Abstract

Phase-type distributions and Markov-modulated Poisson processes are two important models in applied probability. Estimation for such models has been considered in several papers in recent years; however, the order of the model has always been assumed to be fixed. In this paper we discuss model order selection via penalized likelihood methods and show that these methods asymptotically do not underestimate the order and also generate consistent estimates of the observed distribution

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.