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Least Squares Estimation in Finite Markov Processes

Published online by Cambridge University Press:  01 January 2025

Albert Madansky
Albert Madansky*
Affiliation:
Rand Corporation
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Abstract

The usual least squares estimate of the transitional probability matrix of a finite Markov process is given for the case in which, for each point in time, only the proportions of the sample in each state are known. The purpose of this paper is to give another estimate of this matrix and to investigate the properties of this estimate. It is shown that this estimate is consistent and asymptotically more efficient than the previously considered estimate in a sense defined in this paper.

Type
Original Paper
Information
Psychometrika , Volume 24 , Issue 2 , June 1959 , pp. 137 - 144
Copyright
Copyright © 1959 The Psychometric Society

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References

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