamination in {sup 137}Cs, {sup 134}Cs and {sup 131}I, with in situ measures in the Fukushima prefecture (Gonze et al. submitted to this conference). This model considers two foliage pools and a root pool, and describes foliar biomass growth with a Verhulst model. One prerequisite for calibration is model identifiability. Here, we showed that there are not unique parameter values corresponding to a data set. However, sharp distributions were found when several data sets were involved. One numerical difficulty of Markov Chains is to check convergence. It was here examined with Raftery and Lewis diagnostic, Gelman and Rubin plots, and simulation trails. Failing to converge may indicate that the model is not adapted to the observations. The Bayes factor was used to decide between competing models, which applies even if they are not nested. For most data series, EK model was preferable to the nested K{sub d} approach. An Empirical Dynamical Model -consisting of two exponential functions- was compared to the Soil-Plant Deposition Model, by distinguishing site-specific parameters and invariant parameters between stations, in order to study the goodness-of-fit of the Soil-Plant Deposition Model. (authors)

  17. Simulation and Research on Frame Slotted ALOHA Anti-collision Algorithm Based on Markov Chain Model%基于马尔科夫链的帧时隙ALOHA防碰撞算法仿真与研究

    Institute of Scientific and Technical Information of China (English)

    马耀庭; 张新龙

    2014-01-01

    为了研究帧时隙 ALOHA防碰撞算法性能,应用马尔科夫链模型对该算法标签识别过程进行数学分析,得到成功识别出的标签数量的状态转移概率矩阵。用蒙特卡罗统计方法模拟这一过程,对马尔科夫链模型求解,得到了标签数量、时隙数和成功识别率之间的关系曲线。%In order to study the performance of the frame slotted ALOHA anti-collision algorithm,by use of the Markov Model,a mathematical analysis was done to the tag identification process of this algorithm and a state transition probability matrix is thus obtained for the successful identification of the number of tags.By using the Monte-Carlo method to simulate this process,the solution of the Markov Chain Model was worked out and the relationship curve between the number of tags, the number of slots and the rate of successful recognition was obtained.

  18. 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...

  19. 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...

  20. 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.

  1. Distribusi Markov-Binomial Negatif

    OpenAIRE

    Widyasari, Rina

    2015-01-01

    The way to find a new distribution of random variables is defining the distribution which associated with Markov chain. In this research, researcher defines all the random variables identically independent distributed negative binomial distribution and form a Markov chain. Suppose that Xn is a sequence of Bernoulli trials that if 1 occurs means ”success” and 0 occurs means ”failure”. Nb(s) defined as random variables sth success in n trials. Each trial form a Markov chain, in n...

  2. On the range of validity of the autoregressive sieve bootstrap

    OpenAIRE

    Kreiss, Jens-Peter; Paparoditis, Efstathios; Politis, Dimitris N.

    2012-01-01

    We explore the limits of the autoregressive (AR) sieve bootstrap, and show that its applicability extends well beyond the realm of linear time series as has been previously thought. In particular, for appropriate statistics, the AR-sieve bootstrap is valid for stationary processes possessing a general Wold-type autoregressive representation with respect to a white noise; in essence, this includes all stationary, purely nondeterministic processes, whose spectral density is everywhere positive....

  3. DOUBLE-MARKOV RISK MODEL

    Institute of Scientific and Technical Information of China (English)

    Xiaoyun MO; Jieming ZHOU; Hui OU; Xiangqun YANG

    2013-01-01

    Given a new Double-Markov risk model DM =(μ,Q,v,H; Y,Z) and Double-Markov risk process U ={U(t),t ≥ 0}.The ruin or survival problem is addressed.Equations which the survival probability satisfied and the formulas of calculating survival probability are obtained.Recursion formulas of calculating the survival probability and analytic expression of recursion items are obtained.The conclusions are expressed by Q matrix for a Markov chain and transition probabilities for another Markov Chain.

  4. Contribution to ECDIS Reliability using Markov Model

    OpenAIRE

    Sumić, Dean; Peraković, Dragan; Jurčević, Marinko

    2014-01-01

    An Integrated Bridge System (IBS) contains a fully duplicated Electronic Chart Display and Information System (ECDIS). Although duplication should increase system reliability, reliability and availability are not improved. Proper ECDIS maintenance includes updating both: the information system and the provided chart system. This procedure, in practice, tends to decrease reliability and availability. A Markov ECDIS simulation model is given. A new design concept is presented and proposed. The ...

  5. 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...

  6. The comparison study among several data transformations in autoregressive modeling

    Science.gov (United States)

    Setiyowati, Susi; Waluyo, Ramdhani Try

    2015-12-01

    In finance, the adjusted close of stocks are used to observe the performance of a company. The extreme prices, which may increase or decrease drastically, are often become particular concerned since it can impact to bankruptcy. As preventing action, the investors have to observe the future (forecasting) stock prices comprehensively. For that purpose, time series analysis could be one of statistical methods that can be implemented, for both stationary and non-stationary processes. Since the variability process of stocks prices tend to large and also most of time the extreme values are always exist, then it is necessary to do data transformation so that the time series models, i.e. autoregressive model, could be applied appropriately. One of popular data transformation in finance is return model, in addition to ratio of logarithm and some others Tukey ladder transformation. In this paper these transformations are applied to AR stationary models and non-stationary ARCH and GARCH models through some simulations with varying parameters. As results, this work present the suggestion table that shows transformations behavior for some condition of parameters and models. It is confirmed that the better transformation is obtained, depends on type of data distributions. In other hands, the parameter conditions term give significant influence either.

  7. 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.

  8. Clustering diagnosis of rolling element bearing fault based on integrated Autoregressive/Autoregressive Conditional Heteroscedasticity model

    Science.gov (United States)

    Wang, Guofeng; Liu, Chang; Cui, Yinhu

    2012-09-01

    Feature extraction plays an important role in the clustering analysis. In this paper an integrated Autoregressive (AR)/Autoregressive Conditional Heteroscedasticity (ARCH) model is proposed to characterize the vibration signal and the model coefficients are adopted as feature vectors to realize clustering diagnosis of rolling element bearings. The main characteristic is that the AR item and ARCH item are interrelated with each other so that it can depict the excess kurtosis and volatility clustering information in the vibration signal more accurately in comparison with two-stage AR/ARCH model. To testify the correctness, four kinds of bearing signals are adopted for parametric modeling by using the integrated and two-stage AR/ARCH model. The variance analysis of the model coefficients shows that the integrated AR/ARCH model can get more concentrated distribution. Taking these coefficients as feature vectors, K means based clustering is utilized to realize the automatic classification of bearing fault status. The results show that the proposed method can get more accurate results in comparison with two-stage model and discrete wavelet decomposition.

  9. Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

    Science.gov (United States)

    Lopes, Sílvia R. C.; Prass, Taiane S.

    2014-05-01

    Here we present a theoretical study on the main properties of Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedastic (FIEGARCH) processes. We analyze the conditions for the existence, the invertibility, the stationarity and the ergodicity of these processes. We prove that, if { is a FIEGARCH(p,d,q) process then, under mild conditions, { is an ARFIMA(q,d,0) with correlated innovations, that is, an autoregressive fractionally integrated moving average process. The convergence order for the polynomial coefficients that describes the volatility is presented and results related to the spectral representation and to the covariance structure of both processes { and { are discussed. Expressions for the kurtosis and the asymmetry measures for any stationary FIEGARCH(p,d,q) process are also derived. The h-step ahead forecast for the processes {, { and { are given with their respective mean square error of forecast. The work also presents a Monte Carlo simulation study showing how to generate, estimate and forecast based on six different FIEGARCH models. The forecasting performance of six models belonging to the class of autoregressive conditional heteroskedastic models (namely, ARCH-type models) and radial basis models is compared through an empirical application to Brazilian stock market exchange index.

  10. 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...

  11. Auto-Regressive Models of Non-Stationary Time Series with Finite Length

    Institute of Scientific and Technical Information of China (English)

    FEI Wanchun; BAI Lun

    2005-01-01

    To analyze and simulate non-stationary time series with finite length, the statistical characteristics and auto-regressive (AR) models of non-stationary time series with finite length are discussed and studied. A new AR model called the time varying parameter AR model is proposed for solution of non-stationary time series with finite length. The auto-covariances of time series simulated by means of several AR models are analyzed. The result shows that the new AR model can be used to simulate and generate a new time series with the auto-covariance same as the original time series. The size curves of cocoon filaments regarded as non-stationary time series with finite length are experimentally simulated. The simulation results are significantly better than those obtained so far, and illustrate the availability of the time varying parameter AR model. The results are useful for analyzing and simulating non-stationary time series with finite length.

  12. Mixture latent autoregressive models for longitudinal data

    CERN Document Server

    Bartolucci, Francesco; Pennoni, Fulvia

    2011-01-01

    Many relevant statistical and econometric models for the analysis of longitudinal data include a latent process to account for the unobserved heterogeneity between subjects in a dynamic fashion. Such a process may be continuous (typically an AR(1)) or discrete (typically a Markov chain). In this paper, we propose a model for longitudinal data which is based on a mixture of AR(1) processes with different means and correlation coefficients, but with equal variances. This model belongs to the class of models based on a continuous latent process, and then it has a natural interpretation in many contexts of application, but it is more flexible than other models in this class, reaching a goodness-of-fit similar to that of a discrete latent process model, with a reduced number of parameters. We show how to perform maximum likelihood estimation of the proposed model by the joint use of an Expectation-Maximisation algorithm and a Newton-Raphson algorithm, implemented by means of recursions developed in the hidden Mark...

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

    OpenAIRE

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

    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...

  14. 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.

  15. 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

  16. Recursive Least Squares Estimator with Multiple Exponential Windows in Vector Autoregression

    Institute of Scientific and Technical Information of China (English)

    Hong-zhi An; Zhi-guo Li

    2002-01-01

    In the parameter tracking of time-varying systems, the ordinary method is weighted least squares with the rectangular window or the exponential window. In this paper we propose a new kind of sliding window called the multiple exponential window, and then use it to fit time-varying Gaussian vector autoregressive models. The asymptotic bias and covariance of the estimator of the parameter for time-invariant models are also derived. Simulation results show that the multiple exponential windows have better parameter tracking effect than rectangular windows and exponential ones.

  17. A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory

    DEFF Research Database (Denmark)

    Nonejad, Nima

    We propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. Our model is an extension of the heterogeneous autoregressive model. Structural breaks occur through mixture distributions in state innovations of linear Gaussian state space models. Monte...... Carlo simulations evaluate the properties of the estimation procedures. Results show that the proposed model is viable and flexible for purposes of forecasting volatility. Model uncertainty is accounted for by employing Bayesian model averaging. Bayesian model averaging provides very competitive...... forecasts compared to any single model specification. It provides further improvements when we average over nonlinear specifications....

  18. A Score Type Test for General Autoregressive Models in Time Series

    Institute of Scientific and Technical Information of China (English)

    Jian-hong Wu; Li-xing Zhu

    2007-01-01

    This paper is devoted to the goodness-of-fit test for the general autoregressive models in time series. By averaging for the weighted residuals, we construct a score type test which is asymptotically standard chi-squared under the null and has some desirable power properties under the alternatives. Specifically, the test is sensitive to alternatives and can detect the alternatives approaching, along a direction, the null at a rate that is arbitrarily close to n-1/2. Furthermore, when the alternatives are not directional, we construct asymptotically distribution-free maximin tests for a large class of alternatives. The performance of the tests is evaluated through simulation studies.

  19. Simulation of M/M/m Queuing Model Based on Markov State Transition Process%基于马尔科夫状态转移过程的M/M/m排队模型仿真

    Institute of Scientific and Technical Information of China (English)

    曹永荣; 韩瑞霞; 胡伟

    2012-01-01

    马尔科夫链是研究排队系统的主要方法,本文在现有M/M/m排队理论和排队系统仿真理论基础上,利用Matlab建立基于马尔科夫状态转移过程的M/M/m排队模型仿真程序.仿真程序在产生初始化参数设定后,利用时钟推进法来模拟空闲服务台和繁忙服务台情况下的服务流程,最后通过M/M/m模型特征描述的仿真计算,获得平均等待时间(E[W])、平均停机时间(E[ DT])、平均排队队长E[ Q]、系统中的平均客户数(E[L])和可能延迟的概率((Ⅱ))5项重要的特征描述.模拟次数设定为20 000次,模拟客户服务率和客户到达率相同,服务台在3~6个的排队系统,并将仿真结果与理论值以及Queue2.0的模拟结果相比较.最终结果显示E[W]、[DT]和H3项最重要指标的仿真结果和理论值都极为相近,误差范围小,本研究将为优先权排队系统的仿真研究提供理论依据.%Markov chain is the main method for the study of queuing systems. This paper integrates the existing theories of M/M/m queuing system and theories of queuing system simulation, and builds simulation program of M/M/m Queuing Model according to the Markov state transition process using Matlab. The simulation process is as follows. First of all, simulation program initializes the parameter settings, such as service time, the interval of customer arrival, the number of server etc. Secondly, promotes the program used time clock which is based on the arrival time of customers and the end time of service. Thirdly, simulates the free servers and busy servers process when a customer arrived, and recodes the corresponding data. Finally, calculate the M/M/m model's characterized descriptions , included in the average down time (E[ DT] ) , the average waiting time (E[ W]), the average number of queuing customer (E[(Q])> the average number of customers in the queuing system( E[ L]) and delay probability (Ⅱ) , based on the simulation formula. Sets the

  20. Semi-Markov Graph Dynamics

    CERN Document Server

    Raberto, Marco; Scalas, Enrico

    2011-01-01

    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.

  1. Model Markov untuk Pengambilan Keputusan Medis

    OpenAIRE

    Zada, T. Muhammad Shah

    2016-01-01

    Markov model method is a method that has been widely known in stochastic models. In this research, one of Markov models, which is Markov chain, is used for medical decision making, especially hypertension in Indonesian people. Data in this research are total population, hypertension patients, and death rate of Indonesian people. Markov chain analysis is used to inform the probability of hypertension. The result of Markov chain analysis shows that: probability of healthy people who stay health...

  2. Asymptotic behavior of CLS estimator of autoregressive parameter for nonprimitive unstable INAR(2) models

    CERN Document Server

    Barczy, Matyas; Pap, Gyula

    2010-01-01

    In this paper the asymptotic behavior of conditional least squares estimators of the autoregressive parameter for nonprimitive unstable integer-valued autoregressive models of order 2 (INAR(2)) is described.

  3. New GPS-aided SINU System Modeling using an Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Chot Hun Lim

    2015-09-01

    Full Text Available Stochastic error in the Micro-Electro-Mechanical-System (MEMS Strapdown Inertial Navigation Unit (SINU is the primary issue causing sensors to be unable to operate as a standalone device. Conventional implementation of MEMS SINU fuses measurement with a global positioning system (GPS through a Kalman filter in order to achieve long-term accuracy. Such integration is known as a GPS-aided SINU system, and its estimation accuracy relies on how precise the stochastic error prediction is in Kalman filtering operation. In this paper, a comprehensive study on stochastic error modeling and analysis through a Gauss- Markov (GM model and autoregressive (AR model are presented. A wavelet denoising technique is introduced prior to error modeling to remove the MEMS SINU's high frequency noise. Without a wavelet denoising technique, neither the GM model nor AR model can be utilized to represent the stochastic error of SINU. Next, details of the Kalman filter implementation to accommodate the AR model are presented. The modeling outcomes are implemented on an unmanned aerial vehicle (UAV for on-board motion sensing. The experimental results show that AR model implementation, compared to a conventional GM model, significantly reduced the estimated errors while preserving the position, velocity and orientation measurements.

  4. 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...

  5. Temporal aggregation in first order cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    La Cour, Lisbeth Funding; Milhøj, Anders

    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...

  6. Unit Root Vector Autoregression with volatility Induced Stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    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...

  7. Unit root vector autoregression with volatility induced stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    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...

  8. Temporal aggregation in first order cointegrated vector autoregressive

    DEFF Research Database (Denmark)

    La Cour, Lisbeth Funding; Milhøj, Anders

    2006-01-01

    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....

  9. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X(t) to be fractional of order d and cofractional of order d-b; that is, there exist vectors ß for which ß...

  10. Temporal aggregation in a periodically integrated autoregressive process

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); H.P. Boswijk (Peter)

    1996-01-01

    textabstractA periodically integrated autoregressive process for a time series which is observed S times per year assumes the presence of S - 1 cointegration relations between the annual series containing the seasonal observations, with the additional feature that these relations are different acros

  11. 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...

  12. Limit theorems for bifurcating integer-valued autoregressive processes

    CERN Document Server

    Blandin, Vassili

    2012-01-01

    We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under suitable assumptions on the immigration, we establish the almost sure convergence of our estimators, together with the quadratic strong law and central limit theorems. All our investigation relies on asymptotic results for vector-valued martingales.

  13. Automating Vector Autoregression on Electronic Patient Diary Data

    NARCIS (Netherlands)

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

    2016-01-01

    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 requir

  14. 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...

  15. Likelihood inference for a fractionally cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X_{t} to be fractional of order d and cofractional of order d-b; that is, there exist vectors β for which β...

  16. Least squares estimation in a simple random coefficient autoregressive model

    DEFF Research Database (Denmark)

    Johansen, S; Lange, T

    2013-01-01

    The question we discuss is whether a simple random coefficient autoregressive model with infinite variance can create the long swings, or persistence, which are observed in many macroeconomic variables. The model is defined by yt=stρyt−1+εt,t=1,…,n, where st is an i.i.d. binary variable with p...

  17. Some Identification Problems in the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren

    2010-01-01

    The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of a and ß is derived when they are identified by linear restrictions...

  18. Likelihood inference for a nonstationary fractional autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d-b; where d ≥ b > 1/2 are parameters to be estimated. We model the data X1,...,XT given the initial...

  19. Nonlinear autoregressive models with heavy-tailed innovation

    Institute of Scientific and Technical Information of China (English)

    JIN; Yang; AN; Hongzhi

    2005-01-01

    In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlJnear autoregressive models. We show that under certain conditions that ensure the stationarity and ergodicity, one dimension stationary marginal distribution has the heavy-tailed probability property with the same index as that of the innovation's tail probability.

  20. Likelihood Inference for a Nonstationary Fractional Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d - b; where d = b > 1/2 are parameters to be estimated. We model the data X¿, ..., X¿ given the initial...

  1. 基于 CA-Markov 模型的贵州山区2022年土地利用格局模拟%Simulation of Landscape Pattern in Guizhou Mountainous Region Based on CA-Markov Model for 2022

    Institute of Scientific and Technical Information of China (English)

    郜红娟; 许丽君

    2015-01-01

    【目的】为探讨快速发展的山区未来土地利用变化规律。【方法】利用 CA-Markov 模型,以贵州省麻江县为例,利用1992年、2002年和2012年三期土地利用数据,模拟了2022年土地利用格局,并分析了土地利用格局演变特点。【结果】结果表明:到2022年研究区耕地、未利用地、草地不断下降,而林地、建设用地和水域将持续增加。耕地、林地、草地和未利用地破碎化下降,建设用地破碎度增加,水域破碎度变化不大;耕地、林地、草地、建设用地的景观形状趋于规则化,而未利用地景观形状复杂化增强,水域景观形状复杂性变化不大;除未利用地聚合度下降外,其他地类聚合度都呈增加趋势。研究区景观破碎度降低;景观形状复杂性下降,各景观类型面积比重不断趋于均衡化,聚集度增强。【结论】该模型对山区土地利用模拟具有较高精度,研究结果可为土地优化研究奠定基础。%Objective]In order to discuss the change of the future land-use in the mountainous re-gion of rapid development.[Method]Taking Majiang County of Guizhou province as the study area,in this paper we simulated the land use pattern in 2022 based on the land use data in 1992, 2002 and 2012,and then analyzed the evolution characteristics of the land use pattern using the CA-Markov model.[Results]The results show that:cultivated land,unused land,grassland of the study area in 2022 will decline,while woodland,construction land and water body will in-crease.Concerning the landscape fragmentation,cultivated land,woodland,grassland and unused land will decrease,while construction land will increase,but the water body has a little change. LSI of cultivated land,woodland,grassland,construction land tend to be in regularization,while LSI of unused land will become more complex,but LSI of water body has a little change.AI of all the land use types will increase

  2. Simulation and forecast of land cover pattern in Qinhuai River Basin based on the CA-Markov model%基于CA-Markov模型的秦淮河流域土地覆盖格局模拟预测

    Institute of Scientific and Technical Information of China (English)

    陈爱玲; 都金康

    2014-01-01

    以秦淮河流域为研究区,以2006和2009年ETM+图像土地覆盖分类结果为输入数据,采用CA-Markov模型,模拟预测研究区未来的土地覆盖格局。在模型建立过程中,通过Markov模型求出转移概率矩阵和转移面积矩阵,确定CA模型转换规则,限制CA模型迭代次数。利用CA-Markov模型模拟预测研究区2012和2018年土地覆盖格局,并采用2012年实际土地覆盖分类结果验证预测精度,得到2012年各土地覆盖类型栅格数预测误差均小于等于6.5%,空间位置预测精度达到76.5%。预测结果表明,2018年研究区水田比例将降为33.3%,不透水面比例将达31.1%,其中多数水田转变成为不透水面,南京城区、禄口镇、句容市、溧水县等城镇地区的不透水面明显扩张。该方法可以对秦淮河流域的土地覆盖动态监测以及可持续发展提供依据。%Based on the classified result of Landsat ETM+ remote sensing images of 2006 and 2009 , the paper simulated and forecasted land cover types of Qinhuai River Basin in the future by using the CA-Markov model. In the model-building process, the transition probability matrix and the transition area matrix were obtained through the Markov model, which determined the conversion rules and iterative times of the CA model. The land cover pattern of the study area in 2012 and 2018 was simulated and forecasted with the CA-Markov model. Then the forecast result was compared with the actual classified data of 2012 to verify the forecast accuracy. The raster number forecast error of each land cover type is not higher than 6. 5%, and the spatial location accuracy is 76. 5%. The forecast results show that the paddy field decreased to 33 . 3 % and the impervious surface reached 31 . 1 % of Qinhuai River Basin in 2018. Most of the paddy field converted into impervious surface. The impervious surface of urban areas expands obviously in such urban areas as Nanjing, Lukou, Jurong and Lishui. The methods can

  3. Gaussian Markov random fields theory and applications

    CERN Document Server

    Rue, Havard

    2005-01-01

    Gaussian Markov Random Field (GMRF) models are most widely used in spatial statistics - a very active area of research in which few up-to-date reference works are available. This is the first book on the subject that provides a unified framework of GMRFs with particular emphasis on the computational aspects. This book includes extensive case-studies and, online, a c-library for fast and exact simulation. With chapters contributed by leading researchers in the field, this volume is essential reading for statisticians working in spatial theory and its applications, as well as quantitative researchers in a wide range of science fields where spatial data analysis is important.

  4. Integrating simulation of architectural development and source-sink behaviour of peach trees by incorporating Markov chains and physiological organ function submodels into L-PEACH

    OpenAIRE

    Lopez, Gerardo; Favreau, Romeo; Smith, Colin; Costes, Evelyne; Prusinkiewicz, Premyslaw; DeJong, Theodore M.

    2008-01-01

    International audience L-PEACH is an L-system-based functional-structural model for simulating architectural growth and carbohydrate partitioning among individual organs in peach ( Prunus persica (L.) Batsch) trees. The original model provided a prototype for how tree architecture and carbon economy could be integrated but did not simulate peach tree architecture realistically. Moreover, evaluation of the functional characteristics of the individual organs and the whole-tree remained a lar...

  5. Identifying damage locations under ambient vibrations utilizing vector autoregressive models and Mahalanobis distances

    Science.gov (United States)

    Mosavi, A. A.; Dickey, D.; Seracino, R.; Rizkalla, S.

    2012-01-01

    This paper presents a study for identifying damage locations in an idealized steel bridge girder using the ambient vibration measurements. A sensitive damage feature is proposed in the context of statistical pattern recognition to address the damage detection problem. The study utilizes an experimental program that consists of a two-span continuous steel beam subjected to ambient vibrations. The vibration responses of the beam are measured along its length under simulated ambient vibrations and different healthy/damage conditions of the beam. The ambient vibration is simulated using a hydraulic actuator, and damages are induced by cutting portions of the flange at two locations. Multivariate vector autoregressive models were fitted to the vibration response time histories measured at the multiple sensor locations. A sensitive damage feature is proposed for identifying the damage location by applying Mahalanobis distances to the coefficients of the vector autoregressive models. A linear discriminant criterion was used to evaluate the amount of variations in the damage features obtained for different sensor locations with respect to the healthy condition of the beam. The analyses indicate that the highest variations in the damage features were coincident with the sensors closely located to the damages. The presented method showed a promising sensitivity to identify the damage location even when the induced damage was very small.

  6. Analysis of Technical Innovation Diffusion Theory and Its Simulation Based on Markov Chain%基于Markov的技术创新扩散理论及仿真分析研究

    Institute of Scientific and Technical Information of China (English)

    马蕾; 罗建强; 黄克己; 叶瑞

    2012-01-01

    According to the leap characteristics of technical innovation diffusion,the influence of random factors is researched,and the technical diffusion model of technical innovation diffusion process is constructed based on the Markov chain.The simulation result of the diffusion model indicates that the expectation m(t) will be less,finally tend to zero,which along with the diffusion rate and the increase of number of within the industry enterprises,the magnitude of m(t) drop curve is bigger.Finally the technical innovation diffusion is prospected.%针对技术创新扩散呈现出来的跳跃性特点,研究了随机因素对技术创新扩散活动的影响,构建了基于Markov链的技术创新扩散模型,并对这一扩散模型进行仿真分析,结果发现,随着时间的推移,未采纳新技术的企业的期望值m(t)会越少,最后趋向于零,其中随着扩散率和行业内企业数目的增加,m(t)曲线下降的幅度越大。最后对技术创新扩散可拓展的研究方向进行了展望。

  7. Application of Bayesian population physiologically based pharmacokinetic (PBPK) modeling and Markov chain Monte Carlo simulations to pesticide kinetics studies in protected marine mammals: DDT, DDE, and DDD in harbor porpoises.

