Search Results - subject:"higher-order Markov"

Dong, Yumo; Frees, Edward W.; Huang, Fei; Hui, Francis K. C. - In: ASTIN bulletin : the journal of the International … 52 (2022) 3, pp. 735-764

Persistent link: https://www.econbiz.de/10013426654

A failure process model with the exponential smoothing of intensity functions

Wu, Shaomin - In: European journal of operational research : EJOR 275 (2019) 2, pp. 502-513

Persistent link: https://www.econbiz.de/10011993495

Combining a regression model with a multivariate Markov chain in a forecasting problem

Damásio, Bruno; Nicolau, João - In: Statistics & Probability Letters 90 (2014) C, pp. 108-113

This paper proposes a new concept: the usage of Multivariate Markov Chains (MMC) as covariates. Our approach is based on the observation that we can treat possible categorical (or discrete) regressors, whose values are unknown in the forecast period, as an MMC in order to improve the forecast...

Persistent link: https://www.econbiz.de/10011039931

Parameter estimation of an asset price model driven by a weak hidden Markov chain

Xi, Xiaojing; Mamon, Rogemar - In: Economic Modelling 28 (2011) 1, pp. 36-46

. The log returns of assets are modulated by a weak or higher-order Markov chain with finite-state space. In particular, the …

Persistent link: https://www.econbiz.de/10010573392

Joint Distributions of Numbers of Success-runs Until the First Consecutive k Successes in a Higher-Order Two-State Markov Chain

Uchida, Masayuki - In: Annals of the Institute of Statistical Mathematics 50 (1998) 2, pp. 203-222

Persistent link: https://www.econbiz.de/10005395526

On Number of Occurrences of Success Runs of Specified Length in a Higher-Order Two-State Markov Chain

Uchida, Masayuki - In: Annals of the Institute of Statistical Mathematics 50 (1998) 3, pp. 587-601

Persistent link: https://www.econbiz.de/10005395620

On Generating Functions of Waiting Time Problems for Sequence Patterns of Discrete Random Variables

Uchida, Masayuki - In: Annals of the Institute of Statistical Mathematics 50 (1998) 4, pp. 655-671

Persistent link: https://www.econbiz.de/10005616345