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

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题名:	A Bayesian method in determining the order of a finite state Markov chain
作者:	Fan,TH;Tsai,CB
贡献者:	統計研究所
关键词:	MODEL
日期:	1999
上传时间:	2010-06-29 19:33:31 (UTC+8)
出版者:	中央大學
摘要:	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.
關聯:	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
显示于类别:	[統計研究所] 期刊論文

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