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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 dependent on $n$, where $n$ is number of possible states.

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

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    I guess it is related to [this](http://math.stackexchange.com/questions/86331/how-can-i-compare-two-matrices) 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.2011-11-28
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    [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.2011-11-28
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    I am aware of that. I need to be able to determine this matrice with some error not greater than specified value.2011-11-28
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    @Ilya, I explained everything in my new question.2011-11-29
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    @Daenerys Was this a necessary edit? Was it even useful? Better leave some questions sleep, don't you think?2014-07-05

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