Non-asymptotic Estimates for Markov Transition Matrices with Rigorous Error Bounds

Abstract: We establish non-asymptotic error bounds for the classical Maximal Likelihood Estimation of the transition matrix of a given Markov chain. Meanwhile, in the reversible case, we propose a new reversibility-preserving online Symmetric Counting Estimation of the transition matrix with non-asymptotic deviation bounds. Our analysis is based on a convergence study of certain Markov chains on the length-2 path spaces induced by the original Markov chain.