Estimation of General Stationary Processes by Variable Length Markov Chains

DOI10.1111/1467-9469.00342zbMath1034.62080OpenAlexW2082430318MaRDI QIDQ4455952

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

zbMATH Keywords

context algorithmfinite memory sourcehigh order Markov chainsprobabilistic suffix automation

Mathematics Subject Classification ID

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

Related Items (5)

Random Markov processes for countable and uncountable alphabets ⋮ Neighborhood radius estimation for variable-neighborhood random fields ⋮ Exponential inequalities for VLMC empirical trees ⋮ Some upper bounds for the rate of convergence of penalized likelihood context tree estimators ⋮ Unnamed Item

Cites Work

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

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