Bayesian analysis for reversible Markov chains

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We introduce a natural conjugate prior for the transition matrix of a reversible Markov chain. This allows estimation and testing. The prior arises from random walk with reinforcement in the same way the Dirichlet prior arises from Pólya's urn. We give closed form normalizing constants, a simple method of simulation from the posterior and a characterization along the lines of W. E. Johnson's characterization of the Dirichlet prior.
Published at http://dx.doi.org/10.1214/009053606000000290 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Statistics Theory, 62M02 (Primary) 62C10 (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/131064

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0605582
 http://arxiv.org/abs/math/0605582
 Annals of Statistics 2006, Vol. 34, No. 3, 1270-1292
 doi:10.1214/009053606000000290

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