    Science.gov (United States)

    Weijs, Liesbeth; Yang, Raymond S H; Das, Krishna; Covaci, Adrian; Blust, Ronny

    2013-05-01

    Physiologically based pharmacokinetic (PBPK) modeling in marine mammals is a challenge because of the lack of parameter information and the ban on exposure experiments. To minimize uncertainty and variability, parameter estimation methods are required for the development of reliable PBPK models. The present study is the first to develop PBPK models for the lifetime bioaccumulation of p,p'-DDT, p,p'-DDE, and p,p'-DDD in harbor porpoises. In addition, this study is also the first to apply the Bayesian approach executed with Markov chain Monte Carlo simulations using two data sets of harbor porpoises from the Black and North Seas. Parameters from the literature were used as priors for the first "model update" using the Black Sea data set, the resulting posterior parameters were then used as priors for the second "model update" using the North Sea data set. As such, PBPK models with parameters specific for harbor porpoises could be strengthened with more robust probability distributions. As the science and biomonitoring effort progress in this area, more data sets will become available to further strengthen and update the parameters in the PBPK models for harbor porpoises as a species anywhere in the world. Further, such an approach could very well be extended to other protected marine mammals.

  8. Markov-switching model for nonstationary runoff conditioned on El Niño information

    Science.gov (United States)

    Gelati, E.; Madsen, H.; Rosbjerg, D.

    2010-02-01

    We define a Markov-modulated autoregressive model with exogenous input (MARX) to generate runoff scenarios using climatic information. Runoff parameterization is assumed to be conditioned on a hidden climate state following a Markov chain, where state transition probabilities are functions of the climatic input. MARX allows stochastic modeling of nonstationary runoff, as runoff anomalies are described by a mixture of autoregressive models with exogenous input, each one corresponding to a climate state. We apply MARX to inflow time series of the Daule Peripa reservoir (Ecuador). El Niño-Southern Oscillation (ENSO) information is used to condition runoff parameterization. Among the investigated ENSO indexes, the NINO 1+2 sea surface temperature anomalies and the trans-Niño index perform best as predictors. In the perspective of reservoir optimization at various time scales, MARX produces realistic long-term scenarios and short-term forecasts, especially when intense El Niño events occur. Low predictive ability is found for negative runoff anomalies, as no climatic index correlating properly with negative inflow anomalies has yet been identified.

  9. 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 ...

  10. EEG Sequence Imaging: A Markov Prior for the Variational Garrote

    DEFF Research Database (Denmark)

    Hansen, Sofie Therese; Hansen, Lars Kai

    2013-01-01

    We propose the following generalization of the Variational Garrote for sequential EEG imaging: A Markov prior to promote sparse, but temporally smooth source dynamics. We derive a set of modied Variational Garrote updates and analyze the role of the prior's hyperparameters. An experimental...... evaluation is given in simulated data and in a benchmark EEG data set....

  11. Efficient maximum likelihood parameterization of continuous-time Markov processes

    CERN Document Server

    McGibbon, Robert T

    2015-01-01

    Continuous-time Markov processes over finite state-spaces are widely used to model dynamical processes in many fields of natural and social science. Here, we introduce an maximum likelihood estimator for constructing such models from data observed at a finite time interval. This estimator is drastically more efficient than prior approaches, enables the calculation of deterministic confidence intervals in all model parameters, and can easily enforce important physical constraints on the models such as detailed balance. We demonstrate and discuss the advantages of these models over existing discrete-time Markov models for the analysis of molecular dynamics simulations.

  12. 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...

  13. 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

  14. 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

  15. A Markov-binomial distribution

    OpenAIRE

    Santos, J.; S. Van Gulck; OMEY, E.

    2007-01-01

    Let ${X_{i},igeq 1}$ denote a sequence of $left{ 0,1 ight} $%-variables and suppose that the sequence forms a {sc Markov} Chain. In the paperwe study the number of successes $S_{n}=X_{1}+X_{2}+cdots+X_{n}$ and we studythe number of experiments $Y(r)$ up to the $r$-$th$ success. In the i.i.d.case $S_{n}$ has a binomial distribution and $Y(r)$ has a negative binomialdistribution and the asymptotic behaviour is well known. In the more general{sc Markov} chain case, we prove a central limit theor...

  16. 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.......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....

  17. Parameter Estimation for Generalized Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper develops methods for estimating parameters for a generalization of Brownian motion with autoregressive increments called a Brownian ray with drift. We show that a superposition of Brownian rays with drift depends on three types of parameters - a drift coefficient, autoregressive coefficients, and volatility matrix elements, and we introduce methods for estimating each of these types of parameters using multidimensional times series data. We also cover parameter estimation in the contexts of two applications of Brownian rays in the financial sphere: queuing analysis and option valuation. For queuing analysis, we show how samples of queue lengths can be used to estimate the conditional expectation functions for the length of the queue and for increments in its net input and lost potential output. For option valuation, we show how the Black-Scholes-Merton formula depends on the price of the security on which the option is written through estimates not only of its volatility, but also of a coefficient ...

  18. On the range of validity of the autoregressive sieve bootstrap

    CERN Document Server

    Kreiss, Jens-Peter; Politis, Dimitris N; 10.1214/11-AOS900

    2012-01-01

    We explore the limits of the autoregressive (AR) sieve bootstrap, and show that its applicability extends well beyond the realm of linear time series as has been previously thought. In particular, for appropriate statistics, the AR-sieve bootstrap is valid for stationary processes possessing a general Wold-type autoregressive representation with respect to a white noise; in essence, this includes all stationary, purely nondeterministic processes, whose spectral density is everywhere positive. Our main theorem provides a simple and effective tool in assessing whether the AR-sieve bootstrap is asymptotically valid in any given situation. In effect, the large-sample distribution of the statistic in question must only depend on the first and second order moments of the process; prominent examples include the sample mean and the spectral density. As a counterexample, we show how the AR-sieve bootstrap is not always valid for the sample autocovariance even when the underlying process is linear.

  19. 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...

  20. Stock price forecasting: autoregressive modelling and fuzzy neural network

    OpenAIRE

    Marcek, Dusan

    2000-01-01

    Most models for the time series of stock prices have centered on autoregressive (AR) processes. Traditionaly, fundamantal Box-Jenkins analysis [3] have been the mainstream methodology used to develop time series models. Next, we briefly describe the develop a classical AR model for stock price forecasting. Then a fuzzy regression model is then introduced Following this description, an artificial fuzzy neural network based on B-spline member ship function is presented as an alternative to ...

  1. 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 square...... estimation. We demonstrate the method on synthetic data and finally separate speech and music in a real room recording....

  2. Asymptotic results for bifurcating random coefficient autoregressive processes

    CERN Document Server

    Blandin, Vassili

    2012-01-01

    The purpose of this paper is to study the asymptotic behavior of the weighted least square estimators of the unknown parameters of random coefficient bifurcating autoregressive processes. Under suitable assumptions on the immigration and the inheritance, we establish the almost sure convergence of our estimators, as well as a quadratic strong law and central limit theorems. Our study mostly relies on limit theorems for vector-valued martingales.

  3. Beef Supply Response Under Uncertainty: An Autoregressive Distributed Lag Model

    OpenAIRE

    Mbaga, Msafiri Daudi; Coyle, Barry T.

    2003-01-01

    This is the first econometric study of dynamic beef supply response to incorporate risk aversion or, more specifically, price variance. Autoregressive distributed lag (ADL) models are estimated for cow-calf and feedlot operations using aggregate data for Alberta. In all cases, output price variance has a negative impact on output supply and investment. Moreover, the impacts of expected price on supply response are greater in magnitude and significance than in risk-neutral models.

  4. Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

    OpenAIRE

    Mark J. Jensen

    2015-01-01

    Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly persistent, infinite variance - but still mean reverting - behavior is commonly found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a fully parametric Bayesian estimator, robust to nonstationarity, is designed for the fractionally integrated, autoregressive, stochastic ...

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

    OpenAIRE

    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 estimation. We demonstrate the method on synthetic data and finally separate speech and music in a real room recording.

  6. A NEW TEST FOR NORMALITY IN LINEAR AUTOREGRESSIVE MODELS

    Institute of Scientific and Technical Information of China (English)

    CHEN Min; WU Guofu; Gemai Chen

    2002-01-01

    A nonparametric test for normality of linear autoregressive time series isproposed in this paper. The test is based on the best one-step forecast in mean squarewith time reverse. Some asymptotic theory is developed for the test, and it is shown thatthe test is easy to use and has good powers. The empirical percentage points to conductthe test in practice are provided and three examples using real data are included.

  7. Automating Vector Autoregression on Electronic Patient Diary Data.

    Science.gov (United States)

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

    2016-03-01

    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 require statistical expertize to operate. We propose a new application called Autovar, for the automation of finding vector autoregression models for time series data. The approach closely resembles the way in which experts work manually. Our proposal offers improvements over the manual approach by leveraging computing power, e.g., by considering multiple alternatives instead of choosing just one. In this paper, we describe the design and implementation of Autovar, we compare its performance against experts working manually, and we compare its features to those of the most used commercial solution available today. The main contribution of Autovar is to show that vector autoregression on a large scale is feasible. We show that an exhaustive approach for model selection can be relatively safe to use. This study forms an important step toward making adaptive, personalized treatment available and affordable for all branches of healthcare.

  8. Automating Vector Autoregression on Electronic Patient Diary Data.

    Science.gov (United States)

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

    2016-03-01

    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 require statistical expertize to operate. We propose a new application called Autovar, for the automation of finding vector autoregression models for time series data. The approach closely resembles the way in which experts work manually. Our proposal offers improvements over the manual approach by leveraging computing power, e.g., by considering multiple alternatives instead of choosing just one. In this paper, we describe the design and implementation of Autovar, we compare its performance against experts working manually, and we compare its features to those of the most used commercial solution available today. The main contribution of Autovar is to show that vector autoregression on a large scale is feasible. We show that an exhaustive approach for model selection can be relatively safe to use. This study forms an important step toward making adaptive, personalized treatment available and affordable for all branches of healthcare. PMID:25680221

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

    Energy Technology Data Exchange (ETDEWEB)

    Gorshenin, Andrey K. [Institute of Informatics Problems, Russian Academy of Sciences, Vavilova str., 44/2, Moscow, Russia MIREA, Faculty of Information Technology (Russian Federation); Belousov, Vasily V. [Institute of Informatics Problems, Russian Academy of Sciences, Vavilova str., 44/2, Moscow (Russian Federation); Shnourkoff, Peter V.; Ivanov, Alexey V. [National research university Higher school of economics, Moscow (Russian Federation)

    2015-03-10

    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.

  10. Annotations of two examples about Markov process

    OpenAIRE

    TANG, RONG

    2013-01-01

    In this paper, we discuss an incorrect example that a Markov process does not satisfy strong Markov property, and analyzes the reason of mistake. In the end, we point out it is not reasonable to define strong Markov property by using transition probability functions since transition probability functions might not be one and only.

  11. 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 const...

  12. Markov state models of protein misfolding

    Science.gov (United States)

    Sirur, Anshul; De Sancho, David; Best, Robert B.

    2016-02-01

    Markov state models (MSMs) are an extremely useful tool for understanding the conformational dynamics of macromolecules and for analyzing MD simulations in a quantitative fashion. They have been extensively used for peptide and protein folding, for small molecule binding, and for the study of native ensemble dynamics. Here, we adapt the MSM methodology to gain insight into the dynamics of misfolded states. To overcome possible flaws in root-mean-square deviation (RMSD)-based metrics, we introduce a novel discretization approach, based on coarse-grained contact maps. In addition, we extend the MSM methodology to include "sink" states in order to account for the irreversibility (on simulation time scales) of processes like protein misfolding. We apply this method to analyze the mechanism of misfolding of tandem repeats of titin domains, and how it is influenced by confinement in a chaperonin-like cavity.

  13. Estimation and uncertainty of reversible Markov models

    CERN Document Server

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

    2015-01-01

    Reversibility is a key concept in the theory of Markov models, simplified kinetic models for the conforma- tion dynamics of molecules. The analysis and interpretation of the transition matrix encoding the kinetic properties of the model relies 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.

  14. Maximizing entropy over Markov processes

    DEFF Research Database (Denmark)

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

    2014-01-01

    The channel capacity of a deterministic system with confidential data is an upper bound on the amount of bits of data an attacker can learn from the system. We encode all possible attacks to a system using a probabilistic specification, an Interval Markov Chain. Then the channel capacity computat...

  15. Stochastic seismic tomography by interacting Markov chains

    Science.gov (United States)

    Bottero, Alexis; Gesret, Alexandrine; Romary, Thomas; Noble, Mark; Maisons, Christophe

    2016-07-01

    Markov chain Monte Carlo sampling methods are widely used for non-linear Bayesian inversion where no analytical expression for the forward relation between data and model parameters is available. Contrary to the linear(ized) approaches they naturally allow to evaluate the uncertainties on the model found. Nevertheless their use is problematic in high dimensional model spaces especially when the computational cost of the forward problem is significant and/or the a posteriori distribution is multimodal. In this case the chain can stay stuck in one of the modes and hence not provide an exhaustive sampling of the distribution of interest. We present here a still relatively unknown algorithm that allows interaction between several Markov chains at different temperatures. These interactions (based on Importance Resampling) ensure a robust sampling of any posterior distribution and thus provide a way to efficiently tackle complex fully non linear inverse problems. The algorithm is easy to implement and is well adapted to run on parallel supercomputers. In this paper the algorithm is first introduced and applied to a synthetic multimodal distribution in order to demonstrate its robustness and efficiency compared to a Simulated Annealing method. It is then applied in the framework of first arrival traveltime seismic tomography on real data recorded in the context of hydraulic fracturing. To carry out this study a wavelet based adaptive model parametrization has been used. This allows to integrate the a priori information provided by sonic logs and to reduce optimally the dimension of the problem.

  16. 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

  17. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

    OpenAIRE

    CLARK, Todd E.; Francesco Ravazzolo

    2012-01-01

    This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive and Bayesian vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both with constant and time-varying autoregressive coeffi cients), stochastic volatility following a stationary AR process, stochastic volat...

  18. Goodness-of-fit tests for vector autoregressive models in time series

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    The paper proposes and studies some diagnostic tools for checking the goodness-of-fit of general parametric vector autoregressive models in time series. The resulted tests are asymptotically chi-squared under the null hypothesis and can detect the alternatives converging to the null at a parametric rate. The tests involve weight functions,which provides us with the flexibility to choose scores for enhancing power performance,especially under directional alternatives. When the alternatives are not directional,we construct asymptotically distribution-free maximin tests for a large class of alternatives. A possibility to construct score-based omnibus tests is discussed when the alternative is saturated. The power performance is also investigated. In addition,when the sample size is small,a nonparametric Monte Carlo test approach for dependent data is proposed to improve the performance of the tests. The algorithm is easy to implement. Simulation studies and real applications are carried out for illustration.

  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...... part of the stochastic ARMA model are first estimated via a three-layer artificial neural network (deterministic estimation step) and then reestimated using the prediction error as one of the inputs to the artificial neural networks in an iterative algorithm (stochastic estimation step). The prediction...... 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...

  20. Multivariate Autoregressive Modeling and Granger Causality Analysis of Multiple Spike Trains

    Directory of Open Access Journals (Sweden)

    Michael Krumin

    2010-01-01

    Full Text Available Recent years have seen the emergence of microelectrode arrays and optical methods allowing simultaneous recording of spiking activity from populations of neurons in various parts of the nervous system. The analysis of multiple neural spike train data could benefit significantly from existing methods for multivariate time-series analysis which have proven to be very powerful in the modeling and analysis of continuous neural signals like EEG signals. However, those methods have not generally been well adapted to point processes. Here, we use our recent results on correlation distortions in multivariate Linear-Nonlinear-Poisson spiking neuron models to derive generalized Yule-Walker-type equations for fitting ‘‘hidden’’ Multivariate Autoregressive models. We use this new framework to perform Granger causality analysis in order to extract the directed information flow pattern in networks of simulated spiking neurons. We discuss the relative merits and limitations of the new method.

  1. Cadenes de Markov i aplicacions

    OpenAIRE

    Romero Lozano, Daniel

    2015-01-01

    La importància de les cadenes de Markov vénen donades pel fet que hi ha gran nombre de fenòmens físics, biològics, econòmics i socials que poden modelar-se d'aquesta manera, almenys com a models simplificats per molts d'ells, a partir d'una teoria ben desenvolupada que permet fer càlculs i analitzar els fenòmens. Estudiarem els elements bàsics en teoria i veurem aplicacions en models pràctics. Demostrarem alguns dels teoremes i propietats de les cadenes de Markov a temps discret i introduirem...

  2. Markov processes for stochastic modeling

    CERN Document Server

    Ibe, Oliver

    2008-01-01

    Markov processes are used to model systems with limited memory. They are used in many areas including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. This book, which is written for upper level undergraduate and graduate students, and researchers, presents a unified presentat

  3. An Extension of Cointegration to Fractional Autoregressive Processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    This paper contains an overview of some recent results on the statistical analysis of cofractional processes, see Johansen and Nielsen (2010b). We first give an brief summary of the analysis of cointegration in the vector autoregressive model and then show how this can be extended to fractional...... processes. The model allows the process X_{t} to be fractional of order d and cofractional of order d-b=0; that is, there exist vectors ß for which ß'X_{t} is fractional of order d-b. We analyse the Gaussian likelihood function to derive estimators and test statistics. The asymptotic properties are derived...

  4. An extension of cointegration to fractional autoregressive processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    This paper contains an overview of some recent results on the statistical analysis of cofractional processes, see Johansen and Nielsen (2010). We first give an brief summary of the analysis of cointegration in the vector autoregressive model and then show how this can be extended to fractional...... processes. The model allows the process X(t) to be fractional of order d and cofractional of order d-b>0; that is, there exist vectors beta for which beta'X(t) is fractional of order d-b. We analyse the Gaussian likelihood function to derive estimators and test statistics. The asymptotic properties...

  5. 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...... 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...

  6. Likelihood inference for a fractionally cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Ørregård Nielsen, Morten

    2012-01-01

    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...... 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 0

  7. 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....

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

    International Nuclear Information System (INIS)

    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

  9. AN EXPONENTIAL INEQUALITY FOR AUTOREGRESSIVE PROCESSES IN ADAPTIVE TRACKING

    Institute of Scientific and Technical Information of China (English)

    Bernard BERCU

    2007-01-01

    A wide range of literature concerning classical asymptotic properties for linear models with adaptive control is available, such as strong laws of large numbers or central limit theorems.Unfortunately, in contrast with the situation without control, it appears to be impossible to find sharp asymptotic or nonasymptotic properties such as large deviation principles or exponential inequalities.Our purpose is to provide a first step towards that direction by proving a very simple exponential inequality for the standard least squares estimator of the unknown parameter of Gaussian autoregressive process in adaptive tracking.

  10. Markov chain approach to identifying Wiener systems

    Institute of Scientific and Technical Information of China (English)

    ZHAO WenXiao; CHEN HanFu

    2012-01-01

    Identification of the Wiener system composed of an infinite impulse response (IIR) linear subsystem followed by a static nonlinearity is considered.The recursive estimates for unknown coefficients of the linear subsystem and for the values of the nonlinear function at any fixed points are given by the stochastic approximation algorithms with expanding truncations (SAAWET).With the help of properties of the Markov chain connected with the linear subsystem,all estimates derived in the paper are proved to be strongly consistent.In comparison with the existing results on the topic,the method presented in the paper simplifies the convergence analysis and requires weaker conditions.A numerical example is given,and the simulation results are consistent with the theoretical analysis.

  11. 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.

  12. 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...

  13. Evaluation of a vector autoregressive approach for downscaling

    Science.gov (United States)

    Salonen, Sebastian; Sauter, Tobias

    2014-05-01

    Statisical downscaling has become a well-established tool in regional and local impact assessments over the last few years. Robust and universal downscaling methods are required to reliably correct the spatial and temporal structures from coarse models. In this study we set up and evaluate the application of VAR-models for automated temperature and precipitation downscaling. VAR-models belong to the vectorial regression-techniques, that include autoregressive effects of the considered time series. They might be seen as an extension of univariate time-series analysis to multivariate perspective. Including autoregressive effects is one of the great advantages of this method, but also includes some pitfalls. Before the model can be applied the structure of the data must be carfully examined and require appropriate data preprocessing. We study in detail different preprocessing techniques and the possibility of the automatization. The proposed method has been applied and evaluated to temperature and precipitation data in the Rhineland region (Germany) and Svalbard. The large-scale atmospheric data are derived from ERA-40 as NCEP/NCAR reanalysis. These datasets offer the possibility to determine the applicability of VAR-models in a downscaling approach, their need for data-preparation techniques and the possibility of an automatization of an approach based on these models.

  14. Criterion of Semi-Markov Dependent Risk Model

    Institute of Scientific and Technical Information of China (English)

    Xiao Yun MO; Xiang Qun YANG

    2014-01-01

    A rigorous definition of semi-Markov dependent risk model is given. This model is a generalization of the Markov dependent risk model. A criterion and necessary conditions of semi-Markov dependent risk model are obtained. The results clarify relations between elements among semi-Markov dependent risk model more clear and are applicable for Markov dependent risk model.

  15. Markov and semi-Markov processes as a failure rate

    Science.gov (United States)

    Grabski, Franciszek

    2016-06-01

    In this paper the reliability function is defined by the stochastic failure rate process with a non negative and right continuous trajectories. Equations for the conditional reliability functions of an object, under assumption that the failure rate is a semi-Markov process with an at most countable state space are derived. A proper theorem is presented. The linear systems of equations for the appropriate Laplace transforms allow to find the reliability functions for the alternating, the Poisson and the Furry-Yule failure rate processes.

  16. Spectral methods for quantum Markov chains

    International Nuclear Information System (INIS)

    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.

  17. Bayesian Fine-Scale Mapping of Disease Loci, by Hidden Markov Models

    OpenAIRE

    Morris, A P; Whittaker, J C; Balding, D. J.

    2000-01-01

    We present a new multilocus method for the fine-scale mapping of genes contributing to human diseases. The method is designed for use with multiple biallelic markers—in particular, single-nucleotide polymorphisms for which high-density genetic maps will soon be available. We model disease-marker association in a candidate region via a hidden Markov process and allow for correlation between linked marker loci. Using Markov-chain–Monte Carlo simulation methods, we obtain posterior distributions...

  18. Markov process functionals in finance and insurance

    Institute of Scientific and Technical Information of China (English)

    GENG Xian-min; LI Liang

    2009-01-01

    The Maxkov property of Maxkov process functionals which axe frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Maxkov property of some important Markov process functionals axe presented, the following conclusions are obtained: the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent incre-ments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Maxkov process being still a Maxkov process are given.

  19. An Adaptively Constructed Algebraic Multigrid Preconditioner for Irreducible Markov Chains

    OpenAIRE

    Brannick, James; Kahl, Karsten; Sokolovic, Sonja

    2014-01-01

    The computation of stationary distributions of Markov chains is an important task in the simulation of stochastic models. The linear systems arising in such applications involve non-symmetric M-matrices, making algebraic multigrid methods a natural choice for solving these systems. In this paper we investigate extensions and improvements of the bootstrap algebraic multigrid framework for solving these systems. This is achieved by reworking the bootstrap setup process to use singular vectors i...

  20. Semi-Markov Chains and Hidden Semi-Markov Models toward Applications Their Use in Reliability and DNA Analysis

    CERN Document Server

    Barbu, Vlad

    2008-01-01

    Semi-Markov processes are much more general and better adapted to applications than the Markov ones because sojourn times in any state can be arbitrarily distributed, as opposed to the geometrically distributed sojourn time in the Markov case. This book concerns with the estimation of discrete-time semi-Markov and hidden semi-Markov processes

  1. Markov Process of Muscle Motors

    CERN Document Server

    Kondratiev, Yu; Pirogov, S

    2007-01-01

    We study a Markov random process describing a muscle molecular motor behavior. 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 spend an exponential time depending on the state. The thin filament moves at its velocity proportional to average of all displacements of all motors. We assume that the time which a motor stays at the bound state does not depend on its displacement. Then one can find an exact solution of a non-linear equation appearing in the limit of infinite number of the motors.

  2. Schmidt games and Markov partitions

    International Nuclear Information System (INIS)

    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 in 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

  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. Entropy Rate for Hidden Markov Chains with rare transitions

    OpenAIRE

    Peres, Yuval; Quas, Anthony

    2010-01-01

    We consider Hidden Markov Chains obtained by passing a Markov Chain with rare transitions through a noisy memoryless channel. We obtain asymptotic estimates for the entropy of the resulting Hidden Markov Chain as the transition rate is reduced to zero.

  5. Estimating hidden semi-Markov chains from discrete sequences.

    OpenAIRE

    Guédon, Yann

    2003-01-01

    International audience This article addresses the estimation of hidden semi-Markov chains from nonstationary discrete sequences. Hidden semi-Markov chains are particularly useful to model the succession of homogeneous zones or segments along sequences. A discrete hidden semi-Markov chain is composed of a nonobservable state process, which is a semi-Markov chain, and a discrete output process. Hidden semi-Markov chains generalize hidden Markov chains and enable the modeling of various durat...

  6. Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

    DEFF Research Database (Denmark)

    Hautsch, Nikolaus

    be subject to censoring structures. In an empirical study based on financial transaction data we present an application of the model to estimate conditional asset price change probabilities. Evaluating the forecasting properties of the model, it is shown that the proposed approach is a promising competitor......This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. A categorization of the durations allows us to reformulate the PH model as an ordered response model based on extreme value distributed errors....... In order to capture persistent serial dependence in the duration process, we extend the model by an observation driven ARMA dynamic based on generalized errors. We illustrate the maximum likelihood estimation of both the model parameters and discrete points of the underlying unspecified baseline survivor...

