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

DOI10.1016/j.spl.2014.07.009zbMath1322.60145arXiv1405.0384MaRDI QIDQ467002

Yohann de Castro, Paul Rochet, Flavia Barsotti, Thibault Espinasse

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 normality; Markov chain; numerical simulations; Lie bracket; identifiability; parametric estimation; sparse transition matrix

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

65C40: Numerical analysis or methods applied to Markov chains

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