Maximum Likelihood and Bayesian Estimation of Transition Probabilities
T. C. Lee, George G. Judge, Arnold Zellner · Journal of the American Statistical Association · 1968
In this paper, maximum likelihood and Bayesian methods are presented for estimating transition probabilities when data in the form of aggregated proportions are available. The probability function for the observed proportions is assumed to have a multinomial distribution under the Lexis scheme. The multivariate beta distribution is used as the prior probability density function in formulating the Bayesian estimator. The results of some Monte Carlo experiments provide some evidence on the sampling properties of several alternative estimators.