A Note on the Estimation of Parameters in a Bernoulli Model with Dependence
Devore, Jay L.
Ann. Statist., Tome 4 (1976) no. 1, p. 990-992 / Harvested from Project Euclid
A generalization of a Bernoulli process which incorporates a dependence structure was given by Klotz (1972, 1973), in which he considered $X_1, X_2, \cdots, X_n$ as a stationary two-state Markov chain with state space $\{0, 1\}$. The parameters of the process are $p = P(X_i = 1)$ and $\lambda$, which measures the degree of persistence in the chain. Klotz was unable to solve the equations arising from the full likelihood for the M.L.E.'s of $p$ and $\lambda$, so proposed and investigated an ad hoc procedure. Here explicit solutions are obtained for M.L.E.'s based on a modified likelihood function, where the modification consists of neglecting the first term of the full likelihood. In addition it is observed that Klotz's equations can in fact be solved explicitly.
Publié le : 1976-09-14
Classification:  Markov chain,  maximum likelihood estimation,  dependent Bernoulli sequence,  62M05,  62F10
@article{1176343597,
     author = {Devore, Jay L.},
     title = {A Note on the Estimation of Parameters in a Bernoulli Model with Dependence},
     journal = {Ann. Statist.},
     volume = {4},
     number = {1},
     year = {1976},
     pages = { 990-992},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343597}
}
Devore, Jay L. A Note on the Estimation of Parameters in a Bernoulli Model with Dependence. Ann. Statist., Tome 4 (1976) no. 1, pp.  990-992. http://gdmltest.u-ga.fr/item/1176343597/