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Biometrika 1984 71(3):419-430; doi:10.1093/biomet/71.3.419
© 1984 by Biometrika Trust
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The information in aggregate data from Markov chains

J. F. LAWLESS and D. L. McLEISH

Department of Statistics and Actuarial Science, University of Waterloo Ontario, Canada

Estimation in Markov chains from aggregate data is discussed. The information about different aspects of a chain, such as individual transition probabilities, the equilibrium distribution and linear combinations of probabilities related to prediction, is investigated. The loss of information due to aggregation is examined by comparing estimation from aggregate and panel data. We find that although aggregate are generally much less informative than panel data, in some instances they give good estimation of equilibrium distributions and mean occupancy numbers for states in a chain.

Key Words: Aggregate data • Asymptotic efficiency • Estimation • Generalized least squares • Markov chains • Prediction


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