Estimation for Markov chains with periodically missing observations

DOI10.1111/JTSA.12747MaRDI QIDQ6636852

Anton Schick, Wolfgang Wefelmeyer, Ursula U. Müller

Publication date: 12 November 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

Markov chainmissing observationsempirical estimatorimproved estimator

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Inference from stochastic processes (62Mxx)

Cites Work

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• Efficient estimation of the stationary distribution for exponentially ergodic Markov chains
• \(L_1\) linear interpolator for missing values in time series
• Efficiency of empirical estimators for Markov chains
• Estimating discrete Markov models from various incomplete data schemes
• EFFICIENT NON‐PARAMETRIC ESTIMATION OF THE SPECTRAL DENSITY IN THE PRESENCE OF MISSING OBSERVATIONS
• Influence of Missing Values on the Prediction of a Stationary Time Series

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