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Publicação
A new model for multivariate Markov chains
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Autores
Orientador(es)
Resumo(s)
We propose a new model for multivariate Markov chains of order one or higher on the basis of the mixture transition distribution (MTD) model. We call it the MTD-Probit. The proposed model presents two attractive features: it is completely free of constraints, thereby facilitating the estimation procedure, and it is more precise at estimating the transition probabilities of a multivariate or higher-order Markov chain than the standard MTD model.
Descrição
Palavras-chave
High-order Markov Chains Maximum Likelihood Method Mixture Transition Distribution Multivariate Markov Chains
Contexto Educativo
Citação
Nicolau, João .(2014). “A new model for multivariate Markov chains”. Scandinavian Journal of Statistics, Vol. 41: pp. 1124 –1135. (Search PDF in 2023).
Editora
John Wiley & Sons Ltd.