Dirichlet prior for cascade SDE with Markov regime-switching

Abstract : A Stochastic Differential Equation appearing in the statistical theory of turbulence is extended in random environment by assuming that its two parameters are switched by an unobserved continuoustime Markov chain whose states represent the states of the environment. A Dirichlet process is placed as a prior on the space of the sample paths of this chain, leading to a hierarchical Dirichlet model whose estimation is done both on simulated data and on real data of wind speed measured at the entrance of a mangrove ecosystem.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [22 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00455050
Contributor : Adaté Tossa <>
Submitted on : Tuesday, February 9, 2010 - 2:48:52 PM
Last modification on : Wednesday, February 19, 2020 - 8:55:00 AM
Long-term archiving on: Friday, June 18, 2010 - 7:42:33 PM

File

CSDA06_Srik_Hal.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00455050, version 1

Citation

Adaté Tossa, Didier Bernard, Richard Emilion, Srikanth K. Iyer. Dirichlet prior for cascade SDE with Markov regime-switching. 2009. ⟨hal-00455050⟩

Share

Metrics

Record views

342

Files downloads

149