Faculty Digital Archive

Archive@NYU >
Stern School of Business >
IOMS: Statistics Working Papers >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/26330

Title: Estimation in the Mixture of Markov Chains
Authors: Frydman, Halina
Keywords: Mixtures of Markov Chains
Mover-stayer model
EM algorithm
Issue Date: 9-Jan-2003
Publisher: Stern School of Business, New York University
Series/Report no.: SOR-2003-4
Abstract: This paper considers a new mixture of time homogeneous finite Markov chains where the mixing is on the rate of movement and develops the EM algorithm for the maximum likelihood estimation of the parameters of the mixture. A continuous and discrete time versions of the mixture are defined and their estimation is considered separately. The simulation study is carried out for the continuous time mixture. To simplify the exposition the results are derived for a mixture of two Markov chains, but can be easily extended to a mixture of any finite number of Markov chains. The class of mixture models proposed in this paper provides a framework for modeling population heterogeneity with respect to the rate of movement. The proposed mixture generalizes the mover-stayer model, which has been widely employed in applications.
URI: http://hdl.handle.net/2451/26330
Appears in Collections:IOMS: Statistics Working Papers

Files in This Item:

File Description SizeFormat
03-04.pdf196.15 kBAdobe PDFView/Open

Items in Faculty Digital Archive are protected by copyright, with all rights reserved, unless otherwise indicated.

 

The contents of the FDA may be subject to copyright, be offered under a Creative Commons license, or be in the public domain.
Please check items for rights statements. For information about NYU’s copyright policy, see http://www.nyu.edu/footer/copyright-and-fair-use.html 
Valid XHTML 1.0 | CSS