Combining a regression model with a multivariate Markov chain in a forecasting problem

DOI10.1016/J.SPL.2014.03.026zbMath1288.62138OpenAlexW2015087672MaRDI QIDQ2453931

João Nicolau, Bruno Damásio

Publication date: 11 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.03.026

zbMATH Keywords

higher-order Markov chains

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (1)

A gradual facilitate high-order multivariate Markov chains model with application to the changes of exchange rates in Egypt: new approach

Cites Work

• Unnamed Item
• Exogeneity
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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