The consistency of the BIC Markov order estimator.

DOI10.1214/AOS/1015957472zbMATH Open1105.62311OpenAlexW2053807426WikidataQ105584342 ScholiaQ105584342MaRDI QIDQ1848844FDOQ1848844

Authors: Imre Csiszár, Paul Shields 

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1015957472

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Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

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Cited In (47)

• Space-efficient representation of truncated suffix trees, with applications to Markov order estimation
• Functional Finite Mixture Regression Models
• Asymptotic analysis of model selection criteria for general hidden Markov models
• Identification of a binary Markov chain of order \(s\) with \(r\) partial connections subjected to additive distortions
• Application of Kolmogorov complexity and universal codes to identity testing and nonparametric testing of serial independence for time series
• Hierarchical Markov-switching models for multivariate integer-valued time-series
• Prediction for discrete time series
• Some remarks on filtering and prediction of stationary processes
• A memetic algorithm for deinterleaving pulse trains
• Constrained Markov order surrogates
• Relevant states and memory in Markov chain bootstrapping and simulation
• A BIC‐based consistent metric between Markovian processes
• Consistent estimator for basis selection based on a proxy of the Kullback-Leibler distance
• Markov chain order estimation based on the chi‐square divergence
• Mining categorical sequences from data using a hybrid clustering method
• Consistency of the BIC order estimator
• Testing composite hypotheses about discrete ergodic processes
• Testing the order of a model
• An introduction to the Bayes information criterion: theoretical foundations and interpretation
• Maximum entropy estimation of transition probabilities of reversible Markov chains
• Sparse Markov chains for sequence data
• Intermittent estimation of stationary time series
• Modeling nonlinearities with mixtures-of-experts of time series models
• The gene-orientation structure of eukaryotes
• Limitations on intermittent forecasting
• On universal algorithms for classifying and predicting stationary processes
• On classifying processes
• Subset selection in linear regression using sequentially normalized least squares: asymptotic theory
• Countable alphabet stationary processes with at least one memory word and intermittent estimation with universal rates
• Exponential bounds for the probability of wrong determination of the order of a Markov chain by using the EDC criterion
• Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models
• Large-scale typicality of Markov sample paths and consistency of MDL order estimators
• Universal codes as a basis for nonparametric testing of serial independence for time series
• A minimum description length approach to hidden Markov models with Poisson and Gaussian emissions. Application to order identification
• Order Estimation of Markov Chains
• A note on prediction for discrete time series
• A New Order Estimator for Fixed and Variable Length Markov Models with Applications to DNA Sequence Similarity
• Approximating multivariate Markov chains for bootstrapping through contiguous partitions
• Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes
• Computable Bayesian compression for uniformly discretizable statistical models
• Universal codes as a basis for time series testing
• On the minimal penalty for Markov order estimation
• Consistent estimation of the basic neighborhood of Markov random fields
• Hidden Gibbs random fields model selection using block likelihood information criterion
• Hidden Markov Models With Applications in Cell Adhesion Experiments
• Consistency of the Unlimited BIC Context Tree Estimator
• Theory of Classification: a Survey of Some Recent Advances

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