Predictions in nonlinear regression models.
Preface [International Workshop “Robust and Nonparametric Inference”, Hejnice 2007]
Pricing exotic options under a high-order Markovian regime switching model.
Probabilistic finite state automata and time series analysis.
Probabilistic properties of a Markov-switching periodic process
In this paper, we propose an extension of a periodic () model to a Markov-switching periodic (-), and provide some probabilistic properties of this class of models. In particular, we address the question of strictly periodically...
Problemas de control estocástico con información incompleta que admiten un proceso suficiente.
Se centra el estudio en los problemas de control estocástico con información incompleta de parámetro discreto.Se define para estos problemas un parámetro suficiente para el proceso básico y se demuestra que la clase de controles basados en éste es esencialmente completa.Como caso particular se estudia el modelo lineal normal y se ve la relación que existe entre el proceso suficiente definido para este modelo y el filtro de Kalman.
Problème d'identification dans le modèle de Cox
Process parameter prediction via markov models of sub-activities
This work aims to fill a lacunae in the project-oriented production systems literature providing a formal analytic description of the rework effects formulae and the determination of the extended design time due to a certain degree of overlapping in a pair of activities. It is made through the utilization of concepts of workflow construction with hidden (semi) Markov models theory and establishing a way to disaggregate activities into sub-activities, in order to determine the activity parameters...
Prognosis and optimization of homogeneous Markov message handling networks
Message handling systems with finitely many servers are mathematically described as homogeneous Markov networks. For hierarchic networks is found a recursive algorithm evaluating after finitely many steps all steady state parameters. Applications to optimization of the system design and management are discussed, as well as a program product 5P (Program for Prognosis of Performance Parameters and Problems) based on the presented theoretical conclusions. The theoretic achievements as well as the practical...
Propriété asymptotique d’un modèle statistique pour une chaîne de Markov à valeurs dans
Propriétés asymptotiques presque sûres de l'estimateur des moindres carrés d'un modèle autorégressif vectoriel
Propriétés de mélange des processus autorégressifs polynomiaux
Propriétés du spectre évolutif d'un processus non stationnaire