1. M

    Evaluation of a probability using Markov's inequality

    X,Y and Z are independent RVs with a MGF Mx(t)=1/(1−t). How can I evaluate in the most efficient manner P(X+Y+Z>6)? Thank you
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    Maximum likelihood estimation of transition probabilities

    Hi, I'm new to Markov chains but have been advised by a colleague to use this approach for my latest study. I have a basic understanding of the theory but I am confused by the use of maximum likelihood for estimating the transition probabilities. Why is this done and also how is it done? In my...
  3. K

    Markov Chain Prediction with unknown states

    down vote favorite 2 I want to make a prediction of the next state based on a training and test dataset. So I split my data into a train and test set and calculate the MLE on the train set and want to predict the next state on the test dataset. The problem now is, that there can be...
  4. K

    Log-likelihood MLE Markov chain

    Hey! I am currently working with Markov chains and calculated the Maximum Likelihood Estimate using transition probabilities as suggested by several sources. I now want to calculate the log-likelihood of the MLE, but I am quite unsure how to do so. Maybe someone can help me out. Thanks...
  5. Y

    markov inequality property question

    Dear All, As you know that markov inequality property is: My question is that valid that to use invariant of this property in the reverse way, I mean is the following is true ? : P(X<=a) >= E(X)/a I appreciate your help. Thanks Yahia
  6. M

    markov chain help.

    Hi, just looking for clarification on something in plain English. If I have a probability transition matrix for states 1,2,3,4 given by: [0.7 0 0.3 0 ] [0.4 0.2 0.4 0 ] [0.3 0 0.7 0 ] [0.4 0 0.4 0.2] If I'm asked to identify the recurrent and transient classes do I...