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Discrete random processes with memory: models and applications. (English) Zbl 07217110

Summary: The contribution focuses on Bernoulli-like random walks, where the past events significantly affect the walk’s future development. The main concern of the paper is therefore the formulation of models describing the dependence of transition probabilities on the process history. Such an impact can be incorporated explicitly and transition probabilities modulated using a few parameters reflecting the current state of the walk as well as the information about the past path. The behavior of proposed random walks, as well as the task of their parameter estimation, are studied both theoretically and with the aid of simulations.

MSC:

60G50 Sums of independent random variables; random walks
62F10 Point estimation
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