Statistical analysis of high-order Markov dependencies

Yu. S. Kharin, M. V. Maltsew

Abstract


The paper deals with parsimonious models of integer valued time series. Such models are special cases of high-order Markov chain with a small number of parameters. Two new parsimonious models are presented. The first is Markov chain of order s with r partial connections, and the second model is called Markov chain of conditional order. Theoretical results on probabilistic properties and statistical inferences for these models are given.

Keywords


high-order Markov chain; parsimonious model; estimator; statistical test

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DOI: http://dx.doi.org/10.12697/ACUTM.2017.21.06

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