An autoregressive model for multilag Markov chains

DOI10.2307/3213025MaRDI QIDQ3865247zbMATH OpenOpenAlexFDO

Authors G. G. S. Pegram

Publication date 1980

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3213025

zbMATH Keywords

discrete Markov chainsmodellingparsimonyprecipitation modelsseasonal Markov chainsstochastic reservoir theory

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Cited in

(34)

• A higher order Markov model for analyzing covariate dependence
• Coherent forecasting for stationary time series of discrete data
• Regression theory for categorical time series
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• A new INAR(1) process with bounded support for counts showing equidispersion, underdispersion and overdispersion
• Modeling time series of counts with a new class of INAR(1) model
• Statistical analysis of discrete-valued time series using categorical ARMA models
• Time series analysis of categorical data using auto-mutual information
• Auto-association measures for stationary time series of categorical data
• Investigating purchasing-sequence patterns for financial services using Markov, MTD and MTDG models
• STATIONARY DISCRETE AUTOREGRESSIVE-MOVING AVERAGE TIME SERIES GENERATED BY MIXTURES
• Some Results on the Estimation of a Higher Order Markov Chain
• Linear models for the impact of order flow on prices. II: The mixture transition distribution model
• A new class of INAR(1) model for count time series
• Bayesian comparative study on binary time series
• Modelling and coherent forecasting of zero-inflated count time series
• Thinning-based models in the analysis of integer-valued time series: a review
• An INAR(1) model based on the Pegram and thinning operators with serially dependent innovation
• Time series analysis of hybrid neurophysiological data and application of mutual information
• Time series analysis of categorical data using auto-odds ratio function
• Updating Markov chain models using the ensemble Kalman filter
• An integer-valued bilinear time series model via two random operators
• Coherent forecasting for count time series using Box–Jenkins's AR(p) model
• A novel high-order multivariate Markov model for spatiotemporal analysis with application to COVID-19 outbreak
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• One-misrecorded Poisson INAR(1) model via two random operators with application to crime and economics data
• A study for the NMBAR(1) processes
• Two-step conditional least squares estimation for the bivariate Z-valued INAR(1) model with bivariate Skellam innovations
• A mixed BAR(1) model driven by serially dependent innovation with application
• Discrete Autoregressive Switching Processes with Cumulative Shrinkage Priors for Graphical Modeling of Time Series Data
• A modified Pegram’s operator based autoregressive (mPAR) process for modeling truncated counts
• Discrete-valued ARMA processes
• Estimation and inference in multivariate Markov chains
• \(\mathcal{G}\)-inhomogeneous Markov systems of high order

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