High-order Vector Markov Chain with Partial Connections in Data Analysis
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Published:2017-04-12
Issue:3-4
Volume:46
Page:37-45
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ISSN:1026-597X
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Container-title:Austrian Journal of Statistics
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language:
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Short-container-title:AJS
Author:
Kharin Yuriy,Maltsew Michail
Abstract
A new mathematical model for discrete time series is proposed: homogenous vector Markov chain of the order s with partial connections. Conditional probability distribution for this model is determined only by a few components of previous vector states. Probabilistic properties of the model are given: ergodicity conditions and conditions under which the stationary probability distribution is uniform. Consistent statistical estimators for model parameters are constructed.
Publisher
Austrian Statistical Society
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability