Nicolau, João2023-03-302023-03-302014Nicolau, João .(2014). “A new model for multivariate Markov chains”. Scandinavian Journal of Statistics, Vol. 41: pp. 1124 –1135. (Search PDF in 2023).http://hdl.handle.net/10400.5/27557We 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.engHigh-order Markov ChainsMaximum Likelihood MethodMixture Transition DistributionMultivariate Markov Chainsjournal article10.1111/sjos.12087