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Solve transition matrix using Maximum Entropy

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Dat Tran
Dat Tran 2015-1-27
Dear all,
Can I use Fmincon in Matlab to derive the transition matrix for Markov Chain model. I have been using Fmincon to estimate the transition matrix. I minimize the the objective function which is sum(p.*log(p)), subject to moment constraints. The constraints are based on the data that I have. I do not know whether we have another way to solve this kind of problem with Matlab since I am not quite sure about the solution that I had now.
Thank you very much! Dat

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