Estimation in the Mixture of Markov Chains Moving with Di ff erent Speeds

  title={Estimation in the Mixture of Markov Chains Moving with Di ff erent Speeds},
  author={Halina Frydman},
This paper considers a new mixture of time homogeneous finite Markov chains where the mixing is on the rate of movement and develops the EM algorithm for the maximum likelihood estimation of the parameters of the mixture. A continuous and discrete time versions of the mixture are defined and their estimation is considered separately. The simulation study is carried out for the continuous time mixture. To simplify the exposition the results are derived for a mixture of two Markov chains, but can… CONTINUE READING

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