Displaying similar documents to “Autocovariance structure of powers of switching-regime ARMA Processes”

Asymptotic properties of autoregressive regime-switching models

Madalina Olteanu, Joseph Rynkiewicz (2012)

ESAIM: Probability and Statistics

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The statistical properties of the likelihood ratio test statistic (LRTS) for autoregressive regime-switching models are addressed in this paper. This question is particularly important for estimating the number of regimes in the model. Our purpose is to extend the existing results for mixtures [X. Liu and Y. Shao, 31 (2003) 807–832] and hidden Markov chains [E. Gassiat, 38 (2002) 897–906]. First, we study the case of mixtures of autoregressive models (independent regime switches). In...

Cutoff for samples of Markov chains

Bernard Ycart (2010)

ESAIM: Probability and Statistics

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We study the convergence to equilibrium of samples of independent Markov chains in discrete and continuous time. They are defined as Markov chains on the fold Cartesian product of the initial state space by itself, and they converge to the direct product of copies of the initial stationary distribution. Sharp estimates for the convergence speed are given in terms of the spectrum of the initial chain. A cutoff phenomenon occurs in the sense that as tends to infinity, the total...

The compositional construction of Markov processes II

L. de Francesco Albasini, N. Sabadini, R. F. C. Walters (2011)

RAIRO - Theoretical Informatics and Applications - Informatique Théorique et Applications

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We add sequential operations to the categorical algebra of weighted and Markov automata introduced in [L. de Francesco Albasini, N. Sabadini and R.F.C. Walters, 
arXiv:0909.4136]. The extra expressiveness of the algebra permits the description of hierarchical systems, and ones with evolving geometry. We make a comparison with the probabilistic automata of Lynch [ 37 (2007) 977–1013].

Multiscale Piecewise Deterministic Markov Process in infinite dimension: central limit theorem and Langevin approximation

A. Genadot, M. Thieullen (2014)

ESAIM: Probability and Statistics

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In [A. Genadot and M. Thieullen, Averaging for a fully coupled piecewise-deterministic markov process in infinite dimensions. 44 (2012) 749–773], the authors addressed the question of averaging for a slow-fast Piecewise Deterministic Markov Process (PDMP) in infinite dimensions. In the present paper, we carry on and complete this work by the mathematical analysis of the fluctuations of the slow-fast system around the averaged limit. A central limit theorem is derived and the associated...