Tracking of transition rates in Markov processes

DOI10.1007/BF02950762MaRDI QIDQ1187146zbMATH OpenOpenAlexFDO

Authors Petr Mandl

Publication date 28 June 1992

Published in Abhandlungen aus dem Mathematischen Seminar der Universität Hamburg (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02950762

zbMATH Keywords

Exponential discountingMarkov chainmaximum likelihood estimate

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Asymptotic distribution theory in statistics (62E20)

Review text

Exponential discounting is used to modify the maximum likelihood estimate of the (time-varying) transition rates of a finite state Markov chain. Asymptotic distributions as well as other asymptotic properties as the discounting approaches zero are given.

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