Title: CAR neutral to the right processes
Authors: Federico Bassetti - Politecnico Milano (Italy) [presenting]
Roberto Casarin - University Ca' Foscari of Venice (Italy)
Ilenia Epifani - Politecnico Milano (Italy)
Abstract: A class of time dependent Neutral to the Right Processes, CAR-NTR, is introduced. These processes are obtained starting from a Markov sequence of Completely Random Measures, CAR-CRM. By using this processes we obtain a Bayesian non parametric hidden Markov model for positive random variables. We prove various theoretical properties of CAR-CRM and CAR-NTR, in particular we derive closed form expressions for the filtered distribution of the underling process given the past observations.