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Likelihood and quasi - likelihood estimation of transition probabilities

100%

Bakinowska E., Kala R.

Discussiones Mathematicae Probability and Statistics

2004

tom 24

nr 1

77-84

In the paper two approaches to the problem of estimation of transition probabilities are considered. The approach by McCullagh and Nelder [5], based on the independent model and the quasi-likelihood function, is compared with the approach based on the marginal model and the standard likelihood function. The estimates following from these two approaches are illustrated on a simple example which was used by McCullagh and Nelder.

A generalization of Ueno's inequality for n-step transition probabilities

100%

Nowak A. S.

Applicationes Mathematicae

1998-1999

tom 25

nr 3

295-299

We provide a generalization of Ueno's inequality for n-step transition probabilities of Markov chains in a general state space. Our result is relevant to the study of adaptive control problems and approximation problems in the theory of discrete-time Markov decision processes and stochastic games.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Discussiones Mathematicae Probability and Statistics

1 Bakinowska E.

1 Kala R.

1 Nowak A. S.

1 2004

1 1998

Wyniki wyszukiwania

Likelihood and quasi - likelihood estimation of transition probabilities

A generalization of Ueno's inequality for n-step transition probabilities