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I want to estimate model transition matrix for a process (Markov chain). How much observiations of state do I need? I would prefer this as a function dependant of n, where n is number of possible states.

Please, see my new question How can I compare two Markov processes?

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I guess it is related to this question of yours. Both are a bit unspecific, so if they are highly related I would advise you to ask 1 complete question for the sake of clarity: then chances to receive a complete answer would be higher. – Ilya Nov 28 '11 at 10:40
[contd.] E.g. here you ask for the number of observations sufficient for the estimation. Which estimation, for which purposes? To perfectly estimate transition matrix you need infinitely many observations. – Ilya Nov 28 '11 at 10:42
I am aware of that. I need to be able to determine this matrice with some error not greater than specified value. – Jan Ajan Nov 28 '11 at 10:45
@Ilya, I explained everything in my new question. – Jan Ajan Nov 29 '11 at 13:42

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