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

Monte Carlo studyempirical Bayes estimationlimiting distributionstationary Markov chaintransition probability matrixnatural conjugate priorsdistribution of the frequency count matrixWhittle distributions

Mathematics Subject Classification ID

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

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Cited in

(13)

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

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