Some problems of statistical inference in absorbing Markov chains
吸收马尔可夫链中的若干统计推断问题
The estimation of parameters in an absorbing Markov chain has been discussed by Gani (1956), Bhat & Gani (1960), Bhat (1961) and possibly by other authors. Asymptotic theory for the distribution of maximum-likelihood estimators applies if a large number of independent replicates of the chain is available. These replicates, however, could be considered as occurring sequentially in time, so that the chain has implicitly been altered in such a way that the absorbing state has…