An Empirical Transition Matrix for Non-homogeneous Markov Chains Based on Censored Observations 论文

1978引用 870
Stochastic processes and statistical mechanicsMarkov Chains and Monte Carlo MethodsBayesian Methods and Mixture Models
Bayesian Methods and Mixture ModelsStochastic processes and statistical mechanicsMarkov Chains and Monte Carlo Methods
相关技术:Markov Chains and Monte Carlo MethodsBayesian Methods and Mixture Models
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摘要

A product limit estimator is suggested for the transition probabilities of a non-homogeneous Markov chain with finitely many states. The estimator is expressed as a product integral and its properties are studied by means of the theory of square integrable martingales.

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Ren Johansen

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Markov Chains and Monte Carlo MethodsBayesian Methods and Mixture Models

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