Filtering equations for the conditional law of residual lifetimes from a heterogeneous population

Filtering equations for the conditional law of residual lifetimes from a heterogeneous population

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Article ID: iaor2004888
Country: United States
Volume: 37
Issue: 3
Start Page Number: 823
End Page Number: 834
Publication Date: Sep 2000
Journal: Journal of Applied Probability
Authors: , ,
Abstract:

We consider a probabilistic model of a heterogeneous population 𝒫 subdivided into homogeneous sub-cohorts. A main assumption is that the frailties give rise to a discrete, exchangeable random vector. We put ourselves in the framework of stochastic filtering to derive the conditional distribution of residual lifetimes of surviving individuals, given an observed history of failures and survivals. As a main feature of our approach, this study is based on the analysis of behaviour of the vector of ‘occupation numbers’.

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