A REVIEW OF THE ESTIMATION OF TRANSITION PROBABILITIES IN MARKOV CHAINS

A chronological review of the development of estimation procedures for unknown constant Markovian transition probabilities is presented with emphasis on applications involving the availability of macrodata, as opposed to microdata. Monte Carlo results comparing various estimation methods are analysed and several suggestions for estimating non-stationary probabilities are made

A REVIEW OF THE ESTIMATION OF TRANSITION PROBABILITIES IN MARKOV CHAINS

A chronological review of the development of estimation procedures for unknown constant Markovian transition probabilities is presented with emphasis on applications involving the availability of macrodata, as opposed to microdata. Monte Carlo results comparing various estimation methods are analysed and several suggestions for estimating non-stationary probabilities are made.Research Methods/ Statistical Methods,