2
votes
0answers
79 views

Stationary Distribution for Markov-like system?

Let \begin{equation} A= \begin{pmatrix} 0 & a_{1,2} & a_{1,3} \\ a_{2,1} & 0 & a_{2,3} \\ a_{3,1} & a_{3,2} & 0 \end{pmatrix}, \end{equation} \begin{equation} B= ...
2
votes
1answer
295 views

Parameter estimation for stochastic differential equation from discrete observations

Suppose we have a time-series $x(t_i)$ at discrete times $t_i$ and we want to estimate the parameters of an underlying SDE corresponding to this time-series: $$dx_t = f(x_t,\theta)dt + ...
4
votes
0answers
185 views

Inadmissibility of Simpson's rule

(An earlier version of this at stackexchange got no answers.) Bayesianism says that all uncertainties, or at least all uncertainties about the truth or falsity of propositions, can be expressed by ...
2
votes
0answers
328 views

How to bound the second largest eigenvalue of a transition matrix of a non-irreducible Markov chain?

I have found several bounds (e.g., Cheeger, Poincare) for the case that the Markov chain is irreducible and reversible, however my Markov chain has one absorbing state. Any bound would be helpful, but ...
0
votes
0answers
229 views

Linear combination of finite difference weights and generalized increments

According to a paper I'm reading ("Linear estimation of non stationary spatial phenomena", by P. Delfiner) the weights $\lambda_i$ and $\lambda_{i - 1}$ of a first order finite difference $Z(x_i) - ...