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

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 residuals lifetimes of surviving individuals, given an observed history of failures and survivals. As a main feature of our approach, this study is bases on the analysis of behaviour of the vector of "occupation numbers".