Estimation in the mixture transition distribution model
In the mixture transition distribution (MTD) model the time series \(X_1\),\dots, \(X_n\),\dots of random variables taking values in a finite set is considered as an \(h\)-order Markov chain with transition probabilities NEWLINE\[NEWLINE\Pr\{X_t=i_0 |X_{t-1}=i_1,\dots, X_{t-l}=i_l\} =\sum_{g=1}^l \phi_g q_{i_g i_0},NEWLINE\]NEWLINE where \(Q=[q_{ij}]\) is a transition matrix and \(\phi=(\phi_1,\dots,\phi_l)\) is a vector of lag ``mixing probabilities. \(Q\) and \(\phi\) are unknown and should be estimated by the observations \(X_1\),\dots,\(X_n\). The author proposes a new iterative procedure of local log-likelihood maximization and technology of initial values selection for this algorithm. Two generalizations of MTD are discussed: MTDg at which \(Q\)-matrices are different for different lags and a spatial model based on the concept of Markov random fields. The algorithms are applied to data of, e.g., DNA sequences of mouse \(\alpha\)A-crystallin gene analysis.
- An EM algorithm for estimation in the mixture transition distribution model
- Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
- A note on the mixture transition distribution and hidden Markov models
- A Novel Estimation Approach for Mixture Transition Distribution Model in High-Order Markov Chains
- The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
- A new model for multivariate Markov chains
- Manly transformation in finite mixture modeling
- Regression theory for categorical time series
- The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
- The profitability in the FTSE 100 index: a new Markov chain approach
- Fitting Poisson time-series models using bivariate mixture transition distributions
- MTD models for aggregate data from higher order Markov chains
- Investigating purchasing-sequence patterns for financial services using Markov, MTD and MTDG models
- A note on the mixture transition distribution and hidden Markov models
- High-order extensions of the Double Chain Markov Model
- An EM algorithm for estimation in the mixture transition distribution model
- 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
- On Construction and Estimation of Stationary Mixture Transition Distribution Models
- Parameter estimation of the WMTD model
- Mixture transition distribution (MTD) modeling of heteroscedastic time series
- \(\mathcal{G}\)-inhomogeneous Markov systems of high order
- Stationary mixture transition distribution (MTD) models via predictive distributions
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