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Markov jump random c.d.f.'s and their posterior distributions

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  • Balan, R.M.

Abstract

In this article we introduce the class of Markov jump random c.d.f.'s as a sub-class of the Q-Markov prior distributions studied in R.M. Balan [Q-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.

Suggested Citation

  • Balan, R.M., 2007. "Markov jump random c.d.f.'s and their posterior distributions," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 359-374, March.
    • Handle: RePEc:eee:spapps:v:117:y:2007:i:3:p:359-374
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    1. Balan, R. M., 2004. "Q-Markov random probability measures and their posterior distributions," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 295-316, February.
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