  7. 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...... in the analysis of the asympotic properties of the maximum-likelihood estimators of the models. The PARX class of models is used to analyse the time series properties of monthly corporate defaults in the US in the period 1982-2011 using financial and economic variables as exogeneous covariates...... years economic and financial factors at the macro level are capable to explain a large portion of the correlation of US firms defaults over time....

  8. Autoregressive modelling for rolling element bearing fault diagnosis

    Science.gov (United States)

    Al-Bugharbee, H.; Trendafilova, I.

    2015-07-01

    In this study, time series analysis and pattern recognition analysis are used effectively for the purposes of rolling bearing fault diagnosis. The main part of the suggested methodology is the autoregressive (AR) modelling of the measured vibration signals. This study suggests the use of a linear AR model applied to the signals after they are stationarized. The obtained coefficients of the AR model are further used to form pattern vectors which are in turn subjected to pattern recognition for differentiating among different faults and different fault sizes. This study explores the behavior of the AR coefficients and their changes with the introduction and the growth of different faults. The idea is to gain more understanding about the process of AR modelling for roller element bearing signatures and the relation of the coefficients to the vibratory behavior of the bearings and their condition.

  9. 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...... of deterministic regressors and Y(t) is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended...... model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are khi squared distributed....

  10. Testing stability in a spatial unilateral autoregressive model

    CERN Document Server

    Baran, Sándor; Sikolya, Kinga

    2012-01-01

    Least squares estimator of the stability parameter $\\varrho := |\\alpha| + |\\beta|$ for a spatial unilateral autoregressive process $X_{k,\\ell}=\\alpha X_{k-1,\\ell}+\\beta X_{k,\\ell-1}+\\varepsilon_{k,\\ell}$ is investigated. Asymptotic normality with a scaling factor $n^{5/4}$ is shown in the unstable case, i.e., when $\\varrho = 1$, in contrast to the AR(p) model $X_k=\\alpha_1 X_{k-1}+... +\\alpha_p X_{k-p}+ \\varepsilon_k$, where the least squares estimator of the stability parameter $\\varrho :=\\alpha_1 + ... + \\alpha_p$ is not asymptotically normal in the unstable, i.e., in the unit root case.

  11. Parameter estimation in a spatial unit root autoregressive model

    CERN Document Server

    Baran, Sándor

    2011-01-01

    Spatial autoregressive model $X_{k,\\ell}=\\alpha X_{k-1,\\ell}+\\beta X_{k,\\ell-1}+\\gamma X_{k-1,\\ell-1}+\\epsilon_{k,\\ell}$ is investigated in the unit root case, that is when the parameters are on the boundary of the domain of stability that forms a tetrahedron with vertices $(1,1,-1), \\ (1,-1,1),\\ (-1,1,1)$ and $(-1,-1,-1)$. It is shown that the limiting distribution of the least squares estimator of the parameters is normal and the rate of convergence is $n$ when the parameters are in the faces or on the edges of the tetrahedron, while on the vertices the rate is $n^{3/2}$.

  12. Implementing Modifed Burg Algorithms in Multivariate Subset Autoregressive Modeling

    Directory of Open Access Journals (Sweden)

    A. Alexandre Trindade

    2003-02-01

    Full Text Available The large number of parameters in subset vector autoregressive models often leads one to procure fast, simple, and efficient alternatives or precursors to maximum likelihood estimation. We present the solution of the multivariate subset Yule-Walker equations as one such alternative. In recent work, Brockwell, Dahlhaus, and Trindade (2002, show that the Yule-Walker estimators can actually be obtained as a special case of a general recursive Burg-type algorithm. We illustrate the structure of this Algorithm, and discuss its implementation in a high-level programming language. Applications of the Algorithm in univariate and bivariate modeling are showcased in examples. Univariate and bivariate versions of the Algorithm written in Fortran 90 are included in the appendix, and their use illustrated.

  13. Generators of quantum Markov semigroups

    Science.gov (United States)

    Androulakis, George; Ziemke, Matthew

    2015-08-01

    Quantum Markov Semigroups (QMSs) originally arose in the study of the evolutions of irreversible open quantum systems. Mathematically, they are a generalization of classical Markov semigroups where the underlying function space is replaced by a non-commutative operator algebra. In the case when the QMS is uniformly continuous, theorems due to the works of Lindblad [Commun. Math. Phys. 48, 119-130 (1976)], Stinespring [Proc. Am. Math. Soc. 6, 211-216 (1955)], and Kraus [Ann. Phys. 64, 311-335 (1970)] imply that the generator of the semigroup has the form L ( A ) = ∑ n = 1 ∞ Vn ∗ A V n + G A + A G ∗ , where Vn and G are elements of the underlying operator algebra. In the present paper, we investigate the form of the generators of QMSs which are not necessarily uniformly continuous and act on the bounded operators of a Hilbert space. We prove that the generators of such semigroups have forms that reflect the results of Lindblad and Stinespring. We also make some progress towards forms reflecting Kraus' result. Finally, we look at several examples to clarify our findings and verify that some of the unbounded operators we are using have dense domains.

  14. Drought Patterns Forecasting using an Auto-Regressive Logistic Model

    Science.gov (United States)

    del Jesus, M.; Sheffield, J.; Méndez Incera, F. J.; Losada, I. J.; Espejo, A.

    2014-12-01

    Drought is characterized by a water deficit that may manifest across a large range of spatial and temporal scales. Drought may create important socio-economic consequences, many times of catastrophic dimensions. A quantifiable definition of drought is elusive because depending on its impacts, consequences and generation mechanism, different water deficit periods may be identified as a drought by virtue of some definitions but not by others. Droughts are linked to the water cycle and, although a climate change signal may not have emerged yet, they are also intimately linked to climate.In this work we develop an auto-regressive logistic model for drought prediction at different temporal scales that makes use of a spatially explicit framework. Our model allows to include covariates, continuous or categorical, to improve the performance of the auto-regressive component.Our approach makes use of dimensionality reduction (principal component analysis) and classification techniques (K-Means and maximum dissimilarity) to simplify the representation of complex climatic patterns, such as sea surface temperature (SST) and sea level pressure (SLP), while including information on their spatial structure, i.e. considering their spatial patterns. This procedure allows us to include in the analysis multivariate representation of complex climatic phenomena, as the El Niño-Southern Oscillation. We also explore the impact of other climate-related variables such as sun spots. The model allows to quantify the uncertainty of the forecasts and can be easily adapted to make predictions under future climatic scenarios. The framework herein presented may be extended to other applications such as flash flood analysis, or risk assessment of natural hazards.

  15. Modelling and analysis of Markov reward automata

    NARCIS (Netherlands)

    Guck, Dennis; Timmer, Mark; Hatefi, Hassan; Ruijters, Enno; Stoelinga, Mariëlle

    2014-01-01

    Costs and rewards are important ingredients for many types of systems, modelling critical aspects like energy consumption, task completion, repair costs, and memory usage. This paper introduces Markov reward automata, an extension of Markov automata that allows the modelling of systems incorporating

  16. Building Simple Hidden Markov Models. Classroom Notes

    Science.gov (United States)

    Ching, Wai-Ki; Ng, Michael K.

    2004-01-01

    Hidden Markov models (HMMs) are widely used in bioinformatics, speech recognition and many other areas. This note presents HMMs via the framework of classical Markov chain models. A simple example is given to illustrate the model. An estimation method for the transition probabilities of the hidden states is also discussed.

  17. Probabilistic Reachability for Parametric Markov Models

    DEFF Research Database (Denmark)

    Hahn, Ernst Moritz; Hermanns, Holger; Zhang, Lijun

    2011-01-01

    Given a parametric Markov model, we consider the problem of computing the rational function expressing the probability of reaching a given set of states. To attack this principal problem, Daws has suggested to first convert the Markov chain into a finite automaton, from which a regular expression...

  18. 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....

  19. Markov-modulated diffusion risk models

    OpenAIRE

    Bäuerle, Nicole; Kötter, Mirko

    2009-01-01

    In this paper we consider Markov-modulated diffusion risk reserve processes. Using diffusion approximation we show the relation to classical Markov-modulated risk reserve processes. In particular we derive a representation for the adjustment coefficient and prove some comparison results. Among others we show that increasing the volatility of the diffusion increases the probability of ruin.

  20. Indexed semi-Markov process for wind speed modeling.

    Science.gov (United States)

    Petroni, F.; D'Amico, G.; Prattico, F.

    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. In a previous work we proposed different semi-Markov models, showing their ability to reproduce the autocorrelation structures of wind speed data. In that paper we showed also that the autocorrelation is higher with respect to the Markov model. Unfortunately this autocorrelation was still too small compared to the empirical one. In order to overcome the problem of low autocorrelation, in this paper we propose an indexed semi-Markov model. More precisely we assume that wind speed is described by a discrete time homogeneous semi-Markov process. We introduce a memory index which takes into account the periods of different wind activities. With this model the statistical characteristics of wind speed are faithfully reproduced. The wind is a very unstable phenomenon characterized by a sequence of lulls and sustained speeds, and a good wind generator must be able to reproduce such sequences. To check the validity of the predictive semi-Markovian model, the persistence of synthetic winds were calculated, then averaged and computed. The model is 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] A. Shamshad, M.A. Bawadi, W.M.W. Wan Hussin, T.A. Majid, S.A.M. Sanusi, First and second order Markov chain models for synthetic generation of wind speed time series, Energy 30 (2005) 693-708. [2] H. Nfaoui, H. Essiarab, A.A.M. Sayigh, A stochastic Markov chain model for simulating

  1. Projected and Hidden Markov Models for calculating kinetics and metastable states of complex molecules

    CERN Document Server

    Noe, Frank; Prinz, Jan-Hendrik; Plattner, Nuria

    2013-01-01

    Markov state models (MSMs) have been successful in computing metastable states, slow relaxation timescales and associated structural changes, and stationary or kinetic experimental observables of complex molecules from large amounts of molecular dynamics simulation data. However, MSMs approximate the true dynamics by assuming a Markov chain on a clusters discretization of the state space. This approximation is difficult to make for high-dimensional biomolecular systems, and the quality and reproducibility of MSMs has therefore been limited. Here, we discard the assumption that dynamics are Markovian on the discrete clusters. Instead, we only assume that the full phase- space molecular dynamics is Markovian, and a projection of this full dynamics is observed on the discrete states, leading to the concept of Projected Markov Models (PMMs). Robust estimation methods for PMMs are not yet available, but we derive a practically feasible approximation via Hidden Markov Models (HMMs). It is shown how various molecula...

  2. Inferring animal densities from tracking data using Markov chains.

    Directory of Open Access Journals (Sweden)

    Hal Whitehead

    Full Text Available The distributions and relative densities of species are keys to ecology. Large amounts of tracking data are being collected on a wide variety of animal species using several methods, especially electronic tags that record location. These tracking data are effectively used for many purposes, but generally provide biased measures of distribution, because the starts of the tracks are not randomly distributed among the locations used by the animals. We introduce a simple Markov-chain method that produces unbiased measures of relative density from tracking data. The density estimates can be over a geographical grid, and/or relative to environmental measures. The method assumes that the tracked animals are a random subset of the population in respect to how they move through the habitat cells, and that the movements of the animals among the habitat cells form a time-homogenous Markov chain. We illustrate the method using simulated data as well as real data on the movements of sperm whales. The simulations illustrate the bias introduced when the initial tracking locations are not randomly distributed, as well as the lack of bias when the Markov method is used. We believe that this method will be important in giving unbiased estimates of density from the growing corpus of animal tracking data.

  3. 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. PMID:25761965

  4. Multiple testing for neuroimaging via hidden Markov random field.

    Science.gov (United States)

    Shu, Hai; Nan, Bin; Koeppe, Robert

    2015-09-01

    Traditional voxel-level multiple testing procedures in neuroimaging, mostly p-value based, often ignore the spatial correlations among neighboring voxels and thus suffer from substantial loss of power. We extend the local-significance-index based procedure originally developed for the hidden Markov chain models, which aims to minimize the false nondiscovery rate subject to a constraint on the false discovery rate, to three-dimensional neuroimaging data using a hidden Markov random field model. A generalized expectation-maximization algorithm for maximizing the penalized likelihood is proposed for estimating the model parameters. Extensive simulations show that the proposed approach is more powerful than conventional false discovery rate procedures. We apply the method to the comparison between mild cognitive impairment, a disease status with increased risk of developing Alzheimer's or another dementia, and normal controls in the FDG-PET imaging study of the Alzheimer's Disease Neuroimaging Initiative. PMID:26012881

  5. A context dependent pair hidden Markov model for statistical alignment

    CERN Document Server

    Arribas-Gil, Ana

    2011-01-01

    This article proposes a novel approach to statistical alignment of nucleotide sequences by introducing a context dependent structure on the substitution process in the underlying evolutionary model. We propose to estimate alignments and context dependent mutation rates relying on the observation of two homologous sequences. The procedure is based on a generalized pair-hidden Markov structure, where conditional on the alignment path, the nucleotide sequences follow a Markov distribution. We use a stochastic approximation expectation maximization (saem) algorithm to give accurate estimators of parameters and alignments. We provide results both on simulated data and vertebrate genomes, which are known to have a high mutation rate from CG dinucleotide. In particular, we establish that the method improves the accuracy of the alignment of a human pseudogene and its functional gene.

  6. Characteristics of the transmission of autoregressive sub-patterns in financial time series

    Science.gov (United States)

    Gao, Xiangyun; An, Haizhong; Fang, Wei; Huang, Xuan; Li, Huajiao; Zhong, Weiqiong

    2014-09-01

    There are many types of autoregressive patterns in financial time series, and they form a transmission process. Here, we define autoregressive patterns quantitatively through an econometrical regression model. We present a computational algorithm that sets the autoregressive patterns as nodes and transmissions between patterns as edges, and then converts the transmission process of autoregressive patterns in a time series into a network. We utilised daily Shanghai (securities) composite index time series to study the transmission characteristics of autoregressive patterns. We found statistically significant evidence that the financial market is not random and that there are similar characteristics between parts and whole time series. A few types of autoregressive sub-patterns and transmission patterns drive the oscillations of the financial market. A clustering effect on fluctuations appears in the transmission process, and certain non-major autoregressive sub-patterns have high media capabilities in the financial time series. Different stock indexes exhibit similar characteristics in the transmission of fluctuation information. This work not only proposes a distinctive perspective for analysing financial time series but also provides important information for investors.

  7. Hidden Markov Modeling for Weigh-In-Motion Estimation

    Energy Technology Data Exchange (ETDEWEB)

    Abercrombie, Robert K [ORNL; Ferragut, Erik M [ORNL; Boone, Shane [ORNL

    2012-01-01

    This paper describes a hidden Markov model to assist in the weight measurement error that arises from complex vehicle oscillations of a system of discrete masses. Present reduction of oscillations is by a smooth, flat, level approach and constant, slow speed in a straight line. The model uses this inherent variability to assist in determining the true total weight and individual axle weights of a vehicle. The weight distribution dynamics of a generic moving vehicle were simulated. The model estimation converged to within 1% of the true mass for simulated data. The computational demands of this method, while much greater than simple averages, took only seconds to run on a desktop computer.

  8. 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

    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...... 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...

  9. Revisiting Causality in Markov Chains

    CERN Document Server

    Shojaee, Abbas

    2016-01-01

    Identifying causal relationships is a key premise of scientific research. The growth of observational data in different disciplines along with the availability of machine learning methods offers the possibility of using an empirical approach to identifying potential causal relationships, to deepen our understandings of causal behavior and to build theories accordingly. Conventional methods of causality inference from observational data require a considerable length of time series data to capture cause-effect relationship. We find that potential causal relationships can be inferred from the composition of one step transition rates to and from an event. Also known as Markov chain, one step transition rates are a commonly available resource in different scientific disciplines. Here we introduce a simple, effective and computationally efficient method that we termed 'Causality Inference using Composition of Transitions CICT' to reveal causal structure with high accuracy. We characterize the differences in causes,...

  10. Modeling of uncertain spectra through stochastic autoregressive systems

    Science.gov (United States)

    Wang, Yiwei; Wang, X. Q.; Mignolet, Marc P.; Yang, Shuchi; Chen, P. C.

    2016-03-01

    The focus of this investigation is on the formulation and validation of a modeling strategy of the uncertainty that may exist on the specification of the power spectral density of scalar stationary processes and on the spectral matrices of vector ones. These processes may, for example, be forces on a structure originating from natural phenomena which are coarsely modeled (i.e., with epistemic uncertainty) or are specified by parameters unknown (i.e., with aleatoric uncertainty) in the application considered. The propagation of the uncertainty, e.g., to the response of the structure, may be carried out provided that a stochastic model of the uncertainty in the power spectral density/matrix is available from which admissible samples can be efficiently generated. Such a stochastic model will be developed here through an autoregressive-based parameterization of the specified baseline power spectral density/matrix and of its random samples. Autoregressive (AR) models are particularly well suited for this parametrization since their spectra are known to converge to a broad class of spectra (all non-pathological spectra) as the AR order increases. Note that the characterization of these models is not achieved directly in terms of their coefficients but rather in terms of their reflection coefficients which lie (or their eigenvalues in the vector process case) in the domain [0,1) as a necessary and sufficient condition for stability. Maximum entropy concepts are then employed to formulate the distribution of the reflection coefficients in both scalar and vector process case leading to a small set of hyperparameters of the uncertain model. Depending on the information available, these hyperparameters could either be varied in a parametric study format to assess the effects of uncertainty or could be identified, e.g., in a maximum likelihood format, from observed data. The validation and assessment of these concepts is finally achieved on several examples including the

  11. Hidden Markov models estimation and control

    CERN Document Server

    Elliott, Robert J; Moore, John B

    1995-01-01

    As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics. In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filte

  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. 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

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

    CERN Document Server

    Corini, Chiara; 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 reproduce the duration effect that is detected in tornadoes 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. he 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 estimati...

  15. Markov Chain Order estimation with Conditional Mutual Information

    CERN Document Server

    Papapetrou, Maria; 10.1016/j.physa.2012.12.017.

    2013-01-01

    We introduce the Conditional Mutual Information (CMI) for the estimation of the Markov chain order. For a Markov chain of $K$ symbols, we define CMI of order $m$, $I_c(m)$, as the mutual information of two variables in the chain being $m$ time steps apart, conditioning on the intermediate variables of the chain. We find approximate analytic significance limits based on the estimation bias of CMI and develop a randomization significance test of $I_c(m)$, where the randomized symbol sequences are formed by random permutation of the components of the original symbol sequence. The significance test is applied for increasing $m$ and the Markov chain order is estimated by the last order for which the null hypothesis is rejected. We present the appropriateness of CMI-testing on Monte Carlo simulations and compare it to the Akaike and Bayesian information criteria, the maximal fluctuation method (Peres-Shields estimator) and a likelihood ratio test for increasing orders using $\\phi$-divergence. The order criterion of...

  16. Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression

    DEFF Research Database (Denmark)

    Lanne, Markku; Luoto, Jani

    Sign-identified structural vector autoregressive (SVAR) models have recently become popular. However, the conventional approach to sign restrictions only yields set identification, and implicitly assumes an informative prior distribution of the impulse responses whose influence does not vanish...

  17. Autoregressive modelling of measured sea waves off west coast of India

    Digital Repository Service at National Institute of Oceanography (India)

    Mandal, S.; SanilKumar, V.; Nayak, B.U.

    relationships with minimum loss of information. The random process is expressed by the autoregressive (AR) algorithm which is a polynomial function. The optimal AR polynomial is obtained by using the Akaike information criterion method. The AR parameters...

  18. A markov classification model for metabolic pathways

    Directory of Open Access Journals (Sweden)

    Mamitsuka Hiroshi

    2010-01-01

    Full Text Available Abstract Background This paper considers the problem of identifying pathways through metabolic networks that relate to a specific biological response. Our proposed model, HME3M, first identifies frequently traversed network paths using a Markov mixture model. Then by employing a hierarchical mixture of experts, separate classifiers are built using information specific to each path and combined into an ensemble prediction for the response. Results We compared the performance of HME3M with logistic regression and support vector machines (SVM for both simulated pathways and on two metabolic networks, glycolysis and the pentose phosphate pathway for Arabidopsis thaliana. We use AltGenExpress microarray data and focus on the pathway differences in the developmental stages and stress responses of Arabidopsis. The results clearly show that HME3M outperformed the comparison methods in the presence of increasing network complexity and pathway noise. Furthermore an analysis of the paths identified by HME3M for each metabolic network confirmed known biological responses of Arabidopsis. Conclusions This paper clearly shows HME3M to be an accurate and robust method for classifying metabolic pathways. HME3M is shown to outperform all comparison methods and further is capable of identifying known biologically active pathways within microarray data.

  19. 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.

  20. A fuzzy-autoregressive model of daily river flows

    Science.gov (United States)

    Greco, Roberto

    2012-06-01

    A model for the identification of daily river flows has been developed, consisting of the combination of an autoregressive model with a fuzzy inference system. The AR model is devoted to the identification of base flow, supposed to be described by linear laws. The fuzzy model identifies the surface runoff, by applying a small set of linguistic statements, deriving from the knowledge of the physical features of the nonlinear rainfall-runoff transformation, to the inflow entering the river basin. The model has been applied to the identification of the daily flow series of river Volturno at Cancello-Arnone (Southern Italy), with a drainage basin of around 5560 km2, observed between 1970 and 1974. The inflow was estimated on the basis of daily precipitations registered during the same years at six rain gauges located throughout the basin. The first two years were used for model training, the remaining three for the validation. The obtained results show that the proposed model provides good predictions of either low river flows or high floods, although the analysis of residuals, which do not turn out to be a white noise, indicates that the cause and effect relationship between rainfall and runoff is not completely identified by the model.

  1. No-reference image sharpness assessment in autoregressive parameter space.

    Science.gov (United States)

    Gu, Ke; Zhai, Guangtao; Lin, Weisi; Yang, Xiaokang; Zhang, Wenjun

    2015-10-01

    In this paper, we propose a new no-reference (NR)/blind sharpness metric in the autoregressive (AR) parameter space. Our model is established via the analysis of AR model parameters, first calculating the energy- and contrast-differences in the locally estimated AR coefficients in a pointwise way, and then quantifying the image sharpness with percentile pooling to predict the overall score. In addition to the luminance domain, we further consider the inevitable effect of color information on visual perception to sharpness and thereby extend the above model to the widely used YIQ color space. Validation of our technique is conducted on the subsets with blurring artifacts from four large-scale image databases (LIVE, TID2008, CSIQ, and TID2013). Experimental results confirm the superiority and efficiency of our method over existing NR algorithms, the stateof-the-art blind sharpness/blurriness estimators, and classical full-reference quality evaluators. Furthermore, the proposed metric can be also extended to stereoscopic images based on binocular rivalry, and attains remarkably high performance on LIVE3D-I and LIVE3D-II databases. PMID:26054063

  2. 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.

  3. An algebraic method for constructing stable and consistent autoregressive filters

    Energy Technology Data Exchange (ETDEWEB)

    Harlim, John, E-mail: jharlim@psu.edu [Department of Mathematics, the Pennsylvania State University, University Park, PA 16802 (United States); Department of Meteorology, the Pennsylvania State University, University Park, PA 16802 (United States); Hong, Hoon, E-mail: hong@ncsu.edu [Department of Mathematics, North Carolina State University, Raleigh, NC 27695 (United States); Robbins, Jacob L., E-mail: jlrobbi3@ncsu.edu [Department of Mathematics, North Carolina State University, Raleigh, NC 27695 (United States)

    2015-02-15

    In this paper, we introduce an algebraic method to construct stable and consistent univariate autoregressive (AR) models of low order for filtering and predicting nonlinear turbulent signals with memory depth. By stable, we refer to the classical stability condition for the AR model. By consistent, we refer to the classical consistency constraints of Adams–Bashforth methods of order-two. One attractive feature of this algebraic method is that the model parameters can be obtained without directly knowing any training data set as opposed to many standard, regression-based parameterization methods. It takes only long-time average statistics as inputs. The proposed method provides a discretization time step interval which guarantees the existence of stable and consistent AR model and simultaneously produces the parameters for the AR models. In our numerical examples with two chaotic time series with different characteristics of decaying time scales, we find that the proposed AR models produce significantly more accurate short-term predictive skill and comparable filtering skill relative to the linear regression-based AR models. These encouraging results are robust across wide ranges of discretization times, observation times, and observation noise variances. Finally, we also find that the proposed model produces an improved short-time prediction relative to the linear regression-based AR-models in forecasting a data set that characterizes the variability of the Madden–Julian Oscillation, a dominant tropical atmospheric wave pattern.

  4. 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. PMID:26573690

  5. Variational Perturbation Theory for Markov Processes

    OpenAIRE

    Kleinert, Hagen; Pelster, Axel; Mihai V. Putz

    2002-01-01

    We develop a convergent variational perturbation theory for conditional probability densities of Markov processes. The power of the theory is illustrated by applying it to the diffusion of a particle in an anharmonic potential.

  6. 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...

  7. Generalized crested products of Markov chains

    CERN Document Server

    D'Angeli, Daniele

    2010-01-01

    We define a finite Markov chain, called generalized crested product, which naturally appears as a generalization of the first crested product of Markov chains. A complete spectral analysis is developed and the $k$-step transition probability is given. It is important to remark that this Markov chain describes a more general version of the classical Ehrenfest diffusion model. As a particular case, one gets a generalization of the classical Insect Markov chain defined on the ultrametric space. Finally, an interpretation in terms of representation group theory is given, by showing the correspondence between the spectral decomposition of the generalized crested product and the Gelfand pairs associated with the generalized wreath product of permutation groups.

