Combining a regression model with a multivariate Markov chain in a forecasting problem

DOI10.1016/J.SPL.2014.03.026MaRDI QIDQ2453931zbMATH OpenOpenAlexFDO

Authors Bruno Damásio, João Nicolau

Publication date 11 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.03.026

zbMATH Keywords

higher-order Markov chains

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Inference from stochastic processes and prediction (62M20)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Exogeneity
• scientific article; zbMATH DE number 3954111 (Why is no real title available?)

Cited in

(1)

• A gradual facilitate high-order multivariate Markov chains model with application to the changes of exchange rates in Egypt: new approach

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