Efficient sequential estimation in a markov branching process with immigration

Sequential estimation of parameters In a continuous time Markov branching process with Immigration with split rate λ₁ Immigration rate λ₂, offspring distribution {p₁j≥O) and Immigration distribution {p₂j≥l} is considered. A sequential version of the Cramér-Rao type information inequality is derived which gives a lower bound on the variances of unbiased estimators for any function of these parameters. Attaining the lower bounds depends on whether the sampling plan or stopping rule S, the estimator f, and the parametric function g = E(f) are efficient. All efficient triples (S,f,g) are characterized; It Is shown that for i = 1,2, only linear combinations of λ_ip_{ij j}'s or their ratios are efficiently estimable. Applications to a Yule process, a linear birth and death process with immigration and an M/M/∞ queue are also considered     

Sequential estimation for continuous time finite markov processes

Efficient sequential estimation of the intensity rates of a continuous-time finite Markov process is discussed. An information inequality which gives a lower bound for the variance of an unbiased estimator of a function of the intensity rates is obtained and it is used to define an efficient estimator. All closed efficient sequential sampling schemes are characterized.     

Asyhptotic efficiency of sequential and non-sequential procedures based on fisher's method of combining tests

In this paper we propose test statistics based on Fisher's method of combining tests for hypotheses involving two or more parameters simultaneously, It Is shown that these tests are asymptotically efficient In the sense of Bahadur, It is then shown how these tests can be modified to give sequential test procedures which are efficient in the sense of Berk and Brown (1978).

The results in section 3 generalize the work of Perng (1977) and Durairajan (1980).     

Terminating markov renewal processes

Several kinds of terminating Markov Renewal Processes are defined. Of interest in these processes are the time T until termination and the number of transitions N_T until termination. For several kinds of terminating processes, the distribution and moments of T and N_T are obtained along with their covariance. The distributions of associated cumulative processes are also considered. A Markov Renewal model is compared with results of Markov Chains used to model epidemics, and other examples are examined in compartmental modeling and competing risks.     

Sur l'estimation du risque encouru en reconstruisant une forme aléatoire

The problem of estimating the risk corresponding to the reconstruction of a random pattern is reviewed. It is shown that for a particular but important model, the problem is reduced to the estimation of two parameters closely related to those appearing in a two-state Markov chain, which is of independent interest. The estimation of the Markov chain's parameters is studied from the decision-theoretic point of view. Estimators which are better than others previously considered are obtained and adapted to the estimation of the corresponding risk. Examples are are analyzed; even if a very empirical method is used to give values to the parameters of an a priorilaw, some good estimators of the risk are obtained.     

Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics

We study sequential Bayesian inference in stochastic kinetic models with latent factors. Assuming continuous observation of all the reactions, our focus is on joint inference of the unknown reaction rates and the dynamic latent states, modeled as a hidden Markov factor. Using insights from nonlinear filtering of continuous-time jump Markov processes we develop a novel sequential Monte Carlo algorithm for this purpose. Our approach applies the ideas of particle learning to minimize particle degeneracy and exploit the analytical jump Markov structure. A motivating application of our methods is modeling of seasonal infectious disease outbreaks represented through a compartmental epidemic model. We demonstrate inference in such models with several numerical illustrations and also discuss predictive analysis of epidemic countermeasures using sequential Bayes estimates.     

Comparison of Selected Methods for Modeling of Multi-State Disease Progression Processes: A Simulation Study

Prognostic studies are essential to understand the role of particular prognostic factors and, thus, improve prognosis. In most studies, disease progression trajectories of individual patients may end up with one of mutually exclusive endpoints or can involve a sequence of different events.

One challenge in such studies concerns separating the effects of putative prognostic factors on these different endpoints and testing the differences between these effects.

In this article, we systematically evaluate and compare, through simulations, the performance of three alternative multivariable regression approaches in analyzing competing risks and multiple-event longitudinal data. The three approaches are: (1) fitting separate event-specific Cox's proportional hazards models; (2) the extension of Cox's model to competing risks proposed by Lunn and McNeil; and (3) Markov multi-state model.