  8. Transition Probability Estimates for Reversible Markov Chains

    OpenAIRE

    Telcs, Andras

    2000-01-01

    This paper provides transition probability estimates of transient reversible Markov chains. The key condition of the result is the spatial symmetry and polynomial decay of the Green's function of the chain.

  9. 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 anoth...... in the monetary policy of United States, the dierent functional form being variants of the Taylor (1993) rule.......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...

  10. 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

  11. Statistical semantic processing using Markov logic

    OpenAIRE

    Meza-Ruiz, Ivan Vladimir

    2009-01-01

    Markov Logic (ML) is a novel approach to Natural Language Processing tasks [Richardson and Domingos, 2006; Riedel, 2008]. It is a Statistical Relational Learning language based on First Order Logic (FOL) and Markov Networks (MN). It allows one to treat a task as structured classification. In this work, we investigate ML for the semantic processing tasks of Spoken Language Understanding (SLU) and Semantic Role Labelling (SRL). Both tasks consist of identifying a semantic represe...

  12. Quantum Markov Chain Mixing and Dissipative Engineering

    DEFF Research Database (Denmark)

    Kastoryano, Michael James

    2012-01-01

    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 of the sy....... Finally, we consider three independent tasks of dissipative engineering: dissipatively preparing a maximally entangled state of two atoms trapped in an optical cavity, dissipative preparation of graph states, and dissipative quantum computing construction....

  13. Markov Processes linking Thermodynamics and Turbulence

    OpenAIRE

    Nickelsen, Daniel

    2015-01-01

    This PhD thesis deals with the Markov picture of developed turbulence from the theoretical point of view. The thesis consists of two parts. The first part introduces stochastic thermodynamics, the second part aims at transferring the concepts of stochastic thermodynamics to developed turbulence. / Central in stochastic thermodynamics are Markov processes. An elementary example is Brownian motion. In contrast to macroscopic thermodynamics, the work done and the entropy produced for single traj...

  14. Stochastic relations foundations for Markov transition systems

    CERN Document Server

    Doberkat, Ernst-Erich

    2007-01-01

    Collecting information previously scattered throughout the vast literature, including the author's own research, Stochastic Relations: Foundations for Markov Transition Systems develops the theory of stochastic relations as a basis for Markov transition systems. After an introduction to the basic mathematical tools from topology, measure theory, and categories, the book examines the central topics of congruences and morphisms, applies these to the monoidal structure, and defines bisimilarity and behavioral equivalence within this framework. The author views developments from the general

  15. Understanding Markov-switching rational expectations models

    OpenAIRE

    Roger E.A. Farmer; Daniel F. Waggoner; Zha, Tao

    2009-01-01

    We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models, and we develop an algorithm to check these conditions in practice. We use three examples, based on the new Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov switching with forward-looking rational expectations models and allows an applied researcher to construc...

  16. Modeling gene expression regulatory networks with the sparse vector autoregressive model

    Directory of Open Access Journals (Sweden)

    Miyano Satoru

    2007-08-01

    Full Text Available Abstract Background To understand the molecular mechanisms underlying important biological processes, a detailed description of the gene products networks involved is required. In order to define and understand such molecular networks, some statistical methods are proposed in the literature to estimate gene regulatory networks from time-series microarray data. However, several problems still need to be overcome. Firstly, information flow need to be inferred, in addition to the correlation between genes. Secondly, we usually try to identify large networks from a large number of genes (parameters originating from a smaller number of microarray experiments (samples. Due to this situation, which is rather frequent in Bioinformatics, it is difficult to perform statistical tests using methods that model large gene-gene networks. In addition, most of the models are based on dimension reduction using clustering techniques, therefore, the resulting network is not a gene-gene network but a module-module network. Here, we present the Sparse Vector Autoregressive model as a solution to these problems. Results We have applied the Sparse Vector Autoregressive model to estimate gene regulatory networks based on gene expression profiles obtained from time-series microarray experiments. Through extensive simulations, by applying the SVAR method to artificial regulatory networks, we show that SVAR can infer true positive edges even under conditions in which the number of samples is smaller than the number of genes. Moreover, it is possible to control for false positives, a significant advantage when compared to other methods described in the literature, which are based on ranks or score functions. By applying SVAR to actual HeLa cell cycle gene expression data, we were able to identify well known transcription factor targets. Conclusion The proposed SVAR method is able to model gene regulatory networks in frequent situations in which the number of samples is

  17. Granger Causality in Multi-variate Time Series using a Time Ordered Restricted Vector Autoregressive Model

    CERN Document Server

    Siggiridou, Elsa

    2015-01-01

    Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger causality index (CGCI). In the presence of many observed variables and relatively short time series, CGCI may fail because it is based on vector autoregressive models (VAR) involving a large number of coefficients to be estimated. In this work, the VAR is restricted by a scheme that modifies the recently developed method of backward-in-time selection (BTS) of the lagged variables and the CGCI is combined with BTS. Further, the proposed approach is compared favorably to other restricted VAR representations, such as the top-down strategy, the bottom-up strategy, and the least absolute shrinkage and selection operator (LASSO), in terms of sensitivity and specificity of CGCI. This is shown by using simulations of linear and nonlinear, low and high-dimensional systems and different t...

  18. Granger Causality in Multivariate Time Series Using a Time-Ordered Restricted Vector Autoregressive Model

    Science.gov (United States)

    Siggiridou, Elsa; Kugiumtzis, Dimitris

    2016-04-01

    Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger causality index (CGCI). In the presence of many observed variables and relatively short time series, CGCI may fail because it is based on vector autoregressive models (VAR) involving a large number of coefficients to be estimated. In this work, the VAR is restricted by a scheme that modifies the recently developed method of backward-in-time selection (BTS) of the lagged variables and the CGCI is combined with BTS. Further, the proposed approach is compared favorably to other restricted VAR representations, such as the top-down strategy, the bottom-up strategy, and the least absolute shrinkage and selection operator (LASSO), in terms of sensitivity and specificity of CGCI. This is shown by using simulations of linear and nonlinear, low and high-dimensional systems and different time series lengths. For nonlinear systems, CGCI from the restricted VAR representations are compared with analogous nonlinear causality indices. Further, CGCI in conjunction with BTS and other restricted VAR representations is applied to multi-channel scalp electroencephalogram (EEG) recordings of epileptic patients containing epileptiform discharges. CGCI on the restricted VAR, and BTS in particular, could track the changes in brain connectivity before, during and after epileptiform discharges, which was not possible using the full VAR representation.

  19. 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.

  20. 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.

  1. Perspective: Markov Models for Long-Timescale Biomolecular Dynamics

    CERN Document Server

    Schwantes, Christian R; Pande, Vijay 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.

  2. Active Chemical Sensing With Partially Observable Markov Decision Processes

    Science.gov (United States)

    Gosangi, Rakesh; Gutierrez-Osuna, Ricardo

    2009-05-01

    We present an active-perception strategy to optimize the temperature program of metal-oxide sensors in real time, as the sensor reacts with its environment. We model the problem as a partially observable Markov decision process (POMDP), where actions correspond to measurements at particular temperatures, and the agent is to find a temperature sequence that minimizes the Bayes risk. We validate the method on a binary classification problem with a simulated sensor. Our results show that the method provides a balance between classification rate and sensing costs.

  3. 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

    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.......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...

  4. Kepler AutoRegressive Planet Search: Initial Results

    Science.gov (United States)

    Caceres, Gabriel; Feigelson, Eric; Jogesh Babu, G.; Bahamonde, Natalia; Bertin, Karine; Christen, Alejandra; Curé, Michel; Meza, Cristian

    2015-08-01

    The statistical analysis procedures of the Kepler AutoRegressive Planet Search (KARPS) 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, but visual inspection of the residual series shows that significant deviations from Gaussianity remain for many of them. Although the reduction in stellar signal is encouraging, it is important to note that the transit signal is also altered in the resulting residual time series. The periodogram derived from our Transit Comb Filter (TCF) is most effective for shorter period planets with quick ingress/egress times (relative to Kepler's 29-minute sample rate). We do not expect high sensitivity to periods of hundreds of days. Our findings to date on real-data tests of the KARPS methodology will be discussed including confirmation of some Kepler Team `candidate' planets, no confirmation of some `candidate' and `false positive' sytems, and suggestions of mischosen harmonics in the Kepler Team periodograms. We also present cases of new possible planetary signals.

  5. MCMC simulation of GARCH model to forecast network traffic load

    Directory of Open Access Journals (Sweden)

    Akhter Raza Syed

    2012-05-01

    Full Text Available The performance of a computer network can be enhanced by increasing number of servers, upgrading the hardware, and gaining additional bandwidth but this solution require the huge amount to invest. In contrast to increasing the bandwidth and hardware resources, network traffic modeling play a significant role in enhancing the network performance. As the emphasis of telecommunication service providers shifted towards the high-speed networks providing integrated services at a prescribed Quality of Service (QoS, the role of accurate traffic models in network design and network simulation becomes ever more crucial. We analyze a traffic volume time series of internet requests made to a workstation. This series exhibits a long-range dependence and self-similarity in large time scale and exhibits multifractal in small time scale. In this paper, for this time series, we proposed Generalized Autoregressive Conditional Heteroscedastic, (GARCH model, and practical techniques for model fitting, Markov Chain Monte Carlo simulation and forecasting issues are demonstrated. The proposed model provides us simple and accurate approach for simulating internet data traffic patterns.

  6. 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. PMID:24036167

  7. Rank-Driven Markov Processes

    Science.gov (United States)

    Grinfeld, Michael; Knight, Philip A.; Wade, Andrew R.

    2012-01-01

    We study a class of Markovian systems of N elements taking values in [0,1] that evolve in discrete time t via randomized replacement rules based on the ranks of the elements. These rank-driven processes are inspired by variants of the Bak-Sneppen model of evolution, in which the system represents an evolutionary `fitness landscape' and which is famous as a simple model displaying self-organized criticality. Our main results are concerned with long-time large- N asymptotics for the general model in which, at each time step, K randomly chosen elements are discarded and replaced by independent U[0,1] variables, where the ranks of the elements to be replaced are chosen, independently at each time step, according to a distribution κ N on {1,2,…, N} K . Our main results are that, under appropriate conditions on κ N , the system exhibits threshold behavior at s ∗∈[0,1], where s ∗ is a function of κ N , and the marginal distribution of a randomly selected element converges to U[ s ∗,1] as t→∞ and N→∞. Of this class of models, results in the literature have previously been given for special cases only, namely the `mean-field' or `random neighbor' Bak-Sneppen model. Our proofs avoid the heuristic arguments of some of the previous work and use Foster-Lyapunov ideas. Our results extend existing results and establish their natural, more general context. We derive some more specialized results for the particular case where K=2. One of our technical tools is a result on convergence of stationary distributions for families of uniformly ergodic Markov chains on increasing state-spaces, which may be of independent interest.

  8. Enhanced modeling via network theory: Adaptive sampling of Markov state models

    OpenAIRE

    Bowman, Gregory R; Ensign, Daniel L.; Pande, Vijay S.

    2010-01-01

    Computer simulations can complement experiments by providing insight into molecular kinetics with atomic resolution. Unfortunately, even the most powerful supercomputers can only simulate small systems for short timescales, leaving modeling of most biologically relevant systems and timescales intractable. In this work, however, we show that molecular simulations driven by adaptive sampling of networks called Markov State Models (MSMs) can yield tremendous time and resource savings, allowing p...

  9. Performance Modeling of Communication Networks with Markov Chains

    CERN Document Server

    Mo, Jeonghoon

    2010-01-01

    This book is an introduction to Markov chain modeling with applications to communication networks. It begins with a general introduction to performance modeling in Chapter 1 where we introduce different performance models. We then introduce basic ideas of Markov chain modeling: Markov property, discrete time Markov chain (DTMe and continuous time Markov chain (CTMe. We also discuss how to find the steady state distributions from these Markov chains and how they can be used to compute the system performance metric. The solution methodologies include a balance equation technique, limiting probab

  10. Zipf exponent of trajectory distribution in the hidden Markov model

    Science.gov (United States)

    Bochkarev, V. V.; Lerner, E. Yu

    2014-03-01

    This paper is the first step of generalization of the previously obtained full classification of the asymptotic behavior of the probability for Markov chain trajectories for the case of hidden Markov models. The main goal is to study the power (Zipf) and nonpower asymptotics of the frequency list of trajectories of hidden Markov frequencys and to obtain explicit formulae for the exponent of the power asymptotics. We consider several simple classes of hidden Markov models. We prove that the asymptotics for a hidden Markov model and for the corresponding Markov chain can be essentially different.

  11. 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.

  12. Adaptive Time-Frequency Distribution Based on Time-Varying Autoregressive and Its Application to Machine Fault Diagnosis

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    The time-varying autoregressive (TVAR) modeling of a non-stationary signal is studied. In the proposed method, time-varying parametric identification of a non-stationary signal can be translated into a linear time-invariant problem by introducing a set of basic functions. Then, the parameters are estimated by using a recursive least square algorithm with a forgetting factor and an adaptive time-frequency distribution is achieved. The simulation results show that the proposed approach is superior to the short-time Fourier transform and Wigner distribution. And finally, the proposed method is applied to the fault diagnosis of a bearing, and the experiment result shows that the proposed method is effective in feature extraction.

  13. First Passage Probability Estimation of Wind Turbines by Markov Chain Monte Carlo

    DEFF Research Database (Denmark)

    Sichani, Mahdi Teimouri; Nielsen, Søren R.K.

    2013-01-01

    Markov Chain Monte Carlo simulation has received considerable attention within the past decade as reportedly one of the most powerful techniques for the first passage probability estimation of dynamic systems. A very popular method in this direction capable of estimating probability of rare events...

  14. Two-step Nonnegative Matrix Factorization Algorithm for the Approximate Realization of Hidden Markov Models

    CERN Document Server

    Finesso, L; Spreij, P

    2010-01-01

    We propose a two-step algorithm for the construction of a Hidden Markov Model (HMM) of assigned size, i.e. cardinality of the state space of the underlying Markov chain, whose $n$-dimensional distribution is closest in divergence to a given distribution. The algorithm is based on the factorization of a pseudo Hankel matrix, defined in terms of the given distribution, into the product of a tall and a wide nonnegative matrix. The implementation is based on the nonnegative matrix factorization (NMF) algorithm. To evaluate the performance of our algorithm we produced some numerical simulations in the context of HMM order reduction.

  15. 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

    to reproduce the time series on event level. Extreme events with short (10 min), medium (60 min) and long (12 h) durations were investigated because of their importance in urban hydrology. Both the descriptive likelihood based statistics and the predictive Monte Carlo simulation based statistics are valuable....... 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...

  16. On multitarget pairwise-Markov models

    Science.gov (United States)

    Mahler, Ronald

    2015-05-01

    Single- and multi-target tracking are both typically based on strong independence assumptions regarding both the target states and sensor measurements. In particular, both are theoretically based on the hidden Markov chain (HMC) model. That is, the target process is a Markov chain that is observed by an independent observation process. Since HMC assumptions are invalid in many practical applications, the pairwise Markov chain (PMC) model has been proposed as a way to weaken those assumptions. In this paper it is shown that the PMC model can be directly generalized to multitarget problems. Since the resulting tracking filters are computationally intractable, the paper investigates generalizations of the cardinalized probability hypothesis density (CPHD) filter to applications with PMC models.

  17. Planning in Markov Stochastic Task Domains

    Directory of Open Access Journals (Sweden)

    Yong Lin

    2010-10-01

    Full Text Available In decision theoretic planning, a challenge for Markov decision processes (MDPs and partially observable Markov decision processes (POMDPs is, many problem domains contain big state spaces and complex tasks, which will result in poor solution performance. We develop a task analysis and modeling (TAM approach, in which the (POMDP model is separated into a task view and an action view. In the task view, TAM models the problem domain using a task equivalence model, with task-dependent abstract states and observations. We provide a learning algorithm to obtain the parameter values of task equivalence models. We present three typical examples to explain the TAM approach. Experimental results indicate our approach can greatly improve the computational capacity of task planning in Markov stochastic domains.

  18. 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.

  19. Formal Reasoning About Finite-State Discrete-Time Markov Chains in HOL

    Institute of Scientific and Technical Information of China (English)

    Liya Liu; Osman Hasan; Sofiène Tahar

    2013-01-01

    Markov chains are extensively used in modeling different aspects of engineering and scientific systems,such as performance of algorithms and reliability of systems.Different techniques have been developed for analyzing Markovian models,for example,Markov Chain Monte Carlo based simulation,Markov Analyzer,and more recently probabilistic modelchecking.However,these techniques either do not guarantee accurate analysis or are not scalable.Higher-order-logic theorem proving is a formal method that has the ability to overcome the above mentioned limitations.However,it is not mature enough to handle all sorts of Markovian models.In this paper,we propose a formalization of Discrete-Time Markov Chain (DTMC) that facilitates formal reasoning about time-homogeneous finite-state discrete-time Markov chain.In particular,we provide a formal verification on some of its important properties,such as joint probabilities,Chapman-Kolmogorov equation,reversibility property,using higher-order logic.To demonstrate the usefulness of our work,we analyze two applications:a simplified binary communication channel and the Automatic Mail Quality Measurement protocol.

  20. A hidden Markov Model for image fusion and their joint segmentation in medical image computing

    CERN Document Server

    Féron, O; Feron, Olivier; Mohammad-Djafari, Ali

    2004-01-01

    In this work we propose a Bayesian framework for fully automated image fusion and their joint segmentation. More specifically, we consider the case where we have observed images of the same object through different image processes or through different spectral bands. The objective of this work is then to propose a coherent approach to combine these data sets and obtain a segmented image which can be considered as the fusion result of these observations. The proposed approach is based on a Hidden Markov Modeling (HMM) of the images with common segmentation, or equivalently, with common hidden classification label variables which are modeled by the Potts Markov Random Field. We propose an appropriate Markov Chain Monte Carlo (MCMC) algorithm to implement the method and show some simulation results and applications.

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

    Energy Technology Data Exchange (ETDEWEB)

    Wu, Hao, E-mail: hao.wu@fu-berlin.de; Prinz, Jan-Hendrik, E-mail: jan-hendrik.prinz@fu-berlin.de; Noé, Frank, E-mail: frank.noe@fu-berlin.de [DFG Research Center Matheon, Free University Berlin, Arnimallee 6, 14195 Berlin (Germany)

    2015-10-14

    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.

  2. A Hidden Markov model for Bayesian data fusion of multivariate signals

    CERN Document Server

    Féron, O; Feron, Olivier; Mohammad-Djafari, Ali

    2004-01-01

    In this work we propose a Bayesian framework for data fusion of multivariate signals which arises in imaging systems. More specifically, we consider the case where we have observed two images of the same object through two different imaging processes. The objective of this work is then to propose a coherent approach to combine these data sets to obtain a segmented image which can be considered as the fusion result of these two images. The proposed approach is based on a Hidden Markov Modeling (HMM) of the images with common segmentation, or equivalently, with common hidden classification label variables which is modeled by the Potts Markov Random Field. We propose then an appropriate Markov Chain Monte Carlo (MCMC) algorithm to implement the method and show some simulation results and applications.

  3. 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

  4. Entropy Computation in Partially Observed Markov Chains

    Science.gov (United States)

    Desbouvries, François

    2006-11-01

    Let X = {Xn}n∈N be a hidden process and Y = {Yn}n∈N be an observed process. We assume that (X,Y) is a (pairwise) Markov Chain (PMC). PMC are more general than Hidden Markov Chains (HMC) and yet enable the development of efficient parameter estimation and Bayesian restoration algorithms. In this paper we propose a fast (i.e., O(N)) algorithm for computing the entropy of {Xn}n=0N given an observation sequence {yn}n=0N.

  5. Markov Model Applied to Gene Evolution

    Institute of Scientific and Technical Information of China (English)

    季星来; 孙之荣

    2001-01-01

    The study of nucleotide substitution is very important both to our understanding of gene evolution and to reliable estimation of phylogenetic relationships. In this paper nucleotide substitution is assumed to be random and the Markov model is applied to the study of the evolution of genes. Then a non-linear optimization approach is proposed for estimating substitution in real sequences. This substitution is called the "Nucleotide State Transfer Matrix". One of the most important conclusions from this work is that gene sequence evolution conforms to the Markov process. Also, some theoretical evidences for random evolution are given from energy analysis of DNA replication.

  6. On approximation of Markov binomial distributions

    OpenAIRE

    Xia, Aihua; Zhang, Mei

    2009-01-01

    For a Markov chain $\\mathbf{X}=\\{X_i,i=1,2,...,n\\}$ with the state space $\\{0,1\\}$, the random variable $S:=\\sum_{i=1}^nX_i$ is said to follow a Markov binomial distribution. The exact distribution of $S$, denoted $\\mathcal{L}S$, is very computationally intensive for large $n$ (see Gabriel [Biometrika 46 (1959) 454--460] and Bhat and Lal [Adv. in Appl. Probab. 20 (1988) 677--680]) and this paper concerns suitable approximate distributions for $\\mathcal{L}S$ when $\\mathbf{X}$ is stationary. We...

  7. 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

  8. Modelling and analysis of Markov reward automata (extended version)

    NARCIS (Netherlands)

    Guck, Dennis; Timmer, Mark; Hatefi, Hassan; Ruijters, Enno; Stoelinga, Mariëlle

    2014-01-01

    Costs and rewards are important ingredients for cyberphysical systems, modelling critical aspects like energy consumption, task completion, repair costs, and memory usage. This paper introduces Markov reward automata, an extension of Markov automata that allows the modelling of systems incorporating

  9. Monthly sunspot number time series analysis and its modeling through autoregressive artificial neural network

    CERN Document Server

    Chattopadhyay, Goutami; 10.1140/epjp/i2012-12043-9

    2012-01-01

    This study reports a statistical analysis of monthly sunspot number time series and observes non homogeneity and asymmetry within it. Using Mann-Kendall test a linear trend is revealed. After identifying stationarity within the time series we generate autoregressive AR(p) and autoregressive moving average (ARMA(p,q)). Based on minimization of AIC we find 3 and 1 as the best values of p and q respectively. In the next phase, autoregressive neural network (AR-NN(3)) is generated by training a generalized feedforward neural network (GFNN). Assessing the model performances by means of Willmott's index of second order and coefficient of determination, the performance of AR-NN(3) is identified to be better than AR(3) and ARMA(3,1).

  10. 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.

  11. Improved gene prediction by principal component analysis based autoregressive Yule-Walker method.

    Science.gov (United States)

    Roy, Manidipa; Barman, Soma

    2016-01-10

    Spectral analysis using Fourier techniques is popular with gene prediction because of its simplicity. Model-based autoregressive (AR) spectral estimation gives better resolution even for small DNA segments but selection of appropriate model order is a critical issue. In this article a technique has been proposed where Yule-Walker autoregressive (YW-AR) process is combined with principal component analysis (PCA) for reduction in dimensionality. The spectral peaks of DNA signal are used to detect protein-coding regions based on the 1/3 frequency component. Here optimal model order selection is no more critical as noise is removed by PCA prior to power spectral density (PSD) estimation. Eigenvalue-ratio is used to find the threshold between signal and noise subspaces for data reduction. Superiority of proposed method over fast Fourier Transform (FFT) method and autoregressive method combined with wavelet packet transform (WPT) is established with the help of receiver operating characteristics (ROC) and discrimination measure (DM) respectively.

  12. Projected and hidden Markov models for calculating kinetics and metastable states of complex molecules

    Science.gov (United States)

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

    2013-11-01

    Markov state models (MSMs) have been successful in computing metastable states, slow relaxation timescales and associated structural changes, and stationary or kinetic experimental observables of complex molecules from large amounts of molecular dynamics simulation data. However, MSMs approximate the true dynamics by assuming a Markov chain on a clusters discretization of the state space. This approximation is difficult to make for high-dimensional biomolecular systems, and the quality and reproducibility of MSMs has, therefore, been limited. Here, we discard the assumption that dynamics are Markovian on the discrete clusters. Instead, we only assume that the full phase-space molecular dynamics is Markovian, and a projection of this full dynamics is observed on the discrete states, leading to the concept of Projected Markov Models (PMMs). Robust estimation methods for PMMs are not yet available, but we derive a practically feasible approximation via Hidden Markov Models (HMMs). It is shown how various molecular observables of interest that are often computed from MSMs can be computed from HMMs/PMMs. The new framework is applicable to both, simulation and single-molecule experimental data. We demonstrate its versatility by applications to educative model systems, a 1 ms Anton MD simulation of the bovine pancreatic trypsin inhibitor protein, and an optical tweezer force probe trajectory of an RNA hairpin.

  13. Using Markov State Models to Study Self-Assembly

    CERN Document Server

    Perkett, Matthew R

    2014-01-01

    Markov state models (MSMs) have been demonstrated to be a powerful method for computationally studying intramolecular processes such as protein folding and macromolecular conformational changes. In this article, we present a new approach to construct MSMs that is applicable to modeling a broad class of multi-molecular assembly reactions. Distinct structures formed during assembly are distinguished by their undirected graphs, which are defined by strong subunit interactions. Spatial inhomogeneities of free subunits are accounted for using a recently developed Gaussian-based signature. Simplifications to this state identification are also investigated. The feasibility of this approach is demonstrated on two different coarse-grained models for virus self-assembly. We find good agreement between the dynamics predicted by the MSMs and long, unbiased simulations, and that the MSMs can reduce overall simulation time by orders of magnitude.

  14. Shift ergodicity for stationary Markov processes

    Institute of Scientific and Technical Information of China (English)

    东金文

    2001-01-01

    In this paper shift ergodicity and related topics are studied for certain stationary processes. We first present a simple proof of the conclusion that every stationary Markov process is a generalized convex combination of stationary ergodic Markov processes. A direct consequence is that a stationary distribution of a Markov process is extremal if and only if the corresponding stationary Markov process is time ergodic and every stationary distribution is a generalized convex combination of such extremal ones. We then consider space ergodicity for spin flip particle systems. We prove space shift ergodicity and mixing for certain extremal invariant measures for a class of spin systems, in which most of the typical models, such as the Voter Models and the Contact Models, are included. As a consequence of these results we see that for such systems, under each of those extremal invariant measures, the space and time means of an observable coincide, an important phenomenon in statistical physics. Our results provide partial answers to certain interesting problems in spin systems.

