“An Empirical Transition Matrix for Non-Homogeneous Markov Chains Based on Censored Observations”, 1978 (; backlinks; similar):
A product limit estimator [the Aalen-Johansen estimator] is suggested for the transition probabilities of a non-homogeneous Markov chain with finitely many states. [competing risks survival analysis]
The estimator is expressed as a product integral and its properties are studied by means of the theory of square integrable martingales.
[Keywords: Markov chains, censored observations, product limit estimator, transition probabilities]