Piecewise linear process with renewal starting points

Nikita Ratanov

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)78-86
Number of pages9
JournalStatistics and Probability Letters
Volume131
DOIs
StatePublished - Dec 2017

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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