Results 1 - 10 of 1,082

Coupled hidden Markov models for complex action recognition

by Matthew Brand, Nuria Oliver, Alex Pentland , 1996
"... We present algorithms for coupling and training hidden Markov models (HMMs) to model interacting processes, and demonstrate their superiority to conventional HMMs in a vision task classifying two-handed actions. HMMs are perhaps the most successful framework in perceptual computing for modeling and ..."
Abstract - Cited by 501 (22 self) - Add to MetaCart
and classifying dynamic behaviors, popular because they offer dynamic time warping, a training algorithm, and a clear Bayesian semantics. However, the Markovian framework makes strong restrictive assumptions about the system generating the signal---that it is a single process having a small number of states

Are credit ratings time-homogeneous and Markov?

by Pedro Lencastre, Frank Raischel, Pedro G. Lind, Tim Rogers
"... Abstract. We introduce a simple approach for testing the reliability of homoge-neous generators and the Markov property of the stochastic processes underlying empirical time series of credit ratings. We analyze open access data provided by Moody’s and show that the validity of these assumptions- exi ..."
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Abstract. We introduce a simple approach for testing the reliability of homoge-neous generators and the Markov property of the stochastic processes underlying empirical time series of credit ratings. We analyze open access data provided by Moody’s and show that the validity of these assumptions

Simulated Moments Estimator of Markov Models of Asset Prices

by Darrell Duffie, Kenneth J. Singleton - ECONOMETRICA, JULY , 1993
"... This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoffs among the regularity condit ..."
Abstract - Cited by 325 (10 self) - Add to MetaCart
This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoffs among the regularity

Intensity process and compensator: A new filtration expansion approach and the Jeulin–Yor theorem. The Annals of Applied Probability

by Guo, Yan Zeng , 2007
"... Let (Xt)t≥0 be a continuous-time, time-homogeneous strong Markov process with possible jumps and let τ be its first hitting time of a Borel subset of the state space. Suppose X is sampled at random times and suppose also that X has not hit the Borel set by time t. What is the intensity process of τ ..."
Abstract - Cited by 16 (2 self) - Add to MetaCart
Let (Xt)t≥0 be a continuous-time, time-homogeneous strong Markov process with possible jumps and let τ be its first hitting time of a Borel subset of the state space. Suppose X is sampled at random times and suppose also that X has not hit the Borel set by time t. What is the intensity process of τ

Hidden Markov processes

by Yariv Ephraim, Neri Merhav - IEEE Trans. Inform. Theory , 2002
"... Abstract—An overview of statistical and information-theoretic aspects of hidden Markov processes (HMPs) is presented. An HMP is a discrete-time finite-state homogeneous Markov chain observed through a discrete-time memoryless invariant channel. In recent years, the work of Baum and Petrie on finite- ..."
Abstract - Cited by 264 (5 self) - Add to MetaCart
Abstract—An overview of statistical and information-theoretic aspects of hidden Markov processes (HMPs) is presented. An HMP is a discrete-time finite-state homogeneous Markov chain observed through a discrete-time memoryless invariant channel. In recent years, the work of Baum and Petrie on finite

Automatic linguistic indexing of pictures by a statistical modeling approach

by Jia Li, James Z. Wang - PAMI
"... Automatic linguistic indexing of pictures is an important but highly challenging problem for researchers in computer vision and content-based image retrieval. In this paper, we introduce a statistical modeling approach to this problem. Categorized images are used to train a dictionary of hundreds of ..."
Abstract - Cited by 300 (25 self) - Add to MetaCart
on the characterizing stochastic process is computed. A high likelihood indicates a strong association. In our experimental implementation, we focus on a particular group of stochastic processes, that is, the two-dimensional multiresolution hidden Markov models (2-D MHMMs). We implemented and tested our ALIP (Automatic

Noname manuscript No. (will be inserted by the editor) Testing Time-Homogeneity of Rating Transitions After Origination of Debt

by Rafael Weißbach, Patrick Tschiersch, Claudia Lawrenz, Rafael Weißbach Et Al
"... The date of receipt and acceptance will be inserted by the editor Abstract When modelling rating transitions as continuous-time Markov pro-cesses, in practice, time-homogeneity is a common assumption, yet restrictive, in order to reduce the complexity of the model. This paper investigates whether ra ..."
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The date of receipt and acceptance will be inserted by the editor Abstract When modelling rating transitions as continuous-time Markov pro-cesses, in practice, time-homogeneity is a common assumption, yet restrictive, in order to reduce the complexity of the model. This paper investigates whether

CONSTRUCTING STRONG MARKOV PROCESSES

by Robert J. Vanderbei
"... Dedicated to the memory of Lynda Singshinsuk. Abstract. The construction presented in this paper can be briefly described as follows: starting from any “finite-dimensional ” Markov transition function pt, on a measurable state space (E, B), we construct a strong Markov process on a certain “intrinsi ..."
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Dedicated to the memory of Lynda Singshinsuk. Abstract. The construction presented in this paper can be briefly described as follows: starting from any “finite-dimensional ” Markov transition function pt, on a measurable state space (E, B), we construct a strong Markov process on a certain

On a Unique Ergodicity of Some Markov Processes

by Tomasz Szarek, Maciej Śle ̧czka, Rafał Kapica, Tomasz Szarek , 2016
"... © The Author(s) 2011. This article is published with open access at Springerlink.com Abstract It is proved that the sufficient condition for the uniqueness of an invariant measure for Markov processes with the strong asymptotic Feller property formulated by Hairer and Mattingly (Ann Math 164(3):993– ..."
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(3):993–1032, 2006) entails the existence of at most one invariant measure for e-processes as well. Some application to time-homogeneous Markov processes associated with a nonlinear heat equation driven by an impulsive noise is also given.

Subgeometric ergodicity of strong Markov processes

by G. Fort, G. O. Roberts - ANN.APPL.PROBAB , 2005
"... We derive sufficient conditions for subgeometric f-ergodicity of strongly Markovian processes. We first propose a criterion based on modulated moment of some delayed return-time to a petite set. We then formulate a criterion for polynomial f-ergodicity in terms of a drift condition on the generator. ..."
Abstract - Cited by 15 (1 self) - Add to MetaCart
We derive sufficient conditions for subgeometric f-ergodicity of strongly Markovian processes. We first propose a criterion based on modulated moment of some delayed return-time to a petite set. We then formulate a criterion for polynomial f-ergodicity in terms of a drift condition on the generator
Results 1 - 10 of 1,082