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https://elib.bsu.by/handle/123456789/340001| Title: | On a new parsimonious model for high-order Markov chains based on sufficient statistics |
| Authors: | Voloshko, V. A. Kharin, Yu. S. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Математика |
| Issue Date: | 2025 |
| Publisher: | Minsk : BSU |
| Citation: | Computer Data Analysis and Modeling: Stochastics and Data Science : Proc. of the XIV Intern. Conf., Minsk, Sept. 24–27, 2025 / Belarusian State Univ. ; eds.: Yu. Kharin (ed.-in-chief) [et al.]. – Minsk : BSU, 2025. – Pp. 272-276. |
| Abstract: | We construct a new parsimonious model MCSS(s) (Markov Chain of order s based on Sufficient Statistics) for discrete-valued time series. This MCSS(s) model has sufficient statistics of a simple form and strongly concave loglikelihood function under mild regularity conditions, which provides the uniqueness of the maximum likelihood estimator and its good computational properties |
| URI: | https://elib.bsu.by/handle/123456789/340001 |
| ISBN: | 978-985-881-830-2 |
| Sponsorship: | The research is partially supported by the National Science Foundation, Grant No. F23Uzb-080. |
| Licence: | info:eu-repo/semantics/restrictedAccess |
| Appears in Collections: | 2025. Computer Data Analysis and Modeling: Stochastics and Data Science |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 272-276.pdf | 375,1 kB | Adobe PDF | View/Open |
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