Estimation for Markov chains with periodically missing observations

DOI10.1111/JTSA.12747MaRDI QIDQ6636852zbMATH OpenFDO

Authors Ursula U. Müller, Anton Schick, Wolfgang Wefelmeyer

Publication date 12 November 2024

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12747

zbMATH Keywords

empirical estimatorimproved estimatorMarkov chainmissing observations

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62Mxx)

Cites work

• L₁ linear interpolator for missing values in time series
• Efficiency of empirical estimators for Markov chains
• Efficient estimation of the stationary distribution for exponentially ergodic Markov chains
• Efficient non-parametric estimation of the spectral density in the presence of missing observations
• Estimating discrete Markov models from various incomplete data schemes
• scientific article; zbMATH DE number 3890574 (Why is no real title available?)
• scientific article; zbMATH DE number 503459 (Why is no real title available?)
• scientific article; zbMATH DE number 3337280 (Why is no real title available?)
• Influence of Missing Values on the Prediction of a Stationary Time Series

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