A Bayesian model for binary Markov chains

DOI10.1155/S0161171204202319MaRDI QIDQ1774672zbMATH OpenOpenAlexFDO

Authors Souad Assoudou, Belkheir Essebbar

Publication date 18 May 2005

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/51800

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

Review text

Summary: This note is concerned with Bayesian estimation of the transition probabilities of a binary Markov chain observed from heterogeneous individuals. The model is founded on the Jeffreys' prior which allows for transition probabilities to be correlated. The Bayesian estimator is approximated by means of Monte Carlo Markov chain (MCMC) techniques. The performance of the Bayesian estimates is illustrated by analyzing a small simulated data set.

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