Estimating Markov Transition Probabilities from Micro‐Unit Data

Lyndhurst Collins

Journal of the Royal Statistical Society Series C, 1974, vol. 23, issue 3, 355-371

Abstract: The standard method of deriving maximum‐likelihood estimates for transition probability matrices is outlined. Statistical tests for determining the Markov property, the specific order of a chain and the homogeneity of a set of matrices are applied to data relating to manufacturing establishments. Refinements to the maximum‐likelihood procedure are examined in the context of fractional disaggregation of long‐period matrices and in the framework of fitting smoothing surfaces to observed transition probabilities.

Date: 1974
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