On determination of the order of a Markov chain

DOI10.1023/A:1012245821183zbMath1008.62078OpenAlexW1502363471MaRDI QIDQ1857366

C. R. Gonçalves, Lin Cheng Zhao, Chang Chung Yu Dorea

Publication date: 24 March 2003

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1012245821183

zbMATH Keywords

Bayesian information criterionefficient determination criterionMarkov chain order

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (9)

Robust parametric inference for finite Markov chains ⋮ Strongly consistent model selection for general causal time series ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Markov chain order estimation based on the chi‐square divergence ⋮ Exponential bounds for the probability of wrong determination of the order of a Markov chain by using the EDC criterion ⋮ The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities ⋮ Heckman selection-\(t\) model: parameter estimation via the EM-algorithm ⋮ Model identification using the efficient determination criterion ⋮ Tsallis conditional mutual information in investigating long range correlation in symbol sequences

This page was built for publication: On determination of the order of a Markov chain