Markov jump random c.d.f.'s and their posterior distributions

R.M. Balan

Stochastic Processes and their Applications, 2007, vol. 117, issue 3, 359-374

Abstract: In this article we introduce the class of Markov jump random c.d.f.'s as a sub-class of the Q-Markov prior distributions studied in R.M. Balan [Q-Markov random probability measures and their posterior distributions, Stochastic Process. Appl. 109 (2004) 296-316]. Our main result states that if the prior distribution of a sample is a Markov jump process, then the posterior distribution can also be viewed as the distribution of a Markov jump process, whose transition mechanism and infinitesimal behavior have been updated in the light of the new data.

Keywords: Markov; jump; process; Transition; system; Transition; intensity; function; Bayesian; nonparametric; statistics (search for similar items in EconPapers)
Date: 2007
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