Bayesian nonparametric estimation of first passage distributions in semi‐Markov processes

Richard L. Warr and Travis B. Woodfield

Applied Stochastic Models in Business and Industry, 2020, vol. 36, issue 2, 237-250

Abstract: Bayesian nonparametric (BNP) models provide a flexible tool in modeling many processes. One area that has not yet utilized BNP estimation is semi‐Markov processes (SMPs). SMPs require a significant amount of computation; this, coupled with the computation requirements for BNP models, has hampered any applications of SMPs using BNP estimation. This paper presents a modeling and computational approach for BNP estimation in semi‐Markov models, which includes a simulation study and an application of asthma patients' first passage from one state of control to another.

Date: 2020
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https://doi.org/10.1002/asmb.2486

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:36:y:2020:i:2:p:237-250

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