کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7380083 1480158 2014 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time operator of Markov chains and mixing times. Applications to financial data
ترجمه فارسی عنوان
اپراتور زمان زنجیره مارکوف و بار مخلوط کردن. برنامه های کاربردی برای داده های مالی
کلمات کلیدی
اپراتور زمان، سن داخلی، زنجیره مارکوف، زمان مخلوط کردن، ثابت کنامی،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
We extend the notion of Time Operator from Kolmogorov Dynamical Systems and Bernoulli processes to Markov processes. The general methodology is presented and illustrated in the simple case of binary processes. We present a method to compute the eigenfunctions of the Time Operator. Internal Ages are related to other characteristic times of Markov chains, namely the Kemeny time, the convergence rate and Goodman's intrinsic time. We clarified the concept of mixing time by providing analytic formulas for two-state Markov chains. Explicit formulas for mixing times are presented for any two-state regular Markov chain. The mixing time of a Markov chain is determined also by the Time Operator of the Markov chain, within its Age computation. We illustrate these results in terms of two realistic examples: A Markov chain from US GNP data and a Markov chain from Dow Jones closing prices. We propose moreover a representation for the Kemeny constant, in terms of internal Ages.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 415, 1 December 2014, Pages 141-155
نویسندگان
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