On forecasting risk for homogeneous finite Markov chains with unknown parameters

MaRDI QIDQ2913015zbMATH OpenFDO

Authors K. S. Matetskiĭ, Yuriĭ Semenovich Kharin

Publication date 25 September 2012

Published in Vestnik Belorusskogo Gosudarstvennogo Universiteta. Seria 1. Fizika, Matematika, Informatika (Search for Journal in Brave)

zbMATH Keywords

forecastinghomogeneous finite Markov chains

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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(2)

• The risk of forecasting on the base of the Bloomfield model in the presence of a training sample
• The problem of on-line forecasting of stochastic characteristics of Markovian parametric systems

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