On identifiability of MAP processes

Josefa Ramírez Cobo

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Two types of transitions can be found in the Markovian Arrival process or MAP: with and without arrivals. In transient transitions the chain jumps from one state to another with no arrival; in effective transitions, a single arrival occurs. We assume that in practice, only arrival times are observed in a MAP. This leads us to define and study the Effective Markovian Arrival process or E-MAP. In this work we define identifiability of MAPs in terms of equivalence between the corresponding E-MAPs and study conditions under which two sets of parameters induce identical laws for the observable process, in the case of 2 and 3-states MAP. We illustrate and discuss our results with examples.

Keywords: Batch; Markovian; Arrival; process; Hidden; Markov; models; Identifiability; problems (search for similar items in EconPapers)
Date: 2008-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws084613

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