The semi-Markov beta-Stacy process: a Bayesian non-parametric prior for semi-Markov processes

Autor:	Arfè, Andrea, Peluso, Stefano, Muliere, Pietro
Rok vydání:	2018
Předmět:	Mathematics - Statistics Theory Statistics - Methodology
Druh dokumentu:	Working Paper
Popis:	The literature on Bayesian methods for the analysis of discrete-time semi-Markov processes is sparse. In this paper, we introduce the semi-Markov beta-Stacy process, a stochastic process useful for the Bayesian non-parametric analysis of semi-Markov processes. The semi-Markov beta-Stacy process is conjugate with respect to data generated by a semi-Markov process, a property which makes it easy to obtain probabilistic forecasts. Its predictive distributions are characterized by a reinforced random walk on a system of urns. Comment: Accepted for publication in the journal Statistical Inference for Stochastic Processes on July 23, 2020
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1812.00260 Zobrazit plný text záznamu View this record from Arxiv