Estimation in a general mixture of Markov jump processes

Abstract We propose a general mixture of Markov jump processes. The key novel feature of the proposed mixture is that the generator matrices of the Markov processes comprising the mixture are entirely unconstrained. The Markov processes are mixed with distributions that depend on the initial state of the mixture process. The maximum likelihood (ML) estimates of the mixture's parameters are obtained from continuous realizations of the mixture process and their standard errors from an explicit form of the observed Fisher information matrix, which simplifies the Louis ( Journal of the Royal Statistical Society Series B , 44:226–233, 1982) general formula for the same matrix. The asymptotic properties of the ML estimators are also derived. A simulation study verifies the estimates' accuracy. The proposed mixture provides an exploratory tool for identifying the homogeneous subpopulations in a heterogeneous population. This is illustrated with an application to a medical dataset.