@article{3e5b0e1d8c6148cd948da790cee9b729,
title = "Exact inference for continuous time markov chain models",
abstract = "Methods for exact Bayesian inference under a uniform diffuse prior are set forth for the continuous time homogeneous Markov chain model. It is shown how the exact posterior distribution of any function of interest may be computed using Monte Carlo integration. The solution handles the problems of embeddability in a very natural way, and provides (to our knowledge) the only solution that systematically takes this problem into account. The methods are illustrated using several sets of data.",
author = "John Geweke and Marshall, {Robert C.} and Zarkin, {Gary A.}",
note = "Funding Information: We wish to acknowledge helpful discussions with Halina Frydman and Burton Singer while accepting responsibility for any remaining errors. Gewecke acknowledges financial support from National Science Foundation grants SES-8318778 and SES-8605867. Marshall acknowledges financial support from NSF grant SES-8509693. A grant from the Pew Foundation provided financial support for computing. The methodology described in this paper was developed by the first author, in jointly undertaking the applications in the last section which were proposed by the other authors. Copyright: Copyright 2016 Elsevier B.V., All rights reserved.",
year = "1986",
month = aug,
doi = "10.2307/2297610",
language = "English (US)",
volume = "53",
pages = "653--669",
journal = "Review of Economic Studies",
issn = "0034-6527",
publisher = "Oxford University Press",
number = "4",
}