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A Sampling Study of the Properties of Estimators of Transition Probabilities

Author

Listed:
  • T. C. Lee

    (University of Connecticut)

  • G. G. Judge

    (University of Illinois)

  • R. L. Cain

    (Morehead State University, Morehead, Kentucky)

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.

Suggested Citation

  • T. C. Lee & G. G. Judge & R. L. Cain, 1969. "A Sampling Study of the Properties of Estimators of Transition Probabilities," Management Science, INFORMS, vol. 15(7), pages 374-398, March.
    • Handle: RePEc:inm:ormnsc:v:15:y:1969:i:7:p:374-398
    DOI: 10.1287/mnsc.15.7.374
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    Cited by:

    1. 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.

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