On a construction of Markov models in continuous time
Por:
Mena R.H., Walker S.G.
Publicada:
1 ene 2009
Categoría:
Statistics and Probability
Resumen:
This paper studies a novel idea for constructing continuous-time stationary Markov models. The approach undertaken is based on a latent representation of the corresponding transition probabilities that conveys to appealing ways to study and simulate the dynamics of the constructed processes. Some well-known models are shown to fall within this construction shedding some light on both theoretical and applied properties. As an illustration of the capabilities of our proposal a simple estimation problem is posed.
Filiaciones:
Mena R.H.:
Institute de Investigaciones en Matemáticas Aplicadas y en Sistemas, Universidad Nacional Autónoma de México, México, DF 04510, Mexico
Walker S.G.:
Institute of Mathematics Statistics and Actuarial Science, University of Kent Canterbury, Kent, CT2 7NZ, United Kingdom
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