TY - JOUR
T1 - Piecewise linear process with renewal starting points
AU - Ratanov, Nikita
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 2017/12
Y1 - 2017/12
N2 - This paper concerns a Markovian piecewise linear process, based on a continuous-time Markov chain with a finite state space. The process describes the movement of a particle that takes a new linear trend starting from a new random point (with state-dependent distribution) after each trend switch. The distribution of particle's position is derived in a closed form. In some special cases the distributions of the level passage times are provided explicitly.
AB - This paper concerns a Markovian piecewise linear process, based on a continuous-time Markov chain with a finite state space. The process describes the movement of a particle that takes a new linear trend starting from a new random point (with state-dependent distribution) after each trend switch. The distribution of particle's position is derived in a closed form. In some special cases the distributions of the level passage times are provided explicitly.
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U2 - 10.1016/j.spl.2017.08.010
DO - 10.1016/j.spl.2017.08.010
M3 - Article
AN - SCOPUS:85031720579
SN - 0167-7152
VL - 131
SP - 78
EP - 86
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
ER -