A Bayesian nonparametric framework is introduced for modeling discretely observed trajectories of continuous-time multi-state processes. By employing Dirichlet Process Mixtures with Markov, inhomogeneous Markov, and semi-Markov kernels, the approach flexibly captures unobserved heterogeneity in the process dynamics. Crucially, the mixture structure induces a generalized form of non-Markovianity, as future state predictions depend on the entire observed history through component-specific weighting. This allows the model to capture complex temporal dependencies and memory effects beyond the scope of traditional multi-state models. The effectiveness of the methodology is demonstrated through simulation studies and an application to a real data set.
Barone, R., Tancredi, A., Dirichlet process multi-state mixture models, <<COMPUTATIONAL STATISTICS & DATA ANALYSIS>>, 2026; 220 (08): N/A-N/A. [doi:10.1016/j.csda.2026.108359] [https://hdl.handle.net/10807/333137]
Dirichlet process multi-state mixture models
Barone, Rosario
Primo
;
2026
Abstract
A Bayesian nonparametric framework is introduced for modeling discretely observed trajectories of continuous-time multi-state processes. By employing Dirichlet Process Mixtures with Markov, inhomogeneous Markov, and semi-Markov kernels, the approach flexibly captures unobserved heterogeneity in the process dynamics. Crucially, the mixture structure induces a generalized form of non-Markovianity, as future state predictions depend on the entire observed history through component-specific weighting. This allows the model to capture complex temporal dependencies and memory effects beyond the scope of traditional multi-state models. The effectiveness of the methodology is demonstrated through simulation studies and an application to a real data set.| File | Dimensione | Formato | |
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