Displaying similar documents to “Markov-Krein transform”

On convergence in distribution of the Markov chain generated by the filter kernel induced by a fully dominated Hidden Markov Model

Thomas Kaijser

Similarity:

Consider a Hidden Markov Model (HMM) such that both the state space and the observation space are complete, separable, metric spaces and for which both the transition probability function (tr.pr.f.) determining the hidden Markov chain of the HMM and the tr.pr.f. determining the observation sequence of the HMM have densities. Such HMMs are called fully dominated. In this paper we consider a subclass of fully dominated HMMs which we call regular. A fully dominated,...

Central limit theorem for hitting times of functionals of Markov jump processes

Christian Paroissin, Bernard Ycart (2004)

ESAIM: Probability and Statistics

Similarity:

A sample of i.i.d. continuous time Markov chains being defined, the sum over each component of a real function of the state is considered. For this functional, a central limit theorem for the first hitting time of a prescribed level is proved. The result extends the classical central limit theorem for order statistics. Various reliability models are presented as examples of applications.

Accurate calculations of Stationary Distributions and Mean First Passage Times in Markov Renewal Processes and Markov Chains

Jeffrey J. Hunter (2016)

Special Matrices

Similarity:

This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30, 197–207, (1986) procedure. The technique is numerically stable in that it doesn’t involve subtractions. Algebraic expressions for the special cases of one, two, three and four states are derived.Aconsequence of the procedure is that the stationary distribution of the...

On conditional independence and log-convexity

František Matúš (2012)

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

Similarity:

If conditional independence constraints define a family of positive distributions that is log-convex then this family turns out to be a Markov model over an undirected graph. This is proved for the distributions on products of finite sets and for the regular Gaussian ones. As a consequence, the assertion known as Brook factorization theorem, Hammersley–Clifford theorem or Gibbs–Markov equivalence is obtained.

On the exchanges between Wolfgang Doeblin and Bohuslav Hostinský

Laurent Mazliak (2007)

Revue d'histoire des mathématiques

Similarity:

We present the letters sent by Wolfgang Doeblin to Bohuslav Hostinský between 1936 and 1938. They concern some aspects of the general theory of Markov chains and the solutions of the Chapman-Kolmogorov equation that Doeblin was then establishing for his PhD thesis.