IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v16y1984i3p219-255.html
   My bibliography  Save this article

Estimation and reconstruction for zero-one Markov processes

Author

Listed:
  • Karr, Alan F.

Abstract

Given a Markov process with state space {0, 1} we treat parameter estimation of the transition intensities and state estimation of unobserved portions of the sample path, based on various partial observations of the process. Parameter estimators are devised and shown to be consistent and asymptotically normal. State estimators are computed explicitly and represented in recursive form. Observation mechanisms include regularly spaced samples, regular samples with time jitter, Poisson samples. Poisson samples with state 0 unobservable, observability defined by an alternating renewal process, averaged samples, observation of transition times into state 1 and observation of a random time change of the underlying process. The law of the observability process may be partly unknown. The combined problem of state estimation with estimated parameters is also examined.

Suggested Citation

  • Karr, Alan F., 1984. "Estimation and reconstruction for zero-one Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 16(3), pages 219-255, March.
    • Handle: RePEc:eee:spapps:v:16:y:1984:i:3:p:219-255
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(84)90023-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:16:y:1984:i:3:p:219-255. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.