Estimating the transition matrix of a Markov chain observed at random times

DOI10.1016/J.SPL.2014.07.009MaRDI QIDQ467002zbMATH OpenOpenAlexFDO

Authors Flavia Barsotti, Yohann De Castro, Thibault Espinasse, Paul Rochet

Publication date 3 November 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.0384

zbMATH Keywords

asymptotic normalityMarkov chainidentifiabilityparametric estimationnumerical simulationsLie bracketsparse transition matrix

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: In this paper we develop a statistical estimation technique to recover the transition kernel $P$ of a Markov chain $X=(X_m{)}_{minmathbbN}$ in presence of censored data. We consider the situation where only a sub-sequence of $X$ is available and the time gaps between the observations are iid random variables. Under the assumption that neither the time gaps nor their distribution are known, we provide an estimation method which applies when some transitions in the initial Markov chain $X$ are known to be unfeasible. A consistent estimator of $P$ is derived in closed form as a solution of a minimization problem. The asymptotic performance of the estimator is then discussed in theory and through numerical simulations.

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