Estimation and inference in multivariate Markov chains

DOI10.1007/S00362-014-0630-6zbMath1326.62177OpenAlexW2057466873MaRDI QIDQ894870

Flavio Ivo Riedlinger, João Nicolau

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

statistical inferencenonlinear least squaresmultivariate Markov chainspredictability of investment recommendations

Mathematics Subject Classification ID

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

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