Distributional Properties of the Mixture of Continuous-Time Absorbing Markov Chains Moving at Different Speeds

DOI10.1287/STSY.2017.0007zbMATH Open1446.60054OpenAlexW2786063818MaRDI QIDQ5113877FDOQ5113877

Budhi A. Surya

Publication date: 18 June 2020

Published in: Stochastic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/stsy.2017.0007

zbMATH Keywords

Markov chainsforward intensitygeneralized phase-type distributionsMarkov mixture processesresidual occupation time

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of continuous-time Markov processes on discrete state spaces (60J28) Continuous-time Markov processes on discrete state spaces (60J27) Survival analysis and censored data (62N99)

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Cited In (2)

• Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
• Estimation in a general mixture of Markov jump processes

Uses Software

• invGauss

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