Fleming, Thomas R.; Harrington, David P. - In: Stochastic Processes and their Applications 7 (1978) 2, pp. 131-139
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....