A new model for multivariate Markov chains

Detalhes bibliográficos
Autor(a) principal: Nicolau, João
Data de Publicação: 2014
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27557
Resumo: 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.
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spelling A new model for multivariate Markov chainsHigh-order Markov ChainsMaximum Likelihood MethodMixture Transition DistributionMultivariate Markov ChainsWe 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.John Wiley & Sons Ltd.Repositório da Universidade de LisboaNicolau, João2023-03-30T15:27:22Z20142014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27557engNicolau, João .(2014). “A new model for multivariate Markov chains”. Scandinavian Journal of Statistics, Vol. 41: pp. 1124 –1135. (Search PDF in 2023).10.1111/sjos.12087info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-02T01:35:32Zoai:www.repository.utl.pt:10400.5/27557Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:48:24.361929Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A new model for multivariate Markov chains
title A new model for multivariate Markov chains
spellingShingle A new model for multivariate Markov chains
Nicolau, João
High-order Markov Chains
Maximum Likelihood Method
Mixture Transition Distribution
Multivariate Markov Chains
title_short A new model for multivariate Markov chains
title_full A new model for multivariate Markov chains
title_fullStr A new model for multivariate Markov chains
title_full_unstemmed A new model for multivariate Markov chains
title_sort A new model for multivariate Markov chains
author Nicolau, João
author_facet Nicolau, João
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Nicolau, João
dc.subject.por.fl_str_mv High-order Markov Chains
Maximum Likelihood Method
Mixture Transition Distribution
Multivariate Markov Chains
topic High-order Markov Chains
Maximum Likelihood Method
Mixture Transition Distribution
Multivariate Markov Chains
description 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.
publishDate 2014
dc.date.none.fl_str_mv 2014
2014-01-01T00:00:00Z
2023-03-30T15:27:22Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27557
url http://hdl.handle.net/10400.5/27557
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nicolau, João .(2014). “A new model for multivariate Markov chains”. Scandinavian Journal of Statistics, Vol. 41: pp. 1124 –1135. (Search PDF in 2023).
10.1111/sjos.12087
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv John Wiley & Sons Ltd.
publisher.none.fl_str_mv John Wiley & Sons Ltd.
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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