Consider a Markov chain with two possible states s1 and s2 and with stationary transition probabilities as
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where the value of θ is unknown (0 ‰¤ θ ‰¤ 1). Suppose that the initial state X1 of the chain is s1, and let X2, . . . , Xn+1 denote the state of the chain at each of the next n successive periods. Determine the M.L.E. of θ based on the observations X2, . . . , Xn+1.
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Related Book For
Probability And Statistics
ISBN: 9780321500465
4th Edition
Authors: Morris H. DeGroot, Mark J. Schervish
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