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Parametric estimation of local characteristics for Markov diffusion processes

✍ Scribed by A. P. Lapsar’

Book ID
106464890
Publisher
Springer US
Year
2005
Tongue
English
Weight
114 KB
Volume
48
Category
Article
ISSN
0543-1972

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Estimation for mixtures of Markov proces
Estimation for mixtures of Markov processes
✍ Jeong-gun Park; I.V. Basawa 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 121 KB

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