9 citations · 21 across the 6 of their papers we have counts for
11 papers
Revisiting the forward equations for inhomogeneous semi-Markov processes
Alexander Sokol
In this paper, we consider a class of inhomogeneous semi-Markov processes directly based on intensity processes for marked point processes. We show that this class satisfies the se…
A generic model for spouse's pensions with a view towards the calculation of liabilities
Alexander Sokol
We introduce a generic model for spouse's pensions. The generic model allows for the modeling of various types of spouse's pensions with payments commencing at the death of the ins…
Degrees of freedom for nonlinear least squares estimation
Niels Richard Hansen, Alexander Sokol
We give a general result on the effective degrees of freedom for nonlinear least squares estimation, which relates the degrees of freedom to the divergence of the estimator. We sho…
Quantifying identifiability in independent component analysis
Alexander Sokol, Marloes H. Maathuis, Benjamin Falkeborg
We are interested in consistent estimation of the mixing matrix in the ICA model, when the error distribution is close to (but different from) Gaussian. In particular, we consider…
An elementary proof that the first hitting time of an set by a jump process is a stopping time
Alexander Sokol
We give a short and elementary proof that the first hitting time of a set by the jump process of a càdlàg adapted process is a stopping time.
Intervention in Ornstein-Uhlenbeck SDEs
Alexander Sokol
We introduce a notion of intervention for stochastic differential equations and a corresponding causal interpretation. For the case of the Ornstein-Uhlenbeck SDE, we show that the…