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A Bayesian Model for Markov Chains via Jeffrey's Prior |
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| Abstract: | Abstract This work deals with the problem of Bayesian estimation of the transition probabilities associated with multistate Markov chain. The model is based on the Jeffreys' noninformative prior. The Bayesian estimator is approximated by means of MCMC techniques. A numerical study by simulation is done in order to compare the Bayesian estimator with the maximum likelihood estimator. |
| Keywords: | Markov chain Transition probabilities Jeffreys' prior Multivariate beta prior Bayes estimator Maximum likelihood estimator MCMC |