Bayesian analysis of variable-order, reversible Markov chains

DOI10.1214/10-AOS857zbMATH Open1215.62083arXiv1105.2640OpenAlexW2045419873MaRDI QIDQ548538FDOQ548538

Authors: Sergio Bacallado 

Publication date: 29 June 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We define a conjugate prior for the reversible Markov chain of order $r$. The prior arises from a partially exchangeable reinforced random walk, in the same way that the Beta distribution arises from the exchangeable Poly'{a} urn. An extension to variable-order Markov chains is also derived. We show the utility of this prior in testing the order and estimating the parameters of a reversible Markov model.

Full work available at URL: https://arxiv.org/abs/1105.2640

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zbMATH Keywords

reversibilityconjugate priorsreinforced random walksvariable-order Markov chains

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of graph theory (05C90) Markov processes: hypothesis testing (62M02) Bayesian problems; characterization of Bayes procedures (62C10) Sums of independent random variables; random walks (60G50)

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Cited In (15)

• Another conversation with Persi Diaconis
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• Context-specific and local independence in Markovian dependence structures
• Predictive construction of priors in Bayesian nonparametrics
• Sparse Markov chains for sequence data
• Bayesian analysis for reversible Markov chains
• Bayesian regularization of the length of memory in reversible sequences
• Edge-reinforced random walk, vertex-reinforced jump process and the supersymmetric hyperbolic sigma model
• Spin systems with hyperbolic symmetry: a survey
• Stratified graphical models -- context-specific independence in graphical models
• Detecting renewal states in chains of variable length via intrinsic Bayes factors
• Bayesian nonparametric analysis of reversible Markov chains
• Scaling limit of linearly edge-reinforced random walks on critical Galton-Watson trees
• Exact goodness-of-fit tests for Markov chains

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