A Bayesian method in determining the order of a finite state Markov chain

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/27783

Title:	A Bayesian method in determining the order of a finite state Markov chain
Authors:	Fan,TH;Tsai,CB
Contributors:	統計研究所
Keywords:	MODEL
Date:	1999
Issue Date:	2010-06-29 19:33:31 (UTC+8)
Publisher:	中央大學
Abstract:	In this paper, we use the Bayesian method in the application of hypothesis testing and model selection to determine the order of a Markov chain. The criteria used are based on Bayes factors with noninformative priors. Comparisons with the commonly used AIC and BIC criteria are made through an example and computer simulations. The results show that the proposed method is better than the AIC and BIC criteria, especially for Markov chains with higher orders and larger state spaces.
Relation:	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
Appears in Collections:	[Graduate Institute of Statistics] journal & Dissertation

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