5 papers
Gaussian approximations for fast Bayesian inference of partially observed branching processes with applications to epidemiology
Angus Lewis, Antonio Parrella, John Maclean +1
We consider the problem of inference for the states and parameters of a continuous-time multitype branching process from partially observed time series data. Exact inference for th…
Weak convergence of quasi-birth-and-death processes with rational arrival process components to fluid queues
Nigel Bean, Angus Lewis
In this paper we construct a new approximation to a fluid queue as a quasi-birth-and-death process with rational arrival process components (QBD-RAP) and prove its convergence. Flu…
Bayesian estimation of trend components within Markovian regime-switching models for wholesale electricity prices: an application to the South Australian wholesale electricity market
Angus Lewis, Nigel Bean, Giang Nguyen
We discuss and extend methods for estimating Markovian-Regime-Switching (MRS) and trend models for wholesale electricity prices. We argue the existing methods of trend estimation u…
Estimation of Markovian-regime-switching models with independent regimes
Nigel Bean, Angus Lewis, Giang Nguyen
Markovian-regime-switching (MRS) models are commonly used for modelling economic time series, including electricity prices where independent regime models are used, since they can…
A discontinuous Galerkin method for approximating the stationary distribution of stochastic fluid-fluid processes
Nigel Bean, Giang T. Nguyen, Malgorzata M. O'Reilly +1
Introduced by Bean and O'Reilly (2014), a stochastic fluid-fluid process is a Markov processes , where the first fluid is driven by the Markov c…