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Non-identifiability of the two state Markovian Arrival process

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Listed:
  • Ramírez Cobo, Josefa
  • Lillo Rodríguez, Rosa Elvira
  • Wiper, Michael Peter

Abstract

In this paper we consider the problem of identifiability of the two-state Markovian Arrival process (MAP2). In particular, we show that the MAP2 is not identifiable and conditions are given under which two different sets of parameters, induce identical stationary laws for the observable process.

Suggested Citation

  • Ramírez Cobo, Josefa & Lillo Rodríguez, Rosa Elvira & Wiper, Michael Peter, 2009. "Non-identifiability of the two state Markovian Arrival process," DES - Working Papers. Statistics and Econometrics. WS ws097121, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws097121
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    References listed on IDEAS

    as
    1. Leroux, Brian G., 1992. "Maximum-likelihood estimation for hidden Markov models," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 127-143, February.
    2. Ramírez Cobo, Josefa & Lillo Rodríguez, Rosa Elvira & Wiper, Michael Peter, 2008. "On identifiability of MAP processes," DES - Working Papers. Statistics and Econometrics. WS ws084613, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Paul Fearnhead & Chris Sherlock, 2006. "An exact Gibbs sampler for the Markov‐modulated Poisson process," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(5), pages 767-784, November.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    Batch Markovian Arrival process;

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