A copula-based partition Markov procedure

M. Fernández, Jesús E. García and V. A. González-López

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 14, 3408-3417

Abstract: The number of parameters needed to specify a discrete multivariate Markov chain grows exponentially with the order and dimension of the chain, and when the size of the database is not large enough, it is not possibly a consistent estimation. In this paper, we introduce a strategy to estimate a multivariate process with an order greater than the order achieved using standard procedures. The new strategy consists in obtaining a partition of the state space which is constructed from a combination of the partitions corresponding to the marginal processes and the partitions corresponding to the multivariate Markov chain.

Date: 2018
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DOI: 10.1080/03610926.2017.1359291

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