VLMCX (Q5976237): Difference between revisions
From MaRDI portal
Changed an Item |
Changed an Item |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI software profile / rank | |||
Normal rank |
Revision as of 14:09, 7 March 2024
Variable Length Markov Chain with Exogenous Covariates
Language | Label | Description | Also known as |
---|---|---|---|
English | VLMCX |
Variable Length Markov Chain with Exogenous Covariates |
Statements
Models categorical time series through a Markov Chain when a) covariates are predictors for transitioning into the next state/symbol and b) when the dependence in the past states has variable length. The probability of transitioning to the next state in the Markov Chain is defined by a multinomial regression whose parameters depend on the past states of the chain and, moreover, the number of states in the past needed to predict the next state also depends on the observed states themselves. See Zambom, Kim, and Garcia (2022) <doi:10.1111/jtsa.12615>.
0 references
8 February 2024
0 references
expanded from: GPL (≥ 2) (English)
0 references