A Sampling Study of the Properties of Estimators of Transition Probabilities

T. C. Lee, George Judge () and R. L. Cain
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T. C. Lee: University of Connecticut
R. L. Cain: Morehead State University, Morehead, Kentucky

Management Science, 1969, vol. 15, issue 7, 374-398

Abstract: In this paper, the sampling experiment approach is used to evaluate the performance of alternative estimators that may be employed to estimate the transition matrix for a Markov probability model when only the aggregated data, reflecting the proportion of the sample in each state over a sequence of trials, are known. In addition, the experiments provide some initial information relative to the sampling properties of restricted estimators when time series data are used.

Date: 1969
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:15:y:1969:i:7:p:374-398

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