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Estimating Markov Transition Probabilities from Micro‐Unit Data
Author(s) -
Collins Lyndhurst
Publication year - 1974
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2347128
Subject(s) - markov chain , unit (ring theory) , markov model , statistics , mathematics , computer science , econometrics , statistical physics , physics , mathematics education
Summary The standard method of deriving maximum‐likelihood estimates for transition probability matrices is outlined. Statistical tests for determining the Markov property, the specific order of a chain and the homogeneity of a set of matrices are applied to data relating to manufacturing establishments. Refinements to the maximum‐likelihood procedure are examined in the context of fractional disaggregation of long‐period matrices and in the framework of fitting smoothing surfaces to observed transition probabilities.