Likelihood and quasi - likelihood estimation of transition probabilities

Ewa Bakinowska; Radosław Kala

Discussiones Mathematicae Probability and Statistics (2004)

  • Volume: 24, Issue: 1, page 77-84
  • ISSN: 1509-9423

Abstract

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In the paper two approaches to the problem of estimation of transition probabilities are considered. The approach by McCullagh and Nelder [5], based on the independent model and the quasi-likelihood function, is compared with the approach based on the marginal model and the standard likelihood function. The estimates following from these two approaches are illustrated on a simple example which was used by McCullagh and Nelder.

How to cite

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Ewa Bakinowska, and Radosław Kala. "Likelihood and quasi - likelihood estimation of transition probabilities." Discussiones Mathematicae Probability and Statistics 24.1 (2004): 77-84. <http://eudml.org/doc/287621>.

@article{EwaBakinowska2004,
abstract = {In the paper two approaches to the problem of estimation of transition probabilities are considered. The approach by McCullagh and Nelder [5], based on the independent model and the quasi-likelihood function, is compared with the approach based on the marginal model and the standard likelihood function. The estimates following from these two approaches are illustrated on a simple example which was used by McCullagh and Nelder.},
author = {Ewa Bakinowska, Radosław Kala},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {likelihood estimation; quasi-likelihood estimation; transition probabilities; quasi-information matrix},
language = {eng},
number = {1},
pages = {77-84},
title = {Likelihood and quasi - likelihood estimation of transition probabilities},
url = {http://eudml.org/doc/287621},
volume = {24},
year = {2004},
}

TY - JOUR
AU - Ewa Bakinowska
AU - Radosław Kala
TI - Likelihood and quasi - likelihood estimation of transition probabilities
JO - Discussiones Mathematicae Probability and Statistics
PY - 2004
VL - 24
IS - 1
SP - 77
EP - 84
AB - In the paper two approaches to the problem of estimation of transition probabilities are considered. The approach by McCullagh and Nelder [5], based on the independent model and the quasi-likelihood function, is compared with the approach based on the marginal model and the standard likelihood function. The estimates following from these two approaches are illustrated on a simple example which was used by McCullagh and Nelder.
LA - eng
KW - likelihood estimation; quasi-likelihood estimation; transition probabilities; quasi-information matrix
UR - http://eudml.org/doc/287621
ER -

References

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  1. [1] D.L. Hawkins and C.-P. Han, Estimating Transition Probabilities from Aggregate Samples Plus Partial Transition Data, Biometrics 56 (2000), 848-854. Zbl1060.62621
  2. [2] J.D. Kalbfleisch, J.F. Lawless and W.M. Vollomer, Estimation in Markov Models from Aggregate Data, Biometrics 39 (1983), 907-919. Zbl0553.62073
  3. [3] T.C. Lee, G.G. Judge and A. Zellender, Estimating the Parameters of the Markov Probability Model from Aggregate Time Series Data, New York, North Holland 1977. 
  4. [4] P. McCullagh and J.A. Nelder, Generalized Linear Models, Chapman and Hall, London 1983. Zbl0588.62104
  5. [5] P. McCullagh and J.A. Nelder, Generalized Linear Models, 2nd. ed. Chapman and Hall, London 1989. Zbl0744.62098
  6. [6] R.W.M. Wedderburn, Quasi-likelihood Functions, Generalized Linear Models, and the Gauss-Newton method, Biometrika Wedderburn, 61 (1974), 439-447. Zbl0292.62050

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