Estimation for mixtures of Markov processes

Jeong-gun Park and I. V. Basawa

Statistics & Probability Letters, 2002, vol. 59, issue 3, 235-244

Abstract: Finite mixtures of Markov processes with densities belonging to exponential families are introduced. Quasi-likelihood and maximum likelihood methods are used to estimate the parameters of the mixing distributions and of the component distributions. The E-M algorithm is used to compute the ML estimates. Mixture of Autoregressive processes and of two-state Markov chains are discussed as specific examples. Simulation results on the comparison of quasi-likelihood and ML estimates are reported.

Keywords: Mixture; moldels; Markov; processes; Exponential; families; Quasi-likelihood; estimation; Maximum; likelihood (search for similar items in EconPapers)
Date: 2002
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