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.

Dirichlet process multi-state mixture models / Barone, Rosario; Tancredi, Andrea. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - 220:(2026). [10.1016/j.csda.2026.108359]

Dirichlet process multi-state mixture models

Rosario Barone
;
Andrea Tancredi
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.
2026
bayesian nonparametric; clustering; inhomogeneous Markov; semi-Markov; uniformization
01 Pubblicazione su rivista::01a Articolo in rivista
Dirichlet process multi-state mixture models / Barone, Rosario; Tancredi, Andrea. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - 220:(2026). [10.1016/j.csda.2026.108359]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1760825
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