Bayesian analysis for finite Markov chains

DOI10.1016/S0378-3758(98)00104-9MaRDI QIDQ1125535zbMATH OpenOpenAlexFDO

Authors S. H. Smith, Beliyar Ramdas Bhat, M. N. Badade

Publication date 13 August 2000

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(98)00104-9

zbMATH Keywords

transition probabilities

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: hypothesis testing (62M02) Markov processes: estimation; hidden Markov models (62M05) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Review text

The paper provides Bayesian estimation of the transition probabilities of a Markov chain. Some other estimation methods are complicated enough since they involve the distribution function of the observed transition matrix, which is quite cumbersome. On the contrary, Bayesian estimation is easier, since the Dirichlet family is conjugate for the transition probabilities, and hence fully Bayesian inference is easily available. The paper discusses hypothesis testing based on posterior densities. In particular, the two-state Markov chain is discussed. Several different kinds of testing hypotheses are considered using different parametric functions of the transition probabilities. Illustrative examples are provided for many cases. Bayes factors, highest density regions and central credible sets, as well as other measures are described for both a uniform and umbrella-pattern prior distributions.

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Cited in

(20)

• A Bayesian model for binary Markov chains
• Bayesian analysis for reversible Markov chains
• Bayes and minimax estimation of parameters of Markov transition matrix
• A Bayesian approach for the estimation of probability distributions under finite sample space
• Approximate Bayesian estimation of reliability for multistate Markov chain
• scientific article; zbMATH DE number 5770656 (Why is no real title available?)
• A Bayesian estimation of the probability of eruption patterns of the Mexican volcano Volcán de Colima
• scientific article; zbMATH DE number 3913492 (Why is no real title available?)
• Exact Inference for Continuous Time Markov Chain Models
• Empirical Bayes estimators for a finite Markov chain
• A bayesian method in determining the order of a finite state markov chain
• scientific article; zbMATH DE number 1093016 (Why is no real title available?)
• A Bayesian Model for Markov Chains via Jeffrey's Prior
• BAYESIAN DETECTION AND ANALYSIS OF CHANGING TRANSITION MATRICES OF STATIONARY MARKOV CHAINS
• Estimation of a Stationary Markov Chain
• A two-state markov model
• Large deviations and the Bayesian estimation of higher-order Markov transition functions
• Bayesian analysis of elapsed times in continuous‐time Markov chains
• Empirical Bayes analysis of log-linear models for a generalized finite stationary Markov chain
• Regression analysis in Markov chain

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