Estimating the transition matrix of a Markov chain observed at random times

DOI10.1016/j.spl.2014.07.009zbMath1322.60145arXiv1405.0384OpenAlexW2963009400MaRDI QIDQ467002

Yohann de Castro, Paul Rochet, Flavia Barsotti, Thibault Espinasse

Publication date: 3 November 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.0384

zbMATH Keywords

asymptotic normalityMarkov chainnumerical simulationsLie bracketidentifiabilityparametric estimationsparse transition matrix

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

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