Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 632, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.physa.2023.129291
Keywords
Statistical mixture model; Compound Poisson process; Finite mixture model; Markov switching model; Markov chain Monte Carlo
Categories
Ask authors/readers for more resources
This study utilizes a mixed compound Poisson process by Markov switching model (CPMSM) to describe the non-stationarity of mixed stochastic jump processes. The results show that CPMSM is an effective method for describing jump behavior by controlling random counts through Markov chain switching.
Describing the non-stationarity of mixed stochastic jump processes presents a formidable challenge. This study employs a mixed compound Poisson process by Markov switching model (CPMSM) to address the issue of overdispersed data of random jumps. The Poisson rate is governed by a continuous-time Markov chain in this model. By assuming independence of the compound Poisson process and jump sizes, we present a generalized algorithm to estimate the parameters of CPMSM and try to predict the future behavior of this stochastic system. To investigate the potential application of this model and the accuracy of our algorithm, we provide a numerical simulation example in the context of the auto insurance payout scenario. The results suggest that CPMSM is an effective method of describing jump behavior controlled by random counts with mode switching via a Markov chain. Furthermore, we demonstrate a specific application of this model in identifying seismicity levels of Greek earthquake data and identify four hidden states. Finally, we compare its fitting effectiveness with the ETAS model using two public earthquake datasets in Japan and Iran.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available