Markov Additive Processes and Repeats in Sequences

2007 ◽  
Vol 44 (02) ◽  
pp. 514-527
Author(s):  
John L. Spouge

Computer analysis of biological sequences often detects deviations from a random model. In the usual model, sequence letters are chosen independently, according to some fixed distribution over the relevant alphabet. Real biological sequences often contain simple repeats, however, which can be broadly characterized as multiple contiguous copies (usually inexact) of a specific word. This paper quantifies inexact simple repeats as local sums in a Markov additive process (MAP). The maximum of the local sums has an asymptotic distribution with two parameters (λ and k), which are given by general MAP formulas. The general MAP formulas are usually computationally intractable, but an essential simplification in the case of repeats permits λ and k to be computed from matrices whose dimension equals the size of the relevant alphabet. The simplification applies to some MAPs where the summand distributions do not depend on consecutive pairs of Markov states as usual, but on pairs with a fixed time-lag larger than one.

2007 ◽  
Vol 44 (02) ◽  
pp. 514-527 ◽  
Author(s):  
John L. Spouge

Computer analysis of biological sequences often detects deviations from a random model. In the usual model, sequence letters are chosen independently, according to some fixed distribution over the relevant alphabet. Real biological sequences often contain simple repeats, however, which can be broadly characterized as multiple contiguous copies (usually inexact) of a specific word. This paper quantifies inexact simple repeats as local sums in a Markov additive process (MAP). The maximum of the local sums has an asymptotic distribution with two parameters (λ and k), which are given by general MAP formulas. The general MAP formulas are usually computationally intractable, but an essential simplification in the case of repeats permits λ and k to be computed from matrices whose dimension equals the size of the relevant alphabet. The simplification applies to some MAPs where the summand distributions do not depend on consecutive pairs of Markov states as usual, but on pairs with a fixed time-lag larger than one.


2007 ◽  
Vol 44 (2) ◽  
pp. 514-527 ◽  
Author(s):  
John L. Spouge

Computer analysis of biological sequences often detects deviations from a random model. In the usual model, sequence letters are chosen independently, according to some fixed distribution over the relevant alphabet. Real biological sequences often contain simple repeats, however, which can be broadly characterized as multiple contiguous copies (usually inexact) of a specific word. This paper quantifies inexact simple repeats as local sums in a Markov additive process (MAP). The maximum of the local sums has an asymptotic distribution with two parameters (λ and k), which are given by general MAP formulas. The general MAP formulas are usually computationally intractable, but an essential simplification in the case of repeats permits λ and k to be computed from matrices whose dimension equals the size of the relevant alphabet. The simplification applies to some MAPs where the summand distributions do not depend on consecutive pairs of Markov states as usual, but on pairs with a fixed time-lag larger than one.


2014 ◽  
Vol 51 (A) ◽  
pp. 347-358
Author(s):  
Hansjörg Albrecher ◽  
Peiman Asadi ◽  
Jevgenijs Ivanovs

Consider Wald's sequential probability ratio test for deciding whether a sequence of independent and identically distributed observations comes from a specified phase-type distribution or from an exponentially tilted alternative distribution. Exact decision boundaries for given type-I and type-II errors are derived by establishing a link with ruin theory. Information on the mean sample size of the test can be retrieved as well. The approach relies on the use of matrix-valued scale functions associated with a certain one-sided Markov additive process. By suitable transformations, the results also apply to other types of distributions, including some distributions with regularly varying tails.


2014 ◽  
Vol 556-562 ◽  
pp. 4146-4150
Author(s):  
Shu Meng ◽  
Gui Xiang Shen ◽  
Ying Zhi Zhang ◽  
Shu Guang Sun ◽  
Qi Song

In this paper, the parameter estimation problem of products which are mutually independent and whose life belongs to two parameters Weibull distribution in fixed-time censoring experiment is discussed. And the rank of failure data is corrected by average rank time method, when the censoring experiments appeared. It is found that the method not only achieves the same effect for likelihood function theory, but also has the characters of high precision, simple process, no programming calculation, when model optimization is done by correlation index method. Finally, take field test data of a machine tool as an example to introduce the specific application process of this method, in order to verify the effectiveness and practical applicability.


2014 ◽  
Vol 51 (A) ◽  
pp. 347-358
Author(s):  
Hansjörg Albrecher ◽  
Peiman Asadi ◽  
Jevgenijs Ivanovs

Consider Wald's sequential probability ratio test for deciding whether a sequence of independent and identically distributed observations comes from a specified phase-type distribution or from an exponentially tilted alternative distribution. Exact decision boundaries for given type-I and type-II errors are derived by establishing a link with ruin theory. Information on the mean sample size of the test can be retrieved as well. The approach relies on the use of matrix-valued scale functions associated with a certain one-sided Markov additive process. By suitable transformations, the results also apply to other types of distributions, including some distributions with regularly varying tails.


2005 ◽  
Vol 35 (02) ◽  
pp. 351-361 ◽  
Author(s):  
Andrew C.Y. Ng ◽  
Hailiang Yang

In this paper, we consider a Markov-modulated risk model (also called Markovian regime switching insurance risk model). Follow Asmussen (2000, 2003), by using the theory of Markov additive process, an exponential martingale is constructed and Lundberg-type upper bounds for the joint distribution of surplus immediately before and at ruin are obtained. As a natural corollary, bounds for the distribution of the deficit at ruin are obtained. We also present some numerical results to illustrate the tightness of the bound obtained in this paper.


2010 ◽  
Vol 47 (4) ◽  
pp. 1048-1057 ◽  
Author(s):  
Bernardo D‘Auria ◽  
Jevgenijs Ivanovs ◽  
Offer Kella ◽  
Michel Mandjes

In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix function, which plays a crucial role in fluctuation theory. We show how to identify this matrix using the theory of Jordan chains associated with analytic matrix functions. This result provides us with a technique that can be used to derive various further identities.


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