Estimating the Order of Continuous Phase-type Distributions and Markov-Modulated Poisson Processes∗

DOI10.1080/15326349708807434MaRDI QIDQ4354599zbMATH OpenOpenAlexFDO

Authors Tobias Rydén

Publication date 11 November 1997

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349708807434

zbMATH Keywords

Markov-modulated Poisson processesmodel order selectionpenalized likelihoodphase-type distributionsplit-time likelihoods

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(4)

• The order of magnitude of the moments of the modulus of continuity of multiparameter Poisson and empirical processes
• Penalised likelihood methods for phase-type dimension selection
• Recursive filters for partially observable finite Markov chains
• On identifiability and order of continuous-time aggregated Markov chains, Markov-modulated Poisson processes, and phase-type distributions

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