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Combining a regression model with a multivariate Markov chain in a forecasting problem
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Autores
Orientador(es)
Resumo(s)
This paper proposes a new concept: the usage of Multivariate Markov Chains (MMC) as covariates. Our approach is based on the observation that we can treat possible categorical (or discrete) regressors, whose values are unknown in the forecast period, as an MMC in order to improve the forecast error of a certain dependent variable. Hence, we take advantage of the information about the past state interactions between the MMC categories to forecast the categorical (or discrete) regressors and improve the forecast of the actual dependent variable.
Descrição
Palavras-chave
Multivariate Markov Chain Higher-order Markov Chain Markov Chain Forecasting
Contexto Educativo
Citação
Damásio, Bruno and João Nicolau .(2014). “Combining a regression model with a multivariate Markov chain in a forecasting problem”. Statistics & Probability Letters, Volume 90: pp. 108-113
Editora
Elsevier B.V.