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A characterization for mixtures of semi-Markov processes

✍ Scribed by I. Epifani; S. Fortini; L. Ladelli


Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
183 KB
Volume
60
Category
Article
ISSN
0167-7152

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✦ Synopsis


Mixtures of recurrent semi-Markov processes are characterized through a partial exchangeability condition of the array of successor states and holding times. A stronger invariance condition on the joint law of successor states and holding times leads to mixtures of Markov laws.


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Finite mixtures of Markov processes with densities belonging to exponential families are introduced. Quasilikelihood and maximum likelihood methods are used to estimate the parameters of the mixing distributions and of the component distributions. The E-M algorithm is used to compute the ML estimate