High-order Vector Markov Chain with Partial Connections in Data Analysis
DOI:
https://doi.org/10.17713/ajs.v46i3-4.669Abstract
A new mathematical model for discrete time series is proposed: homogenous vector Markov chain of the order s with partial connections. Conditional probability distributionfor this model is determined only by a few components of previous vector states. Probabilistic properties of the model are given: ergodicity conditions and conditions
under which the stationary probability distribution is uniform. Consistent statistical estimators for model parameters are constructed.
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