Markov jump random c.d.f.'s and their posterior distributions
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.
Year of publication: |
2007
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Authors: | Balan, R.M. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 3, p. 359-374
|
Publisher: |
Elsevier |
Keywords: | Markov jump process Transition system Transition intensity function Bayesian nonparametric statistics |
Saved in:
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