Title :
Multivariate Markov chain models
Author :
Fung, Eric S. ; Ching, Wai Ki ; Chu, Sydney ; Ng, Michael K. ; Wenan Zang
Author_Institution :
Dept. of Math., Hong Kong Univ., China
Abstract :
We study multivariate Markov chain models for approximating a conventional Markov chain model with a huge number of states. We propose an efficient estimation method for the parameters in the proposed model. Numerical examples are given to illustrate the usefulness of the proposed model.
Keywords :
Markov processes; data analysis; parameter estimation; probability; data analysis; multivariate Markov chain models; multivariate data; numerical examples; parameter estimation; probability; Data analysis; Eigenvalues and eigenfunctions; Electronic mail; Markov processes; Mathematical model; Mathematics; State-space methods; Stochastic processes; Testing; Time series analysis;
Conference_Titel :
Systems, Man and Cybernetics, 2002 IEEE International Conference on
Print_ISBN :
0-7803-7437-1
DOI :
10.1109/ICSMC.2002.1176055
