Bladt, Mogens; Sørensen, Michael - In: Journal of the Royal Statistical Society Series B 67 (2005) 3, pp. 395-410
Likelihood inference for discretely observed Markov jump processes with finite state space is investigated. The existence and uniqueness of the maximum likelihood estimator of the intensity matrix are investigated. This topic is closely related to the imbedding problem for Markov chains. It is...