High-order extensions of the Double Chain Markov Model

DOI10.1081/STM-120004464zbMath1006.60071MaRDI QIDQ3147435

André Berchtold

Publication date: 12 November 2002

Published in: Stochastic Models (Search for Journal in Brave)

zbMATH Keywords

Viterbi algorithmforward-backward algorithmdouble chain Markov modelBaum-Welch algorithmmixture transition distribution model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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Cites Work

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• Estimation in the Mixture Transition Distribution Model
• The ergodic theory of Markov chains in random environments
• On Some Criteria for Estimating the Order of a Markov Chain
• Finite-horizon dynamic optimisation when the terminal reward is a concave functional of the distribution of the final state
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• The double chain markov model

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