English, Article, Journal or magazine article edition: General Autoregressive Modelling of Markov Chains Berchtold, A

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Bookmark: http://trove.nla.gov.au/version/142396
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • General Autoregressive Modelling of Markov Chains
Author
  • Berchtold, A
Physical Description
  • preprint
Notes
  • The reduction of the number of parameters in high-order Markov chain already inspired several articles. In particular, Raftery proposed an autoregressive modelling which utilizes the same transition matrix, with a coefficient, 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. A numerical illustration confirms the theoretical results.
  • Markov chain, General Transition Matrices (S-Matrices), General Autoregressive Modelling (GAM), Limit theorem, Quality of modelling.
  • RePEc:wop:tmeswp:9505
Language
  • English
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