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Empirical Bayes estimation of parameters in Markov transition probability matrix with computational methods

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  • Babulal Seal
  • Sk Jakir Hossain

Abstract

Empirical Bayes estimator for the transition probability matrix is worked out in the cases where we have belief regarding the parameters, For example, where the states seem to be equal or not. In both cases, priors are in accordance with our beliefs. Using EM algorithm, computational methods for different hyperparameters of the empirical Bayes are described. Also, robustness of empirical Bayes procedure is investigated.

Suggested Citation

  • Babulal Seal & Sk Jakir Hossain, 2015. "Empirical Bayes estimation of parameters in Markov transition probability matrix with computational methods," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 508-519, March.
    • Handle: RePEc:taf:japsta:v:42:y:2015:i:3:p:508-519
    DOI: 10.1080/02664763.2014.963525
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