Existence and uniqueness of the solution of the likelihood equations for binary Markov chains

The two-state Markov chain is a useful model when analyzing binary data that may be serially correlated. The equations likelihood equations for this model are two intersecting conics, and several solutions could be anticipated. However, we prove the existence and uniqueness of the solution, and give a simple method for numerical solution.

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Year of publication:	1991
Authors:	Bisgaard, Søren ; Travis, Laurel E.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 12.1991, 1, p. 29-35
Publisher:	Elsevier
Keywords:	Binary data binary Markov chain maximum likelihood estimation modeling serial dependence

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

Persistent link: https://www.econbiz.de/10005074801