46 citations · 100 across the 18 of their papers we have counts for
18 papers
Change, dependence, and discovery: Celebrating the work of T.L. Lai
Alexander G. Tartakovsky, Jay Bartroff, Cheng-Der Fuh +1
Tze Leung Lai made seminal contributions to sequential analysis, particularly in sequential hypothesis testing, changepoint detection and nonlinear renewal theory. His work establi…
Efficient importance sampling for copula models
Siang Cheng, Cheng-Der Fuh, Tianxiao Pang
In this paper, we propose an efficient importance sampling algorithm for rare event simulation under copula models. In the algorithm, the derived optimal probability measure is bas…
Determine the Number of States in Hidden Markov Models via Marginal Likelihood
Yang Chen, Cheng-Der Fuh, Chu-Lan Michael Kao
Hidden Markov models (HMM) have been widely used by scientists to model stochastic systems: the underlying process is a discrete Markov chain and the observations are noisy realiza…
A General Framework for Importance Sampling with Markov Random Walks
Cheng-Der Fuh, Yanwei Jia, Steven Kou
Although stochastic models driven by latent Markov processes are widely used, the classical importance sampling methods based on the exponential tilting for these models suffers fr…
Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models
Cheng-Der Fuh, Chu-Lan Michael Kao, Tianxiao Pang
To characterize the Kullback-Leibler divergence and Fisher information in general parametrized hidden Markov models, in this paper, we first show that the log likelihood and its de…
Rényi Divergence in General Hidden Markov Models
Cheng-Der Fuh, Su-Chi Fuh, Yuan-Chen Liu +1
In this paper, we examine the existence of the Rényi divergence between two time invariant general hidden Markov models with arbitrary positive initial distributions. By making use…