An introduction to stochastic modeling

By H. M. Taylor, S. Karlin. 1985

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Citations in the corpus

Time Series Prediction : Predicting Stock Price (2017, methodology): “positive, if we can show a model that can consistently beat the martingale model, then we have shown there exists dependencies beyond (2). Stocks are also modeled as following a geometric random walk [2]. Most famously, this modeling was used in the formulation of the Black-Scholes equation, an equa”
Estimating frequency of change (2003, methodology): “Previous work has mainly focused on how to estimate the change frequency given the complete change history [ 10 , 13].”
The Time-Rescaling Theorem and Its Application to Neural Spike Train Data Analysis (2002, background): “It states that any inhomogeneous Poisson process may be rescaledortransformedintoahomogeneousPoissonprocesswithaunitrate ( Taylor&Karlin,1994 ).Theinversetransformationisastandardmethodfor simulating an inhomogeneous Poisson process from a constant rate (homogeneous) Poisson process.”
Effective page refresh policies for Web crawlers (2003, background): “6 J. Cho and H. Garcia-Molina distributed [ Taylor and Karlin 1998 ].”
Models for longitudinal network datain (2005, background): “These stochastic processes are treated extensively in textbooks such as Taylor and Karlin (1998) and Norris (1997).”
Risky mate search and male self-sacrifice in redback spiders (2003, background): “Given these assumptions, by first step analysis ( Taylor and Karlin, 1998 ), the expected number of lifetime encounters for a male currently on a female’s web is”
α-Rank: Multi-Agent Evaluation by Evolution (2019, background): “fk(s;s k)) 1 me a (f kt ;s) s )) if fk(t;s k)6= fk(s;s k) 1 m if f k(t;s k)= fk(s;s k) (9) This corresponds to the computation of an m-step transition in the Markov chain corresponding to P(t !s;s k) [38]. The quotient T k( 1)(pk;t;s;s k) Tk(+1)(pk;t;s;s k) expresses the likelihood (odds) that the m”
Continuous-time GARCH processes (2006, background): “, it follows that eB(t−Γ N(t)) is asymptotically independent of Yb m and, hence, Y t,m converges in distribution to eBT Yb m as t→ ∞, where T is exponentially distributed with parameter ν L(R) (e.g., [26], Section 7.4.4) and is independent of T 1,Z 1,...,T m,Z m and, hence, can be chosen to be indep”
The Cyclical Behavior of Equilibrium Unemployment and Vacancies (2005, unknown): “q p ,s a special case of equation (6), with workers’ bargaining power equal to the elasticity . This generalizes the Hosios (1990) condition for efficiency of the decentralized equilibrium to an economy with stochastic productivity and separation rates.”