Nonhomogeneous markov chains with desired properties - the nearest markovian model

Occupation laws for some time-nonhomogeneous Markov chains

We consider finite-state time-nonhomogeneous Markov chains whose transition matrix at time n is I + G/nζ where G is a “generator” matrix, that is G(i, j) > 0 for i, j distinct, and G(i, i) = − ∑ k 6=iG(i, k), and ζ > 0 is a strength parameter. In these chains, as time grows, the positions are less and less likely to change, and so form simple models of age-dependent time-reinforcing schemes. Th...

Large Deviations for a Class of Nonhomogeneous Markov Chains

Large deviation results are given for a class of perturbed non-homogeneous Markov chains on finite state space which formally includes some stochastic optimization algorithms. Specifically, let {Pn} be a sequence of transition matrices on a finite state space which converge to a limit transition matrix P. Let {Xn} be the associated non-homogeneous Markov chain where Pn controls movement from ti...

Properties of Markov Chains

A Nonhomogeneous Hidden Markov Model for Precipitation

A stochastic model for relating precipitation occurrences at multiple rain gauge stations to broad-scale atmospheric circulation patterns (the so-called \downscaling problem") is proposed. The model is an example of a nonhomogeneous hidden Markov model and generalizes existing downscaling models in the literature. The model assumes that atmospheric circulation can be classi ed into a small numb...

Perfect Sampling for Nonhomogeneous Markov Chains and Hidden Markov Models By