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The recursive estimation of a Markov chain

Published online by Cambridge University Press:  14 July 2016

B. J. N. Blight  and
J. L. Devore
B. J. N. Blight
Affiliation:
Birkbeck College, University of London
J. L. Devore
Affiliation:
Oberlin College, Oberlin, Ohio
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Abstract

For every hth member of a two-state Markov chain the value of a random variable Y is observed where the distribution of Y is conditional on the state of the corresponding member of the chain. A recursive set of equations is derived giving the posterior probabilities for both the observed and unobserved members. The use of this recursive solution to investigate the optimality of certain simple classification rules is discussed, and a “classification by runs” is also presented.

Keywords

MARKOV CHAINRECURSIVE ESTIMATIONBINOMIAL SAMPLINGNAIVE ESTIMATION RULE
Type
Short Communications
Information
Journal of Applied Probability , Volume 11 , Issue 2 , June 1974 , pp. 394 - 400
Copyright
Copyright © Applied Probability Trust 1974 

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