Quantitative bounds for convergence rates of continuous time Markov processes.
Roberts, Gareth O., Rosenthal, Jeffrey S. (1996)
Electronic Journal of Probability [electronic only]
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Roberts, Gareth O., Rosenthal, Jeffrey S. (1996)
Electronic Journal of Probability [electronic only]
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Bressaud, Xavier, Fernández, Roberto, Galves, Antonio (1999)
Electronic Journal of Probability [electronic only]
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Darling, R.W.R., Norris, J.R. (2008)
Probability Surveys [electronic only]
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Fitzsimmons, P.J. (1998)
Electronic Journal of Probability [electronic only]
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Masao Nagasawa (1976)
Séminaire de probabilités de Strasbourg
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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 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 , the coefficients of the model in each regime, and the transition probabilities of the Markov chain. These representations are potentially useful for statistical applications.
Masao Nagasawa (1975)
Séminaire de probabilités de Strasbourg
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Masao Nagasawa (1976)
Séminaire de probabilités de Strasbourg
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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...
Lasserre, Jean B. (2000)
Journal of Applied Mathematics and Stochastic Analysis
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