Estimation and inference in multivariate Markov chains

DOI10.1007/S00362-014-0630-6MaRDI QIDQ894870zbMATH OpenOpenAlexFDO

Authors João Nicolau, Flavio Ivo Riedlinger

Publication date 24 November 2015

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-014-0630-6

zbMATH Keywords

multivariate Markov chainsstatistical inferencenonlinear least squarespredictability of investment recommendations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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Cites work

• scientific article; zbMATH DE number 3954111 (Why is no real title available?)
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• A flexible Markov chain approach for multivariate credit ratings
• A multivariate Markov chain model for categorical data sequences and its applications in demand predictions
• A unification and some corrections to Markov chain approaches to develop variable ratio sampling scheme control charts
• An autoregressive model for multilag Markov chains
• Exponentially weighted moving average control charts for three-level products
• Markov chains: models, algorithms and applications
• Monte Carlo error estimation for multivariate Markov chains
• Multivariate Markov chain modeling for stock markets
• On a multivariate Markov chain model for credit risk measurement

Cited in

(8)

• scientific article; zbMATH DE number 5880904 (Why is no real title available?)
• Higher-order multivariate Markov chains and their applications
• On Evidential Markov Chains
• Multivariate output analysis for Markov chain Monte Carlo
• Methods for inference in large multiple-equation Markov-switching models
• scientific article; zbMATH DE number 6794361 (Why is no real title available?)
• A gradual facilitate high-order multivariate Markov chains model with application to the changes of exchange rates in Egypt: new approach
• Estimating joint distributions of Markov chains

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