Statistical analysis of binary Markov chain with a change point

This paper is devoted to statistical analysis of a binary heterogeneous Markov chain with a single change point (time point of the change in the one-step transition probability matrix). To address this problem, two cases are studied: one where the transition probability matrices are known, and another where they are unknown a priori. Consistent statistical estimators for the parameters are constructed, their asymptotic properties are proved, and an algorithm for estimating the change point is developed. The results of computer experiments are presented.

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