High-order Vector Markov Chain with Partial Connections in Data Analysis

Yuriy Kharin, Michail Maltsew


A new mathematical model for discrete time series is proposed: homogenous vector Markov chain of the order s with partial connections. Conditional probability distribution
for 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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DOI: http://dx.doi.org/10.17713/ajs.v46i3-4.669


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