Tracking of transition rates in Markov processes (Q1187146)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tracking of transition rates in Markov processes |
scientific article |
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Tracking of transition rates in Markov processes (English)
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28 June 1992
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Exponential discounting is used to modify the maximum likelihood estimate of the (time-varying) transition rates of a finite state Markov chain. Asymptotic distributions as well as other asymptotic properties as the discounting approaches zero are given.
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Exponential discounting
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maximum likelihood estimate
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Markov chain
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