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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorTossa, Adaté
hal.structure.identifierLaboratoire de Physique de l'Atmosphère Tropicale [LPAT]
dc.contributor.authorBernard, Didier
HAL ID: 171409
ORCID: 0000-0001-7531-3528
hal.structure.identifierMathématiques - Analyse, Probabilités, Modélisation - Orléans [MAPMO]
dc.contributor.authorEmilion, Richard
hal.structure.identifierMathématiques - Analyse, Probabilités, Modélisation - Orléans [MAPMO]
dc.contributor.authorIyer, Srikanth K.
dc.date.accessioned2018-02-16T09:10:20Z
dc.date.available2018-02-16T09:10:20Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17396
dc.language.isoenen
dc.subjectStochastic differential equationen
dc.subjectRandom environmenten
dc.subjectMarkov regime switchingen
dc.subjectMangroveen
dc.subjectDissipationen
dc.subjectDirichlet processen
dc.subjectCascadesen
dc.subjectStochastic differential equationen
dc.subject.ddc519en
dc.titleDirichlet prior for cascade SDE with Markov regime-switchingen
dc.typeDocument de travail / Working paper
dc.description.abstractenA 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.en
dc.identifier.citationpages15en
dc.relation.ispartofseriestitlecahier de recherche CEREMADE- Paris-Dauphineen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
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