• Journal of the Korean Statistical Society
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• v.35 no.4
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• pp.355-376
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• 2006

To identify whether the sequence of observations follows a chain dependent process and whether the chain dependent or repeated observations follow stationary process or not, alternative procedures are suggested in this paper. These test procedures are formulated on the basis of logistic regression model under the likelihood ratio test criterion and applied to the daily rainfall occurrence data of Bangladesh for selected stations. These test procedures indicate that the daily rainfall occurrences follow a chain dependent process, and the different types of transition probabilities and overall transition probabilities of Markov chain for the occurrences of rainfall follow a stationary process in the Mymensingh and Rajshahi areas, and non-stationary process in the Chittagong, Faridpur and Satkhira areas.

• Korean Management Science Review
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• v.10 no.2
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• pp.27-42
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• 1993

Markov chain models can be used to predict the state of the system in the future. We extend the existing Markov chain models in two ways. For the stationary model, we propose a procedure that obtains the transition probabilities by appling the empirical Bayes method, in which the parameters of the prior distribution in the Bayes estimator are obtained on the collaternal micro data. For non-stationary model, we suggest a procedure that obtains a time-varying transition probabilities as a function of the exogenous variables. To illustrate the effectiveness of our extended models, the models are applied to the macro and micro time-series data generated from actual survey. Our stationary model yields reliable parameter values of the prior distribution. And our non-stationary model can predict the variable transition probabilities effectively.

• Communications for Statistical Applications and Methods
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• v.16 no.2
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• pp.217-228
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• 2009

In this paper, we consider a multi-class queueing system in which different classes of customers have different arrival rates, service rates and class-transition probabilities. We use the fast simulation method to estimate the overflow probability and the expected number of customers of each class at the first time the total number of customers hits a high level. We also discuss the overflow probabilities and the expected number of customers at different loads, respectively.

• International Journal of Control, Automation, and Systems
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• v.4 no.5
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• pp.559-566
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• 2006

In the real system application, the interacting multiple model (IMM) based algorithm requires less computing resources as well as a good performance with respect to the various target maneuverings. And it further requires an easy design procedure in terms of its structures and parameters. To solve these problems, a fuzzy interacting multiple model (FIMM) algorithm, which is based on the basis sub-models defined by considering the maneuvering property and the time-varying mode transition probabilities designed by using the mode probabilities as inputs of a fuzzy decision maker, is proposed. To verify the performance of the proposed algorithm, airborne target tracking is performed. Simulation results show that the FIMM algorithm solves all problems in the real system application of the IMM based algorithm.

• Management Science and Financial Engineering
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• v.12 no.2
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• pp.19-35
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• 2006

We use the hierarchical Bayesian approach to describe the transition probabilities of a binary nonhomogeneous Markov chain. The Markov chain is used for describing the transition behavior of emotionally disturbed children in a treatment program. The effects of covariates on transition probabilities are assessed using a logit link function. To describe the time evolution of transition probabilities, we consider two modeling strategies. The first strategy is based on the concept of exchangeabiligy, whereas the second one is based on a first order Markov property. The deviance information criterion (DIC) measure is used to compare models with two different time dependent structures. The inferences are made using the Markov chain Monte Carlo technique. The developed methodology is applied to some real data.

• Communications for Statistical Applications and Methods
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• v.21 no.2
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• pp.135-145
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• 2014

The present study surveys Bayesian modeling structure for inferences about transition probabilities of Markov chain. The motivation of the study came from the data that shows transitional behaviors of emotionally disturbed children undergoing residential treatment program. Dirichlet distribution was used as prior for the multinomial distribution. The analysis with real data was implemented in WinBUGS programming environment. The performance of the model was compared to that of alternative approaches.

• Bulletin of the Korean Chemical Society
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• v.26 no.11
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• pp.1735-1737
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• 2005

We obtain probabilities at a crossing of two linearly time-dependent potentials that are constantly coupled to the other by solving a time-dependent Schrödinger equation. We find that the system which was initially localized at one state evolves to split into both states at the crossing. The probability splitting depends on the coupling strength $V_0$ such that the system stays at the initial state in its entirety when $V_0$ = 0 while it is divided equally in both states when $V_0 \rightarrow {\infty}$ . For a finite coupling the probability branching at the crossing is not even and thus a complete probability transfer at $t \rightarrow {\infty}$ is not achieved in the linear potential crossing problem. The Landau-Zener formula for transition probability at $t \rightarrow {\infty}$ is expressed in terms of the probabilities at the crossing.

• The Korean Journal of Applied Statistics
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• v.30 no.1
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• pp.147-157
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• 2017

The test of transition probabilities in panel Markov chains are introduced. We deal with the hypotheses whether panel Markov chains have the same transition probabilities or not for all times. We suggest a LR test statistic for the test and its limit distribution is derived. We perform a simulation study to examine the limit distribution of test statistics when the number of the individuals are large.

• Journal of Korean Society for Quality Management
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• v.17 no.2
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• pp.81-92
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• 1989

A class of standard optimization techniques to estimate the stationary transition probabilities among states is discussed. With the use of aggregate time series data on employed labor in industrial sectors, the alternative restricted estimates including minimum absolute deviation, unweighted, weighted, generalized inverse, minimum chi-square and maximum likelihood are evaluated and compared. Analytic and numerical results are shown favorably with the viewpoint of the validity and predictive potentiality of model.

• Journal of the Korean Statistical Society
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• v.25 no.3
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• pp.313-336
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• 1996

In this paper we consider weak convergence of some rescaled transi-tion probabilities of a real-valued, k-th order (k $\geq$ 1) stationary Markov chain. Under the assumption that the joint distribution of K + 1 consecutive variables belongs to the domain of attraction of a multivariate extreme value distribution, the paper gives a sufficient condition for the weak convergence and characterizes the limiting distribution via the multivariate extreme value distribution.