A Novel Estimation Approach for Mixture Transition Distribution Model in High-Order Markov Chains

DOI10.1080/03610910802715009zbMath1163.65005OpenAlexW2159040086MaRDI QIDQ3625363

Ding-Geng Chen, Yuhlong Lio

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910802715009

zbMATH Keywords

global optimizationMarkov chainsmaximum likelihood estimationnumerical examplesgenetic algorithmsevolutionary algorithmsglobal search algorithmquasi-Newton algorithmsmixture transition distributionhigh-order temporal dependence

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical mathematical programming methods (65K05) Markov processes: estimation; hidden Markov models (62M05) Stochastic programming (90C15) Methods of quasi-Newton type (90C53) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (3)

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

Uses Software

• Unnamed Item

Cites Work

• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Estimation in the Mixture Transition Distribution Model
• An EM algorithm for estimation in the mixture transition distribution model
• Numerical Optimization
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• A Limited Memory Algorithm for Bound Constrained Optimization
• Function minimization by conjugate gradients
• A Simplex Method for Function Minimization

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