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The least squares estimation of the transition probabilities of binary processes on the basis of sample paths

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Summary

We consider the weighted least squares (WLS) estimation of the transition probabilities of binary processes on the basis of given sample paths in connection with log linear and logistic model analyses. We investigate, in particular, its effectiveness in the analyses supported by a Bayesian method with a smoothness prior over the time domain.

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Authors
  1. Hirohisa Kishino
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The Institute of Statistical Mathematics

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Kishino, H. The least squares estimation of the transition probabilities of binary processes on the basis of sample paths. Ann Inst Stat Math 35, 425–438 (1983). https://doi.org/10.1007/BF02480999

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  • DOI: https://doi.org/10.1007/BF02480999

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