On Some Criteria for Estimating the Order of a Markov Chain

DOI10.2307/1267787zbMath0485.62086OpenAlexW4242650025WikidataQ58407237 ScholiaQ58407237MaRDI QIDQ3945430

Richard W. Katz

Publication date: 1981

Published in: Technometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1267787

zbMATH Keywords

consistencyAkaike information criterionBayesian information criterionprecipitation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (29)

The mixture transition distribution model for high-order Markov chains and non-Gaussian time series ⋮ Analysing grouping of nucleotides in DNA sequences using lumped processes constructed from Markov chains ⋮ Codon preference and primary sequence structure in protein-coding regions ⋮ Model-structure selection by cross-validation ⋮ Estimation and Selection for High-Order Markov Chains with Bayesian Mixture Transition Distribution Models ⋮ Unsupervised segmentation of randomly switching data hidden with non-Gaussian correlated noise ⋮ A novel high-order multivariate Markov model for spatiotemporal analysis with application to COVID-19 outbreak ⋮ An improved estimator of Shannon entropy with applications to systems with memory ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Order Choice in Nonlinear Autoregressive Models ⋮ On the performance of information criteria for model identification of count time series ⋮ Testing lumpability in Markov chains. ⋮ Exact significance test for Markov order ⋮ Testing the order of discrete Markov chains using surrogate data ⋮ Models for autoregressive processes of bounded counts: how different are they? ⋮ A Poisson INAR(1) model with serially dependent innovations ⋮ The expected time to cross a threshold and its determinants: a simple and flexible framework ⋮ Markov chain order estimation based on the chi‐square divergence ⋮ The double chain markov model ⋮ Fisher information matrix of binary time series ⋮ Exponential bounds for the probability of wrong determination of the order of a Markov chain by using the EDC criterion ⋮ Measuring serial dependence in categorical time series ⋮ Exploring the randomness of mentally generated head–tail sequences ⋮ Tsallis conditional mutual information in investigating long range correlation in symbol sequences ⋮ Investigating purchasing-sequence patterns for financial services using Markov, MTD and MTDG models ⋮ A flexible class of parametric transition regression models based on copulas: application to poliomyelitis incidence ⋮ Markov models for duration-dependent transitions: selecting the states using duration values or duration intervals? ⋮ High-order extensions of the Double Chain Markov Model ⋮ Constrained Markov order surrogates

This page was built for publication: On Some Criteria for Estimating the Order of a Markov Chain