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Zbl 1144.65006
Ching, Wai-Ki; Ng, Michael K.; Fung, Eric S.
Higher-order multivariate Markov chains and their applications. (English)
[J] Linear Algebra Appl. 428, No. 2-3, 492-507 (2008). ISSN 0024-3795

High order multivariate Markov chains are frequently used in modelling, especially for the catagorical data sequences. To reduce the number of the estimated parameters, in some stationary cases, the authors provide a conditional minimum-maximum algorithm associated with the frequency estimation to identify the modelling parameters to meet the practical use. An application to sales demand prediction is discussed.
[Gong Guanglu (Beijing)]

MSC 2000:: *65C40 Computational Markov chains
60J22 Computational methods in Markov chains

Keywords: Perron-Frobenius theorem; multivariate Markov chains; categorical data sequences; conditional minimum-maximum; sales demand prediction

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