| Publication | Date of Publication | Type |
|---|
Rényi divergence in hidden Markov models
Machine Learning | 2025-11-10 | Paper |
Estimating a common break point in means for long-range dependent panel data
Journal of Time Series Analysis | 2024-12-27 | Paper |
Asymptotic behavior of the maximum likelihood estimator for general Markov switching models
STATISTICA SINICA | 2024-08-26 | Paper |
Kullback-Leibler divergence and Akaike information criterion in general hidden Markov models
IEEE Transactions on Information Theory | 2024-07-23 | Paper |
Efficient exponential tilting with applications
Statistics and Computing | 2024-04-30 | Paper |
| Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models | 2023-03-14 | Paper |
Simulating false alarm probability in K-distributed sea clutter
Communications in Statistics. Simulation and Computation | 2022-10-18 | Paper |
Credit risk propagation in structural-form models
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
| scientific article; zbMATH DE number 7377823 (Why is no real title available?) | 2021-08-03 | Paper |
Asymptotic behavior for Markovian iterated function systems
Stochastic Processes and their Applications | 2021-06-04 | Paper |
Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models
IEEE Transactions on Information Theory | 2021-02-22 | Paper |
Computerized adaptive test using raw responses for item selection: theoretical results and applications for the up-and-down method
Statistics and Its Interface | 2020-06-24 | Paper |
| Reply to on some problems in the article "Efficient likelihood estimation in state space models" by Cheng-Der Fuh [Ann, Statist. 34 (2006) 2026-2068] | 2019-11-02 | Paper |
Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models
IEEE Transactions on Information Theory | 2019-01-18 | Paper |
Buy-and-hold mean-variance portfolios with a random exit strategy
Quantitative Finance | 2018-11-14 | Paper |
On an automatic and optimal importance sampling approach with applications in finance
Quantitative Finance | 2018-11-13 | Paper |
Quickest Change Detection and Kullback-Leibler Divergence for Two-State Hidden Markov Models
IEEE Transactions on Signal Processing | 2018-08-22 | Paper |
On spherical Monte Carlo simulations for multivariate normal probabilities
Advances in Applied Probability | 2015-11-06 | Paper |
scientific article; zbMATH DE number 6193740 (Why is no real title available?)
(available as arXiv preprint) | 2013-08-01 | Paper |
Efficient likelihood estimation in state space models
The Annals of Statistics | 2012-09-03 | Paper |
A self-normalized central limit theorem for Markov random walks
Advances in Applied Probability | 2012-07-12 | Paper |
Efficient simulation of value at risk with heavy-tailed risk factors
Operations Research | 2012-06-26 | Paper |
The role of additional information in option pricing: estimation issues for the state space model
Computational Economics | 2010-11-12 | Paper |
On-line VWAP Trading Strategies
Sequential Analysis | 2010-10-01 | Paper |
Reply to ``On some problems in the article `Efficient likelihood estimation in state space models{'} by Cheng-Der Fuh
The Annals of Statistics | 2010-03-24 | Paper |
Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
Sequential Analysis | 2008-12-04 | Paper |
| Bayesian stochastic estimation of the maximum of a regression function | 2008-07-11 | Paper |
Estimation in hidden Markov models via efficient importance sampling
Bernoulli | 2008-01-09 | Paper |
Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift
Advances in Applied Probability | 2007-11-12 | Paper |
Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk
Asia-Pacific Financial Markets | 2007-10-22 | Paper |
Optimal strategies for a class of sequential control problems with precedence relations
The Annals of Statistics | 2007-10-17 | Paper |
Efficient importance sampling for events of moderate deviations with applications
Biometrika | 2006-01-24 | Paper |
Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
The Annals of Statistics | 2005-02-28 | Paper |
Limit theorems for iterated random functions by regenerative methods.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Corrigendum to ``Limit theorems for iterated random functions by regenerative methods
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Bootstrap and Bayesian bootstrap clones for censored Markov chains
Journal of Statistical Planning and Inference | 2005-02-09 | Paper |
FUZZY CLUSTERING BASED ON INTUITIONISTIC FUZZY RELATIONS
International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems | 2004-11-05 | Paper |
Uniform Markov renewal theory and ruin probabilities in Markov random walks.
The Annals of Applied Probability | 2004-09-15 | Paper |
Poisson equation, moment inequalities and quick convergence for Markov random walks.
Stochastic Processes and their Applications | 2004-09-07 | Paper |
| scientific article; zbMATH DE number 2063759 (Why is no real title available?) | 2004-03-30 | Paper |
SPRT and CUSUM in hidden Markov models
The Annals of Statistics | 2003-11-10 | Paper |
Empirical Performance and Asset Pricing in Hidden Markov Models
Communications in Statistics: Theory and Methods | 2003-11-06 | Paper |
| scientific article; zbMATH DE number 1998565 (Why is no real title available?) | 2003-10-29 | Paper |
Random Perturbation in Games of Chance
Studies in Applied Mathematics | 2002-12-11 | Paper |
Asymptotically efficient strategies for a stochastic scheduling problem with order constraints.
The Annals of Statistics | 2002-11-14 | Paper |
| scientific article; zbMATH DE number 1775585 (Why is no real title available?) | 2002-08-04 | Paper |
Asymptotic expansions in multidimensional Markov renewal theory and first passage times for Markov random walks
Advances in Applied Probability | 2002-05-23 | Paper |
Paley-type inequalities related to the central limit theorem for Markov chains
Sankhyā. Series A. Methods and Techniques | 2001-09-11 | Paper |
Bootstrap methods for the up and down test on pyrotechnics sensitvity analysis
Statistica Sinica | 2001-09-02 | Paper |
Wald's equations, first passage times and moments of ladder variables in Markov random walks
Journal of Applied Probability | 1999-04-26 | Paper |
Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk
Advances in Applied Probability | 1998-08-09 | Paper |
| scientific article; zbMATH DE number 936383 (Why is no real title available?) | 1996-10-16 | Paper |
| scientific article; zbMATH DE number 854576 (Why is no real title available?) | 1996-04-22 | Paper |
| scientific article; zbMATH DE number 774826 (Why is no real title available?) | 1995-07-17 | Paper |
| scientific article; zbMATH DE number 579145 (Why is no real title available?) | 1994-07-07 | Paper |
Bootstrapping Markov chains: Countable case
Journal of Statistical Planning and Inference | 1993-04-01 | Paper |
Bootstrapping the autocorrelation coefficient of finite Markov chains
Journal of Statistical Planning and Inference | 1993-01-16 | Paper |
