Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/233359| Title: | On statistical estimation of transition probabilities matrix for Markov chain under incomplete observations |
| Authors: | Kharin, Yu. S. Dernakova, O. V. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Математика ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Кибернетика |
| Issue Date: | 2019 |
| Publisher: | Minsk : BSU |
| Citation: | Computer Data Analysis and Modeling: Stochastics and Data Science : Proc. of the Twelfth Intern. Conf., Minsk, Sept. 18-22, 2019. – Minsk : BSU, 2019. – P. 176-182. |
| Abstract: | A problem of statistical analysis for homogeneous Markov chain is considered for the situation with incomplete observations. The logarithmic likelihood function is constructed when there are multiple series of incomplete observations. A consistent statistical estimator of transition probabilities matrix is constructed using special form of the loglikelihood. A special case of multiple series of missing values is analyzed. Theoretical results are illustrated by computer modelling |
| URI: | http://elib.bsu.by/handle/123456789/233359 |
| ISBN: | 978-985-566-811-5 |
| Appears in Collections: | 2019. Computer Data Analysis and Modeling : Stochastics and Data Science |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 176-182.pdf | 361,19 kB | Adobe PDF | View/Open |
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