Estimating models based on Markov jump processes given fragmented observation series View Full Text


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Article Info

DATE

2009-12

AUTHORS

Markus Hahn, Sylvia Frühwirth-Schnatter, Jörn Sass

ABSTRACT

We consider the problem of estimating the rate matrix governing a finite-state Markov jump process given a number of fragmented time series. We propose to concatenate the observed series and to employ the emerging non-Markov process for estimation. We describe the bias arising if standard methods for Markov processes are used for the concatenated process, and provide a post-processing method to correct for this bias. This method applies to discrete-time Markov chains and to more general models based on Markov jump processes where the underlying state process is not observed directly. This is demonstrated in detail for a Markov switching model. We provide applications to simulated time series and to financial market data, where estimators resulting from maximum likelihood methods and Markov chain Monte Carlo sampling are improved using the presented correction. More... »

PAGES

403

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10182-009-0116-3

DOI

http://dx.doi.org/10.1007/s10182-009-0116-3

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1051928613


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