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Sample Size Necessary for Estimation of Markov Transition Matrix

Babulal Seal, Sk Jakir Hossain


Estimation of transition probability matrix in a Markov chain gives trouble when some of the observations are null. So in order to avoid this the availability of non-null observations from states are worked out ensuring the minimum number of samples. Also the probabilities of availability of such samples has been worked out so that sufficient probability of getting
non-null observations for all transitions may be checked for practical purposes. Average sample number in simple case is worked out for demonstration.


Inverse binomial sampling, Average sample number, transition probability.

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