Estimation of a Stationary Markov Chain

DOI10.2307/2291155MaRDI QIDQ4836993zbMATH OpenOpenAlexFDO

Authors L. Billard, M. R. Meshkani

Publication date 1995

Full work available at URL https://doi.org/10.2307/2291155

zbMATH Keywords

distribution of the frequency count matrixempirical Bayes estimationlimiting distributionMonte Carlo studynatural conjugate priorsstationary Markov chaintransition probability matrixWhittle distributions

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(14)

• A conversation with Lynne Billard
• Conditional exact tests for Markovianity and reversibility in multiple categorical sequences
• Bayesian inversion in hidden Markov models with varying marginal proportions
• Markov chain models for delinquency: transition matrix estimation and forecasting
• Estimation in reversible Markov chains
• Heterogeneity in dynamic discrete choice models
• scientific article; zbMATH DE number 4100376 (Why is no real title available?)
• Empirical Bayes estimators for a finite Markov chain
• Estimating a Markov Transition Matrix from Observational Data
• Empirical Bayes estimation of parameters in Markov transition probability matrix with computational methods
• Unbiased estimation of the matrix of transition probabilities of a homogeneous Markov chain by a sufficient estimator
• Optimal investment and reinsurance to reach a bequest goal with random time solvency regulation
• Empirical Bayes analysis of log-linear models for a generalized finite stationary Markov chain
• Properties of equilibrium asset prices under alternative learning schemes

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