Parameterschätzung in zeitdiskreten ergodischen Markov-Prozessen am Beispiel des Cox-Ingersoll-Ross-Modells

In dieser Arbeit geht es um die Schätzung von Parametern in zeitdiskreten ergodischen Markov-Prozessen im allgemeinen und im CIR-Modell im besonderen. Beim CIR-Modell handelt es sich um eine stochastische Differentialgleichung, die von Cox, Ingersoll und Ross (1985) zur Beschreibung der Dynamik von Zinsraten vorgeschlagen wurde. Problemstellung ist die Schätzung der Parameter des Drift- und des Diffusionskoeffizienten aufgrund von äquidistanten diskreten Beobachtungen des CIR-Prozesses. Nach einer kurzen Einführung in das CIR-Modell verwenden wir die insbesondere von Bibby und Sørensen untersuchte Methode der Martingal-Schätzfunktionen und -Schätzgleichungen, um das Problem der Parameterschätzung in ergodischen Markov-Prozessen zunächst ganz allgemein zu untersuchen. Im Anschluss an Untersuchungen von Sørensen (1999) werden hinreichende Bedingungen (im Sinne von Regularitätsvoraussetzungen an die Schätzfunktion) für die Existenz, starke Konsistenz und asymptotische Normalität von Lösungen einer Martingal-Schätzgleichung angegeben. Angewandt auf den Spezialfall der Likelihood-Schätzung stellen diese Bedingungen zugleich lokal-asymptotische Normalität des Modells sicher. Ferner wird ein einfaches Kriterium für Godambe-Heyde-Optimalität von Schätzfunktionen angegeben und skizziert, wie dies in wichtigen Spezialfällen zur expliziten Konstruktion optimaler Schätzfunktionen verwendet werden kann. Die allgemeinen Resultate werden anschließend auf das diskretisierte CIR-Modell angewendet. Wir analysieren einige von Overbeck und Rydén (1997) vorgeschlagene Schätzer für den Drift- und den Diffusionskoeffizienten, welche als Lösungen quadratischer Martingal-Schätzfunktionen definiert sind, und berechnen das optimale Element in dieser Klasse. Abschließend verallgemeinern wir Ergebnisse von Overbeck und Rydén (1997), indem wir die Existenz einer stark konsistenten und asymptotisch normalen Lösung der Likelihood-Gleichung zeigen und lokal-asymptotische Normalität für das CIR-Modell ohne Einschränkungen an den Parameterraum beweisen.

Markov Constraints for Generating Texts with Style

This thesis addresses the issue of generating texts in the style of an existing author, that also satisfy structural constraints imposed by the genre of the text. Although Markov processes are known to be suitable for representing style, they are difficult to control in order to satisfy non-local properties, such as structural constraints, that require long distance modeling. The framework of Constrained Markov Processes allows to precisely generate texts that are consistent with a corpus, while being controllable in terms of rhymes and meter. Controlled Markov processes consist in reformulating Markov processes in the context of constraint satisfaction. The thesis describes how to represent stylistic and structural properties in terms of constraints in this framework and how this approach can be used for the generation of lyrics in the style of 60 differents authors An evaluation of the desctibed method is provided by comparing it to both pure Markov and pure constraint-based approaches. Finally the thesis describes the implementation of an augmented text editor, called Perec. Perec is intended to improve creativity, by helping the user to write lyrics and poetry, exploiting the techniques presented so far.

