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Parameter Estimation in Continuous Time Markov Switching Models: A Semi-Continuous Markov Chain Monte Carlo Approach
Bayesian inference data augmentation hidden Markov model
2009/9/24
In this paper,we combine useful aspects of both approaches.On the one hand,we are inspired by the discretization, where filtering for the state process is possible,on the other hand,we
catch attracti...
The papex deals with the concept of robustness given
by Zielidski (see [17J and [18]). The uniformly most bias-robust
estimates of the scale parameter, based on order statistics and
spacings, for s...
A stochastic Taylor formula for two-parameter stochastic processes
A stochastic Taylor formula two-parameter stochastic processes
2009/9/23
The purpose of the present paper is to prove a stochastic
Taylor formula for two-parameter processes which extends the
results of W. Wagner and E. Platen in the one-parameter case
(6. C51-C71).
Approximation schemes for two-parameter stochastic equations
Approximation schemes two-parameter stochastic equations
2009/9/23
In this paper we introduce several approximation
schemes for It8 equations with two parameters which are suggested by
the Lie-Trotter product formula from the theory of nonlinear semigroups.
By usi...
Computational Methods for Parameter Estimation in Climate Models
Parametric Uncertainties InverseProblems SimulatedAnnealing Climate Models
2009/9/22
Intensive computational methods have been used by Earth scientists
in a wide range of problems in data inversion and uncertainty quantication such
as earthquake epicenter location and climate projec...
Parameter identification for stochastic Burgers' flows via parabolic rescaling
Burgers' equation random data parabolic scaling singular spectrum discretization
2009/9/21
The paper presents a systematic study of classical statistical
inference problems (parameter estimation and hypothesis testing)
for random fields arising as solutions of the one-dimensional nonlinea...
Proper Priors Yielding Linear Bayes Estimators for the Natural Parameter of an Exponential Family
Linear Bayes Estimators Natural Parameter an Exponential Family
2009/9/18
Proper Priors Yielding Linear Bayes Estimators for the Natural Parameter of an Exponential Family。
Skewness and Kurtosis for Maximum Likelihood Estimator in One-Parameter Exponential Family Models
Maximum Likelihood Estimator One-Parameter Exponential Family Models
2009/9/18
Skewness and Kurtosis for Maximum Likelihood Estimator in One-Parameter Exponential Family Models。
Optimal Conditional Confidence Interval for the Shape Parameter of a Weibull Distribution
Optimal Conditional Confidence Interval the Shape Parameter a Weibull Distribution
2009/9/17
Optimal Conditional Confidence Interval for the Shape Parameter of a Weibull Distribution。
Bayesian Inference for the Skewness Parameter of the Scalar Skew-Normal Distribution
Bayesian Inference the Skewness Parameter Skew-Normal Distribution
2009/9/17
Bayesian Inference for the Skewness Parameter of the Scalar Skew-Normal Distribution。
Parameter estimation of ODE's via nonparametric estimators
Asymptotics M-estimator Nonparametric regression Parametric estimation Splines
2009/9/16
Ordinary differential equations (ODE's) are widespread models in physics, chemistry and biology. In particular, this mathematical formalism is used for describing the evolution of complex systems and ...
Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Concentration inequalities exact confidence intervals fractional Brownian motion Hurst parameter
2009/9/16
In this short note, we show how to use concentration inequalities in order to build exact confidence intervals for the Hurst parameter associated with a one-dimensional fractional Brownian motion.
On a theorem in multi-parameter potential theory
multi-parameter potential theory L'evy process
2009/3/30
We prove that the expected Lebesgue measure of the range of an additive L'evy process is positive if and only if the product Re([1+Psi_1(xi)]^{-1})...Re([1+Psi_N(xi)]^{-1}) is integrable. This was pre...
Statistical methods for cosmological parameter selection and estimation
Statistical methods cosmological parameter selection estimation
2010/3/19
The estimation of cosmological parameters from precision observables is an important indus-
try with crucial ramifications for particle physics. This article discusses the statistical methods
presen...
We prove that the expected Lebesgue measure of the range of an additive Levy process is positive if and only if the product Re([1+Psi_1(xi)]^{-1})...Re([1+Psi_N(xi)]^{-1}) is integrable. This was prev...