Estimation of Time-Varying Markov Processes with Aggregate Data

DOI10.2307/1913295zbMATH Open0364.62084OpenAlexW2000637545MaRDI QIDQ4139524FDOQ4139524

Authors: Elizabeth Chase MacRae 

Publication date: 1977

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913295

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Cited In (15)

• Information-based estimators for the non-stationary transition probability matrix: An application to the Danish pork industry.
• Estimating the transition matrix of a Markov chain observed at random times
• A long period multistate life table using micro data
• A transformation‐free linear regression for compositional outcomes and predictors
• Forecasting credit portfolio components with a Markov chain model
• Entry and exit in markov-process models estimated from macro data, with applications to shifts between advertising media
• Statistical inference in nonstationary markov models with embedded explanatory variables
• Estimating discrete Markov models from various incomplete data schemes
• Development of Specific hypothesis tests for estimated markov chains
• Relations between connected and self-avoiding hikes in labelled complete digraphs
• Estimation of life expectancy — cohort life table
• Learning hidden Markov models from aggregate observations
• Variable length Markov chain with exogenous covariates
• The robustness of simulation-based Markovian transition probabilities for ultra-small samples of non-performing credit
• Time varying Markov process with partially observed aggregate data: an application to coronavirus

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