Statistical Inference for Probabilistic Functions of Finite State Markov Chains
β Scribed by Baum, Leonard E.; Petrie, Ted
- Book ID
- 126279094
- Publisher
- Institute of Mathematical Statistics
- Year
- 1966
- Weight
- 797 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0003-4851
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π SIMILAR VOLUMES
We consider statistical data forming sequences of states of stationary finite irreducible Markov chains, and draw statistical inference about the transition matrix. The inference consists in estimation of parameters of transition probabilities and testing simple and composite hypotheses about them,
For a discrete-time Markov chain with finite state space [1, ..., r] we consider the joint distribution of the numbers of visits in states 1, ..., r&1 during the first N steps or before the N th visit to r. From the explicit expressions for the corresponding generating functions we obtain the limiti