Estimation for discrete time nonhomogeneous Markov chains

Thomas R. Fleming and David P. Harrington

Stochastic Processes and their Applications, 1978, vol. 7, issue 2, 131-139

Abstract: Using the maximum likelihood principle, nonparametric estimators are derived for discrete time nonhomogeneous Markov chains. As the number of observed chains becomes large, asymptotic unbiasedness and strong consistency of the estimators are proved, as well as asymptotic distribution results. Finally the estimators are compared with ones which have been proposed in continuous time.

Date: 1978
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