A new model for multivariate Markov chains

DOI10.1111/SJOS.12087MaRDI QIDQ119115zbMATH OpenOpenAlexFDO

Authors João Nicolau, João Nicolau

Publication date 4 April 2014

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12087

zbMATH Keywords

high-order Markov chainsmaximum likelihood methodmixture transition distributionmultivariate Markov chains

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited in

(18)

• Statistical analysis of multivariate discrete-valued time series
• Bernoulli vector autoregressive model
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• A class of models for multiple binary sequences under the hypothesis of Markov exchangeability
• scientific article; zbMATH DE number 3994694 (Why is no real title available?)
• New models for Markov random fields
• A new multivariate Markov chain model for adding a new categorical data sequence
• A copula-based partition Markov procedure
• A gradual facilitate high-order multivariate Markov chains model with application to the changes of exchange rates in Egypt: new approach
• MTD models for aggregate data from higher order Markov chains
• Investigating purchasing-sequence patterns for financial services using Markov, MTD and MTDG models
• GenMarkov
• A note on the mixture transition distribution and hidden Markov models
• A simple nonparametric method to estimate the expected time to cross a threshold
• The price leadership share: a new measure of price discovery in financial markets
• A new improved parsimonious multivariate Markov chain model
• The classification of state for multivariate Markov chain and its basic properties
• The Convex Mixture Distribution: Granger Causality for Categorical Time Series

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