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Dirichlet prior for cascade SDE with Markov regime-switching

Tossa, Adaté; Bernard, Didier; Emilion, Richard; Iyer, Srikanth K. (2009), Dirichlet prior for cascade SDE with Markov regime-switching. https://basepub.dauphine.fr/handle/123456789/17396

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Type
Document de travail / Working paper
Date
2009
Series title
cahier de recherche CEREMADE- Paris-Dauphine
Pages
15
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Author(s)
Tossa, Adaté
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Bernard, Didier cc
Laboratoire de Physique de l'Atmosphère Tropicale [LPAT]
Emilion, Richard
Mathématiques - Analyse, Probabilités, Modélisation - Orléans [MAPMO]
Iyer, Srikanth K.
Mathématiques - Analyse, Probabilités, Modélisation - Orléans [MAPMO]
Abstract (EN)
A Stochastic Differential Equation appearing in the statistical theory of turbulence is extended in random environment by assuming that its two parameters are switched by an unobserved continuoustime Markov chain whose states represent the states of the environment. A Dirichlet process is placed as a prior on the space of the sample paths of this chain, leading to a hierarchical Dirichlet model whose estimation is done both on simulated data and on real data of wind speed measured at the entrance of a mangrove ecosystem.
Subjects / Keywords
Stochastic differential equation; Random environment; Markov regime switching; Mangrove; Dissipation; Dirichlet process; Cascades; Stochastic differential equation