Maximum likelihood estimation of covariates dependent transition intensity of continuous time Markov chains with finite state space

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Title

Maximum likelihood estimation of covariates dependent transition intensity of continuous time Markov chains with finite state space

Content partner

Victoria University of Wellington

Collection

Open Access Victoria University of Wellington

Description

<p dir="ltr">This paper proposes a novel method for maximum likelihood (ML) estimation of transition intensity with covariates dependent of continuous time Markov chains. Score function and observed information matrix of the covariates regression coefficient are presented in explicit forms. In particular, the observed information matrix is positive definite for any values of regression coefficients. This appealing feature of information matrix gives rise to a fast convergence ML recursive est...

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Format

Research paper

Research format

Scholarly text / Journal article

Date created

2023

Creator

Budhi Surya

URL

https://figshare.com/articles/preprint/Maximum_likelihood_estimation_of_covariates_dependent_tran...

Related subjects

Information and computing sciences / Mathematical sciences / Markov Chains Generator / Maximum Likelihood Estimation (MLE) method / Multivariate Poisson regression models

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