Bayesian Nonparametric Estimation for Reinforced Markov Renewal Processes |
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Authors: | Paolo Bulla Pietro Muliere |
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Affiliation: | (1) Università Luigi Bocconi, Milano, Italy |
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Abstract: | Starting from the definitions and the properties of reinforced renewal processes and reinforced Markov renewal processes, we characterize, via exchangeability and de Finetti’s representation theorem, a prior that consists of a family of Dirichlet distributions on the space of Markov transition matrices and beta-Stacy processes on distribution functions. Then, we show that this family is conjugate and give some estimate results.
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Keywords: | Markov renewal processes Estimation Bayesian nonparametrics |
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