Estimation of General Stationary Processes by Variable Length Markov Chains

DOI10.1111/1467-9469.00342MaRDI QIDQ4455952zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 45100 (Why is no real title available?)
• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• A universal finite memory source
• 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
• Statistical methods for DNA sequence segmentation
• The context-tree weighting method: basic properties

Cited in

(19)

• Variable length memory chains: characterization of stationary probability measures
• Predicting the future of discrete sequences from fractal representations of the past
• Markov approximation and consistent estimation of unbounded probabilistic suffix trees
• Variable length Markov chain with exogenous covariates
• Bayesian regularization of the length of memory in reversible sequences
• Stochastically perturbed chains of variable memory
• Sieve Bootstrap With Variable-Length Markov Chains for Stationary Categorical Time Series
• Estimating the Lengths of Memory Words
• Generator estimation of Markov jump processes
• Context tree estimation for not necessarily finite memory processes, via BIC and MDL
• On estimating the memory for finitarily Markovian processes
• Model selection for variable length Markov chains and tuning the context algorithm
• Variable length Markov chains
• Approximate group context tree
• 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
• scientific article; zbMATH DE number 7578278 (Why is no real title available?)

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