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Estimation for mixtures of Markov processes

✍ Scribed by Jeong-gun Park; I.V. Basawa

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
121 KB
Volume
59
Category
Article
ISSN
0167-7152

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✦ Synopsis

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 estimates. Mixture of Autoregressive processes and of two-state Markov chains are discussed as speciΓΏc examples. Simulation results on the comparison of quasi-likelihood and ML estimates are reported.

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