Modélisation autorégressive des chaînes de Markov : utilisation d'une matrice différente pour chaque retard

A. Berchtold

Revue de Statistique Appliquée (1996)

  • Volume: 44, Issue: 3, page 5-25
  • ISSN: 0035-175X

How to cite

top

Berchtold, A.. "Modélisation autorégressive des chaînes de Markov : utilisation d'une matrice différente pour chaque retard." Revue de Statistique Appliquée 44.3 (1996): 5-25. <http://eudml.org/doc/106400>.

@article{Berchtold1996,
author = {Berchtold, A.},
journal = {Revue de Statistique Appliquée},
language = {fre},
number = {3},
pages = {5-25},
publisher = {Société de Statistique de France},
title = {Modélisation autorégressive des chaînes de Markov : utilisation d'une matrice différente pour chaque retard},
url = {http://eudml.org/doc/106400},
volume = {44},
year = {1996},
}

TY - JOUR
AU - Berchtold, A.
TI - Modélisation autorégressive des chaînes de Markov : utilisation d'une matrice différente pour chaque retard
JO - Revue de Statistique Appliquée
PY - 1996
PB - Société de Statistique de France
VL - 44
IS - 3
SP - 5
EP - 25
LA - fre
UR - http://eudml.org/doc/106400
ER -

References

top
  1. Bellman, R. (1960) Introduction to Matrix Analysis. Ed. McGraw-Hill. Zbl0124.01001MR122820
  2. Berchtold, A. (1994) Modélisation autorégressive des chaînes de Markov d'ordre 1. Cahiers du Département d'Econométrie, Université de Genève. 
  3. Cox, D.R., Miller, H.R. (1965) The Theory of Stochastic Processes. Ed. Methuen & Co Limited. Zbl0149.12902MR192521
  4. Doob, J.L. (1990) Stochastic Processes. Ed. John Wiley & Sons. Zbl0696.60003MR1038526
  5. Feller, W. (3e édition) An Introduction to Probability Theory and its Applications, Vol. 1. Ed. John Wiley & Sons. Zbl0039.13201
  6. Gourieroux, C., Monfort, A. (1990) Séries temporelles et modèles dynamiques. Ed. Economica. 
  7. Grimmett, G.R., Stirzaker, D.R. (1992) Probability and Random Processes. Ed. Clarendon Press. Zbl0759.60002MR1199812
  8. Jacobs, P.A., Lewis, P.A.W. (1978) Discrete Time Series Generated by Mixtures I : Correlational and Runs Properties. Journal of the Royal Statistical SocietyB, Vol. 40, 94-105. Zbl0374.62087MR512147
  9. Jacobs, P.A., Lewis, P.A.W. (1978) Discrete Time Series Generated by Mixtures II : Asymptotic properties. Journal of the Royal Statistical SocietyB, Vol. 40, 222-228. Zbl0388.62086MR517443
  10. Jacobs, P.A., Lewis, P.A.W. (1978) Discrete Time Series Generated by Mixtures III : Autoregressive Processes. Naval Postgraduate School Technical Report NPS 55-78-022. 
  11. Jacobs, P.A., Lewis, P.A.W. (1983) Stationary Discrete Autoregressive-Moving Average Time Series Generated by Mixtures. Journal of Time Series Analysis, Vol. 4, 18-36. Zbl0526.62084MR711293
  12. Katz, R.W. (1981) On Some Criteria for Estimating the Order of a Markov Chain. Technometrics, Vol. 23, No 3, 243 -249. Zbl0485.62086MR629963
  13. Kemeny, J.G., Snell, J.L. (1976) Finite Markov Chains. Ed. Springer-Verlag. Zbl0328.60035MR410929
  14. Kendall, M., Stuart, A., Ord, J.K. (1983) The Advanced Theory of Statistics, Vol. 3. Ed. Charles Griffin & Company Limited. Zbl0498.62001MR687221
  15. Logan, J.A. (1981) A Structural Model of the Higher-Order Markov Process Incorporating Reversion Effects. The Journal of Mathematical Sociology, Vol. 8, 75-89. Zbl0472.92018
  16. Mehran, F. (1989) Analysis of Discrete Longitudinal Data : Infinite-Lag Markov Models. Statistical Data Analysis and Inference533-541. Ed. Dodge. MR1089661
  17. PC-Matlab (1987) User's Guide. Ed. MathWorks Inc. 
  18. Pegram, G.G.S. (1975) A Multinomial Model for Transitions Probability Matrices. Journal of Applied Probability, Vol. 12, 498- 506. Zbl0314.60044MR380995
  19. Pegram, G.G.S. (1980) An Autoregressive Model for Multilag Markov Chains. Journal of Applied Probability, Vol. 17, 350-362. Zbl0428.60082MR568946
  20. Raftery, A.E. (1985) A Model for High-Order Markov Chains. Journal of the Royal Statistical SocietyB, Vol. 47, No 3, 528-539. Zbl0593.62091MR844484
  21. Raftery, A.E., Tavaré, S. (1994) Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model. Applied Statistics, Vol. 43, No 1, 179- 199. Zbl0825.62667
  22. Seneta, E. (1973) Non-Negatives Matrices. Ed. George Allen & Unwin Ltd. Zbl0278.15011MR389944
  23. Stirzaker, D.R. (1994) Elementary Probability. Ed. Cambridge University Press. Zbl0784.60002MR1265494
  24. Tricot, C.Notes de statistique VI : Ergodicité. Université de Genève. 
  25. TSP (1988) Reference Manual, version 4.1. Ed. TSP International. 
  26. TSP (1988) User's Guide, version 4.1. Ed. TSP International. 

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.