Displaying similar documents to “Random sampling of labeled tournaments.”

(Homogeneous) markovian bridges

Vincent Vigon (2011)

Annales de l'I.H.P. Probabilités et statistiques

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(Homogeneous) Markov bridges are (time homogeneous) Markov chains which begin at a given point and end at a given point. The price to pay for preserving the homogeneity is to work with processes with a random life-span. Bridges are studied both for themselves and for their use in describing the transformations of Markov chains: restriction on a random interval, time reversal, time change, various conditionings comprising the confinement in some part of the state space. These bridges...

Potentials of a Markov process are expected suprema

Hans Föllmer, Thomas Knispel (2007)

ESAIM: Probability and Statistics

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Expected suprema of a function  observed along the paths of a nice Markov process define an excessive function, and in fact a potential if  vanishes at the boundary. Conversely, we show under mild regularity conditions that any potential admits a representation in terms of expected suprema. Moreover, we identify the maximal and the minimal representing function in terms of probabilistic potential theory. Our results are motivated by the work of El Karoui and Meziou (2006) on the max-plus...

Autocovariance structure of powers of switching-regime ARMA processes

Christian Francq, Jean-Michel Zakoïan (2002)

ESAIM: Probability and Statistics

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In Francq and Zakoïan [4], we derived stationarity conditions for ARMA ( p , q ) models subject to Markov switching. In this paper, we show that, under appropriate moment conditions, the powers of the stationary solutions admit weak ARMA representations, which we are able to characterize in terms of p , q , the coefficients of the model in each regime, and the transition probabilities of the Markov chain. These representations are potentially useful for statistical applications.