The double chain markov model

DOI10.1080/03610929908832439zbMath0973.62067OpenAlexW2118728396MaRDI QIDQ4935425

André Berchtold

Publication date: 5 December 2001

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.142.7472

zbMATH Keywords

random environmentnon-homogeneous Markov chainshidden processesiterative estimation algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites Work

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• The ergodic theory of Markov chains in random environments
• On Some Criteria for Estimating the Order of a Markov Chain
• Finite-horizon dynamic optimisation when the terminal reward is a concave functional of the distribution of the final state
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• Representation Theory for Denumerable Markov Chains

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