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Issue LXVII - N. 3 (2009)
 
 
RAMSES H. MENA - STEPHEN G. WALKER
On a construction of Markov models in continuous time
SUMMARY
This paper studies a novel idea for constructing continuous-time stationary Markov models. The approach undertaken is based on a latent representation of the corresponding transition probabilities that conveys to appealing ways to study and simulate the dynamics of the constructed processes. Some well-known models are shown to fall within this construction shedding some light on both theoretical and applied properties. As an illustration of the capabilities of our proposal a simple estimation problem is posed.
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