Estimating Transition Rates in Two-State Non-Homogeneous Markov Jump Processes with Intermittent Observations: A Pseudo-Marginal McMC Approach via Honest Times

Dario Gasbarra, Sangita Kulathinal, Etienne Sebag

A possibly time-dependent transition intensity matrix or generator $(Q(t))$ characterizes the law of a Markov jump process (MP). For a time homogeneous MP, the transition probabili…