Estimation–Calibration of Continuous-Time Non-Homogeneous Markov Chains with Finite State Space

Estimation–Calibration of Continuous-Time Non-Homogeneous Markov Chains with Finite State Space

We propose a method for fitting transition intensities to a sufficiently large set of trajectories of a continuous-time non-homogeneous Markov chain with a finite state space. Starting with simulated data computed with Gompertz–Makeham transition intensities, we apply the proposed method to fit piec...

Full description

Bibliographic Details
Main Authors: Manuel L. Esquível, Nadezhda P. Krasii, Gracinda R. Guerreiro
Format: Article
Language:English
Published: MDPI AG 2024-02-01
Series:Mathematics
Subjects:
Markov chains
non homogeneous
continuous time
regime switching processes
estimation
calibration
Online Access:https://www.mdpi.com/2227-7390/12/5/668

Internet

https://www.mdpi.com/2227-7390/12/5/668

Similar Items