A new model for multivariate Markov chains

DOI10.1111/SJOS.12087zbMATH Open1305.60061OpenAlexW1513169589MaRDI QIDQ119115FDOQ119115

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

Recommendations

• Estimation in the mixture transition distribution model
• Higher-order multivariate Markov chains and their applications
• 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
• scientific article; zbMATH DE number 69490

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)

Cites Work

• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Higher-order multivariate Markov chains and their applications
• Estimation in the mixture transition distribution model
• Higher-order Markov chain models for categorical data sequences
• 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
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A multivariate Markov chain model for categorical data sequences and its applications in demand predictions
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• Title not available (Why is that?)

Cited In (18)

• Investigating purchasing-sequence patterns for financial services using Markov, MTD and MTDG models
• MTD models for aggregate data from higher order Markov chains
• A gradual facilitate high-order multivariate Markov chains model with application to the changes of exchange rates in Egypt: new approach
• A new improved parsimonious multivariate Markov chain model
• A copula-based partition Markov procedure
• Statistical analysis of multivariate discrete-valued time series
• The price leadership share: a new measure of price discovery in financial markets
• The classification of state for multivariate Markov chain and its basic properties
• Bernoulli vector autoregressive model
• The profitability in the FTSE 100 index: a new Markov chain approach
• GenMarkov
• Title not available (Why is that?)
• A simple nonparametric method to estimate the expected time to cross a threshold
• The Convex Mixture Distribution: Granger Causality for Categorical Time Series
• A class of models for multiple binary sequences under the hypothesis of Markov exchangeability
• New models for Markov random fields
• A new multivariate Markov chain model for adding a new categorical data sequence
• A note on the mixture transition distribution and hidden Markov models

This page was built for publication: A new model for multivariate Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q119115)