Markov chain Monte Carlo methodsResearch prioritizationSensitivity analysisSummary. We investigate whether Bayesian decision theory, in the form of expected value of partial perfect information (EVPPI) analysis, is a realistic and practical approach to research prioritization. We develop a simple cost-...
MarkovChain MertonJumpDiffusion OrnsteinUhlenbeckProcess PathGenerator PathPlot PoissonProcess RegimeSwitchingProcess SamplePath SampleValues ShortRateProcess SquareRootDiffusion SVJJProcess ValueAtRisk WienerProcess Overview Fractals Geometry Iterative Maps Linear Algebra Mathematical Functions Number Theory Numerical ...
For an irreducible stochastic matrix T, the Kemeny constant K(T) measures the expected time to mixing of the Markov chain corresponding to T. Given a strongly connected directed graph D, we consider the set ΣD of stochastic matrices whose directed graph is subordinate to D, and compute the...
The ECL formula can be defined as following: Hence the 12 months ECL or Lifetime ECL is calculated based on the following components: • Marginal Probability of default (MPD) • Loss given default (LGD) • Exposure at default (EAD) • Discount factor (D) Markov chain model The ...
To model the uncertainties of the model parameters, we employed the Markov Chain Monte Carlo (MCMC) method to sample the posterior distribution of the model parameters and to use the generated chain of the parameters to simulate forward in time an ensemble of the ETAS processes. In addition, ...
Under these assumptions, we study the finite-time expected present value of operating costs until ruin. The continuous time Markov chain (CTMC) approximation technique is used to approximate the intensity process in the Cox model, and the Fourier cosine series expansion (COS) method is applied to...
Barbu VS, D’Amico G, De Blasis R (2017) Novel advancements in the Markov chain stock model: analysis and inference. Ann Financ 13(2):125–152. https://doi.org/10.1007/s10436-017-0297-9 Article Google Scholar Barillas F, Shanken J (2018) Comparing asset pricing models. J Financ ...
of more general cases, including blind restoration (where the unknown blur function is modeled and estimated along with the original image) and nonstationary image restoration (piecewise stationary regions are restored, with the filters appropriate for the regions being selected using a Markov chain)....
all of them are served. In each time unit, a random number of customers arrives, where the arrivals during different time units are independent of each other. The bulk-service queue also appears as an embedded Markov chain for the continuous-time multi-serverM/D/squeue, see [10], orMX/...
FIG. 8 illustrates a semi-Markov process in which links between events in a user print process are shown.DETAILED DESCRIPTIONThe “Expected Time-to-Collect” (ETC) as used herein, is a statistical measure of when a job, such as a print job, will be collected after a user has submitted ...