 Estimating discrete Markov models from various incomplete data schemesAlberto Pasanisi, Shuai Fu and Nicolas Bousquet Computational Statistics & Data Analysis, 2012, vol. 56, issue 9, 2609-2625 Abstract: The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of individuals over the whole observation period. In such a case, the estimation of transition probabilities is straightforwardly made by counting one-step moves from a given state to another. In many real-life problems, however, the inference is much more difficult as state sequences are not fully observed, namely the state of each individual is known only for some given values of the time variable. A review of the problem is given, focusing on Monte Carlo Markov Chain (MCMC) algorithms to perform Bayesian inference and evaluate posterior distributions of the transition probabilities in this missing-data framework. Leaning on the dependence between the rows of the transition matrix, an adaptive MCMC mechanism accelerating the classical Metropolis–Hastings algorithm is then proposed and empirically studied. Keywords: Bayesian inference; Industrial reliability; Missing data; Markov models; Adaptive MCMC; Gaussian copulas (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:9:p:2609-2625 DOI: 10.1016/j.csda.2012.02.027 Access Statistics for this article Computational Statistics & Data Analysis is currently edited by S.P. Azen More articles in Computational Statistics & Data Analysis from Elsevier |
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