We consider some problems of inference from censored discrete-time Markov chains. The censoring mechanism is general enough to be useful in applications and maintains the conditional multinomial sampling model for successive transitions. Procedures are given for nonparametric estimation of...

Birth and Death on a flow refers to a particle system on a stochastic flow. Particles are born in a point process and move on the flow subject to position-dependent killing. They die eventually and leave the flow. The particle process is a measure-valued, Markov process tracking these motions....

This work considers the approach to stationarity of a Markov process of birth and death on stochastic flows. The process takes values in the space of counting measures, so its stationary states are point processes representing equilibrium distributions of points of unit mass. Stationary states...

We consider asymptotic parametric estimation from a particle process of birth and death on a Brownian flow. Whether for likelihood or quasi-likelihood estimators, we treat expressions of the asymptotic information in relation to a stationary law for the process. And when that law is specifically...

This work describes applications of probability and statistics in RiskMetrics, JP Morgan's methodology for quantifying market risk. The methodology implements an analytical approach to financial risk in trading, arbitrage and investment based on the statistics of market moves in equities, bonds,...