Zobrazeno 1 - 10
of 64
pro vyhledávání: '"Surya, Budhi A."'
Autor:
Surya, Budhi Arta
This paper revisits classical works of Rauch (1963, et al. 1965) and develops a novel method for maximum likelihood (ML) smoothing estimation from incomplete information/data of stochastic state-space systems. Score function and conditional observed
Externí odkaz:
http://arxiv.org/abs/2303.16364
Autor:
Surya, Budhi Arta
This paper revisits the work of Rauch et al. (1965) and develops a novel method for recursive maximum likelihood particle filtering for general state-space models. The new method is based on statistical analysis of incomplete observations of the syst
Externí odkaz:
http://arxiv.org/abs/2211.04631
Autor:
Surya, Budhi Arta
This paper presents some results on the maximum likelihood (ML) estimation from incomplete data. Finite sample properties of conditional observed information matrices are established. They possess positive definiteness and the same Loewner partial or
Externí odkaz:
http://arxiv.org/abs/2108.01243
Autor:
Surya, Budhi
This paper develops a new class of conditional Markov jump processes with regime switching and paths dependence. The key novel feature of the developed process lies on its ability to switch the transition rate as it moves from one state to another wi
Externí odkaz:
http://arxiv.org/abs/2107.07026
In survival studies it is important to record the values of key longitudinal covariates until the occurrence of event of a subject. For this reason, it is essential to study the association between longitudinal and time-to-event outcomes using the jo
Externí odkaz:
http://arxiv.org/abs/2106.04142
Autor:
Frydman, Halina, Surya, Budhi
We estimate a general mixture of Markov jump processes. The key novel feature of the proposed mixture is that the transition intensity matrices of the Markov processes comprising the mixture are entirely unconstrained. The Markov processes are mixed
Externí odkaz:
http://arxiv.org/abs/2103.02755
Autor:
Chen, Zezhun, Dassios, Angelos, Kuan, Valerie, Lim, Jia Wei, Qu, Yan, Surya, Budhi, Zhao, Hongbiao
In this paper, we propose a continuous-time stochastic intensity model, namely, two-phase dynamic contagion process(2P-DCP), for modelling the epidemic contagion of COVID-19 and investigating the lockdown effect based on the dynamic contagion model i
Externí odkaz:
http://arxiv.org/abs/2006.08355
This paper discusses Parisian ruin problem with capital injection for Levy insurance risk process. Capital injection takes place at the draw-down time of the surplus process when it drops below a pre-specified function of its last record maximum. The
Externí odkaz:
http://arxiv.org/abs/2005.09214
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