TITLE:
Note on the Linearity of Bayesian Estimates in the Dependent Case
AUTHORS:
Souad Assoudou, Belkheir Essebbar
KEYWORDS:
Bayes Estimator; Maximum Likelihood Estimator; Markov Chain; Transition Probabilities; Jeffreys’ Prior; Multivariate Beta Prior; MCMC
JOURNAL NAME:
Applied Mathematics,
Vol.5 No.1,
January
2,
2014
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).