Estimating Transition Probabilities from a Time Series of Independent Cross Sections

DOI10.1111/1467-9574.00168zbMath1075.62622MaRDI QIDQ4469532

Philip Hans Franses, Rob Eisinga, Ben Pelzer

Publication date: 15 June 2004

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/2159

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P25: Applications of statistics to social sciences

62M05: Markov processes: estimation; hidden Markov models