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June, 1990 Bayes Estimation from a Markov Renewal Process
Michael J. Phelan
Ann. Statist. 18(2): 603-616 (June, 1990). DOI: 10.1214/aos/1176347618

Abstract

A procedure for Bayes nonparametric estimation from a Markov renewal process is developed. It is based on a conjugate class of a priori distributions on the parameter space of semi-Markov transition distributions. The class is characterized by a Dirichlet family of distributions for random Markov matrices and a Beta family of Levy processes for random cumulative hazard functions. The main result is the derivation of the posterior law from an observation of the Markov renewal process over a period of time.

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Michael J. Phelan. "Bayes Estimation from a Markov Renewal Process." Ann. Statist. 18 (2) 603 - 616, June, 1990. https://doi.org/10.1214/aos/1176347618

Information

Published: June, 1990
First available in Project Euclid: 12 April 2007

zbMATH: 0703.62086
MathSciNet: MR1056329
Digital Object Identifier: 10.1214/aos/1176347618

Subjects:
Primary: 62M02
Secondary: 62C99, 62G05

Rights: Copyright © 1990 Institute of Mathematical Statistics

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Vol.18 • No. 2 • June, 1990
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