The double chain markov model

DOI10.1080/03610929908832439MaRDI QIDQ4935425zbMATH OpenOpenAlexFDO

Authors André Berchtold

Publication date 5 December 2001

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.142.7472

zbMATH Keywords

hidden processesiterative estimation algorithmsnon-homogeneous Markov chainsrandom environment

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• Finite-horizon dynamic optimisation when the terminal reward is a concave functional of the distribution of the final state
• scientific article; zbMATH DE number 3514781 (Why is no real title available?)
• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• scientific article; zbMATH DE number 965582 (Why is no real title available?)
• On Some Criteria for Estimating the Order of a Markov Chain
• Representation Theory for Denumerable Markov Chains
• The ergodic theory of Markov chains in random environments

Cited in

(13)

• General framework and model building in the class of hidden mixture transition distribution models
• Regression theory for categorical time series
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Hidden Markov models with binary dependence
• Non-homogeneous hidden Markov-switching models for wind time series
• Identification of a binary Markov chain of order s with r partial connections subjected to additive distortions
• High-order extensions of the Double Chain Markov Model
• Modeling the coupled return-spread high frequency dynamics of large tick assets
• Hidden Markov Models Training Using Population-based Metaheuristics
• Mining periodic patterns and cascading bursts phenomenon in individual e-mail communication
• Hidden Markov partition models
• Efficient backward decoding of high-order hidden Markov models
• Efficient Bayesian estimation of the multivariate double chain Markov model

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