Markov-modulated multivariate linear regression

Alexander Andronov

Abstract


The article concerns parameter estimation for the Markov-modulated multivariate linear regression model. It is supposed that the parameters of the linear regression are dependent from states of a random environment. The last is described as a continuous-time homogeneous irreducible Markov chain with known parameters. The procedure of estimating the regression parameters is established.

Keywords


Continuous-time Markov chain; multivariate linear regression; point estimation

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DOI: http://dx.doi.org/10.12697/ACUTM.2017.21.03

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ISSN 1406–2283 (print)
ISSN 2228–4699 (online)