Parameter estimation for a special class of Markov chains

The followin paper is dedicated to a special class of stationary Markov chains. The transition probabilities are constructed from bivariate distribution functions of the Morgenstem-Type. These Markov chains are defined by their stationary distribution and a parameter a controlling the correlation between succeeding values of the chain. Relevant properties of the Markov chain are discussed. Some estimations of the parameter a are studied. The maximum likelihood estimator is compared with a simple estimator.