A Bayesian Model for Markov Chains via Jeffrey's Prior

DOI10.1081/STA-120024474zbMath1131.62301MaRDI QIDQ4428266

Belkheir Essebbar, Souad Assoudou

Publication date: 14 September 2003

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

Statistical inference for Markov chains with applications to credit risk ⋮ A Bayesian Model for Markov Chains via Jeffrey's Prior ⋮ A Bayesian Approach in Estimating Transition Probabilities of a Discrete-time Markov Chain for Ignorable Intermittent Missing Data

Cites Work

• Empirical Bayes estimators for a finite Markov chain
• The Selection of Prior Distributions by Formal Rules
• A Bayesian Model for Markov Chains via Jeffrey's Prior
• Stochastic Algorithms for Markov Models Estimation with Intermittent Missing Data
• Maximum Likelihood and Bayesian Estimation of Transition Probabilities

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