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We present a theoretical investigation into the use of normalised artificial neural network (ANN) outputs in the context of hidden Markov models (HMMs). The work is motivated by the pursuit of a more theoretically rigorous understanding of the Kullback-Lie ...
In the current work we present two generalizations of the Parallel Tempering algorithm, inspired by the so-called continuous-time Infinite Swapping algorithm. Such a method, found its origins in the molecular dynamics community, and can be understood as th ...
We introduce in this thesis the idea of a variable lookback model, i.e., a model whose predictions are based on a variable portion of the information set. We verify the intuition of this model in the context of experimental finance. We also propose a novel ...
We introduce a novel approach that reconstructs 3D urban scenes in the form of levels of detail (LODs). Starting from raw data sets such as surface meshes generated by multi-view stereo systems, our algorithm proceeds in three main steps: classification, a ...
In this paper, we propose a Markov chain modeling of complicated phenomena observed from coupled chaotic oscillators. Once we obtain the transition probability matrix from computer simulation results, various statistical quantities can be easily calculated ...
Max-stable processes are central models for spatial extremes. In this paper, we focus on some space-time max-stable models introduced in Embrechts et al. (2016). The processes considered induce discrete-time Markov chains taking values in the space of cont ...
In the spirit of Bjork-DiMasi-Kabanov-Runggaldier, we investigate term structure models driven by Wiener process and Poisson measures with forward curve dependent volatilities. This includes a full existence and uniqueness proof for the corresponding Heath ...
Stochastic models for interacting processes feature a dimensionality that grows exponentially with the number of processes. This state space explosion severely impairs the use of standard methods for the numerical analysis of such Markov chains. In this wo ...
We propose a method for accurate and temporally consistent surface classification in the presence of noisy, irregularly sampled measurements, and apply it to the estimation of snow coverage over time. The input imagery is extremely challenging, with large ...
Markov chains that describe interacting subsystems suffer, on the one hand, from state space explosion but lead, on the other hand, to highly structured matrices. In this work, we propose a novel tensor-based algorithm to address such tensor structured Mar ...
