On determination of the order of a Markov chain

DOI10.1023/A:1012245821183MaRDI QIDQ1857366zbMATH OpenOpenAlexFDO

Authors C. R. Gonçalves, Lincheng Zhao, 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

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)

Recommendations

• Order Estimation of Markov Chains
• On the ordering of the Markov numbers
• On the conductance of order Markov chains
• Markov approximations of chains of infinite order
• Publication:3496977
• A bayesian method in determining the order of a finite state markov chain
• Some Results on the Estimation of a Higher Order Markov Chain

Cited in

(15)

• On the estimation of the order of a Markov chain and universal data compression
• Markov chain order estimation based on the chi-square divergence
• Robust parametric inference for finite Markov chains
• Exponential bounds for the probability of wrong determination of the order of a Markov chain by using the EDC criterion
• Heckman selection-\(t\) model: parameter estimation via the EM-algorithm
• Model identification using the efficient determination criterion
• First passage times in portfolio optimization: a novel nonparametric approach
• The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
• Strongly consistent model selection for general causal time series
• Convergence rates for Markov chain order estimates using EDC criterion
• A New Order Estimator for Fixed and Variable Length Markov Models with Applications to DNA Sequence Similarity
• scientific article; zbMATH DE number 4082788 (Why is no real title available?)
• scientific article; zbMATH DE number 769143 (Why is no real title available?)
• Tsallis conditional mutual information in investigating long range correlation in symbol sequences
• Order Estimation of Markov Chains

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1857366)