Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path.
Budhi Arta SuryaPublished in: J. Multivar. Anal. (2022)
Keyphrases
- sample path
- markov chain
- transition probabilities
- large deviations
- asymptotic analysis
- dependence structure
- serial inventory systems
- heavy tailed
- steady state
- markov process
- markov processes
- monte carlo
- gaussian distribution
- state space
- policy iteration
- finite state
- random variables
- stationary distribution
- importance sampling
- conditional probabilities
- mixture model
- probability distribution
- gaussian model
- stochastic processes
- state dependent
- lost sales
- markov decision processes