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Note on the Linearity of Bayesian Estimates in the Dependent Case
Department of Economics, Faculty of Law, Economics and Social Sciences, Hassan I University, Settat, Morocco
Department of Mathematics and Computer Sciences, Faculty of Science, Mohammed V University, Rabat, Morocco
- 1 Department of Economics, Faculty of Law, Economics and Social Sciences, Hassan I University, Settat, Morocco
- 2 Department of Mathematics and Computer Sciences, Faculty of Science, Mohammed V University, Rabat, Morocco
Applied Mathematics·Volume 05 (2013)·Pages 47–54·Published 25 December 2013·DOI10.4236/am.2014.51006
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Abstract
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).
KeywordsBayes EstimatorMaximum Likelihood EstimatorMarkov ChainTransition ProbabilitiesJeffreys’ PriorMultivariate Beta PriorMCMC
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