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Biometrika 1992 79(1):185-193; doi:10.1093/biomet/79.1.185
© 1992 by Biometrika Trust
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Empirical Bayes estimators for a finite Markov chain

M. R. MESHKANI1 and L. BILLARD2

1Department of Statistics, Shahid Beheshti University Tehran 19843, Iran
2Department of Statistics, University of Georgia Athens, Georgia 30602, U.S.A.

Using results of Anderson & Goodman (1957), we develop empirical Bayes estimates for the transition probabilities of a finite stationary Markov chain. Some asymptotic properties of these estimators are also derived.

Key Words: Asymptotic theory • Bayes estimate • Empirical Bayes estimate • Finite stationary chain • Matrix beta prior • Transition probability


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