A Bayesian changepoint analysis on spatio-temporal point processes

Changepoint analysis is a well established area of statistical research, but in the context of spatio-temporal point processes it is as yet relatively unexplored. Some substantial differences with regard to standard changepoint analysis have to be taken into account: firstly, at every time point the datum is an irregular pattern of points; secondly, in real situations issues of spatial dependence between points and temporal dependence within time segments raise. Our motivating example consists of data concerning the monitoring and recovery of radioactive particles from Sandside beach, North of Scotland; there have been two major changes in the equipment used to detect the particles, representing known potential changepoints in the number of retrieved particles. In addition, offshore particle retrieval campaigns are believed may reduce the particle intensity onshore with an unknown temporal lag; in this latter case, the problem concerns multiple unknown changepoints. We therefore propose a Bayesian approach for detecting multiple changepoints in the intensity function of a spatio-temporal point process, allowing for spatial and temporal dependence within segments. We use Log-Gaussian Cox Processes, a very flexible class of models suitable for environmental applications that can be implemented using integrated nested Laplace approximation (INLA), a computationally efficient alternative to Monte Carlo Markov Chain methods for approximating the posterior distribution of the parameters. Once the posterior curve is obtained, we propose a few methods for detecting significant change points. We present a simulation study, which consists in generating spatio-temporal point pattern series under several scenarios; the performance of the methods is assessed in terms of type I and II errors, detected changepoint locations and accuracy of the segment intensity estimates. We finally apply the above methods to the motivating dataset and find good and sensible results about the presence and quality of changes in the process.

Hunting for warped extra dimensions via loop-induced processes

This thesis is on loop-induced processes in theories with warped extra dimensions where the fermions and gauge bosons are allowed to propagate in the bulk, while the Higgs sector is localized on or near the infra-red brane. These so-called Randall-Sundrum (RS) models have the potential to simultaneously explain the hierarchy problem and address the question of what causes the large hierarchies in the fermion sector of the Standard Model (SM). The Kaluza-Klein (KK) excitations of the bulk fields can significantly affect the loop-level processes considered in this thesis and, hence, could indirectly indicate the existence of warped extra dimensions. The analytical part of this thesis deals with the detailed calculation of three loop-induced processes in the RS models in question: the Higgs production process via gluon fusion, the Higgs decay into two photons, and the flavor-changing neutral current b → sγ. A comprehensive, five-dimensional (5D) analysis will show that the amplitudes of the Higgs processes can be expressed in terms of integrals over 5D propagators with the Higgs-boson profile along the extra dimension, which can be used for arbitrary models with a compact extra dimension. To this end, both the boson and fermion propagators in a warped 5D background are derived. It will be shown that the seemingly contradictory results for the gluon fusion amplitude in the literature can be traced back to two distinguishable, not smoothly-connected incarnations of the RS model. The investigation of the b → sγ transition is performed in the KK decomposed theory. It will be argued that summing up the entire KK tower leads to a finite result, which can be well approximated by a closed, analytical expression.rnIn the phenomenological part of this thesis, the analytic results of all relevant Higgs couplings in the RS models in question are compared with current and in particular future sensitivities of the Large Hadron Collider (LHC) and the planned International Linear Collider. The latest LHC Higgs data is then used to exclude significant portions of the parameter space of each RS scenario. The analysis will demonstrate that especially the loop-induced Higgs couplings are sensitive to KK particles of the custodial RS model with masses in the multi tera-electronvolt range. Finally, the effect of the RS model on three flavor observables associated with the b → sγ transition are examined. In particular, we study the branching ratio of the inclusive decay B → X_s γ

Chargaff symmetric stochastic processes

Scopo della modellizzazione delle stringhe di DNA è la formulazione di modelli matematici che generano sequenze di basi azotate compatibili con il genoma esistente. In questa tesi si prendono in esame quei modelli matematici che conservano un'importante proprietà, scoperta nel 1952 dal biochimico Erwin Chargaff, chiamata oggi "seconda regola di Chargaff". I modelli matematici che tengono conto delle simmetrie di Chargaff si dividono principalmente in due filoni: uno la ritiene un risultato dell'evoluzione sul genoma, mentre l'altro la ipotizza peculiare di un genoma primitivo e non intaccata dalle modifiche apportate dall'evoluzione. Questa tesi si propone di analizzare un modello del secondo tipo. In particolare ci siamo ispirati al modello definito da da Sobottka e Hart. Dopo un'analisi critica e lo studio del lavoro degli autori, abbiamo esteso il modello ad un più ampio insieme di casi. Abbiamo utilizzato processi stocastici come Bernoulli-scheme e catene di Markov per costruire una possibile generalizzazione della struttura proposta nell'articolo, analizzando le condizioni che implicano la validità della regola di Chargaff. I modelli esaminati sono costituiti da semplici processi stazionari o concatenazioni di processi stazionari. Nel primo capitolo vengono introdotte alcune nozioni di biologia. Nel secondo si fa una descrizione critica e prospettica del modello proposto da Sobottka e Hart, introducendo le definizioni formali per il caso generale presentato nel terzo capitolo, dove si sviluppa l'apparato teorico del modello generale.

