Comparative evaluation of parameter estimation methods and confidence intervals for reversible Markov chains shows potential benefits in modeling approaches.
This work explores continuous state–space stationary reversible Markov chains generated by a new family of absolutely continuous symmetric copulas that have piecewise constant densities. We compare three parameter estimation techniques for the Markov chains generated by these copulas. Furthermore, we provide the Central Limit Theorems, χ2-tests and confidence intervals based on these estimators. A simulation study performed using R 4.4.1 is described to support the findings.
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Longla et al. (2025) studied this question.
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