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Parameter estimation for a special class of Markov chains

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Abstract

The followin paper is dedicated to a special class of stationary Markov chains. The transition probabilities are constructed from bivariate distribution functions of the Morgenstem-Type. These Markov chains are defined by their stationary distribution and a parameter a controlling the correlation between succeeding values of the chain. Relevant properties of the Markov chain are discussed. Some estimations of the parameter a are studied. The maximum likelihood estimator is compared with a simple estimator.

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Authors and Affiliations

  1. Institut für Software, Elektronik, Bahntechnik, TÜV Rheinland Sicherheit und Umweltschutz, 51101, Köln

    Hendrik Schäbe

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  1. Hendrik Schäbe
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Schäbe, H. Parameter estimation for a special class of Markov chains. Statistical Papers 38, 303–327 (1997). https://doi.org/10.1007/BF02925271

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  • DOI: https://doi.org/10.1007/BF02925271

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