A BIC-based consistent metric between Markovian processes

DOI10.1002/ASMB.2346MaRDI QIDQ4627105zbMATH OpenOpenAlexWikidataFDO

Authors Jesús E. García, Ramin Gholizadeh, Verónica A. González-López

Publication date 7 March 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2346

zbMATH Keywords

Bayesian information criterionMarkov processesproximity between processesrelative entropy

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02)

Recommendations

• The consistency of the BIC Markov order estimator.
• Consistency of the BIC order estimator
• Distances and discrimination rates for stochastic processes
• Partition Markov model for multiple processes
• Bayesian consistency for Markov models

Cites work

• Context tree estimation for not necessarily finite memory processes, via BIC and MDL
• Estimating the dimension of a model
• The consistency of the BIC Markov order estimator.

Cited in

(5)

• Sample selection procedure in daily trading volume processes
• Partition Markov model for multiple processes
• On the metric topology induced from the BIC-based consistent metric between Markovian processes
• Metrics for labelled Markov processes
• Multiple partition Markov model for B.1.1.7, B.1.351, B.1.617.2, and P.1 variants of SARS-CoV 2 virus

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