Estimation–Calibration of Continuous-Time Non-Homogeneous Markov Chains with Finite State Space

Autor:	Manuel L. Esquível, Nadezhda P. Krasii, Gracinda R. Guerreiro
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	Markov chains non homogeneous continuous time regime switching processes estimation calibration Mathematics QA1-939
Zdroj:	Mathematics, Vol 12, Iss 5, p 668 (2024)
Druh dokumentu:	article
ISSN:	2227-7390
DOI:	10.3390/math12050668
Popis:	We propose a method for fitting transition intensities to a sufficiently large set of trajectories of a continuous-time non-homogeneous Markov chain with a finite state space. Starting with simulated data computed with Gompertz–Makeham transition intensities, we apply the proposed method to fit piecewise linear intensities and then compare the transition probabilities corresponding to both the Gompertz–Makeham transition intensities and the fitted piecewise linear intensities; the main comparison result is that the order of magnitude of the average fitting error per unit time—chosen as a year—is always less than 1%, thus validating the methodology proposed.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/8fa3bb46c51a4671a417afc21dac2e4e Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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