Abstract
Empirical Bayes estimator for the transition probability matrix is worked out in the cases where we have belief regarding the parameters, For example, where the states seem to be equal or not. In both cases, priors are in accordance with our beliefs. Using EM algorithm, computational methods for different hyperparameters of the empirical Bayes are described. Also, robustness of empirical Bayes procedure is investigated.
Acknowledgments
The authors thank the Editor, Prof. Robert G. Aykroyd and the anonymous referees for their constructive comments which were helpful to improve the final version of the paper.
Notes
1. Supplementary Content may be viewed online at http://dx.doi.org/10.1080/02664763.2014.963525