A Note on the Asymptotic Variance of Survival Function in the Semi-Markov Model

In Malani and Neilsen (1992) we have proposed alternative estimates of survival function (for time to disease) using a simple marker that describes time to some intermediate stage in a disease process. In this paper we derive the asymptotic variance of one such proposed estimator using two different methods and compare terms of order 1/n when there is no censoring. In the absence of censoring the asymptotic variance obtained using the Greenwood type approach converges to exact variance up to terms involving 1/n. But the asymptotic variance obtained using the theory of the counting process and results from Voelkel and Crowley (1984) on semi-Markov processes has a different term of order 1/n. It is not clear to us at this point why the variance formulae using the latter approach give different results.

A HIDDEN MARKOV MODEL FOR JOINT ESTIMATION OF GENOTYPE AND COPY NUMBER IN HIGH-THROUGHPUT SNP CHIPS

Amplifications and deletions of chromosomal DNA, as well as copy-neutral loss of heterozygosity have been associated with diseases processes. High-throughput single nucleotide polymorphism (SNP) arrays are useful for making genome-wide estimates of copy number and genotype calls. Because neighboring SNPs in high throughput SNP arrays are likely to have dependent copy number and genotype due to the underlying haplotype structure and linkage disequilibrium, hidden Markov models (HMM) may be useful for improving genotype calls and copy number estimates that do not incorporate information from nearby SNPs. We improve previous approaches that utilize a HMM framework for inference in high throughput SNP arrays by integrating copy number, genotype calls, and the corresponding confidence scores when available. Using simulated data, we demonstrate how confidence scores control smoothing in a probabilistic framework. Software for fitting HMMs to SNP array data is available in the R package ICE.

A Bayesian analysis for spatial processes with application to mapping

In geographical epidemiology, maps of disease rates and disease risk provide a spatial perspective for researching disease etiology. For rare diseases or when the population base is small, the rate and risk estimates may be unstable. Empirical Bayesian (EB) methods have been used to spatially smooth the estimates by permitting an area estimate to "borrow strength" from its neighbors. Such EB methods include the use of a Gamma model, of a James-Stein estimator, and of a conditional autoregressive (CAR) process. A fully Bayesian analysis of the CAR process is proposed. One advantage of this fully Bayesian analysis is that it can be implemented simply by using repeated sampling from the posterior densities. Use of a Markov chain Monte Carlo technique such as Gibbs sampler was not necessary. Direct resampling from the posterior densities provides exact small sample inferences instead of the approximate asymptotic analyses of maximum likelihood methods (Clayton & Kaldor, 1987). Further, the proposed CAR model provides for covariates to be included in the model. A simulation demonstrates the effect of sample size on the fully Bayesian analysis of the CAR process. The methods are applied to lip cancer data from Scotland, and the results are compared. ^

Sm-Nd, Rb-Sr, and He isotopic composition and hydrocarbon gases in rocks and minerals from the Markov Deep, Mid-Atlantic Ridge rift valley

