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Search: subject:"Markov chain"
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Markov Kette
12
markov chain
12
Markov-Chain Monte Carlo
6
Markov-Ketten-Monte-Carlo-Verfahren
6
Bayes-Verfahren
3
Differentialgleichung
2
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2
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1
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Ruintheorie
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Term structure model
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1
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1
Viterbi-Algorithmus
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16
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17
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Frühwirth-Schnatter, Sylvia
4
Otter, Thomas
3
Tüchler, Regina
3
Valchev, Stoyan
2
Chevalier, Philippe
1
Denuit, Michel
1
Dorffner, Georg
1
Elliott, Robert
1
Fischer, Markus
1
Gibson, Rajna
1
Grottke, Michael
1
Härdle, Wolfgang
1
Hüttel, Silke
1
Imkeller, Peter
1
Kaufmann, Sylvia
1
Kugler, Peter
1
Kölung, Arnd
1
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1
Miazhynskaia, Tatiana
1
Milstein, Grigori N.
1
Pfister, Alexander
1
Pitrebois, Sandra
1
Rässler, Susanne
1
Schoenmakers, John G. M.
1
Semal, Pierre
1
Spokoiny, Vladimir
1
Sögner, Leopold
1
Tancrez, Jean-Sébastien
1
Tsay, Wen-Jen
1
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Sonderforschungsbereich Ökonomisches Risiko <Berlin>
3
Institut für Schweizerisches Bankwesen <Zürich>
2
Center for Operations Research and Econometrics <Louvain-la-Neuve>
1
International Actuarial Association / Actuarial Studies in Non-Life Insurance
1
Universität <Berlin, Humboldt-Universität> / Landwirtschaftlich-Gärtnerische Fakultät
1
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Diskussionspapier
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Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere
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Friedrich-Alexander-Universität Erlangen-Nürnberg, Wirtschafts- und Sozialwissenschaftliche Fakultät, Lehrstuhl für Statistik und Ökonometrie, Prof. Dr. Ingo Klein - Publikationen
2
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2
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2
Working Paper
2
Working Papers SFB Adaptive Information Systems and Modelling in Economics and Management Science
2
ASTIN BULLETIN ; Vol. 32 - No. 2 - 2001, 349-358
1
ASTIN BULLETIN ; Vol.33, No.22,2003, pp.419-436
1
ASTIN Bulletin- The Journal of the ASTIN and AFIR Section of the International Actuarial Association
1
CORE DISCUSSION PAPER
1
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1
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1
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1
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1
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1
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1
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1
Wirtschaftsuniversität Wien - Forschungsbezogene elektronische Publikationen
1
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1
Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science
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USB Cologne (business full texts)
ECONIS (ZBW)
16,592
RePEc
1,183
EconStor
217
BASE
34
USB Cologne (EcoSocSci)
13
Other ZBW resources
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1
The Role of Small Farms inStructural Change
Hüttel, Silke
;
Margarian, Anne
-
Universität <Berlin, Humboldt-Universität> / …
-
2009
persistent structures. An empirical
Markov
chain
model is definedfor the West German agricultural sector. Thereby it is possible …
Persistent link: https://www.econbiz.de/10009302581
Saved in:
2
A tight bound on the throughputof queueing networks with blocking
Tancrez, Jean-Sébastien
;
Chevalier, Philippe
;
Semal, Pierre
-
Center for Operations Research and Econometrics …
-
2008
bemodelled by a
Markov
chain
. The PMF discretization is simple: the probability masses onregular intervals are computed and … distributions so that the evolution of the modified network can be modelled by a
Markov
chain
. The PMF discretization is simple … are called state models, and consist in the exact modelling of the evolution of the system by a
Markov
Chain
. Their …
Persistent link: https://www.econbiz.de/10005868677
Saved in:
3
Default Correlation in a
Markov-Chain
Credit Migration Model with Contagion Effects
Gibson, Rajna
;
Valchev, Stoyan
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2005
default correlations and credit spreads in an intensity-based
Markov-chain
setting with common macroeconomic factors and firm …
Persistent link: https://www.econbiz.de/10005858812
Saved in:
4
A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
Miazhynskaia, Tatiana
;
Frühwirth-Schnatter, Sylvia
; …
-
2003
This paper presents a comprehensive review and comparison of five computational methods for Bayesian model selection, based on MCMC simulations from posterior model parameter distributions. We apply these methods to a well-known and important class of models in financial time series analysis,...
Persistent link: https://www.econbiz.de/10005844729
Saved in:
5
Heterogeneous trade intervals in an agent based financial market
Pfister, Alexander
-
2003
This paper studies the dynamics of an asset pricing model based on simple deterministic agents.
Persistent link: https://www.econbiz.de/10005844730
Saved in:
6
Setting a bonus-malus scale in the presence of other rating factors
Pitrebois, Sandra
;
Denuit, Michel
;
Walhin, Jean-Francois
-
International Actuarial Association / Actuarial Studies …
-
2003
In this paper, we propose an analytic analogue to the simulation procedure described in Taylor (1997). We apply the formulas to a Belgian data set and discuss the interaction between a priori and a posteriori ratemakings.
Persistent link: https://www.econbiz.de/10005847014
Saved in:
7
A Fully Bayesian Analysis of Multivariate Latent Class Models with an Application to Metric Conjoint Analysis
Frühwirth-Schnatter, Sylvia
;
Otter, Thomas
;
Tüchler, …
-
2002
. Estimation is carried out by means of
Markov
Chain
Monte Carlo (MCMC) methods. We deal explicitely with the consequences the …
Persistent link: https://www.econbiz.de/10005844780
Saved in:
8
Bayesian analysis of the heterogeneity model
Frühwirth-Schnatter, Sylvia
;
Tüchler, Regina
;
Otter, …
-
2002
In the present paper we consider Bayesian estimation of a finite mixture of models with random effects which is also known as the heterogeneity model. First, we discuss the properties of various MCMC samplers that are obtained from full conditional Gibbs sampling by grouping and collapsing.(...)
Persistent link: https://www.econbiz.de/10005844781
Saved in:
9
The Heterogeneity Model and its Special Cases : An Illustrative Comparison
Tüchler, Regina
;
Frühwirth-Schnatter, Sylvia
;
Otter, …
-
2002
In this paper we carry out fully Bayesian analysis of the general heterogeneity model, which is a mixture of random effects model, and its special cases, the random coefficient model and the latent class model. Our application comes from Conjoint analysis and we are especially interested in what...
Persistent link: https://www.econbiz.de/10005844809
Saved in:
10
A Note on Ruin in a Two State Markov Model
Wagner, Christian
-
2001
surplus is a multiple of the premium. KEYWORDS
Markov
chain
, Ruin time, Ruin probability. 1. PRELIMINARIES Let tj, t2 … described as a homogeneous
MARKOV
chain
with two states and the transi- tion matrix Pll P,2 t : (1-p,2 p,2 I <1) P21 P22\] P …
Persistent link: https://www.econbiz.de/10005847087
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