  15. Quantitative timed analysis of interactive Markov chains

    NARCIS (Netherlands)

    Guck, Dennis; Han, Tingting; Katoen, Joost-Pieter; Neuhausser, M.

    2012-01-01

    This paper presents new algorithms and accompanying tool support for analyzing interactive Markov chains (IMCs), a stochastic timed 1 1/2-player game in which delays are exponentially distributed. IMCs are compositional and act as semantic model for engineering formalisms such as AADL and dynamic fa

  16. Optimal dividend distribution under Markov regime switching

    NARCIS (Netherlands)

    Z. Jiang; M. Pistorius

    2012-01-01

    We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov chain, and model the discount rate as a determini

  17. Local stability in a transient Markov chain

    OpenAIRE

    Adan, Ivo; Foss, Sergey; Shneer, Seva; Weiss, Gideon

    2015-01-01

    We prove two lemmas with conditions that a system, which is described by a transient Markov chain, will display local stability. Examples of such systems include partly overloaded Jackson networks, partly overloaded polling systems, and overloaded multi-server queues with skill based service, under first come first served policy.

  18. Markov bridges, bisection and variance reduction

    DEFF Research Database (Denmark)

    Asmussen, Søren; Hobolth, Asger

    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...

  19. Renewal characterization of Markov modulated Poisson processes

    Directory of Open Access Journals (Sweden)

    Marcel F. Neuts

    1989-01-01

    Full Text Available A Markov Modulated Poisson Process (MMPP M(t defined on a Markov chain J(t is a pure jump process where jumps of M(t occur according to a Poisson process with intensity λi whenever the Markov chain J(t is in state i. M(t is called strongly renewal (SR if M(t is a renewal process for an arbitrary initial probability vector of J(t with full support on P={i:λi>0}. M(t is called weakly renewal (WR if there exists an initial probability vector of J(t such that the resulting MMPP is a renewal process. The purpose of this paper is to develop general characterization theorems for the class SR and some sufficiency theorems for the class WR in terms of the first passage times of the bivariate Markov chain [J(t,M(t]. Relevance to the lumpability of J(t is also studied.

  20. Manipulation and the causal Markov condition

    OpenAIRE

    Hausman, Daniel; Woodward, James

    2004-01-01

    This paper explores the relationship between a manipulability conception of causation and the causal Markov condition (CM). We argue that violations of CM also violate widely shared expectations—implicit in the manipulability conception—having to do with the absence of spontaneous correlations. They also violate expectations concerning the connection between independence or dependence relationships in the presence and absence of interventions.

  1. Denumerable Markov decision chains: sensitive optimality criteria

    NARCIS (Netherlands)

    A. Hordijk (Arie); R. Dekker (Rommert)

    1991-01-01

    textabstractIn this paper we investigate denumerable state semi-Markov decision chains with small interest rates. We consider average and Blackwell optimality and allow for multiple closed sets and unbounded immediate rewards. Our analysis uses the existence of a Laurent series expansion for the tot

  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. Piecewise deterministic Markov processes : an analytic approach

    NARCIS (Netherlands)

    Alkurdi, Taleb Salameh Odeh

    2013-01-01

    The subject of this thesis, piecewise deterministic Markov processes, an analytic approach, is on the border between analysis and probability theory. Such processes can either be viewed as random perturbations of deterministic dynamical systems in an impulsive fashion, or as a particular kind of sto

  4. Metric on state space of Markov chain

    OpenAIRE

    Rozinas, M. R.

    2010-01-01

    We consider finite irreducible Markov chains. It was shown that mean hitting time from one state to another satisfies the triangle inequality. Hence, sum of mean hitting time between couple of states in both directions is a metric on the space of states.

  5. 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...

  6. 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...

  7. One-Counter Markov Decision Processes

    NARCIS (Netherlands)

    Brazdil, T.; Brozek, V.; Etessami, K.; Kucera, A.; Wojtczak, D.K.; Charikar, M.

    2010-01-01

    We study the computational complexity of central analysis problems for One-Counter Markov Decision Processes (OC-MDPs), a class of finitely-presented, countable-state MDPs. OC-MDPs are equivalent to a controlled extension of (discrete-time) Quasi-Birth-Death processes (QBDs), a stochastic model stud

  8. Markov chains with quasitoeplitz transition matrix

    Directory of Open Access Journals (Sweden)

    Alexander M. Dukhovny

    1989-01-01

    Full Text Available This paper investigates a class of Markov chains which are frequently encountered in various applications (e.g. queueing systems, dams and inventories with feedback. Generating functions of transient and steady state probabilities are found by solving a special Riemann boundary value problem on the unit circle. A criterion of ergodicity is established.

  9. Markov Chains with Stochastically Stationary Transition Probabilities

    OpenAIRE

    Orey, Steven

    1991-01-01

    Markov chains on a countable state space are studied under the assumption that the transition probabilities $(P_n(x,y))$ constitute a stationary stochastic process. An introductory section exposing some basic results of Nawrotzki and Cogburn is followed by four sections of new results.

  10. 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 wa...

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

    International Nuclear Information System (INIS)

    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

  12. Batch means and spectral variance estimators in Markov chain Monte Carlo

    OpenAIRE

    Flegal, James M.; Jones, Galin L.

    2008-01-01

    Calculating a Monte Carlo standard error (MCSE) is an important step in the statistical analysis of the simulation output obtained from a Markov chain Monte Carlo experiment. An MCSE is usually based on an estimate of the variance of the asymptotic normal distribution. We consider spectral and batch means methods for estimating this variance. In particular, we establish conditions which guarantee that these estimators are strongly consistent as the simulation effort increases. In addition, fo...

  13. Grey-Markov Model for Road Accidents Forecasting

    Institute of Scientific and Technical Information of China (English)

    李相勇; 严余松; 蒋葛夫

    2003-01-01

    In order to improve the forecasting precision of road accidents, by introducing Markov chains forecasting method, a grey-Markov model for forecasting road accidents is established based on grey forecasting method. The model combines the advantages of both grey forecasting method and Markov chains forecasting method, overcomes the influence of random fluctuation data on forecasting precision and widens the application scope of the grey forecasting. An application example is conducted to evaluate the grey-Markov model, which shows that the precision of the grey-Markov model is better than that of grey model in forecasting road accidents.

  14. Entropy rate of continuous-state hidden Markov chains

    OpenAIRE

    Han, G; Marcus, B

    2010-01-01

    We prove that under mild positivity assumptions, the entropy rate of a continuous-state hidden Markov chain, observed when passing a finite-state Markov chain through a discrete-time continuous-output channel, is analytic as a function of the transition probabilities of the underlying Markov chain. We further prove that the entropy rate of a continuous-state hidden Markov chain, observed when passing a mixing finite-type constrained Markov chain through a discrete-time Gaussian channel, is sm...

  15. The Performance of Multilevel Growth Curve Models under an Autoregressive Moving Average Process

    Science.gov (United States)

    Murphy, Daniel L.; Pituch, Keenan A.

    2009-01-01

    The authors examined the robustness of multilevel linear growth curve modeling to misspecification of an autoregressive moving average process. As previous research has shown (J. Ferron, R. Dailey, & Q. Yi, 2002; O. Kwok, S. G. West, & S. B. Green, 2007; S. Sivo, X. Fan, & L. Witta, 2005), estimates of the fixed effects were unbiased, and Type I…

  16. Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis

    DEFF Research Database (Denmark)

    Holt, Matthew T.; Teräsvirta, Timo

    This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of Gonzalez and Terasvirta (2008). Univariate models are first fitted to each series by using the so called Quick...

  17. 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...

  18. A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

    DEFF Research Database (Denmark)

    Nielsen, Heino Bohn

    2007-01-01

    A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios...

  19. Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes

    OpenAIRE

    Vermaat, T.M.B.; Meulen, van der, N.; Does, R.J.M.M.

    2010-01-01

    Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes correspondance: Corresponding author. Tel.: +31 20 5255203; fax: +31 20 5255101. (Vermaat, M.B.) (Vermaat, M.B.) Institute for Business and Industrial Statistics of the University of Amsterdam--> , IBIS UvA--> - NETHERLANDS (Vermaat, M.B.) Institute for Business and Industrial Statistics of the University of Amst...

  20. 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...

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

    NARCIS (Netherlands)

    de Vries, SO; Fidler, [No Value; Kuipers, WD; Hunink, MGM

    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 six

  2. Fitting multi-state transition models with autoregressive logistic regression : supervised exercise in intermittent claudication

    NARCIS (Netherlands)

    de Vries, S.O.; Fidler, V.; Kuipers, W.D.; Hunink, M.G.

    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 six

  3. Adaptive Algorithm for Estimation of Two-Dimensional Autoregressive Fields from Noisy Observations

    Directory of Open Access Journals (Sweden)

    Alimorad Mahmoudi

    2014-01-01

    Full Text Available This paper deals with the problem of two-dimensional autoregressive (AR estimation from noisy observations. The Yule-Walker equations are solved using adaptive steepest descent (SD algorithm. Performance comparisons are made with other existing methods to demonstrate merits of the proposed method.

  4. 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 t

  5. 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...

  6. POISSON LIMIT THEOREM FOR COUNTABLE MARKOV CHAINS IN MARKOVIAN ENVIRONMENTS

    Institute of Scientific and Technical Information of China (English)

    方大凡; 王汉兴; 唐矛宁

    2003-01-01

    A countable Markov chain in a Markovian environment is considered. A Poisson limit theorem for the chain recurring to small cylindrical sets is mainly achieved. In order to prove this theorem, the entropy function h is introduced and the Shannon-McMillan-Breiman theorem for the Markov chain in a Markovian environment is shown. It' s well-known that a Markov process in a Markovian environment is generally not a standard Markov chain, so an example of Poisson approximation for a process which is not a Markov process is given. On the other hand, when the environmental process degenerates to a constant sequence, a Poisson limit theorem for countable Markov chains, which is the generalization of Pitskel's result for finite Markov chains is obtained.

  7. 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.

  8. A critical appraisal of Markov state models

    Science.gov (United States)

    Schütte, Ch.; Sarich, M.

    2015-09-01

    Markov State Modelling as a concept for a coarse grained description of the essential kinetics of a molecular system in equilibrium has gained a lot of attention recently. The last 10 years have seen an ever increasing publication activity on how to construct Markov State Models (MSMs) for very different molecular systems ranging from peptides to proteins, from RNA to DNA, and via molecular sensors to molecular aggregation. Simultaneously the accompanying theory behind MSM building and approximation quality has been developed well beyond the concepts and ideas used in practical applications. This article reviews the main theoretical results, provides links to crucial new developments, outlines the full power of MSM building today, and discusses the essential limitations still to overcome.

  9. Sistem Bonus Malus sebagai Model Rantai Markov

    Directory of Open Access Journals (Sweden)

    - Supandi

    2010-06-01

    Full Text Available Sistem bonus-malus (BMS yang dibangun mempunyai  tujuan untuk membuat premi yang dibayarkan oleh tertanggung sedekat mungkin dengan harapan terjadinya klaim setiap tahunnya. Bila kita ingin meneliti bagaimana efisiensi suatu BMS, kita harus melihat bagaimana premi itu bergantung  pada frekuensi klaim. Efisiensi sistem bonus-malus dicari melalui model Markovnya,  yaitu dengan mencari distribusi stasioner dari rantai markov BMS-nya. Dalam paper ini BMS yang digunakan adalah BMS Brasil dan modifkasinya pada nilai preminya untuk keadaan bawah. Dari modifikasi ini akan dibahas pengaruh perubahan premi terhadap  efisiensi BMS tersebut. Kata kunci : BMS, rantai markov, stationer,  efisiensi

  10. Shape-Driven Nested Markov Tessellations

    CERN Document Server

    Schreiber, Tomasz

    2011-01-01

    A new and rather broad class of stationary (i.e. stochastically translation invariant) random tessellations of the $d$-dimensional Euclidean space is introduced, which are called shape-driven nested Markov tessellations. Locally, these tessellations are constructed by means of a spatio-temporal random recursive split dynamics governed by a family of Markovian split kernel, generalizing thereby the -- by now classical -- construction of iteration stable random tessellations. By providing an explicit global construction of the tessellations, it is shown that under suitable assumptions on the split kernels (shape-driven), there exists a unique time-consistent whole-space tessellation-valued Markov process of stationary random tessellations compatible with the given split kernels. Beside the existence and uniqueness result, the typical cell and some aspects of the first-order geometry of these tessellations are in the focus of our discussion.

  11. On approximation of Markov binomial distributions

    CERN Document Server

    Xia, Aihua; 10.3150/09-BEJ194

    2010-01-01

    For a Markov chain $\\mathbf{X}=\\{X_i,i=1,2,...,n\\}$ with the state space $\\{0,1\\}$, the random variable $S:=\\sum_{i=1}^nX_i$ is said to follow a Markov binomial distribution. The exact distribution of $S$, denoted $\\mathcal{L}S$, is very computationally intensive for large $n$ (see Gabriel [Biometrika 46 (1959) 454--460] and Bhat and Lal [Adv. in Appl. Probab. 20 (1988) 677--680]) and this paper concerns suitable approximate distributions for $\\mathcal{L}S$ when $\\mathbf{X}$ is stationary. We conclude that the negative binomial and binomial distributions are appropriate approximations for $\\mathcal{L}S$ when $\\operatorname {Var}S$ is greater than and less than $\\mathbb{E}S$, respectively. Also, due to the unique structure of the distribution, we are able to derive explicit error estimates for these approximations.

  12. 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.

  13. 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. PMID:25720091

  14. Inhomogeneous Markov Models for Describing Driving Patterns

    DEFF Research Database (Denmark)

    Iversen, Jan Emil Banning; Møller, Jan Kloppenborg; Morales González, Juan Miguel;

    It has been predicted that electric vehicles will play a crucial role in incorporating a large renewable component in the energy sector. If electric vehicles are integrated in a naive way, they may exacerbate issues related to peak demand and transmission capacity limits while not reducing pollut...... 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....

  15. Cooperation through communication in decentralized Markov games

    OpenAIRE

    Aras, Raghav; Dutech, Alain; Charpillet, François

    2004-01-01

    In this paper, we present a comunication-integrated reinforcement-learning algorithm for a general-sum Markov game or MG played by independent, cooperative agents. The algorithm assumes that agents can communicate but do not know the purpose (the semantic) of doing so. We model agents that have different tasks, some of which may be commonly beneficial. The objective of the agents is to determine which are the commonly beneficial tasks, and learn a sequence of actions that achieves the common ...

  16. 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.

  17. Dynamic risk management with Markov decision processes

    OpenAIRE

    Mundt, André Philipp

    2008-01-01

    An important tool in risk management is the implementation of risk measures. We study dynamic models where risk measures and dynamic risk measures can be applied. In particular, we solve various portfolio optimization problems and introduce a class of dynamic risk measures via the notion of Markov decision processes. Using Bayesian control theory we furthermore derive an extension of the latter setting when we face model uncertainty.

  18. Topologies of Stochastic Markov Models: Computational Aspects

    OpenAIRE

    Bacci, Giorgio; Bacci, Giovanni; Larsen, Kim G.; Mardare, Radu

    2014-01-01

    In this paper we propose two behavioral distances that support approximate reasoning on Stochastic Markov Models (SMMs), that are continuous-time stochastic transition systems where the residence time on each state is described by a generic probability measure on the positive real line. In particular, we study the problem of measuring the behavioral dissimilarity of two SMMs against linear real-time specifications expressed as Metric Temporal Logic (MTL) formulas or Deterministic Timed-Automa...

  19. Kajian Peluang Steady State Pada Rantai Markov

    OpenAIRE

    Novalina, Mariantan

    2011-01-01

    Markov chain says that the conditional probability of any future event given any past even and the present state is independent of the past event and depend only upon the present state. = is the transition probability from state i to state j The transition probability of well-balanced situation level is the transition probability which has reached balance so that will not change to change of time that happened or change that phase that happened. Formally, the transition probabi...

  20. Phonocardiogram segmentation by using Hidden Markov Models

    OpenAIRE

    Lima, C. S.; Cardoso, Manuel J.

    2007-01-01

    This paper is concerned to the segmentation of heart sounds by using state of art Hidden Markov Models technology. Concerning to several heart pathologies the analysis of the intervals between the first and second heart sounds is of utmost importance. Such intervals are silent for a normal subject and the presence of murmurs indicate certain cardiovascular defects and diseases. While the first heart sound can easily be detected if the ECG is available, the second heart sound is much more diff...

  1. 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.

  2. 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.

  3. Application of Markov Chains to Stock Trends

    Directory of Open Access Journals (Sweden)

    Kevin J. Doubleday

    2011-01-01

    Full Text Available Problem statement: Modeling of the Dow Jones Industrial Average is frequently attempted in order to determine trading strategies with maximum payoff. Changes in the DJIA are important since movements may affect both individuals and corporations profoundly. Previous work showed that modeling a market as a random walk was valid and that a market may be viewed as having the Markov property. Approach: The aim of this research was to determine the relationship between a diverse portfolio of stocks and the market as a whole. To that end, the DJIA was analyzed using a discrete time stochastic model, namely a Markov Chain. Two models were highlighted, where the DJIA was considered as being in a state of (1 gain or loss and (2 small, moderate, or large gain or loss. A portfolio of five stocks was then considered and two models of the portfolio much the same as those for the DJIA. These models were used to obtain transitional probabilities and steady state probabilities. Results: Our results indicated that the portfolio behaved similarly to the entire DJIA, both in the simple model and the partitioned model. Conclusion: When treated as a Markov process, the entire market was useful in gauging how a diverse portfolio of stocks might behave. Future work may include different classifications of states to refine the transition matrices.

  4. Exact test of Hardy-Weinberg equilibrium by Markov chain Monte Carlo.

    Science.gov (United States)

    Yuan, Ao; Bonney, George E

    2003-12-01

    The assumption of Hardy-Weinberg equilibrium (HWE) among alleles is of fundamental importance in genetic studies. There are numerous testing methods for it using genotype counts data. The exact test is used when the sample size is not large enough for asymptotic approximations. There are several numerical methods to carry out this test, such as complete enumeration, Monte Carlo and Markov chain Monte Carlo simulations. Complete enumeration is impractical in many applications, especially when the table counts are large. The Monte Carlo method is simple to use but still difficult when the table counts become large. The Markov chain Monte Carlo method, by sampling a sub-table each time, is suitable for this latter situation. Based on switches among a few (no more than four) cells, the existing Markov chain samplers are highly dependent and inefficient for large tables. Here we consider a new Markov chain sampling, in which a sub-table of user-specified size is updated at each iteration. The resulting chain is less dependent, and the sampling is flexible and efficient. The conventional test for HWE is based on a few test statistics, such as the likelihood and the chi-squared statistic. To expand the family of test statistics, we consider a class of divergence measures for the departure of HWE. Examples are given as illustrations.

  5. Time-frequency representation based on time-varying autoregressive model with applications to non-stationary rotor vibration analysis

    Indian Academy of Sciences (India)

    Long Zhang; Guoliang Xiong; Hesheng Liu; Huijun Zou; Weizhong Guo

    2010-04-01

    A parametric time-frequency representation is presented based on timevarying autoregressive model (TVAR), followed by applications to non-stationary vibration signal processing. The identification of time-varying model coefficients and the determination of model order, are addressed by means of neural networks and genetic algorithms, respectively. Firstly, a simulated signal which mimic the rotor vibration during run-up stages was processed for a comparative study on TVAR and other non-parametric time-frequency representations such as Short Time Fourier Transform, Continuous Wavelet Transform, Empirical Mode Decomposition, Wigner–Ville Distribution and Choi–Williams Distribution, in terms of their resolutions, accuracy, cross term suppression as well as noise resistance. Secondly, TVAR was applied to analyse non-stationary vibration signals collected from a rotor test rig during run-up stages, with an aim to extract fault symptoms under non-stationary operating conditions. Simulation and experimental results demonstrate that TVAR is an effective solution to non-stationary signal analysis and has strong capability in signal time-frequency feature extraction.

  6. Markov invariants, plethysms, and phylogenetics (the long version)

    CERN Document Server

    Sumner, J G; Jermiin, L S; Jarvis, P D

    2008-01-01

    We explore model based techniques of phylogenetic tree inference exercising Markov invariants. Markov invariants are group invariant polynomials and are distinct from what is known in the literature as phylogenetic invariants, although we establish a commonality in some special cases. We show that the simplest Markov invariant forms the foundation of the Log-Det distance measure. We take as our primary tool group representation theory, and show that it provides a general framework for analysing Markov processes on trees. From this algebraic perspective, the inherent symmetries of these processes become apparent, and focusing on plethysms, we are able to define Markov invariants and give existence proofs. We give an explicit technique for constructing the invariants, valid for any number of character states and taxa. For phylogenetic trees with three and four leaves, we demonstrate that the corresponding Markov invariants can be fruitfully exploited in applied phylogenetic studies.

  7. A path-independent method for barrier option pricing in hidden Markov models

    Science.gov (United States)

    Rashidi Ranjbar, Hedieh; Seifi, Abbas

    2015-12-01

    This paper presents a method for barrier option pricing under a Black-Scholes model with Markov switching. We extend the option pricing method of Buffington and Elliott to price continuously monitored barrier options under a Black-Scholes model with regime switching. We use a regime switching random Esscher transform in order to determine an equivalent martingale pricing measure, and then solve the resulting multidimensional integral for pricing barrier options. We have calculated prices for down-and-out call options under a two-state hidden Markov model using two different Monte-Carlo simulation approaches and the proposed method. A comparison of the results shows that our method is faster than Monte-Carlo simulation methods.

  8. Analyticity of entropy rate of hidden Markov chains

    OpenAIRE

    Han, G; Marcus, B

    2006-01-01

    We prove that under mild positivity assumptions the entropy rate of a hidden Markov chain varies analytically as a function of the underlying Markov chain parameters. A general principle to determine the domain of analyticity is stated. An example is given to estimate the radius of convergence for the entropy rate. We then show that the positivity assumptions can be relaxed, and examples are given for the relaxed conditions. We study a special class of hidden Markov chains in more detail: bin...

  9. On the embedding problem for discrete-time Markov chains

    OpenAIRE

    Guerry, Marie-Anne

    2013-01-01

    When a discrete-time homogenous Markov chain is observed at time intervals that correspond to its time unit, then the transition probabilities of the chain can be estimated using known maximum likelihood estimators. In this paper we consider a situation when a Markov chain is observed on time intervals with length equal to twice the time unit of the Markov chain. The issue then arises of characterizing probability matrices whose square root(s) are also probability matrices. ...

  10. Hitting time and inverse problems for Markov chains

    OpenAIRE

    de la Peña, Victor; Gzyl, Henryk; McDonald, Patrick

    2008-01-01

    Let Wn be a simple Markov chain on the integers. Suppose that Xn is a simple Markov chain on the integers whose transition probabilities coincide with those of Wn off a finite set. We prove that there is an M > 0 such that the Markov chain Wn and the joint distributions of the first hitting time and first hitting place of Xn started at the origin for the sets {-M, M} and {-(M + 1), (M + 1)} algorithmically determine the transition probabilities of Xn.

  11. Probing turbulence intermittency via Auto-Regressive Moving-Average models

    CERN Document Server

    Faranda, Davide; Dubrulle, Berengere; Daviaud, Francois

    2014-01-01

    We suggest a new approach to probing intermittency corrections to the Kolmogorov law in turbulent flows based on the Auto-Regressive Moving-Average modeling of turbulent time series. We introduce a new index $\\Upsilon$ that measures the distance from a Kolmogorov-Obukhov model in the Auto-Regressive Moving-Average models space. Applying our analysis to Particle Image Velocimetry and Laser Doppler Velocimetry measurements in a von K\\'arm\\'an swirling flow, we show that $\\Upsilon$ is proportional to the traditional intermittency correction computed from the structure function. Therefore it provides the same information, using much shorter time series. We conclude that $\\Upsilon$ is a suitable index to reconstruct the spatial intermittency of the dissipation in both numerical and experimental turbulent fields.

  12. Vector autoregression, structural equation modeling, and their synthesis in neuroimaging data analysis.

    Science.gov (United States)

    Chen, Gang; Glen, Daniel R; Saad, Ziad S; Paul Hamilton, J; Thomason, Moriah E; Gotlib, Ian H; Cox, Robert W

    2011-12-01

    Vector autoregression (VAR) and structural equation modeling (SEM) are two popular brain-network modeling tools. VAR, which is a data-driven approach, assumes that connected regions exert time-lagged influences on one another. In contrast, the hypothesis-driven SEM is used to validate an existing connectivity model where connected regions have contemporaneous interactions among them. We present the two models in detail and discuss their applicability to FMRI data, and their interpretational limits. We also propose a unified approach that models both lagged and contemporaneous effects. The unifying model, structural vector autoregression (SVAR), may improve statistical and explanatory power, and avoid some prevalent pitfalls that can occur when VAR and SEM are utilized separately.

  13. An Application of Non-Linear Autoregressive Neural Networks to Predict Energy Consumption in Public Buildings

    Directory of Open Access Journals (Sweden)

    Luis Gonzaga Baca Ruiz

    2016-08-01

    Full Text Available This paper addresses the problem of energy consumption prediction using neural networks over a set of public buildings. Since energy consumption in the public sector comprises a substantial share of overall consumption, the prediction of such consumption represents a decisive issue in the achievement of energy savings. In our experiments, we use the data provided by an energy consumption monitoring system in a compound of faculties and research centers at the University of Granada, and provide a methodology to predict future energy consumption using nonlinear autoregressive (NAR and the nonlinear autoregressive neural network with exogenous inputs (NARX, respectively. Results reveal that NAR and NARX neural networks are both suitable for performing energy consumption prediction, but also that exogenous data may help to improve the accuracy of predictions.

