Note on the Linearity of Bayesian Estimates in the Dependent Case

• 作者: Belkheir Essebbar Souad Assoudou
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: BAYES ESTIMATOR Maximum LIKELIHOOD ESTIMATOR Markov Chain Transition Probabilities Jeffreys’ Prior MULTIVARIATE Beta Prior MCMC
• 年，卷（期）: 2014,（1）
• 页码范围: 47-54
• 页数: 8页
• 分类号: O21

摘要

This work deals with the relationship between the Bayesian and the maximum likelihood estimators in case of dependent observations. In case of Markov chains, we show that the Bayesian estimator of the transition probabilities is a linear function of the maximum likelihood estimator (MLE).