ANALYTICAL SOLUTION OF TRANSITION PROBABILITIES OF THE HIERARCHICAL HIDDEN MARKOV DETERIORATION MODEL

Abstract

 In this paper, the analytical solution of transition probabilities between condition states in the hierarchical hidden Markov deterioration model is derived. The analytical solution enables us to i) improve accuracy of parameter estimates, and ii) reduce computational time to estimate parameters. i) and ii) are investigated in numerical examples comparing estimated parameter sets using an existing method and the proposed method with the analytical solution.