Estimation for discrete time nonhomogeneous Markov chains

Using the maximum likelihood principle, nonparametric estimators are derived for discrete time nonhomogeneous Markov chains. As the number of observed chains becomes large, asymptotic unbiasedness and strong consistency of the estimators are proved, as well as asymptotic distribution results. Finally the estimators are compared with ones which have been proposed in continuous time.

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Year of publication:	1978
Authors:	Fleming, Thomas R. ; Harrington, David P.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 7.1978, 2, p. 131-139
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874544