An EM algorithm for estimation in the mixture transition distribution model

DOI10.1080/00949650701266666MaRDI QIDQ3527734zbMATH OpenOpenAlexFDO

Authors Sophie Lèbre, Pierre-Yves Bourguignon

Publication date 30 September 2008

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.0525

zbMATH Keywords

Markov chainmaximum likelihoodMTDparsimony

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Abstract: The Mixture Transition Distribution (MTD) model was introduced by Raftery to face the need for parsimony in the modeling of high-order Markov chains in discrete time. The particularity of this model comes from the fact that the effect of each lag upon the present is considered separately and additively, so that the number of parameters required is drastically reduced. However, the efficiency for the MTD parameter estimations proposed up to date still remains problematic on account of the large number of constraints on the parameters. In this paper, an iterative procedure, commonly known as Expectation-Maximization (EM) algorithm, is developed cooperating with the principle of Maximum Likelihood Estimation (MLE) to estimate the MTD parameters. Some applications of modeling MTD show the proposed EM algorithm is easier to be used than the algorithm developed by Berchtold. Moreover, the EM Estimations of parameters for high-order MTD models led on DNA sequences outperform the corresponding fully parametrized Markov chain in terms of Bayesian Information Criterion. A software implementation of our algorithm is available in the library seq++ at http://stat.genopole.cnrs.fr/seqpp

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• The profitability in the FTSE 100 index: a new Markov chain approach
• TLS-EM algorithm of mixture density models for exponential families
• Estimation in the mixture transition distribution model
• An EM algorithm of mixture high-order hidden Markov models
• A Novel Estimation Approach for Mixture Transition Distribution Model in High-Order Markov Chains
• Linear models for the impact of order flow on prices. II: The mixture transition distribution model
• The Convex Mixture Distribution: Granger Causality for Categorical Time Series
• An EM algorithm for fitting a mixture model with symmetric log-concave densities
• Parameter estimation of the WMTD model

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