  14. Image restoration using 2D autoregressive texture model and structure curve construction

    Science.gov (United States)

    Voronin, V. V.; Marchuk, V. I.; Petrosov, S. P.; Svirin, I.; Agaian, S.; Egiazarian, K.

    2015-05-01

    In this paper an image inpainting approach based on the construction of a composite curve for the restoration of the edges of objects in an image using the concepts of parametric and geometric continuity is presented. It is shown that this approach allows to restore the curved edges and provide more flexibility for curve design in damaged image by interpolating the boundaries of objects by cubic splines. After edge restoration stage, a texture restoration using 2D autoregressive texture model is carried out. The image intensity is locally modeled by a first spatial autoregressive model with support in a strongly causal prediction region on the plane. Model parameters are estimated by Yule-Walker method. Several examples considered in this paper show the effectiveness of the proposed approach for large objects removal as well as recovery of small regions on several test images.

  15. Settlement Prediction for Buildings Surrounding Foundation Pits Based on a Stationary Auto-regression Model

    Institute of Scientific and Technical Information of China (English)

    TIAN Lin-ya; HUA Xi-sheng

    2007-01-01

    To ensure the safety of buildings surrounding foundation pits, a study was made on a settlement monitoring and trend prediction method. A statistical testing method for analyzing the stability of a settlement monitoring datum has been discussed. According to a comprehensive survey, data of 16 stages at operating control point, were verified by a standard t test to determine the stability of the operating control point. A stationary auto-regression model, AR(p), used for the observation point settlement prediction has been investigated. Given the 16 stages of the settlement data at an observation point, the applicability of this model was analyzed. Settlement of last four stages was predicted using the stationary auto-regression model AR (1); the maximum difference between predicted and measured values was 0.6 mm,indicating good prediction results of the model. Hence, this model can be applied to settlement predictions for buildings surrounding foundation pits.

  16. Bounds on Lifting Continuous Markov Chains to Speed Up Mixing

    OpenAIRE

    Ramanan, Kavita; Smith, Aaron

    2016-01-01

    It is often possible to speed up the mixing of a Markov chain $\\{ X_{t} \\}_{t \\in \\mathbb{N}}$ on a state space $\\Omega$ by \\textit{lifting}, that is, running a more efficient Markov chain $\\{ \\hat{X}_{t} \\}_{t \\in \\mathbb{N}}$ on a larger state space $\\hat{\\Omega} \\supset \\Omega$ that projects to $\\{ X_{t} \\}_{t \\in \\mathbb{N}}$ in a certain sense. In [CLP99], Chen, Lov{\\'a}sz and Pak prove that for Markov chains on finite state spaces, the mixing time of any lift of a Markov chain is at lea...

  17. Observational constraints on G-corrected holographic dark energy using a Markov chain Monte Carlo method

    OpenAIRE

    Alavirad, Hamzeh; Malekjani, Mohammad

    2013-01-01

    We constrain holographic dark energy (HDE) with time varying gravitational coupling constant in the framework of the modified Friedmann equations using cosmological data from type Ia supernovae, baryon acoustic oscillations, cosmic microwave background radiation and X-ray gas mass fraction. Applying a Markov Chain Monte Carlo (MCMC) simulation, we obtain the best fit values of the model and cosmological parameters within $1\\sigma$ confidence level (CL) in a flat universe as: $\\Omega_{\\rm b}h^...

  18. Convergence measure and some parallel aspects of Markov-chain Monte Carlo algorithms

    Science.gov (United States)

    Malfait, Maurits J.; Roose, Dirk; Vandermeulen, Dirk

    1993-10-01

    We examine methods to assess the convergence of Markov chain Monte Carlo (MCMC) algorithms and to accelerate their execution via parallel computing. We propose a convergence measure based on the deviations between simultaneously running MCMC algorithms. We also examine the acceleration of MCMC algorithms when independent parallel sampler are used and report on some experiments with coupled samplers. As applications we use small Ising model simulations and a larger medical image processing algorithm.

  19. Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model

    OpenAIRE

    Van Heerden, Dorathea; Rodrigues, Jose; Hockly, Dale; Lambert, Bongani; Taljard, Tjaart; Phiri, Andrew

    2013-01-01

    This study deviates from the conventional use of a linear approach in testing for the efficiency market hypothesis (EMH) for the Johannesburg Stock Exchange (JSE) between the periods 2001:01 to 2013:07. By making use of a threshold autoregressive (TAR) model and corresponding asymmetric unit root tests, our study demonstrates how the stock market indexes evolve as highly persistent, nonlinear process and yet for a majority of the time series under observation, the formal unit root tests rejec...

  20. Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries

    OpenAIRE

    Stefan Mittnik; Thorsten Neumann

    2001-01-01

    We analyze the dynamic relationship between public investment and output. Whereas existing empirical studies on the effects of public capital typically rely on single-equation models of the private sector, we investigate the role of public investment in an economy by examining impulse responses derived from vector autoregressions. Using data from six industrial countries, we specifically examine the following questions: does higher public investment lead to GDP increases; is there reverse cau...

  1. A graphical vector autoregressive modelling approach to the analysis of electronic diary data

    OpenAIRE

    Zipfel Stephan; Hartmann Mechthild; Friederich Hans-Christoph; Eichler Michael; Wild Beate; Herzog Wolfgang

    2010-01-01

    Abstract Background In recent years, electronic diaries are increasingly used in medical research and practice to investigate patients' processes and fluctuations in symptoms over time. To model dynamic dependence structures and feedback mechanisms between symptom-relevant variables, a multivariate time series method has to be applied. Methods We propose to analyse the temporal interrelationships among the variables by a structural modelling approach based on graphical vector autoregressive (...

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

    OpenAIRE

    Zhihua Wang; Yongbo Zhang; Huimin Fu

    2014-01-01

    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 predictio...

  3. Determinants of Target Dividend Payout Ratio: A Panel Autoregressive Distributed Lag Analysis

    OpenAIRE

    Kartal Demirgüneþ

    2015-01-01

    The aim of this study is to find out the determinants of target dividend payout ratio (TDPR) of BIST - listed firms operating in the non-metallic products (cement) manufacturing industry in the period of 2002-2012. Through this aim, the short and long-run effects of factors related to profitability, liquidity, growth, risk, market expectations and taxation on TDPR is analyzed via panel autoregressive distributed lag analysis methodology. Empirical findings indicate that in the long-run, facto...

  4. Effects of US Monetary Policy Shocks During Financial Crises - A Threshold Vector Autoregression Approach

    OpenAIRE

    Jasmine Zheng

    2013-01-01

    This paper analyzes the impact and effectiveness of conventional monetary policy during periods of low and high financial stress in the US economy. Using data from 1973Q1 to 2008Q4, the analysis is conducted by estimating a Threshold Vector Autoregression (TVAR) model to capture switching between the low and high financial stress regimes implied by the theoretical literature. The empirical findings support regime-dependent effects of conventional US monetary policy. In particular, the output ...

  5. Two-dimensional minimum free energy autoregressive parametric modelling and spectral estimation

    OpenAIRE

    Kiernan, P.

    1995-01-01

    We present a new high resolution spectral estimation method. This method is a 2-D extension of the Minimum Free Energy (MFE) parameter estimation technique based on extension of the multidimensional Levinson method Our 2-D MFE technique determines autoregressive (AR) models for 2-D fields MFE-AR models may be used for 2-D spectral estimation. The performance of the technique for spectral estimation of closely spaced 2-D sinusoids in white noise is demonstrated by numerical example. Experi...

  6. Price and Income Elasticity of Australian Retail Finance: An Autoregressive Distributed Lag (ARDL) Approach

    OpenAIRE

    Helen Higgs; Andrew C. Worthington

    2014-01-01

    This paper models the price and income elasticity of retail finance in Australia using aggregate quarterly data and an autoregressive distributed lag (ARDL) approach. We particularly focus on the impact of the global financial crisis (GFC) from 2007 onwards on retail finance demand and analyse four submarkets (period analysed in brackets): owneroccupied housing loans (Sep 1985–June 2010), term loans (for motor vehicles, household goods and debt consolidation, etc.) (Dec 1988–Jun 2010), cre...

  7. Time-varying parameter auto-regressive models for autocovariance nonstationary time series

    Institute of Scientific and Technical Information of China (English)

    FEI WanChun; BAI Lun

    2009-01-01

    In this paper,autocovariance nonstationary time series is clearly defined on a family of time series.We propose three types of TVPAR (time-varying parameter auto-regressive) models:the full order TVPAR model,the time-unvarying order TVPAR model and the time-varying order TVPAR model for autocovariance nonstationary time series.Related minimum AIC (Akaike information criterion) estimations are carried out.

  8. Time-varying parameter auto-regressive models for autocovariance nonstationary time series

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the time-unvarying order TVPAR model and the time-varying order TV-PAR model for autocovariance nonstationary time series. Related minimum AIC (Akaike information criterion) estimations are carried out.

  9. VECTOR AUTOREGRESSION EVIDENCE ON MONETARISM: A FOCUS ON SOME DEVELOPING ECONOMIES IN SOUTH ASIA

    OpenAIRE

    MUDABBER AHMED; U. L. G. RAO

    2006-01-01

    The objective of this paper is to test the validity of two views of monetarism in Bangladesh, India, and Pakistan. A Structural Vector Autoregressive (SVAR) model is developed and the objective is accomplished by conducting Granger causality tests and estimating variance decompositions and impulse response functions. The first view of monetarism that changes in the quantity of money cause, lead and are positively related to changes in prices at least in the medium to long time horizon is supp...

  10. Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks

    OpenAIRE

    Dueker, Michael J.; Apostolos Serletis

    2000-01-01

    In this paper, we estimate (by maximum likelihood) the parameters of univariate fractionally integrated real exchange rate time series models, and test for autoregressive unit roots on the alternative of a covariance stationary long-memory process. We use quarterly dollar-based real exchange rates (since 1957) for seventeen OECD countries, and that the finding of unit autoregressive roots does not go away even with this more sophisticated alternative.

  11. Generator estimation of Markov jump processes

    Science.gov (United States)

    Metzner, P.; Dittmer, E.; Jahnke, T.; Schütte, Ch.

    2007-11-01

    Estimating the generator of a continuous-time Markov jump process based on incomplete data is a problem which arises in various applications ranging from machine learning to molecular dynamics. Several methods have been devised for this purpose: a quadratic programming approach (cf. [D.T. Crommelin, E. Vanden-Eijnden, Fitting timeseries by continuous-time Markov chains: a quadratic programming approach, J. Comp. Phys. 217 (2006) 782-805]), a resolvent method (cf. [T. Müller, Modellierung von Proteinevolution, PhD thesis, Heidelberg, 2001]), and various implementations of an expectation-maximization algorithm ([S. Asmussen, O. Nerman, M. Olsson, Fitting phase-type distributions via the EM algorithm, Scand. J. Stat. 23 (1996) 419-441; I. Holmes, G.M. Rubin, An expectation maximization algorithm for training hidden substitution models, J. Mol. Biol. 317 (2002) 753-764; U. Nodelman, C.R. Shelton, D. Koller, Expectation maximization and complex duration distributions for continuous time Bayesian networks, in: Proceedings of the twenty-first conference on uncertainty in AI (UAI), 2005, pp. 421-430; M. Bladt, M. Sørensen, Statistical inference for discretely observed Markov jump processes, J.R. Statist. Soc. B 67 (2005) 395-410]). Some of these methods, however, seem to be known only in a particular research community, and have later been reinvented in a different context. The purpose of this paper is to compile a catalogue of existing approaches, to compare the strengths and weaknesses, and to test their performance in a series of numerical examples. These examples include carefully chosen model problems and an application to a time series from molecular dynamics.

  12. Identifying Seismicity Levels via Poisson Hidden Markov Models

    Science.gov (United States)

    Orfanogiannaki, K.; Karlis, D.; Papadopoulos, G. A.

    2010-08-01

    Poisson Hidden Markov models (PHMMs) are introduced to model temporal seismicity changes. In a PHMM the unobserved sequence of states is a finite-state Markov chain and the distribution of the observation at any time is Poisson with rate depending only on the current state of the chain. Thus, PHMMs allow a region to have varying seismicity rate. We applied the PHMM to model earthquake frequencies in the seismogenic area of Killini, Ionian Sea, Greece, between period 1990 and 2006. Simulations of data from the assumed model showed that it describes quite well the true data. The earthquake catalogue is dominated by main shocks occurring in 1993, 1997 and 2002. The time plot of PHMM seismicity states not only reproduces the three seismicity clusters but also quantifies the seismicity level and underlies the degree of strength of the serial dependence of the events at any point of time. Foreshock activity becomes quite evident before the three sequences with the gradual transition to states of cascade seismicity. Traditional analysis, based on the determination of highly significant changes of seismicity rates, failed to recognize foreshocks before the 1997 main shock due to the low number of events preceding that main shock. Then, PHMM has better performance than traditional analysis since the transition from one state to another does not only depend on the total number of events involved but also on the current state of the system. Therefore, PHMM recognizes significant changes of seismicity soon after they start, which is of particular importance for real-time recognition of foreshock activities and other seismicity changes.

  13. A Note on Markov Normalized Magnetic Eigenmaps

    CERN Document Server

    Cloninger, Alexander

    2016-01-01

    We note that building a magnetic Laplacian from the Markov transition matrix, rather than the graph adjacency matrix, yields several benefits for the magnetic eigenmaps algorithm. The two largest benefits are that the embedding becomes more stable as a function of the rotation parameter g, and the principal eigenvector of the magnetic Laplacian now converges to the page rank of the network as a function of diffusion time. We show empirically that this normalization improves the phase and real/imaginary embeddings of the low-frequency eigenvectors of the magnetic Laplacian.

  14. 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.

  15. 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.

  16. 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...

  17. Performance sensitivities for parameterized Markov systems

    Institute of Scientific and Technical Information of China (English)

    Xiren CAO; Junyu ZHANG

    2004-01-01

    It is known that the performance potentials (or equivalently, perturbation realization factors) can be used as building blocks for performance sensitivities of Markov systems. In parameterized systems, the changes in parameters may only affect some states, and the explicit transition probability matrix may not be known. In this paper, we use an example to show that we can use potentials to construct performance sensitivities in a more flexible way; only the potentials at the affected states need to be estimated, and the transition probability matrix need not be known. Policy iteration algorithms, which are simpler than the standard one, can be established.

  18. Partially Observed, Multi-objective Markov Games

    OpenAIRE

    Chang, Yanling; Erera, Alan L.; White III, Chelsea C.

    2014-01-01

    The intent of this research is to generate a set of non-dominated policies from which one of two agents (the leader) can select a most preferred policy to control a dynamic system that is also affected by the control decisions of the other agent (the follower). The problem is described by an infinite horizon, partially observed Markov game (POMG). At each decision epoch, each agent knows: its past and present states, its past actions, and noise corrupted observations of the other agent's past...

  19. SEMI-BLIND CHANNEL ESTIMATION OF MULTIPLE-INPUT/MULTIPLE-OUTPUT SYSTEMS BASED ON MARKOV CHAIN MONTE CARLO METHODS

    Institute of Scientific and Technical Information of China (English)

    Jiang Wei; Xiang Haige

    2004-01-01

    This paper addresses the issues of channel estimation in a Multiple-Input/Multiple-Output (MIMO) system. Markov Chain Monte Carlo (MCMC) method is employed to jointly estimate the Channel State Information (CSI) and the transmitted signals. The deduced algorithms can work well under circumstances of low Signal-to-Noise Ratio (SNR). Simulation results are presented to demonstrate their effectiveness.

  20. The Laplace Functional and Moments for Markov Branching Chains in Random Environments

    Institute of Scientific and Technical Information of China (English)

    HU Di-he; ZHANG Shu-lin

    2005-01-01

    The concepts of random Markov matrix, Markov branching chain in random environment (MBCRE) and Laplace functional of Markov branching chain in random environment (LFMBCRE) are introduced. The properties of LFMBCRE and the explicit formulas of moments of MBCRE are given.

  1. A Markov Chain-based quantitative study of angular distribution of photons through turbid slabs via isotropic light scattering

    Science.gov (United States)

    Li, Xuesong; Northrop, William F.

    2016-04-01

    This paper describes a quantitative approach to approximate multiple scattering through an isotropic turbid slab based on Markov Chain theorem. There is an increasing need to utilize multiple scattering for optical diagnostic purposes; however, existing methods are either inaccurate or computationally expensive. Here, we develop a novel Markov Chain approximation approach to solve multiple scattering angular distribution (AD) that can accurately calculate AD while significantly reducing computational cost compared to Monte Carlo simulation. We expect this work to stimulate ongoing multiple scattering research and deterministic reconstruction algorithm development with AD measurements.

  2. 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.

  3. Learning loosely connected Markov random fields

    Directory of Open Access Journals (Sweden)

    Rui Wu

    2014-01-01

    Full Text Available We consider the structure learning problem for graphical models that we call loosely connected Markov random fields, in which the number of short paths between any pair of nodes is small, and present a new conditional independence test based algorithm for learning the underlying graph structure. The novel maximization step in our algorithm ensures that the true edges are detected correctly even when there are short cycles in the graph. The number of samples required by our algorithm is C log p, where p is the size of the graph and the constant C depends on the parameters of the model. We show that several previously studied models are examples of loosely connected Markov random fields, and our algorithm achieves the same or lower computational complexity than the previously designed algorithms for individual cases. We also get new results for more general graphical models, in particular, our algorithm learns general Ising models on the Erdős-Réenyi random graph $\\mathcal{G}(p, \\frac{c}{p}$ correctly with running time $O(np^5$.

  4. Markov Chain Monte Carlo and Irreversibility

    Science.gov (United States)

    Ottobre, Michela

    2016-06-01

    Markov Chain Monte Carlo (MCMC) methods are statistical methods designed to sample from a given measure π by constructing a Markov chain that has π as invariant measure and that converges to π. Most MCMC algorithms make use of chains that satisfy the detailed balance condition with respect to π; such chains are therefore reversible. On the other hand, recent work [18, 21, 28, 29] has stressed several advantages of using irreversible processes for sampling. Roughly speaking, irreversible diffusions converge to equilibrium faster (and lead to smaller asymptotic variance as well). In this paper we discuss some of the recent progress in the study of nonreversible MCMC methods. In particular: i) we explain some of the difficulties that arise in the analysis of nonreversible processes and we discuss some analytical methods to approach the study of continuous-time irreversible diffusions; ii) most of the rigorous results on irreversible diffusions are available for continuous-time processes; however, for computational purposes one needs to discretize such dynamics. It is well known that the resulting discretized chain will not, in general, retain all the good properties of the process that it is obtained from. In particular, if we want to preserve the invariance of the target measure, the chain might no longer be reversible. Therefore iii) we conclude by presenting an MCMC algorithm, the SOL-HMC algorithm [23], which results from a nonreversible discretization of a nonreversible dynamics.

  5. Remarks on a monotone Markov chain

    Directory of Open Access Journals (Sweden)

    P. Todorovic

    1987-01-01

    Full Text Available In applications, considerations on stochastic models often involve a Markov chain {ζn}0∞ with state space in R+, and a transition probability Q. For each x  R+ the support of Q(x,. is [0,x]. This implies that ζ0≥ζ1≥…. Under certain regularity assumptions on Q we show that Qn(x,Bu→1 as n→∞ for all u>0 and that 1−Qn(x,Bu≤[1−Q(x,Bu]n where Bu=[0,u. Set τ0=max{k;ζk=ζ0}, τn=max{k;ζk=ζτn−1+1} and write Xn=ζτn−1+1, Tn=τn−τn−1. We investigate some properties of the imbedded Markov chain {Xn}0∞ and of {Tn}0∞. We determine all the marginal distributions of {Tn}0∞ and show that it is asymptotically stationary and that it possesses a monotonicity property. We also prove that under some mild regularity assumptions on β(x=1−Q(x,Bx, ∑1n(Ti−a/bn→dZ∼N(0,1.

  6. A Markov model of the Indus script.

    Science.gov (United States)

    Rao, Rajesh P N; Yadav, Nisha; Vahia, Mayank N; Joglekar, Hrishikesh; Adhikari, R; Mahadevan, Iravatham

    2009-08-18

    Although no historical information exists about the Indus civilization (flourished ca. 2600-1900 B.C.), archaeologists have uncovered about 3,800 short samples of a script that was used throughout the civilization. The script remains undeciphered, despite a large number of attempts and claimed decipherments over the past 80 years. Here, we propose the use of probabilistic models to analyze the structure of the Indus script. The goal is to reveal, through probabilistic analysis, syntactic patterns that could point the way to eventual decipherment. We illustrate the approach using a simple Markov chain model to capture sequential dependencies between signs in the Indus script. The trained model allows new sample texts to be generated, revealing recurring patterns of signs that could potentially form functional subunits of a possible underlying language. The model also provides a quantitative way of testing whether a particular string belongs to the putative language as captured by the Markov model. Application of this test to Indus seals found in Mesopotamia and other sites in West Asia reveals that the script may have been used to express different content in these regions. Finally, we show how missing, ambiguous, or unreadable signs on damaged objects can be filled in with most likely predictions from the model. Taken together, our results indicate that the Indus script exhibits rich synactic structure and the ability to represent diverse content. both of which are suggestive of a linguistic writing system rather than a nonlinguistic symbol system. PMID:19666571

  7. 基于Markov和CLUE-S模型的敦煌市土地利用/覆盖格局情景模拟%Scenarios simulation of land use/cover pattern in Dunhuang City, Gansu Province of Northwest China based on Markov and CLUE-S integrated model

    Institute of Scientific and Technical Information of China (English)

    马利邦; 牛叔文; 杨丽娜

    2012-01-01

    建立Markov过程模型和CLUE-S模型的集成模型,选取海拔、坡度、到河流距离、到道路距离等13个驱动因子,基于敦煌市1996年的土地利用/覆盖变化(LUCC)数据,对2007年的土地利用/覆盖格局进行模拟,模拟效果较好.设置4种情景对敦煌市2018年土地利用/覆盖格局进行预测,揭示不同情景下的土地利用格局变化.情景模拟结果表明:不论是自然发展型情景还是单纯考虑生态保护和经济发展的情景,都仅是单一需求的考虑,不能实现区域又快又好的发展,是不可持续的发展模式.综合发展型情景弥补了上述情景的缺点,比较全面地考虑了生态环境恢复、经济发展等的需要,是一种比较理想的发展模式.%A Markov and CLUE-S integrated model was established to simulate the land use/cover pattern in Dunhuang City in 2007, based on the land use/cover change data in 1996 and selecting altitude, slope, distance to river, and distance to road, etc. as the driving factors. The simulation results had a high reliability, and matched well with the actual situation. In order to reveal the future changes of the land use pattern in the City, four scenarios were set to predict the land use/cover pattern in the City in 2018. The simulation results showed that whether the scenarios were of natural development-oriented or only considering ecological protection and economic development, they were only single demand consideration and could not realize sound and rapid development, being of unsustainable development model. However, the comprehensive development-oriented scenario overcame the shortcomings of the above scenarios, and would be an ideal model of region development, which comprehensively considered the needs of ecological environment restoration and economic development.

  8. Extending Markov Automata with State and Action Rewards

    NARCIS (Netherlands)

    Guck, Dennis; Timmer, Mark; Blom, Stefan; Bertrand, N.; Bortolussi, L.

    2014-01-01

    This presentation introduces the Markov Reward Automaton (MRA), an extension of the Markov automaton that allows the modelling of systems incorporating rewards in addition to nondeterminism, discrete probabilistic choice and continuous stochastic timing. Our models support both rewards that are acqu

  9. 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

  10. Recursive smoothers for hidden discrete-time Markov chains

    Directory of Open Access Journals (Sweden)

    Lakhdar Aggoun

    2005-01-01

    Full Text Available We consider a discrete-time Markov chain observed through another Markov chain. The proposed model extends models discussed by Elliott et al. (1995. We propose improved recursive formulae to update smoothed estimates of processes related to the model. These recursive estimates are used to update the parameter of the model via the expectation maximization (EM algorithm.

  11. On Equalities for BLUEs under Misspecified Gauss-Markov Models

    Institute of Scientific and Technical Information of China (English)

    Yong Ge TIAN

    2009-01-01

    This paper studies relationships between the best linear unbiased estimators (BLUEs) of an estimable parametric functions Kβ under the Gauss-Markov model {y, Xβ, σ~22∑} and its misspecified model {y, X_0β, σ~2∑_0}. In addition, relationships between BLUEs under a restricted Ganss-Markov model and its misspecified model are also investigated.

  12. 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 bor

  13. Introduction to the numerical solutions of Markov chains

    CERN Document Server

    Stewart, Williams J

    1994-01-01

    A cornerstone of applied probability, Markov chains can be used to help model how plants grow, chemicals react, and atoms diffuse - and applications are increasingly being found in such areas as engineering, computer science, economics, and education. To apply the techniques to real problems, however, it is necessary to understand how Markov chains can be solved numerically. In this book, the first to offer a systematic and detailed treatment of the numerical solution of Markov chains, William Stewart provides scientists on many levels with the power to put this theory to use in the actual world, where it has applications in areas as diverse as engineering, economics, and education. His efforts make for essential reading in a rapidly growing field. Here, Stewart explores all aspects of numerically computing solutions of Markov chains, especially when the state is huge. He provides extensive background to both discrete-time and continuous-time Markov chains and examines many different numerical computing metho...

