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Statistical inference for discretely observed Markov jump processes

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  • Mogens Bladt
  • Michael Sørensen

Abstract

Summary. Likelihood inference for discretely observed Markov jump processes with finite state space is investigated. The existence and uniqueness of the maximum likelihood estimator of the intensity matrix are investigated. This topic is closely related to the imbedding problem for Markov chains. It is demonstrated that the maximum likelihood estimator can be found either by the EM algorithm or by a Markov chain Monte Carlo procedure. When the maximum likelihood estimator does not exist, an estimator can be obtained by using a penalized likelihood function or by the Markov chain Monte Carlo procedure with a suitable prior. The methodology and its implementation are illustrated by examples and simulation studies.

Suggested Citation

  • Mogens Bladt & Michael Sørensen, 2005. "Statistical inference for discretely observed Markov jump processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(3), pages 395-410, June.
    • Handle: RePEc:bla:jorssb:v:67:y:2005:i:3:p:395-410
    DOI: 10.1111/j.1467-9868.2005.00508.x
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