The simulation design is based on a prognostic study of cancer progression, and several simulated scenarios help investigate different methodological issues relevant to the modeling of multiple-event processes of disease progression. The results highlight some practically important issues. Specifically, the decreased precision of the observed timing of intermediary (non fatal) events has a strong negative impact on the accuracy of regression coefficients estimated with either the Cox's or Lunn-McNeil models, while the Markov model appears to be quite robust, under the same circumstances. Furthermore, the tests based on both Markov and Lunn-McNeil models had similar power for detecting a difference between the effects of the same covariate on the hazards of two mutually exclusive events. The Markov approach yields also accurate Type I error rate and good empirical power for testing the hypothesis that the effect of a prognostic factor on changes after an intermediary event, which cannot be directly tested with the Lunn-McNeil method. Bootstrap-based standard errors improve the coverage rates for Markov model estimates. Overall, the results of our simulations validate Markov multi-state model for a wide range of data structures encountered in prognostic studies of disease progression, and may guide end users regarding the choice of model(s) most appropriate for their specific application.     

Average outgoing quality of CSP-C continuous sampling plan under short run production processes

A CSP-C continuous sampling plan is a new single-level continuous sampling procedure developed by Govindaraju & Kandasamy (2000) by incorporating the concept of acceptance number to the CSP-1 plan for the application of continuous production processes. In this new plan, the sampling inspection phase is characterized by a maximum allowable number of non-conforming units, c, and a constant sampling rate, f. Govindaraju & Kandasamy (2000) derived the performance measures such as average outgoing quality (AOQ), average fraction inspected (AFI) etc, of the CSP-C plan using a Markov chain model for long run production processes. Yang (1983) has observed that the AOQ and AFI, being long run average measures, are not satisfactory measures of performance for short run production processes. Hence, formulas are derived in this paper, using the renewal theory approach enabling one to compute AOQ and AFI for both long run and short run production processes. Numerical illustrations are also given. By simulation, the accuracy of the short run measures is studied.     

Flowgraph Models for Generalized Phase Type Distributions Having Non-Exponential Waiting Times

ABSTRACT. Aalen (1995) introduced phase type distributions based on Markov processes for modelling disease progression in survival analysis. For tractability and to maintain the Markov property, these use exponential waiting times for transitions between states. This article extends the work of Aalen (1995) by generalizing these models to semi-Markov processes with non-exponential waiting times. The generalization allows more realistic modelling of the stages of a disease where the Markov property and exponential waiting times may not hold. Flowgraph models are introduced to provide a closed form for the distributions in situations involving non-exponential waiting times. Flowgraph models work where traditional methods of stochastic processes are intractable. Saddlepoint approximations are used in the analysis. Together, generalized phase type distributions, flowgraphs, and saddlepoint approximations create exciting and innovative prospects for the analysis of survival data.     

Mean and Variance of Vacancy for Hard-Core Disc Processes and Applications

Abstract.  Hard-core Strauss disc processes with inhibition distance r and disc radius R are considered. The points in the Strauss point process are thought of as trees and the discs as crowns. Formulas for the mean and the variance of the vacancy (non-covered area) are derived. This is done both for the case of a fixed number of points and for the case of a random number of points. For tractability, the region is assumed to be a torus or, in one dimension, a circle in which case the discs are segments. In the one-dimensional case, the formulas are exact for all r . This case, although less important in practice than the two-dimensional case, has provided a lot of inspiration. In the two-dimensional case, the formulas are only approximate but rather accurate for r  <  R . Markov Chain Monte Carlo simulations confirm that they work well. For R  ≤  r  < 2 R , no formulas are presented. A forestry estimation problem, which has motivated the research, is briefly considered as well as another application in spatial statistics.     

Disease resistance modelled as first-passage times of genetically dependent stochastic processes

Summary.  Mastitis resistance data on dairy cattle are modelled as first-passage times of stochastic processes. Population heterogeneity is included by expressing process parameters as functions of shared random variables. We show how dependences between individuals, e.g. genetic relationships, can be exploited in the analyses. The method can be extended to handle situations with multiple hidden causes of failure. Markov chain Monte Carlo methods are used for estimation.     

Exact maximum likelihood for incomplete data from a correlated gaussian process

In many situations in which a variable is measured at locations in time or space the observed data can be regarded as incomplete, the missing data sites perhaps completing a regular pattern such as a rectangular grid. In this paper general methods not dependent on the sequential nature of time are considered for estimating the parameters of Gaussian processes. An example is given.     

