Markov switching models can be used to study heterogeneous populations that are observed over time. This paper explores modeling the group characteristics nonparametrically, under both homogeneous and nonhomogeneous Markov switching for group probabilities. The model formulation involves a finite mixture of conditionally independent Dirichlet process mixtures, with a Markov chain defining the m...

J. Neyman used stochastic processes extensively in his applied work. One example is the Fix and Neyman (F-N) competing risks model (1951) that uses finite homogeneous Markov processes to analyse clinical trials with breast cancer patients. We revisit the F-N model, and compare it with the Kaplan-Meier (K-M) formulation for right censored data. The comparison offers a way to generalize the K-M f...

The control limits of an exponentially weighted moving average (EWMA) control chart should vary with time, approaching asymptotic limits as time increases. However, previous analytic analyses of EWMA charts consider only asymptotic control limits. In this article, the run length properties of EWMAs with time-varying control limits are approximated using nonhomogeneous Markov chains. Comparing t...