Estimation of a Stationary Markov Chain
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Publication:4836993
DOI10.2307/2291155zbMath0818.62072MaRDI QIDQ4836993
L. Billard, Mohammad R. Meshkani
Publication date: 1995
Full work available at URL: https://doi.org/10.2307/2291155
transition probability matrix; Monte Carlo study; limiting distribution; empirical Bayes estimation; stationary Markov chain; natural conjugate priors; distribution of the frequency count matrix; Whittle distributions
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
62C12: Empirical decision procedures; empirical Bayes procedures
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