Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance: A Handbook of Extreme Value Theory and its Applicationsregenerative Markov chainNummelin splitting techniqueextreme values
In subject area: Economics, Econometrics and Finance A Markov chain is a collection of random variables (or vectors) Φ={Φi: i ∈ T} where T={0, 1, 2,…}. From: Handbook of Econometrics, 2001 About this pageSet alert Also in subject areas: Agricultural and Biological Sciences Computer...
Based on the first hitting time or return time, we review the development of Markov chain in the study of stationarity, quasi-stationarity and asymmetry. These topics include:(1) using the moments of the return time to derive the functional inequalities;(2) introducing the modified return time...
2020,Expert Systems with Applications ChaiJunyi,NgaiEric W.T. 4.4.4Markov chain methods TheMarkov chain, named after Andrey Markov, is a dynamic model based on the idea of “memorylessness.” The next state of the process depends only on the previous state rather than the sequence of states...
While the time parameter is usually discrete, the state space of a discrete time Markov chain does not have any widely agreed upon restrictions, and rather refers to a process on an arbitrary state space. However, many applications of Markov chains employ finite or countably infinite state ...
Finance Markov chain example state space.svgA state diagram for a simple example is shown in the figure on the right, using a directed graph to picture the state transitions. The states represent whether a hypothetical stock market is exhibiting a bull market, bear market, or stagnant market ...
Markov chain of GI/G/1 type RG-factorization dual Markov chain spectral analysis state classification Industry Sectors Finance, Business & Banking eBook Packages eBook Package english full Collection eBook Package english Mathematics Authors Quan-Lin Li (2) Author Affiliations 2. Department of Indu...
Also in subject areas: Agricultural and Biological Sciences Computer Science Economics, Econometrics and Finance Discover other topics Chapters and Articles You might find these chapters and articles relevant to this topic. Chapter Markov Chain Analysis ...
Limit theorems and structural properties of the cat-And-mouse Markov chain and its generalisations 2022, Advances in Applied Probability Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance 2016, Extreme Events in Finance: A Handbook of Extreme Value Theory and its ...
2. Application of the Markov chain in finance, economics, and actuarial science. 3. Application of Markov processes in logistics, optimization, and operations management. 4. Application of the Markov chain in study techniques in biology, human or veterinary medicine, genetics, epidemiology, or ...