Least-squares estimation of transition probabilities from aggregate data

DOI10.2307/3314745zbMath0548.62055OpenAlexW2121798702MaRDI QIDQ3339973

Jerald F. Lawless, John D. Kalbfleisch

Publication date: 1984

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3314745

zbMATH Keywords

transition probability matrixMarkov chainconditional least squaresweighted least-squares estimatoraggregate data

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (13)

Ensemble-based method for the inverse Frobenius-Perron operator problem: data-driven global analysis from spatiotemporal ``movie data ⋮ Development of Specific hypothesis tests for estimated markov chains ⋮ Estimating discrete Markov models from various incomplete data schemes ⋮ Inférence statistique dans les processus stochastiques: Aperçu historique ⋮ Estimation from aggregate data ⋮ MTD models for aggregate data from higher order Markov chains ⋮ Inference on partially observed quasi-stationary Markov chains with applications to multistate population models ⋮ On the estimation of multidimensional demographic models with population registration data ⋮ On inference from Markov chain macro-data using transforms ⋮ Forecasting credit portfolio components with a Markov chain model ⋮ Estimating Transition Probabilities from Aggregate Samples Plus Partial Transition Data ⋮ Estimating Markov transition matrices using uncertain observed states ⋮ Estimation for aggregate models: The aggregate Markov chain

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• On Regular Best Asymptotically Normal Estimates
• Statistical Inference about Markov Chains
• Estimation in Markov Models from Aggregate Data
• The information in aggregate data from Markov chains
• Estimation for aggregate models: The aggregate Markov chain

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