Paper Info
Title
Parameter estimation for a discretely observed population process under Markov-modulation.
Abstract
A Markov-modulated independent sojourn process is a population process in which individuals arrive according to a Poisson process with Markov-modulated arrival rate, and leave the system after an exponentially distributed time. A procedure is developed to estimate the parameters of such a system, including those related to the modulation. It is assumed that the number of individuals in the system is observed at equidistant time points only, whereas the modulating Markov chain cannot be observed at all. An algorithm is set up for finding maximum likelihood estimates, based on the EM algorithm and containing a forward–backward procedure for computing the conditional expectations. To illustrate the performance of the algorithm the results of an extensive simulation study are presented.
Year
DOI
Venue
2019
10.1016/j.csda.2019.06.008
Computational Statistics & Data Analysis
Keywords
Field
DocType
Population process,Markov modulation,Infinite server queue,Maximum likelihood estimation,EM algorithm
Equidistant,Applied mathematics,Population process,Expectation–maximization algorithm,Markov chain,Conditional expectation,Modulation,Exponential distribution,Estimation theory,Statistics,Mathematics
Journal
Volume
ISSN
Citations 
140
0167-9473
0
PageRank 
References 
Authors
0.34
0
4
Name
Order
Citations
PageRank
Mathisca C. M. de Gunst100.68
Bartek Knapik200.34
Michel Mandjes353473.65
Birgit Sollie400.34