I Markov Processes: Estimating Transition Probabilities

[WWGD]

Hi,
What are recent results on estimating transition probabilities for Markov matrices. I believe @BvU works in that general area?

 

[BvU]

Sorry, but: no !

 

[FactChecker]

Hi,
What are recent results on estimating transition probabilities for Markov matrices.

Based on what? Do you have sample data of single-step transitions?

 

[WWGD]

Are there several options? Im not aware on what area /aspect to sample.I think , yes, iirc, they applied MLE to sample data, but I couldn't come up with the actual statistic .

 

[WWGD]

Based on what? Do you have sample data of single-step transitions?

Edit: Sample proportions; number of times there has been a transition between states i and j, divided by total number of transitions/states ( for the discrete case)s, or anything else that's available for the continuous case .

 

[FactChecker]

Edit: Sample proportions; number of times there has been a transition between states i and j, divided by total number of transitions/states ( for the discrete case)s, or anything else that's available for the continuous case .

I would divide by the number of samples that were in state i before the single step. Also, j=i should be included.

 

[WWGD]

Do you know of mixture models that use Black Sholes?