Detecting renewal states in chains of variable length via intrinsic Bayes factors

DOI10.1007/S11222-022-10191-2MaRDI QIDQ2680304zbMATH OpenOpenAlexFDO

Authors Victor Freguglia, N. L. Garcia

Publication date 28 December 2022

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.07430

zbMATH Keywords

Bayes factorintractable normalizing constantrenewal statesvariable length 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) Computational methods in Markov chains (60J22) Computational methods for problems pertaining to statistics (62-08)

Abstract: Markov chains with variable length are useful parsimonious stochastic models able to generate most stationary sequence of discrete symbols. The idea is to identify the suffixes of the past, called contexts, that are relevant to predict the future symbol. Sometimes a single state is a context, and looking at the past and finding this specific state makes the further past irrelevant. States with such property are called renewal states and they can be used to split the chain into independent and identically distributed blocks. In order to identify renewal states for chains with variable length, we propose the use of Intrinsic Bayes Factor to evaluate the hypothesis that some particular state is a renewal state. In this case, the difficulty lies in integrating the marginal posterior distribution for the random context trees for general prior distribution on the space of context trees, with Dirichlet prior for the transition probabilities, and Monte Carlo methods are applied. To show the strength of our method, we analyzed artificial datasets generated from different binary models models and one example coming from the field of Linguistics.

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