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On parameter estimation in Bernoulli trials with dependence |
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| Authors: | Seong-In Kim Do Sun Bai |
| Affiliation: | 1. Department of Industrial Engineering , Korea University , 5-1 An-am Dong, Seong-buk Ku, Seoul, 132, Korea;2. Department of Industrial Engineering , Korea Advanced Institute of Science , P.O. Box 150 Chongyangni, Seoul, 131, Korea |
| Abstract: | A simple estimator is proposed for the dependence parameter for the Klotz model of Bernoulli trials with Markov dependence and it is compared with the ratio estimator given by Price and the approximate maximum likelihood estimator given by Klotz. The proposed estimator is shown to have considerably smaller bias than the other two estimators with comparable mean squared errors, and has all the large sample optimal properties that the other two estimators have. |
| Keywords: | Markov chain dependence parameter maximum likelihood estimator ratio estimator bias mean squared error asymptotic efficiency |