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Improved estimators for constrained Markov chain models

Author

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  • Müller, Ursula U.
  • Schick, Anton
  • Wefelmeyer, Wolfgang

Abstract

Suppose we observe an ergodic Markov chain and know that the stationary law of one or two successive observations fulfills a linear constraint. We show how to improve the given estimators exploiting this knowledge, and prove that the best of these estimators is efficient.

Suggested Citation

  • Müller, Ursula U. & Schick, Anton & Wefelmeyer, Wolfgang, 2001. "Improved estimators for constrained Markov chain models," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 427-435, October.
    • Handle: RePEc:eee:stapro:v:54:y:2001:i:4:p:427-435
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    Cited by:

    1. Jernigan, Robert W. & Baran, Robert H., 2003. "Testing lumpability in Markov chains," Statistics & Probability Letters, Elsevier, vol. 64(1), pages 17-23, August.
    2. Patrice Bertail & Stéphan Clémençon, 2005. "Regeneration-based Statistics for Harris Recurrent Markov Chains," Working Papers 2005-13, Center for Research in Economics and Statistics.

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