  14. 平滑转换自回归模型的平稳性问题研究%Research on the Stationarity of Smooth Transition Autoregressive Model

    Institute of Scientific and Technical Information of China (English)

    赵春艳

    2012-01-01

    According to the definition of weakly stationary sequence, we consider that the sequence of smooth transition autoregressive model is not weakly stationary, and using the ADF statistic to test its stationarity makes no sense. Furthermore, based on Markov Chain ergodicity, we believe that the STAR model sequence is strictly stationary, and the joint limit of the model coefficients value ensures the stationarity of the model. Using the first order logarithmic STAR model as example, its stationary condition is|β+r|〈1, whiteβ can be equal to 1 and the absolute value can also he less than 1.%根据时间序列宽平稳的定义,本文认为,平滑转换自回归模型的序列不是宽平稳序列,利用ADF统计量检验其平稳性是没有意义的;其次,依据马尔科夫链的遍历性,我们认为,STAR模型的序列是严平稳序列,且通过对模型系数的联合取值的限制保证了模型的平稳性。以一阶对数平滑转换自回归模型为例,其平稳的条件是,β与r符号相反,且|β+r|〈1,β可以等于1,也可以绝对值小于1。

  15. An Improved Markov Model for IEEE 802.15.4 Slotted CSMA/CA Mechanism

    Institute of Scientific and Technical Information of China (English)

    Hao Wen; Chuang Lin; Zhi-Jia Chen; Hao Yin; Tao He; Eryk Dutkiewicz

    2009-01-01

    IEEE 802.15.4 protocol is proposed to meet the low latency and energy consumption needs in low-rate wireless applications, however, few analytical models are tractable enough for comprehensive evaluation of the protocol. To evaluate the IEEE 802.15.4 slotted CSMA/CA channel access mechanism in this paper, we propose a practical and accurate discrete Markov chain model, which can dynamically represent different network loads. By computing the steady-state distribution probability of the Markov chain, we obtain an evaluation formula for throughput, energy consumption, and access latency. Then we further analyze the parameters that influence performance including packet arrival rate, initial backoff exponent and maximum backoff number. Finally, NS2 simulator has been used to evaluate the performance of the 802.15.4 CSMA/CA mechanism under different scenarios and to validate the accuracy of the proposed model.

  16. 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.

  17. Markov-Binary Visibility Graph: a new method for analyzing Complex Systems

    CERN Document Server

    Sadra, Yaser; Ahadpour, Sodief

    2011-01-01

    In this work, we introduce a new and simple transformation from time series to complex networks based on markov-binary visibility graph(MBVG). Due to the simple structure of this transformation in comparison with other transformations be obtained more precise results. Moreover, several topological aspects of the constructed graph, such as degree distribution, clustering coefficient, and mean visibility length have been thoroughly investigated. Numerical simulations confirm the reliability of markov-binary visibility graph for time series analysis. This algorithm have the capability of distinguishing between uncorrelated and correlated systems. Finaly, we illustrate this algorithm analyzing the human heartbeat dynamics. The results indicate that the human heartbeat (RR-interval) time series of normally, Congestive Heart Failure (CHF) and Atrial Fibrillation (AF) subjects are uncorrelated, chaotic and correlated stochastic systems, respectively.

  18. Hidden Markov Model-based Packet Loss Concealment for Voice over IP

    DEFF Research Database (Denmark)

    Rødbro, Christoffer A.; Murthi, Manohar N.; Andersen, Søren Vang;

    2006-01-01

    As voice over IP proliferates, packet loss concealment (PLC) at the receiver has emerged as an important factor in determining voice quality of service. Through the use of heuristic variations of signal and parameter repetition and overlap-add interpolation to handle packet loss, conventional PLC...... systems largely ignore the dynamics of the statistical evolution of the speech signal, possibly leading to perceptually annoying artifacts. To address this problem, we propose the use of hidden Markov models for PLC. With a hidden Markov model (HMM) tracking the evolution of speech signal parameters, we...... demonstrate how PLC is performed within a statistical signal processing framework. Moreover, we show how the HMM is used to index a specially designed PLC module for the particular signal context, leading to signal-contingent PLC. Simulation examples, objective tests, and subjective listening tests...

  19. One-Way Markov Process Approach to Repeat Times of Large Earthquakes in Faults

    Science.gov (United States)

    Tejedor, Alejandro; Gomez, Javier B.; Pacheco, Amalio F.

    2012-11-01

    One of the uses 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. We propose a general one-way Markovian model in which the waiting time distribution, its first moments, coefficient of variation, and functions of error and alarm (related to the predictability of the model) can be obtained analytically. The fact that in any one-way Markov cycle the coefficient of variation of the corresponding distribution of cycle lengths is always lower than one concurs with observations of large earthquakes in seismic faults. The waiting time distribution of one of the limits of this model is the negative binomial distribution; as an application, we use it to fit the Parkfield earthquake series in the San Andreas fault, California.

  20. 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.

  1. 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.

  2. Effect of Markov and Non-Markov Classical Noise on Entanglement Dynamics

    CERN Document Server

    Bordone, Paolo; Benedetti, Claudia

    2012-01-01

    We analyze the effect of a classical noise into the entanglement dynamics between two particles, initially entangled, subject to continuous time quantum walks in a one-dimensional lattice. The noise is modeled by randomizing the transition amplitudes from one site to another. Both Markovian and non-Markovian environments are considered. For the Markov regime an exponential decay of the initial quantum correlation is found, while the loss of coherence of the quantum state increases monotonically with time up to a saturation value depending upon the degrees of freedom of the system. For the non-Markov regime the presence or absence of entanglement revival and entanglement sudden death phenomena is found or deduced depending on the peculiar characteristics of the noise. Our results indicate that the entanglement dynamics in the non-Markovian regime is affected by the persistence of the memory effects of the environment and by its intrinsic features.

  3. 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.

  4. Non-Markov stochastic processes satisfying equations usually associated with a Markov process

    Science.gov (United States)

    McCauley, J. L.

    2012-04-01

    There are non-Markov Ito processes that satisfy the Fokker-Planck, backward time Kolmogorov, and Chapman-Kolmogorov equations. These processes are non-Markov in that they may remember an initial condition formed at the start of the ensemble. Some may even admit 1-point densities that satisfy a nonlinear 1-point diffusion equation. However, these processes are linear, the Fokker-Planck equation for the conditional density (the 2-point density) is linear. The memory may be in the drift coefficient (representing a flow), in the diffusion coefficient, or in both. We illustrate the phenomena via exactly solvable examples. In the last section we show how such memory may appear in cooperative phenomena.

  5. Probabilistic Resilience in Hidden Markov Models

    Science.gov (United States)

    Panerati, Jacopo; Beltrame, Giovanni; Schwind, Nicolas; Zeltner, Stefan; Inoue, Katsumi

    2016-05-01

    Originally defined in the context of ecological systems and environmental sciences, resilience has grown to be a property of major interest for the design and analysis of many other complex systems: resilient networks and robotics systems other the desirable capability of absorbing disruption and transforming in response to external shocks, while still providing the services they were designed for. Starting from an existing formalization of resilience for constraint-based systems, we develop a probabilistic framework based on hidden Markov models. In doing so, we introduce two new important features: stochastic evolution and partial observability. Using our framework, we formalize a methodology for the evaluation of probabilities associated with generic properties, we describe an efficient algorithm for the computation of its essential inference step, and show that its complexity is comparable to other state-of-the-art inference algorithms.

  6. Growth and dissolution of macromolecular Markov chains

    CERN Document Server

    Gaspard, Pierre

    2016-01-01

    The kinetics and thermodynamics of free living copolymerization are studied for processes with rates depending on k monomeric units of the macromolecular chain behind the unit that is attached or detached. In this case, the sequence of monomeric units in the growing copolymer is a kth-order Markov chain. In the regime of steady growth, the statistical properties of the sequence are determined analytically in terms of the attachment and detachment rates. In this way, the mean growth velocity as well as the thermodynamic entropy production and the sequence disorder can be calculated systematically. These different properties are also investigated in the regime of depolymerization where the macromolecular chain is dissolved by the surrounding solution. In this regime, the entropy production is shown to satisfy Landauer's principle.

  7. Learning Markov Decision Processes for Model Checking

    Directory of Open Access Journals (Sweden)

    Hua Mao

    2012-12-01

    Full Text Available Constructing an accurate system model for formal model verification can be both resource demanding and time-consuming. To alleviate this shortcoming, algorithms have been proposed for automatically learning system models based on observed system behaviors. In this paper we extend the algorithm on learning probabilistic automata to reactive systems, where the observed system behavior is in the form of alternating sequences of inputs and outputs. We propose an algorithm for automatically learning a deterministic labeled Markov decision process model from the observed behavior of a reactive system. The proposed learning algorithm is adapted from algorithms for learning deterministic probabilistic finite automata, and extended to include both probabilistic and nondeterministic transitions. The algorithm is empirically analyzed and evaluated by learning system models of slot machines. The evaluation is performed by analyzing the probabilistic linear temporal logic properties of the system as well as by analyzing the schedulers, in particular the optimal schedulers, induced by the learned models.

  8. Binary hidden Markov models and varieties

    CERN Document Server

    Critch, Andrew J

    2012-01-01

    The technological applications of hidden Markov models have been extremely diverse and successful, including natural language processing, gesture recognition, gene sequencing, and Kalman filtering of physical measurements. HMMs are highly non-linear statistical models, and just as linear models are amenable to linear algebraic techniques, non-linear models are amenable to commutative algebra and algebraic geometry. This paper examines closely those HMMs in which all the random variables, called nodes, are binary. Its main contributions are (1) minimal defining equations for the 4-node model, comprising 21 quadrics and 29 cubics, which were computed using Gr\\"obner bases in the cumulant coordinates of Sturmfels and Zwiernik, and (2) a birational parametrization for every binary HMM, with an explicit inverse for recovering the hidden parameters in terms of observables. The new model parameters in (2) are hence rationally identifiable in the sense of Sullivant, Garcia-Puente, and Spielvogel, and each model's Zar...

  9. Markov and mixed models with applications

    DEFF Research Database (Denmark)

    Mortensen, Stig Bousgaard

    This thesis deals with mathematical and statistical models with focus on applications in pharmacokinetic and pharmacodynamic (PK/PD) modelling. These models are today an important aspect of the drug development in the pharmaceutical industry and continued research in statistical methodology within...... these areas are thus important. PK models are concerned with describing the concentration profile of a drug in both humans and animals after drug intake whereas PD models are used to describe the effect of a drug in relation to the drug concentration. PK models for an individual are usually described...... 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...

  10. Learning Markov Decision Processes for Model Checking

    DEFF Research Database (Denmark)

    Mao, Hua; Chen, Yingke; Jaeger, Manfred;

    2012-01-01

    . The proposed learning algorithm is adapted from algorithms for learning deterministic probabilistic finite automata, and extended to include both probabilistic and nondeterministic transitions. The algorithm is empirically analyzed and evaluated by learning system models of slot machines. The evaluation......Constructing an accurate system model for formal model verification can be both resource demanding and time-consuming. To alleviate this shortcoming, algorithms have been proposed for automatically learning system models based on observed system behaviors. In this paper we extend the algorithm...... on learning probabilistic automata to reactive systems, where the observed system behavior is in the form of alternating sequences of inputs and outputs. We propose an algorithm for automatically learning a deterministic labeled Markov decision process model from the observed behavior of a reactive system...

  11. Anatomy Ontology Matching Using Markov Logic Networks

    Directory of Open Access Journals (Sweden)

    Chunhua Li

    2016-01-01

    Full Text Available The anatomy of model species is described in ontologies, which are used to standardize the annotations of experimental data, such as gene expression patterns. To compare such data between species, we need to establish relationships between ontologies describing different species. Ontology matching is a kind of solutions to find semantic correspondences between entities of different ontologies. Markov logic networks which unify probabilistic graphical model and first-order logic provide an excellent framework for ontology matching. We combine several different matching strategies through first-order logic formulas according to the structure of anatomy ontologies. Experiments on the adult mouse anatomy and the human anatomy have demonstrated the effectiveness of proposed approach in terms of the quality of result alignment.

  12. NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS

    Institute of Scientific and Technical Information of China (English)

    PENG SHIGE

    2005-01-01

    This paper deals with nonlinear expectations. The author obtains a nonlinear generalization of the well-known Kolmogorov's consistent theorem and then use it to construct filtration-consistent nonlinear expectations via nonlinear Markov chains. Compared to the author's previous results, i.e., the theory of g-expectations introduced via BSDE on a probability space, the present framework is not based on a given probability measure. Many fully nonlinear and singular situations are covered. The induced topology is a natural generalization of Lp-norms and L∞-norm in linear situations.The author also obtains the existence and uniqueness result of BSDE under this new framework and develops a nonlinear type of von Neumann-Morgenstern representation theorem to utilities and present dynamic risk measures.

  13. 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.

  14. 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......Establishing an accurate model for formal verification of an existing hardware or software system is often a manual process that is both time consuming and resource demanding. In order to ease the model construction phase, methods have recently been proposed for automatically learning accurate...... the learned model. Experiments demonstrate that system properties (formulated as stationary probabilities of LTL formulas) can be reliably identified using the learned model....

  15. Synchronizing Objectives for Markov Decision Processes

    CERN Document Server

    Doyen, Laurent; Shirmohammadi, Mahsa; 10.4204/EPTCS.50.5

    2011-01-01

    We introduce synchronizing objectives for Markov decision processes (MDP). Intuitively, a synchronizing objective requires that eventually, at every step there is a state which concentrates almost all the probability mass. In particular, it implies that the probabilistic system behaves in the long run like a deterministic system: eventually, the current state of the MDP can be identified with almost certainty. We study the problem of deciding the existence of a strategy to enforce a synchronizing objective in MDPs. We show that the problem is decidable for general strategies, as well as for blind strategies where the player cannot observe the current state of the MDP. We also show that pure strategies are sufficient, but memory may be necessary.

  16. Crossing over...Markov meets Mendel.

    Science.gov (United States)

    Mneimneh, Saad

    2012-01-01

    Chromosomal crossover is a biological mechanism to combine parental traits. It is perhaps the first mechanism ever taught in any introductory biology class. The formulation of crossover, and resulting recombination, came about 100 years after Mendel's famous experiments. To a great extent, this formulation is consistent with the basic genetic findings of Mendel. More importantly, it provides a mathematical insight for his two laws (and corrects them). From a mathematical perspective, and while it retains similarities, genetic recombination guarantees diversity so that we do not rapidly converge to the same being. It is this diversity that made the study of biology possible. In particular, the problem of genetic mapping and linkage-one of the first efforts towards a computational approach to biology-relies heavily on the mathematical foundation of crossover and recombination. Nevertheless, as students we often overlook the mathematics of these phenomena. Emphasizing the mathematical aspect of Mendel's laws through crossover and recombination will prepare the students to make an early realization that biology, in addition to being experimental, IS a computational science. This can serve as a first step towards a broader curricular transformation in teaching biological sciences. I will show that a simple and modern treatment of Mendel's laws using a Markov chain will make this step possible, and it will only require basic college-level probability and calculus. My personal teaching experience confirms that students WANT to know Markov chains because they hear about them from bioinformaticists all the time. This entire exposition is based on three homework problems that I designed for a course in computational biology. A typical reader is, therefore, an instructional staff member or a student in a computational field (e.g., computer science, mathematics, statistics, computational biology, bioinformatics). However, other students may easily follow by omitting the

  17. Crossing over...Markov meets Mendel.

    Directory of Open Access Journals (Sweden)

    Saad Mneimneh

    Full Text Available Chromosomal crossover is a biological mechanism to combine parental traits. It is perhaps the first mechanism ever taught in any introductory biology class. The formulation of crossover, and resulting recombination, came about 100 years after Mendel's famous experiments. To a great extent, this formulation is consistent with the basic genetic findings of Mendel. More importantly, it provides a mathematical insight for his two laws (and corrects them. From a mathematical perspective, and while it retains similarities, genetic recombination guarantees diversity so that we do not rapidly converge to the same being. It is this diversity that made the study of biology possible. In particular, the problem of genetic mapping and linkage-one of the first efforts towards a computational approach to biology-relies heavily on the mathematical foundation of crossover and recombination. Nevertheless, as students we often overlook the mathematics of these phenomena. Emphasizing the mathematical aspect of Mendel's laws through crossover and recombination will prepare the students to make an early realization that biology, in addition to being experimental, IS a computational science. This can serve as a first step towards a broader curricular transformation in teaching biological sciences. I will show that a simple and modern treatment of Mendel's laws using a Markov chain will make this step possible, and it will only require basic college-level probability and calculus. My personal teaching experience confirms that students WANT to know Markov chains because they hear about them from bioinformaticists all the time. This entire exposition is based on three homework problems that I designed for a course in computational biology. A typical reader is, therefore, an instructional staff member or a student in a computational field (e.g., computer science, mathematics, statistics, computational biology, bioinformatics. However, other students may easily follow by

  18. On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations

    Institute of Scientific and Technical Information of China (English)

    PAN; Jiazhu; WU; Guangxu

    2005-01-01

    We study the tail probability of the stationary distribution of nonparametric nonlinear autoregressive functional conditional heteroscedastic (NARFCH) model with heavytailed innovations. Our result shows that the tail of the stationary marginal distribution of an NARFCH series is heavily dependent on its conditional variance. When the innovations are heavy-tailed, the tail of the stationary marginal distribution of the series will become heavier or thinner than that of its innovations. We give some specific formulas to show how the increment or decrement of tail heaviness depends on the assumption on the conditional variance function. Some examples are given.

  19. Statistical early-warning indicators based on Auto-Regressive Moving-Average processes

    CERN Document Server

    Faranda, Davide; Dubrulle, Bérengère

    2014-01-01

    We address the problem of defining early warning indicators of critical transition. To this purpose, we fit the relevant time series through a class of linear models, known as Auto-Regressive Moving-Average (ARMA(p,q)) models. We define two indicators representing the total order and the total persistence of the process, linked, respectively, to the shape and to the characteristic decay time of the autocorrelation function of the process. We successfully test the method to detect transitions in a Langevin model and a 2D Ising model with nearest-neighbour interaction. We then apply the method to complex systems, namely for dynamo thresholds and financial crisis detection.

  20. A self-organizing power system stabilizer using Fuzzy Auto-Regressive Moving Average (FARMA) model

    Energy Technology Data Exchange (ETDEWEB)

    Park, Y.M.; Moon, U.C. [Seoul National Univ. (Korea, Republic of). Electrical Engineering Dept.; Lee, K.Y. [Pennsylvania State Univ., University Park, PA (United States). Electrical Engineering Dept.

    1996-06-01

    This paper presents a self-organizing power system stabilizer (SOPSS) which use the Fuzzy Auto-Regressive Moving Average (FARMA) model. The control rules and the membership functions of the proposed logic controller are generated automatically without using any plant model. The generated rules are stored in the fuzzy rule space and updated on-line by a self-organizing procedure. To show the effectiveness of the proposed controller, comparison with a conventional controller for one-machine infinite-bus system is presented.

  1. 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 unit...... root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0...

  2. Trans-dimensional inversion of microtremor array dispersion data with hierarchical autoregressive error models

    Science.gov (United States)

    Dettmer, Jan; Molnar, Sheri; Steininger, Gavin; Dosso, Stan E.; Cassidy, John F.

    2012-02-01

    This paper applies a general trans-dimensional Bayesian inference methodology and hierarchical autoregressive data-error models to the inversion of microtremor array dispersion data for shear wave velocity (vs) structure. This approach accounts for the limited knowledge of the optimal earth model parametrization (e.g. the number of layers in the vs profile) and of the data-error statistics in the resulting vs parameter uncertainty estimates. The assumed earth model parametrization influences estimates of parameter values and uncertainties due to different parametrizations leading to different ranges of data predictions. The support of the data for a particular model is often non-unique and several parametrizations may be supported. A trans-dimensional formulation accounts for this non-uniqueness by including a model-indexing parameter as an unknown so that groups of models (identified by the indexing parameter) are considered in the results. The earth model is parametrized in terms of a partition model with interfaces given over a depth-range of interest. In this work, the number of interfaces (layers) in the partition model represents the trans-dimensional model indexing. In addition, serial data-error correlations are addressed by augmenting the geophysical forward model with a hierarchical autoregressive error model that can account for a wide range of error processes with a small number of parameters. Hence, the limited knowledge about the true statistical distribution of data errors is also accounted for in the earth model parameter estimates, resulting in more realistic uncertainties and parameter values. Hierarchical autoregressive error models do not rely on point estimates of the model vector to estimate data-error statistics, and have no requirement for computing the inverse or determinant of a data-error covariance matrix. This approach is particularly useful for trans-dimensional inverse problems, as point estimates may not be representative of the

  3. Asymmetric impact of rainfall on India's food grain production: evidence from quantile autoregressive distributed lag model

    Science.gov (United States)

    Pal, Debdatta; Mitra, Subrata Kumar

    2016-10-01

    This study used a quantile autoregressive distributed lag (QARDL) model to capture asymmetric impact of rainfall on food production in India. It was found that the coefficient corresponding to the rainfall in the QARDL increased till the 75th quantile and started decreasing thereafter, though it remained in the positive territory. Another interesting finding is that at the 90th quantile and above the coefficients of rainfall though remained positive was not statistically significant and therefore, the benefit of high rainfall on crop production was not conclusive. However, the impact of other determinants, such as fertilizer and pesticide consumption, is quite uniform over the whole range of the distribution of food grain production.

  4. Vector autoregression evidence on monetarism: another look at the robustness debate

    OpenAIRE

    Richard M. Todd

    1990-01-01

    This paper is a case study of the use of vector autoregression (VAR) models to test economic theories. It focuses on the work of Christopher A. Sims, who in 1980 found that relationships in economic data generated by a small VAR model were inconsistent with those implied by a simple form of monetarist theory. The paper describes the work of researchers who criticized Sims' results as not robust and Sims' response to these critics. The paper reexamines all of this work by estimating hundreds o...

  5. Large-Scale Empirical Tests of the Markov Tree Model

    Directory of Open Access Journals (Sweden)

    Harish S. Bhat

    2015-07-01

    Full Text Available The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston’s stochastic volatility model. Leveraging a total of five years of individual equity and index option data, and using three new methods for fitting the Markov Tree model, we find that the Markov Tree model makes smaller out-of-sample hedging errors than competing models. This comparison includes versions of Markov Tree and Black-Scholes models in which volatilities are strike- and maturity-dependent. Visualizing the errors over time, we find that the Markov Tree model yields more accurate and less risky single instrument hedges than Heston’s stochastic volatility model. A statistical resampling method indicates that the Markov Tree model’s superior hedging performance is due to its robustness with respect to noise in option data.

  6. 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.

  7. On the Markov-dependent risk model with tax

    Institute of Scientific and Technical Information of China (English)

    PENG Xing-chun; WANG Wen-yuan; HU Yi-jun

    2015-01-01

    In this paper we consider the Markov-dependent risk model with tax payments in which the claim occurrence, the claim amount as well as the tax rate are controlled by an irreducible discrete-time Markov chain. Systems of integro-diff erential equations satisfied by the expected discounted tax payments and the non-ruin probability in terms of the ruin probabilities under the Markov-dependent risk model without tax are established. The analytical solutions of the systems of integro-diff erential equations are also obtained by the iteration method.

  8. Markov Model Based CAC algorithms for Cellular Networks

    Directory of Open Access Journals (Sweden)

    PATLEVIČ Peter

    2010-05-01

    Full Text Available In this paper, we investigate using ofthe Hidden Markov Model philosophy for solvingconnection admission control (CAC problem incellular networks. For more effective bandwidthutilization and Quality of Service (QoS support itis necessary to solve the connection admissioncontrol with respect to minimizing blockingprobability of handoff and newly arrivedconnections. This paper looks into an thresholdoriented CAC scheme for operation with twoclasses of connections with a Markov model usedfor computation of the threshold value based oncurrent conditions in the network and so makesthe operation of the mobile network cell moreeffectively. In article we extrapolate Markov chainmodel based CAC for three classes of connectionsand sketch how to generalize problem for n classesof connections.

  9. Transformation of state space for two-parameter Markov processes

    Institute of Scientific and Technical Information of China (English)

    周健伟

    1996-01-01

    Let X=(X) be a two-parameter *-Markov process with a transition function (p1, p2, p), where X, takes values in the state space (Er,), T=[0,)2. For each r T, let f, be a measurable transformation of (E,) into the state space (E’r, ). Set Y,=f,(X,), r T. A sufficient condition is given for the process Y=(Yr) still to be a two-parameter *-Markov process with a transition function in terms of transition function (p1, p2, p) and fr. For *-Markov families of two-parameter processes with a transition function, a similar problem is also discussed.

  10. Markov Chain-based Degree Distributions of Evolving Networks

    Institute of Scientific and Technical Information of China (English)

    Xiang Xing KONG; Zhen Ting HOU; Ding Hua SHI; Quan Rong CHEN; Qing Gui ZHAO

    2012-01-01

    In this paper,we study a class of stochastic processes,called evolving network Markov chains,in evolving networks. Our approach is to transform the degree distribution problem of an evolving network to a corresponding problem of evolving network Markov chains.We investigate the evolving network Markov chains,thereby obtaining some exact formulas as well as a precise criterion for determining whether the steady degree distribution of the evolving network is a power-law or not.With this new method,we finally obtain a rigorous,exact and unified solution of the steady degree distribution of the evolving network.

  11. 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

  12. ON MARKOV CHAINS IN SPACE-TIME RANDOM ENVIRONMENTS

    Institute of Scientific and Technical Information of China (English)

    Hu Dihe; Hu Xiaoyu

    2009-01-01

    In Section 1, the authors establish the models of two kinds of Markov chains in space-time random environments (MCSTRE and MCSTRE(+)) with Abstract state space. In Section 2, the authors construct a MCSTRE and a MCSTRE(+) by an initial distribution Ф and a random Markov kernel (RMK) p(γ). In Section 3, the authors establish several equivalence theorems on MCSTRE and MCSTRE(+). Finally, the authors give two very important examples of MCMSTRE, the random walk in spce-time random environment and the Markov branching chain in space-time random environment.

