A new improved parsimonious multivariate Markov chain model. (English) Zbl 1277.60120

Wang, Chao; Huang, Ting-Zhu

J. Appl. Math. 2013, Article ID 902972, 10 p. (2013).

Summary: We present a new improved parsimonious multivariate Markov chain model. Moreover, we find a new convergence condition with a new variability to improve the prediction accuracy and minimize the scale of the convergence condition. Numerical experiments illustrate that the new improved parsimonious multivariate Markov chain model with the new convergence condition of the new variability performs better than the improved parsimonious multivariate Markov chain model in prediction.

MSC:

60J10

Markov chains (discrete-time Markov processes on discrete state spaces)

Keywords:

parsimonious multivariate Markov chain model; prediction accuracy

References:

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