Estimation in the Mixture of Markov Chains

23 Pages Posted: 3 Nov 2008

See all articles by Halina Frydman

Halina Frydman

New York University (NYU) - Department of Information, Operations, and Management Sciences

Date Written: January 2003

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 finitenumber 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 mixturegeneralizes the mover-stayer model, which has been widely employed in applications.

Keywords: Mixtures of Markov Chains, Mover-stayer model, EM algorithm

Suggested Citation

Frydman, Halina, Estimation in the Mixture of Markov Chains (January 2003). Statistics Working Papers Series, Vol. , pp. -, 2003. Available at SSRN: https://ssrn.com/abstract=1293605

Halina Frydman (Contact Author)

New York University (NYU) - Department of Information, Operations, and Management Sciences ( email )

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