On determination of the order of a Markov chain
DOI10.1023/A:1012245821183zbMATH Open1008.62078OpenAlexW1502363471MaRDI QIDQ1857366FDOQ1857366
Lincheng Zhao, C. R. Gonçalves, Chang C. Y. 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
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
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- Markov chain order estimation based on the chi‐square divergence
- The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
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- Exponential bounds for the probability of wrong determination of the order of a Markov chain by using the EDC criterion
- First passage times in portfolio optimization: a novel nonparametric approach
- Tsallis conditional mutual information in investigating long range correlation in symbol sequences
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