High-order extensions of the Double Chain Markov Model

DOI10.1081/STM-120004464zbMATH Open1006.60071MaRDI QIDQ3147435FDOQ3147435

Authors: André Berchtold 

Publication date: 12 November 2002

Published in: Stochastic Models (Search for Journal in Brave)

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zbMATH Keywords

forward-backward algorithmViterbi algorithmdouble chain Markov modelBaum-Welch algorithmmixture transition distribution model

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) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Estimation in the mixture transition distribution model
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• Title not available (Why is that?)
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• The ergodic theory of Markov chains in random environments
• On Some Criteria for Estimating the Order of a Markov Chain
• Finite-horizon dynamic optimisation when the terminal reward is a concave functional of the distribution of the final state
• The double chain markov model

Cited In (9)

• Lumps, breathers, interactions and rogue wave solutions for a stochastic gene evolution in double chain deoxyribonucleic acid system
• The table auto-regressive moving-average model for (categorical) stationary series: statistical properties (causality; from the all random to the conditional random)
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Efficient backward decoding of high-order hidden Markov models
• General framework and model building in the class of hidden mixture transition distribution models
• Efficient Bayesian estimation of the multivariate double chain Markov model
• The double chain markov model
• Modeling the coupled return-spread high frequency dynamics of large tick assets
• Экономные модели цепей Маркова высокого порядка для оценивания криптографических генераторов

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