Estimation of General Stationary Processes by Variable Length Markov Chains

DOI10.1111/1467-9469.00342zbMATH Open1034.62080OpenAlexW2082430318MaRDI QIDQ4455952FDOQ4455952

Fiorenzo Ferrari, Abraham J. Wyner

Publication date: 16 March 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00342

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zbMATH Keywords

context algorithmfinite memory sourcehigh order Markov chainsprobabilistic suffix automation

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

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• Statistical methods for DNA sequence segmentation
• Model selection for variable length Markov chains and tuning the context algorithm
• Nonparametric statistics for stochastic processes
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• The context-tree weighting method: basic properties
• A universal finite memory source
• Sieve Bootstrap With Variable-Length Markov Chains for Stationary Categorical Time Series

Cited In (11)

• Sieve Bootstrap With Variable-Length Markov Chains for Stationary Categorical Time Series
• Estimating the Lengths of Memory Words
• Title not available (Why is that?)
• Exponential inequalities for VLMC empirical trees
• Predicting the future of discrete sequences from fractal representations of the past
• Model selection for variable length Markov chains and tuning the context algorithm
• Random Markov processes for countable and uncountable alphabets
• Generator estimation of Markov jump processes
• Neighborhood radius estimation for variable-neighborhood random fields
• Some upper bounds for the rate of convergence of penalized likelihood context tree estimators
• Variable length Markov chains

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