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Published in:
1995 | OriginalPaper | Chapter
Autoregressive Modelling of Markov Chains
Author : André Berchtold
Published in: Statistical Modelling
Publisher: Springer New York
Included in: Professional Book Archive
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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.