An EM algorithm for estimation in the mixture transition distribution model

DOI10.1080/00949650701266666zbMath1145.62064arXiv0803.0525OpenAlexW2128731815MaRDI QIDQ3527734

Pierre-Yves Bourguignon, Sophie Lèbre

Publication date: 30 September 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.0525

zbMATH Keywords

Markov chainmaximum likelihoodparsimonyMTD

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model ⋮ The profitability in the FTSE 100 index: a new Markov chain approach ⋮ A New Model for Multivariate Markov Chains ⋮ A Novel Estimation Approach for Mixture Transition Distribution Model in High-Order Markov Chains ⋮ The Convex Mixture Distribution: Granger Causality for Categorical Time Series

Cites Work

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• On the convergence properties of the EM algorithm
• Estimating the dimension of a model
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Estimation in the Mixture Transition Distribution Model
• Some Results on the Estimation of a Higher Order Markov Chain
• Biological Sequence Analysis

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