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1995 | OriginalPaper | Buchkapitel

Autoregressive Modelling of Markov Chains

verfasst von : André Berchtold

Erschienen in: Statistical Modelling

Verlag: Springer New York

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The reduction of the number of parameters in high-order Markov chain already inspired several articles. In particular, Raftery (1985) proposed an autoregressive modelling which utilizes a same transition matrix for every lag. In this paper, we show that a model of the same type, but utilizing different matrices, gives best results and is not harder to estimate, even when the number of data is small.

Metadaten
Titel
Autoregressive Modelling of Markov Chains
verfasst von
André Berchtold
Copyright-Jahr
1995
Verlag
Springer New York
DOI
https://doi.org/10.1007/978-1-4612-0789-4_3