The paper presents characteristics of the Nd and Sr isotopic systems of ultrabasic rocks, gabbroids, plagiogranites, and their minerals as well as data on helium and hydrocarbons in fluid inclusions of the same samples. Materials presented in this publication were obtained by studying samples dredged from the MAR crest zone at 5°-6°N (U/Pb zircon dating, geochemical and petrological-mineralogical studies). It was demonstrated that variations in the isotopic composition of He entrapped in rocks and minerals were controlled by variable degrees of mixing of juvenile He, which is typical of basaltic glass for MAR (DM source), and atmospheric He. Increase in the atmospheric He fraction in plutonic rocks and, to a lesser degree, in their minerals reflects involvement of seawater or hydrated material of the oceanic crust in magmatic and postmagmatic processes. This conclusion finds further support in positive correlation between the fraction of mantle He (R ratio) and 87Sr/86Sr ratio. High-temperature hydration of ultrabasic rocks (amphibolization) was associated with increase in the fraction of mantle He, while their low-temperature hydration (serpentinization) was accompanied by drastic decrease in this fraction and significant increase in 87Sr/86Sr ratio. Insignificant variations in 143Nd/144Nd (close to 0.5130) and 87Sr/86Sr (0.7035) in most of gabbroids and plagiogranites as well as the fraction of mantle He in these rocks, amphibolites, and their ore minerals indicate that the melts were derived from the depleted mantle. Similar e-Nd values of gabbroids, plagiogranites, and fresh harzburgites (6.77-8.39) suggest that these rocks were genetically related to a single mantle source. e-Nd value of serpentinized lherzolites (2.62) likely reflects relations of these relatively weakly depleted mantle residues to another source. Aforementioned characteristics of the rocks generally reflect various degrees of mixing of depleted mantle components with crustal components (seawater) during metamorphic and hydrothermal processes that accompanied formation of the oceanic crust.

Dual pathways for regulation of root branching by nitrate

Root development is extremely sensitive to variations in nutrient supply, but the mechanisms are poorly understood. We have investigated the processes by which nitrate (NO3−), depending on its availability and distribution, can have both positive and negative effects on the development and growth of lateral roots. When Arabidopsis roots were exposed to a locally concentrated supply of NO3− there was no increase in lateral root numbers within the NO3−-rich zone, but there was a localized 2-fold increase in the mean rate of lateral root elongation, which was attributable to a corresponding increase in the rate of cell production in the lateral root meristem. Localized applications of other N sources did not stimulate lateral root elongation, consistent with previous evidence that the NO3− ion is acting as a signal rather than a nutrient. The axr4 auxin-resistant mutant was insensitive to the stimulatory effect of NO3−, suggesting an overlap between the NO3− and auxin response pathways. High rates of NO3− supply to the roots had a systemic inhibitory effect on lateral root development that acted specifically at the stage when the laterals had just emerged from the primary root, apparently delaying final activation of the lateral root meristem. A nitrate reductase-deficient mutant showed increased sensitivity to this systemic inhibitory effect, suggesting that tissue NO3− levels may play a role in generating the inhibitory signal. We present a model in which root branching is modulated by opposing signals from the plant’s internal N status and the external supply of NO3−.

The cutoff phenomenon in finite Markov chains.

Natural mixing processes modeled by Markov chains often show a sharp cutoff in their convergence to long-time behavior. This paper presents problems where the cutoff can be proved (card shuffling, the Ehrenfests' urn). It shows that chains with polynomial growth (drunkard's walk) do not show cutoffs. The best general understanding of such cutoffs (high multiplicity of second eigenvalues due to symmetry) is explored. Examples are given where the symmetry is broken but the cutoff phenomenon persists.

Finite Markov chains,

Mode of access: Internet.

Markov chains and manpower forecasts /

On cover: AD719413.

Aspects of Markov Chains and Particle Systems

Thesis (Ph.D.)--University of Washington, 2016-06

Existence and uniqueness of Q-processes with a given finite μ-invariant measure

Let Q be a stable and conservative Q-matrix over a countable state space S consisting of an irreducible class C and a single absorbing state 0 that is accessible from C. Suppose that Q admits a finite mu-subinvariant measure in on C. We derive necessary and sufficient conditions for there to exist a Q-process for which m is mu-invariant on C, as well as a necessary condition for the uniqueness of such a process.