We study—with existence and unicity results—a variant of the SIR model for an infectious disease incorporating both the possibility of a death outcome—in a short period of time—and a regime switch that can account for the mitigation measures used to control the spreading of the infections, such as a total lockdown. This model is parametrised by three parameters: the basic reproduction number, the mortality rate of the infected, and the duration of the disease. We discuss a particular example of application to Portuguese COVID-19 data in two short periods just after the start of the epidemic in 4 March 2020, with the first two cases dated that day. We propose a simple and effective method for the estimation of the main parameters of the disease, namely, the basic reproduction number and the mortality rate of the infected. We correct these estimated values to take into account the asymptomatic non-diagnosed members of the population. We compare the outcome of the model in the cases of the existence, or not, of a regime switch, and under three different scenarios, with a remarkable agreement between model and data deaths in the case of our basis scenario. In a final short remark, we deal with the existence of symmetries for the proposed model.
We address the problem of finding a natural continuous time Markov type process—in open populations—that best captures the information provided by an open Markov chain in discrete time which is usually the sole possible observation from data. Given the open discrete time Markov chain, we single out two main approaches: In the first one, we consider a calibration procedure of a continuous time Markov process using a transition matrix of a discrete time Markov chain and we show that, when the discrete time transition matrix is embeddable in a continuous time one, the calibration problem has optimal solutions. In the second approach, we consider semi-Markov processes—and open Markov schemes—and we propose a direct extension from the discrete time theory to the continuous time one by using a known structure representation result for semi-Markov processes that decomposes the process as a sum of terms given by the products of the random variables of a discrete time Markov chain by time functions built from an adequate increasing sequence of stopping times.
We propose a stochastic algorithm for global optimisation of a regular function, possibly unbounded, defined on a bounded set with regular boundary; a function that attains its extremum in the boundary of its domain of definition. The algorithm is determined by a diffusion process that is associated with the function by means of a strictly elliptic operator that ensures an adequate maximum principle. In order to preclude the algorithm to be trapped in a local extremum, we add a pure random search step to the algorithm. We show that an adequate procedure of parallelisation of the algorithm can increase the rate of convergence, thus superseding the main drawback of the addition of the pure random search step.
We present an analysis on variability Bitcoin characteristics that help to quantitatively differentiate Bitcoin from the state-owned traditional currencies and the asset Gold. We provide a detailed study on returns of exchange rates—against the Swiss Franc—of several traditional currencies together with Bitcoin and Gold; for that purpose, we define a distance between currencies by means of the spectral densities of the ARMA models of the returns of the exchange rates, and we present the computed matrix of the distances between the chosen currencies. A statistical analysis of these matrix distances is further proposed, which shows that the distance between Bitcoin and any other currency or Gold is not comparable to any of the distances between currencies or between currencies and Gold and not involving Bitcoin. This result shows that Bitcoin is essentially different from the traditional currencies and from Gold, at least in what concerns the structure of its variance and auto-covariances.
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