Estimation and inference in multivariate Markov chains

DOI10.1007/S00362-014-0630-6zbMATH Open1326.62177OpenAlexW2057466873MaRDI QIDQ894870FDOQ894870

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

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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)

Cites Work

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• A multivariate Markov chain model for categorical data sequences and its applications in demand predictions
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• Markov chains: models, algorithms and applications
• On a multivariate Markov chain model for credit risk measurement
• A flexible Markov chain approach for multivariate credit ratings
• Exponentially weighted moving average control charts for three-level products
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• An autoregressive model for multilag Markov chains
• Multivariate Markov chain modeling for stock markets
• Monte Carlo error estimation for multivariate Markov chains

Cited In (8)

• Title not available (Why is that?)
• On Evidential Markov Chains
• A gradual facilitate high-order multivariate Markov chains model with application to the changes of exchange rates in Egypt: new approach
• Higher-order multivariate Markov chains and their applications
• Multivariate output analysis for Markov chain Monte Carlo
• Methods for inference in large multiple-equation Markov-switching models
• Estimating joint distributions of Markov chains
• Title not available (Why is that?)

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