Journal of Applied Probability, Vol. 41, Stochastic Methods and Their Applications (2004), pp. 347-360 (14 pages) This paper investigates the probabilistic behaviour of the eigenvalue of the empirical ...
Quantum Markov chains (QMCs) represent a natural quantum extension of classical Markov processes, encapsulating memoryless dynamics within quantum systems. They offer a powerful framework to model non ...
We describe a computational procedure for evaluating the quasi-stationary distributions of a continuous-time Markov chain. Our method, which is an 'iterative version' of Arnoldi's algorithm, is ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology ...
A Markov chain is a sequence of random variables that satisfies P(X t+1 ∣X t ,X t−1 ,…,X 1 )=P(X t+1 ∣X t ). Simply put, it is a sequence in which X t+1 depends only on X t and appears before X t−1 ...
What Is Markov Chain Monte Carlo? Markov Chain Monte Carlo (MCMC) is a powerful technique used in statistics and various scientific fields to sample from complex probability distributions. It is ...
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