Piecewise deterministic Markov processes applied to fatigue crack growth modelling

In this paper, we use a particular piecewise deterministic Markov process (PDMP) to model the evolution of a degradation mechanism that may arise in various structural components, namely, the fatigue crack growth. We first derive some probability results on the stochastic dynamics with the help of Markov renewal theory: a closed-form solution for the transition function of the PDMP is given. Then, we investigate some methods to estimate the parameters of the dynamical system, involving Bogolyubov's averaging principle and maximum likelihood estimation for the infinitesimal generator of the underlying jump Markov process. Numerical applications on a real crack data set are given.     

Generalization of discrete-time geometric bounds to convergence rate of Markov processes on R n

Geometric rates of convergence for reversible discrete-time Markov chains are closely related to the spectral gap of the corresponding operator. Quantitative geometric bounds on the spectral gap have been developed using the Cheeger's inequality and some path arguments. We extend the discrete-time results to homogeneous continuous-time reversible Markov processes. The limit path bounds and the limit Cheeger's bounds are introduced. Two quantitative examples of 1-dimensional diffusions are studied for the limit Cheeger's bounds and a n-dimensional diffusion is studied for the limit path bounds.     

Spatiotemporal prediction for log-Gaussian Cox processes

Space–time point pattern data have become more widely available as a result of technological developments in areas such as geographic information systems. We describe a flexible class of space–time point processes. Our models are Cox processes whose stochastic intensity is a space–time Ornstein–Uhlenbeck process. We develop moment-based methods of parameter estimation, show how to predict the underlying intensity by using a Markov chain Monte Carlo approach and illustrate the performance of our methods on a synthetic data set.     

A note on a transient queuing system of a linear birth–immigration process in presence of twin births

In this article, we consider a simple transient queuing system, i.e., a linear birth process with immigration in the presence of twin births. We find the differential-difference equation and also the probability-generating function (p.g.f.) for this process. Again, we generalize it into a linear birth process with immigration in the presence of both single birth or twin births and again for the case of multiple births. From the p.g.f. of linear birth process with immigration in the presence of twin births, we find some particular transient queuing processes like linear birth process with twin births and simple immigration process. Direct derivations of mean and variance of these processes are also discussed without using the generating functions.     

On-Line Learning for the Infinite Hidden Markov Model

We develop a sequential Monte Carlo algorithm for the infinite hidden Markov model (iHMM) that allows us to perform on-line inferences on both system states and structural (static) parameters. The algorithm described here provides a natural alternative to Markov chain Monte Carlo samplers previously developed for the iHMM, and is particularly helpful in applications where data is collected sequentially and model parameters need to be continuously updated. We illustrate our approach in the context of both a simulation study and a financial application.     

Long-Range Dependence of Markov Renewal Processes

This paper examines long‐range dependence (LRD) and asymptotic properties of Markov renewal processes generalizing results of Daley for renewal processes. The Hurst index and discrepancy function, which is the difference between the expected number of arrivals in (0, t] given a point at 0 and the number of arrivals in (0, t] in the time stationary version, are examined in terms of the moment index. The moment index is the supremum of the set of r > 0 such that the rth moment of the first return time to a state is finite, employing the solidarity results of Sgibnev. The results are derived for irreducible, regular Markov renewal processes on countable state spaces. The paper also derives conditions to determine the moment index of the first return times in terms of the Markov renewal kernel distribution functions of the process.     

Quotas on runs of successes and failures in a multi-state markov chain

For the time-homogeneous multi-state Markov chain {X_n,n≧0} with states labeled as "0" (success) and "f"(failure), f=1,2,… the waiting time problems to be discussed arise by setting quotas on runs of success and failures. Some particular cases are considered.     

Mixing and moments properties of a non-stationary copula-based Markov process

Abstract

We provide conditions under which a non-stationary copula-based Markov process is geometric β-mixing and geometric ρ-mixing. Our results generalize some results of Beare who considers the stationary case. As a particular case we introduce a stochastic process, that we call convolution-based Markov process, whose construction is obtained by using the C-convolution operator which allows the increments to be dependent. Within this subclass of processes we characterize a modified version of the standard random walk where copulas and marginal distributions involved are in the same elliptical family. We study mixing and moments properties to identify the differences compared to the standard case.