Cover: Least squares estimation in finite Markov processes.

Least squares estimation in finite Markov processes.

Published 1958

by Albert Madansky

Purchase Print Copy

 Format Price
Add to Cart Paperback12 pages $15.00

A consistent estimate of the transitional probability matrix of a finite Markov process in the case when at each point in time only the proportions of the sample in each state are known. It is shown that this estimate is asymptotically more efficient, in a sense defined in this paper, than previously considered estimates for this matrix. (Published in Psychometrika, June 1959.)

This report is part of the RAND paper series. The paper was a product of RAND from 1948 to 2003 that captured speeches, memorials, and derivative research, usually prepared on authors' own time and meant to be the scholarly or scientific contribution of individual authors to their professional fields. Papers were less formal than reports and did not require rigorous peer review.

This document and trademark(s) contained herein are protected by law. This representation of RAND intellectual property is provided for noncommercial use only. Unauthorized posting of this publication online is prohibited; linking directly to this product page is encouraged. Permission is required from RAND to reproduce, or reuse in another form, any of its research documents for commercial purposes. For information on reprint and reuse permissions, please visit

RAND is a nonprofit institution that helps improve policy and decisionmaking through research and analysis. RAND's publications do not necessarily reflect the opinions of its research clients and sponsors.