Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1157043 | Stochastic Processes and their Applications | 2007 | 16 Pages |
Abstract
In this article we introduce the class of Markov jump random c.d.f.’s as a sub-class of the QQ-Markov prior distributions studied in R.M. Balan [QQ-Markov random probability measures and their posterior distributions, Stochastic Process. Appl. 109 (2004) 296–316]. Our main result states that if the prior distribution of a sample is a Markov jump process, then the posterior distribution can also be viewed as the distribution of a Markov jump process, whose transition mechanism and infinitesimal behavior have been updated in the light of the new data.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
R.M. Balan,