A New Model for Multivariate Markov Chains

João Nicolau

Scandinavian Journal of Statistics, 2014, vol. 41, issue 4, 1124-1135

Abstract: type="main" xml:id="sjos12087-abs-0001"> We propose a new model for multivariate Markov chains of order one or higher on the basis of the mixture transition distribution (MTD) model. We call it the MTD-Probit. The proposed model presents two attractive features: it is completely free of constraints, thereby facilitating the estimation procedure, and it is more precise at estimating the transition probabilities of a multivariate or higher-order Markov chain than the standard MTD model.

Date: 2014
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