  13. Diffusion maps, clustering and fuzzy Markov modeling in peptide folding transitions

    Energy Technology Data Exchange (ETDEWEB)

    Nedialkova, Lilia V.; Amat, Miguel A. [Department of Chemical and Biological Engineering, Princeton University, Princeton, New Jersey 08544 (United States); Kevrekidis, Ioannis G., E-mail: yannis@princeton.edu, E-mail: gerhard.hummer@biophys.mpg.de [Department of Chemical and Biological Engineering and Program in Applied and Computational Mathematics, Princeton University, Princeton, New Jersey 08544 (United States); Hummer, Gerhard, E-mail: yannis@princeton.edu, E-mail: gerhard.hummer@biophys.mpg.de [Department of Theoretical Biophysics, Max Planck Institute of Biophysics, Max-von-Laue-Str. 3, 60438 Frankfurt am Main (Germany)

    2014-09-21

    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.

  14. A Markov game theoretic data fusion approach for cyber situational awareness

    Science.gov (United States)

    Shen, Dan; Chen, Genshe; Cruz, Jose B., Jr.; Haynes, Leonard; Kruger, Martin; Blasch, Erik

    2007-04-01

    This paper proposes an innovative data-fusion/ data-mining game theoretic situation awareness and impact assessment approach for cyber network defense. Alerts generated by Intrusion Detection Sensors (IDSs) or Intrusion Prevention Sensors (IPSs) are fed into the data refinement (Level 0) and object assessment (L1) data fusion components. High-level situation/threat assessment (L2/L3) data fusion based on Markov game model and Hierarchical Entity Aggregation (HEA) are proposed to refine the primitive prediction generated by adaptive feature/pattern recognition and capture new unknown features. A Markov (Stochastic) game method is used to estimate the belief of each possible cyber attack pattern. Game theory captures the nature of cyber conflicts: determination of the attacking-force strategies is tightly coupled to determination of the defense-force strategies and vice versa. Also, Markov game theory deals with uncertainty and incompleteness of available information. A software tool is developed to demonstrate the performance of the high level information fusion for cyber network defense situation and a simulation example shows the enhanced understating of cyber-network defense.

  15. The Study of Reinforcement Learning for Traffic Self-Adaptive Control under Multiagent Markov Game Environment

    Directory of Open Access Journals (Sweden)

    Lun-Hui Xu

    2013-01-01

    Full Text Available Urban traffic self-adaptive control problem is dynamic and uncertain, so the states of traffic environment are hard to be observed. Efficient agent which controls a single intersection can be discovered automatically via multiagent reinforcement learning. However, in the majority of the previous works on this approach, each agent needed perfect observed information when interacting with the environment and learned individually with less efficient coordination. This study casts traffic self-adaptive control as a multiagent Markov game problem. The design employs traffic signal control agent (TSCA for each signalized intersection that coordinates with neighboring TSCAs. A mathematical model for TSCAs’ interaction is built based on nonzero-sum markov game which has been applied to let TSCAs learn how to cooperate. A multiagent Markov game reinforcement learning approach is constructed on the basis of single-agent Q-learning. This method lets each TSCA learn to update its Q-values under the joint actions and imperfect information. The convergence of the proposed algorithm is analyzed theoretically. The simulation results show that the proposed method is convergent and effective in realistic traffic self-adaptive control setting.

  16. Characterization of Caenorhabditis elegans behavior in response to chemical stress by using hidden Markov model

    Science.gov (United States)

    Choi, Yeontaek; Sim, Seungwoo; Lee, Sang-Hee

    2014-06-01

    The locomotion behavior of Caenorhabditis elegans has been extensively studied to understand the relationship between the changes in the organism's neural activity and the biomechanics. However, so far, we have not yet achieved the understanding. This is because the worm complicatedly responds to the environmental factors, especially chemical stress. Constructing a mathematical model is helpful for the understanding the locomotion behavior in various surrounding conditions. In the present study, we built three hidden Markov models for the crawling behavior of C. elegans in a controlled environment with no chemical treatment and in a polluted environment by formaldehyde, toluene, and benzene (0.1 ppm and 0.5 ppm for each case). The organism's crawling activity was recorded using a digital camcorder for 20 min at a rate of 24 frames per second. All shape patterns were quantified by branch length similarity entropy and classified into five groups by using the self-organizing map. To evaluate and establish the hidden Markov models, we compared correlation coefficients between the simulated behavior (i.e. temporal pattern sequence) generated by the models and the actual crawling behavior. The comparison showed that the hidden Markov models are successful to characterize the crawling behavior. In addition, we briefly discussed the possibility of using the models together with the entropy to develop bio-monitoring systems for determining water quality.

  17. Diffusion maps, clustering and fuzzy Markov modeling in peptide folding transitions

    International Nuclear Information System (INIS)

    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

  18. A reward semi-Markov process with memory for wind speed modeling

    Science.gov (United States)

    Petroni, F.; D'Amico, G.; Prattico, F.

    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. The primary goal of this analysis is the study of the time history of the wind in order to assess its reliability as a source of power and to determine the associated storage levels required. In order to assess this issue we use a probabilistic model based on indexed semi-Markov process [4] to which a reward structure is attached. Our model is used to calculate the expected energy produced by a given turbine and its variability expressed by the variance of the process. Our results can be used to compare different wind farms based on their reward and also on the risk of missed production due to the intrinsic variability of the wind speed process. The model is used to generate synthetic time series for wind speed by means of Monte Carlo simulations and backtesting procedure is used to compare results on first and second oder moments of rewards between real and synthetic data. [1] A. Shamshad, M.A. Bawadi, W.M.W. Wan Hussin, T.A. Majid, S.A.M. Sanusi, First and second order Markov chain models for synthetic gen- eration of wind speed time series, Energy 30 (2005) 693-708. [2] H. Nfaoui, H. Essiarab, A.A.M. Sayigh, A stochastic Markov chain model for simulating wind speed time series at Tangiers, Morocco, Re- newable Energy 29 (2004) 1407-1418. [3] F. Youcef Ettoumi, H. Sauvageot, A.-E.-H. Adane, Statistical bivariate modeling of wind using first-order Markov chain and Weibull distribu- tion, Renewable Energy 28 (2003) 1787-1802. [4]F. Petroni, G. D'Amico, F. Prattico, Indexed semi-Markov process for wind speed modeling. To be submitted.

  19. A Hybrid Short-Term Power Load Forecasting Model Based on the Singular Spectrum Analysis and Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Hongze Li

    2014-01-01

    Full Text Available Short-term power load forecasting is one of the most important issues in the economic and reliable operation of electricity power system. Taking the characteristics of randomness, tendency, and periodicity of short-term power load into account, a new method (SSA-AR model which combines the univariate singular spectrum analysis and autoregressive model is proposed. Firstly, the singular spectrum analysis (SSA is employed to decompose and reconstruct the original power load series. Secondly, the autoregressive (AR model is used to forecast based on the reconstructed power load series. The employed data is the hourly power load series of the Mid-Atlantic region in PJM electricity market. Empirical analysis result shows that, compared with the single autoregressive model (AR, SSA-based linear recurrent method (SSA-LRF, and BPNN (backpropagation neural network model, the proposed SSA-AR method has a better performance in terms of short-term power load forecasting.

  20. Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model

    International Nuclear Information System (INIS)

    We examine the dependence between the volatility of the prices of the carbon dioxide “CO2” emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the SCAR (Stochastic Autoregressive) Copulas, which is a time varying copula that was first introduced by Hafner and Manner (2012) [1] in which the parameter driving the dynamic of the copula follows a stochastic autoregressive process. The standard likelihood method will be used together with EIS (Efficient Importance Sampling) method, to evaluate the integral with a large dimension in the expression of the likelihood function. The main result suggests that the dynamics of the dependence between the volatility of the CO2 emission prices and the volatility of energy returns, coal, natural gas and Brent oil prices, do vary over time, although not much in stable periods but rise noticeably during the period of crisis and turmoils. - Highlights: • We examine the dependence between the volatility of CO2 emissions and energy prices. • The dependence will be measured by the dynamic SCAR copula pair by pair. • To model the marginal distributions of the variables, we use the GAS model. • To evaluate high dimensional integral in the likelihood function we use EIS method. • The dependence is dynamic and varies over time especially in period of crisis

  1. Hydrological time series modeling: A comparison between adaptive neuro-fuzzy, neural network and autoregressive techniques

    Science.gov (United States)

    Lohani, A. K.; Kumar, Rakesh; Singh, R. D.

    2012-06-01

    SummaryTime series modeling is necessary for the planning and management of reservoirs. More recently, the soft computing techniques have been used in hydrological modeling and forecasting. In this study, the potential of artificial neural networks and neuro-fuzzy system in monthly reservoir inflow forecasting are examined by developing and comparing monthly reservoir inflow prediction models, based on autoregressive (AR), artificial neural networks (ANNs) and adaptive neural-based fuzzy inference system (ANFIS). To take care the effect of monthly periodicity in the flow data, cyclic terms are also included in the ANN and ANFIS models. Working with time series flow data of the Sutlej River at Bhakra Dam, India, several ANN and adaptive neuro-fuzzy models are trained with different input vectors. To evaluate the performance of the selected ANN and adaptive neural fuzzy inference system (ANFIS) models, comparison is made with the autoregressive (AR) models. The ANFIS model trained with the input data vector including previous inflows and cyclic terms of monthly periodicity has shown a significant improvement in the forecast accuracy in comparison with the ANFIS models trained with the input vectors considering only previous inflows. In all cases ANFIS gives more accurate forecast than the AR and ANN models. The proposed ANFIS model coupled with the cyclic terms is shown to provide better representation of the monthly inflow forecasting for planning and operation of reservoir.

  2. 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%.

  3. Modal identification based on Gaussian continuous time autoregressive moving average model

    Science.gov (United States)

    Xiuli, Du; Fengquan, Wang

    2010-09-01

    A new time-domain modal identification method of the linear time-invariant system driven by the non-stationary Gaussian random force is presented in this paper. The proposed technique is based on the multivariate continuous time autoregressive moving average (CARMA) model. This method can identify physical parameters of a system from the response-only data. To do this, we first transform the structural dynamic equation into the CARMA model, and subsequently rewrite it in the state-space form. Second, we present the exact maximum likelihood estimators of parameters of the continuous time autoregressive (CAR) model by virtue of the Girsanov theorem, under the assumption that the uniformly modulated function is approximately equal to a constant matrix over a very short period of time. Then, based on the relation between the CAR model and the CARMA model, we present the exact maximum likelihood estimators of parameters of the CARMA model. Finally, the modal parameters are identified by the eigenvalue analysis method. Numerical results show that the method we introduced here not only has high precision and robustness, but also has very high computing efficiency. Therefore, it is suitable for real-time modal identification.

  4. A wavelet-based non-linear autoregressive with exogenous inputs (WNARX) dynamic neural network model for real-time flood forecasting using satellite-based rainfall products

    Science.gov (United States)

    Nanda, Trushnamayee; Sahoo, Bhabagrahi; Beria, Harsh; Chatterjee, Chandranath

    2016-08-01

    Although flood forecasting and warning system is a very important non-structural measure in flood-prone river basins, poor raingauge network as well as unavailability of rainfall data in real-time could hinder its accuracy at different lead times. Conversely, since the real-time satellite-based rainfall products are now becoming available for the data-scarce regions, their integration with the data-driven models could be effectively used for real-time flood forecasting. To address these issues in operational streamflow forecasting, a new data-driven model, namely, the wavelet-based non-linear autoregressive with exogenous inputs (WNARX) is proposed and evaluated in comparison with four other data-driven models, viz., the linear autoregressive moving average with exogenous inputs (ARMAX), static artificial neural network (ANN), wavelet-based ANN (WANN), and dynamic nonlinear autoregressive with exogenous inputs (NARX) models. First, the quality of input rainfall products of Tropical Rainfall Measuring Mission Multi-satellite Precipitation Analysis (TMPA), viz., TRMM and TRMM-real-time (RT) rainfall products is assessed through statistical evaluation. The results reveal that the satellite rainfall products moderately correlate with the observed rainfall, with the gauge-adjusted TRMM product outperforming the real-time TRMM-RT product. The TRMM rainfall product better captures the ground observations up to 95 percentile range (30.11 mm/day), although the hit rate decreases for high rainfall intensity. The effect of antecedent rainfall (AR) and climate forecast system reanalysis (CFSR) temperature product on the catchment response is tested in all the developed models. The results reveal that, during real-time flow simulation, the satellite-based rainfall products generally perform worse than the gauge-based rainfall. Moreover, as compared to the existing models, the flow forecasting by the WNARX model is way better than the other four models studied herein with the

  5. Likelihood free inference for Markov processes: a comparison.

    Science.gov (United States)

    Owen, Jamie; Wilkinson, Darren J; Gillespie, Colin S

    2015-04-01

    Approaches to Bayesian inference for problems with intractable likelihoods have become increasingly important in recent years. Approximate Bayesian computation (ABC) and "likelihood free" Markov chain Monte Carlo techniques are popular methods for tackling inference in these scenarios but such techniques are computationally expensive. In this paper we compare the two approaches to inference, with a particular focus on parameter inference for stochastic kinetic models, widely used in systems biology. Discrete time transition kernels for models of this type are intractable for all but the most trivial systems yet forward simulation is usually straightforward. We discuss the relative merits and drawbacks of each approach whilst considering the computational cost implications and efficiency of these techniques. In order to explore the properties of each approach we examine a range of observation regimes using two example models. We use a Lotka-Volterra predator-prey model to explore the impact of full or partial species observations using various time course observations under the assumption of known and unknown measurement error. Further investigation into the impact of observation error is then made using a Schlögl system, a test case which exhibits bi-modal state stability in some regions of parameter space. PMID:25720092

  6. Hidden Semi-Markov Models for Predictive Maintenance

    Directory of Open Access Journals (Sweden)

    Francesco Cartella

    2015-01-01

    Full Text Available Realistic predictive maintenance approaches are essential for condition monitoring and predictive maintenance of industrial machines. In this work, we propose Hidden Semi-Markov Models (HSMMs with (i no constraints on the state duration density function and (ii being applied to continuous or discrete observation. To deal with such a type of HSMM, we also propose modifications to the learning, inference, and prediction algorithms. Finally, automatic model selection has been made possible using the Akaike Information Criterion. This paper describes the theoretical formalization of the model as well as several experiments performed on simulated and real data with the aim of methodology validation. In all performed experiments, the model is able to correctly estimate the current state and to effectively predict the time to a predefined event with a low overall average absolute error. As a consequence, its applicability to real world settings can be beneficial, especially where in real time the Remaining Useful Lifetime (RUL of the machine is calculated.

  7. Clustering Multivariate Time Series Using Hidden Markov Models

    Directory of Open Access Journals (Sweden)

    Shima Ghassempour

    2014-03-01

    Full Text Available In this paper we describe an algorithm for clustering multivariate time series with variables taking both categorical and continuous values. Time series of this type are frequent in health care, where they represent the health trajectories of individuals. The problem is challenging because categorical variables make it difficult to define a meaningful distance between trajectories. We propose an approach based on Hidden Markov Models (HMMs, where we first map each trajectory into an HMM, then define a suitable distance between HMMs and finally proceed to cluster the HMMs with a method based on a distance matrix. We test our approach on a simulated, but realistic, data set of 1,255 trajectories of individuals of age 45 and over, on a synthetic validation set with known clustering structure, and on a smaller set of 268 trajectories extracted from the longitudinal Health and Retirement Survey. The proposed method can be implemented quite simply using standard packages in R and Matlab and may be a good candidate for solving the difficult problem of clustering multivariate time series with categorical variables using tools that do not require advanced statistic knowledge, and therefore are accessible to a wide range of researchers.

  8. From Brownian Dynamics to Markov Chain: An Ion Channel Example

    KAUST Repository

    Chen, Wan

    2014-02-27

    A discrete rate theory for multi-ion channels is presented, in which the continuous dynamics of ion diffusion is reduced to transitions between Markovian discrete states. In an open channel, the ion permeation process involves three types of events: an ion entering the channel, an ion escaping from the channel, or an ion hopping between different energy minima in the channel. The continuous dynamics leads to a hierarchy of Fokker-Planck equations, indexed by channel occupancy. From these the mean escape times and splitting probabilities (denoting from which side an ion has escaped) can be calculated. By equating these with the corresponding expressions from the Markov model, one can determine the Markovian transition rates. The theory is illustrated with a two-ion one-well channel. The stationary probability of states is compared with that from both Brownian dynamics simulation and the hierarchical Fokker-Planck equations. The conductivity of the channel is also studied, and the optimal geometry maximizing ion flux is computed. © 2014 Society for Industrial and Applied Mathematics.

  9. The Application of a Grey Markov Model to Forecasting Annual Maximum Water Levels at Hydrological Stations

    Institute of Scientific and Technical Information of China (English)

    DONG Sheng; CHI Kun; ZHANG Qiyi; ZHANG Xiangdong

    2012-01-01

    Compared with traditional real-time forecasting,this paper proposes a Grey Markov Model (GMM) to forecast the maximum water levels at hydrological stations in the estuary area.The GMM combines the Grey System and Markov theory into a higher precision model.The GMM takes advantage of the Grey System to predict the trend values and uses the Markov theory to forecast fluctuation values,and thus gives forecast results involving two aspects of information.The procedure for forecasting annul maximum water levels with the GMM contains five main steps:1) establish the GM (1,1) model based on the data series; 2) estimate the trend values; 3) establish a Markov Model based on relative error series; 4) modify the relative errors caused in step 2,and then obtain the relative errors of the second order estimation; 5) compare the results with measured data and estimate the accuracy.The historical water level records (from 1960 to 1992) at Yuqiao Hydrological Station in the estuary area of the Haihe River near Tianjin,China are utilized to calibrate and verify the proposed model according to the above steps.Every 25 years' data are regarded as a hydro-sequence.Eight groups of simulated results show reasonable agreement between the predicted values and the measured data.The GMM is also applied to the 10 other hydrological stations in the same estuary.The forecast results for all of the hydrological stations are good or acceptable.The feasibility and effectiveness of this new forecasting model have been proved in this paper.

  10. One-dimensional Markov chain simulation of vertical change of soil texture in middle reaches of Heihe river, northwest China%一维马尔可夫链模拟黑河中游流域土壤质地垂向变异

    Institute of Scientific and Technical Information of China (English)

    李丹凤; 邵明安

    2013-01-01

    taken into a laboratory and having been wind-dried, the soil mechanical composition was measured using a Malvern Laser particle size analyzer. Then the vertical change of soil textural layers was analyzed, and a MC-LN (Markov chain-lognormal distribution) model was constructed to simulate the soil textural profiles. Results showed that there were seven soil textural types occurring in the study area, namely, sand, loamy sand, sandy loam, loam, clay loam, silty clay loam and silt clay, respectively. Compared with the non-occurrence of silty clay layers in the surface soil, another six types of textural layers all occurred in the surface soil of the study area, while sand layers occurred with a much higher probability than the others. The layer thickness of each textural type in the study area was characterized as a lognormal distribution, with relatively thick sand and silty clay loam layers, and relatively thin sandy loam, loam and clay layers. For a certain textural type, layers occurred beneath it were mainly the two types which adjoined it, especially the one which contained more fine particles. The uncertainty analysis of soil textural layer transitions indicated that the formation of loamy sand layers was much strongly dependent on the lower layers, whereas the clay loam layers had a key effect on the formation of the upper layers. Loamy sand and loam layers had a relative high probability to have sandy loam layers as upper layers, while silty clay loam layers had relative high probability to occur as upper layers of both clay loam and silty clay layers. None of the seven textural layers had the same combinations of upper and lower layers simultaneously. Markov characteristics and the stability of the vertical change of textural layers were verified byχ2 test using the TPMs of the entire samples, the subintervals and the sub-regions. A one-dimensional MC-LN model could quantitatively describe the vertical change of textural layers. The simulated TPM approached to

  11. Recent Applications of Hidden Markov Models in Computational Biology

    Institute of Scientific and Technical Information of China (English)

    Khar Heng Choo; Joo Chuan Tong; Louxin Zhang

    2004-01-01

    This paper examines recent developments and applications of Hidden Markov Models (HMMs) to various problems in computational biology, including multiple sequence alignment, homology detection, protein sequences classification, and genomic annotation.

  12. Ground Plane Estimation using a Hidden Markov Model

    OpenAIRE

    Dragon, Ralf; Gool, Luc >

    2014-01-01

    Dragon R., Van Gool L., ''Ground plane estimation using a hidden Markov model'', 27th IEEE conference on computer vision and pattern recognition - CVPR 2014, pp. 4026-4033, June 23-28, 2014, Columbus, Ohio, USA.

  13. Time series segmentation with shifting means hidden markov models

    Directory of Open Access Journals (Sweden)

    Ath. Kehagias

    2006-01-01

    Full Text Available We present a new family of hidden Markov models and apply these to the segmentation of hydrological and environmental time series. The proposed hidden Markov models have a discrete state space and their structure is inspired from the shifting means models introduced by Chernoff and Zacks and by Salas and Boes. An estimation method inspired from the EM algorithm is proposed, and we show that it can accurately identify multiple change-points in a time series. We also show that the solution obtained using this algorithm can serve as a starting point for a Monte-Carlo Markov chain Bayesian estimation method, thus reducing the computing time needed for the Markov chain to converge to a stationary distribution.

  14. MODELING PAVEMENT DETERIORATION PROCESSES BY POISSON HIDDEN MARKOV MODELS

    Science.gov (United States)

    Nam, Le Thanh; Kaito, Kiyoyuki; Kobayashi, Kiyoshi; Okizuka, Ryosuke

    In pavement management, it is important to estimate lifecycle cost, which is composed of the expenses for repairing local damages, including potholes, and repairing and rehabilitating the surface and base layers of pavements, including overlays. In this study, a model is produced under the assumption that the deterioration process of pavement is a complex one that includes local damages, which occur frequently, and the deterioration of the surface and base layers of pavement, which progresses slowly. The variation in pavement soundness is expressed by the Markov deterioration model and the Poisson hidden Markov deterioration model, in which the frequency of local damage depends on the distribution of pavement soundness, is formulated. In addition, the authors suggest a model estimation method using the Markov Chain Monte Carlo (MCMC) method, and attempt to demonstrate the applicability of the proposed Poisson hidden Markov deterioration model by studying concrete application cases.

  15. Time series segmentation with shifting means hidden markov models

    Science.gov (United States)

    Kehagias, Ath.; Fortin, V.

    2006-08-01

    We present a new family of hidden Markov models and apply these to the segmentation of hydrological and environmental time series. The proposed hidden Markov models have a discrete state space and their structure is inspired from the shifting means models introduced by Chernoff and Zacks and by Salas and Boes. An estimation method inspired from the EM algorithm is proposed, and we show that it can accurately identify multiple change-points in a time series. We also show that the solution obtained using this algorithm can serve as a starting point for a Monte-Carlo Markov chain Bayesian estimation method, thus reducing the computing time needed for the Markov chain to converge to a stationary distribution.

  16. Continuous-time Markov decision processes theory and applications

    CERN Document Server

    Guo, Xianping

    2009-01-01

    This volume provides the first book entirely devoted to recent developments on the theory and applications of continuous-time Markov decision processes (MDPs). The MDPs presented here include most of the cases that arise in applications.

  17. Determining a Class of Markov Chains by Hitting Time

    Institute of Scientific and Technical Information of China (English)

    2001-01-01

    @@1 Introduction In many practical problems we often cannot observe the behavior of all states for a Markov chain (see [3-5]). A natural question is that from the observable data of a part of states, can one still obtain all statistical characteristics of the Markov chains. In this paper we give the positive answer for this question and prove the surprising result that the transition rate matrix of the birth-death chains with reflecting barriers and Markov chains on a star graph can be uniquely determined by the probability density functions (pdfs) of the sojourn times and the hitting times at a single special state. This result also suggest a new special type of statistics for Markov chains.

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

    Indian Academy of Sciences (India)

    Rajeeva L Karandikar

    2006-04-01

    Markov Chain Monte Carlo (MCMC) is a popular method used to generate samples from arbitrary distributions, which may be specified indirectly. In this article, we give an introduction to this method along with some examples.

  19. Modeling Urban Expansion in Bangkok Metropolitan Region Using Demographic–Economic Data through Cellular Automata-Markov Chain and Multi-Layer Perceptron-Markov Chain Models

    Directory of Open Access Journals (Sweden)

    Chudech Losiri

    2016-07-01

    Full Text Available Urban expansion is considered as one of the most important problems in several developing countries. Bangkok Metropolitan Region (BMR is the urbanized and agglomerated area of Bangkok Metropolis (BM and its vicinity, which confronts the expansion problem from the center of the city. Landsat images of 1988, 1993, 1998, 2003, 2008, and 2011 were used to detect the land use and land cover (LULC changes. The demographic and economic data together with corresponding maps were used to determine the driving factors for land conversions. This study applied Cellular Automata-Markov Chain (CA-MC and Multi-Layer Perceptron-Markov Chain (MLP-MC to model LULC and urban expansions. The performance of the CA-MC and MLP-MC yielded more than 90% overall accuracy to predict the LULC, especially the MLP-MC method. Further, the annual population and economic growth rates were considered to produce the land demand for the LULC in 2014 and 2035 using the statistical extrapolation and system dynamics (SD. It was evident that the simulated map in 2014 resulting from the SD yielded the highest accuracy. Therefore, this study applied the SD method to generate the land demand for simulating LULC in 2035. The outcome showed that urban occupied the land around a half of the BMR.

  20. Convergence in distribution for filtering processes associated to Hidden Markov Models with densities

    OpenAIRE

    Kaijser, Thomas

    2013-01-01

    A Hidden Markov Model generates two basic stochastic processes, a Markov chain, which is hidden, and an observation sequence. The filtering process of a Hidden Markov Model is, roughly speaking, the sequence of conditional distributions of the hidden Markov chain that is obtained as new observations are received. It is well-known, that the filtering process itself, is also a Markov chain. A classical, theoretical problem is to find conditions which implies that the distributions of the filter...