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A Quadratic Programming Approach to the Estimation of Transition Probabilities

Author

Listed:
  • H. Theil

    (Econometric Institute, Rotterdam)

  • Guido Rey

    (Econometric Institute, Rotterdam)

Abstract

In a recent article L. G. Telser [Telser, L. G. 1963. Least-squares estimates of transition probabilities. Measurement in Economics: Studies in Mathematical Economics and Econometrics in Memory of Yehuda Grunfeld, Chapter 11, Stanford University Press, Stanford, California.] considered the problem of estimating transition probabilities in Markov processes from a set of observations on one-dimensional frequency distributions. The problem is to estimate the matrix of transition probabilities under the assumption that observations are confined to the shares of the n possibilities in successive periods. The present paper is an extension of the work of Goodman [Goodman, L. A. 1953. A further note on Miller's "finite Markov processes in psychology." Psychometrika 18 245-248.] and Telser.

Suggested Citation

  • H. Theil & Guido Rey, 1966. "A Quadratic Programming Approach to the Estimation of Transition Probabilities," Management Science, INFORMS, vol. 12(9), pages 714-721, May.
    • Handle: RePEc:inm:ormnsc:v:12:y:1966:i:9:p:714-721
    DOI: 10.1287/mnsc.12.9.714
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    Cited by:

    1. W. Wilson & W. Koo & A. Carter, 1990. "Importer Loyalty In The International Wheat Market," Journal of Agricultural Economics, Wiley Blackwell, vol. 41(1), pages 94-102, January.
    2. Florence Lindsay W & Fellingham Gilbert W & Vehrs Pat R. & Mortensen Nina P., 2008. "Skill Evaluation in Women's Volleyball," Journal of Quantitative Analysis in Sports, De Gruyter, vol. 4(2), pages 1-16, April.
    3. Paris, Quirino, 1979. "Inequality Restricted Least Squares By Linear Programming: Duality In Least-Squares Theory," Working Papers 225676, University of California, Davis, Department of Agricultural and Resource Economics.
    4. Horowitz, Ira, 1996. "The evolving sectoral structure of Hong Kong," Journal of Asian Economics, Elsevier, vol. 7(1), pages 131-144.
    5. Zhaonan Qu & Alfred Galichon & Johan Ugander, 2023. "On Sinkhorn's Algorithm and Choice Modeling," Papers 2310.00260, arXiv.org.
    6. Dent, Warren Thomas & Ballintine, Richard, 1971. "A Review Of The Estimation Of Transition Probabilities In Markov Chains," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 15(2), pages 1-13, August.
    7. Torlak, Elvisa, 2004. "Foreign Direct Investment, Technology Transfer and Productivity Growth. Empirical Evidence for Hungary, Poland, Romania, Bulgaria and the Czech Republic," Conference papers 331189, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    8. Francois, Joseph & Spinanger, Dean, 2001. "With Rags to Riches but Then What? Hong Kong's T & C Industry vs. the ATC and China's WTO Accession," Conference papers 330928, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.

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