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Filtering equations for the conditional law of residual lifetimes from a heterogeneous population
Published online by Cambridge University Press: 14 July 2016
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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- Copyright © Applied Probability Trust 2000
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