A copula-based partition Markov procedure |
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Authors: | M Fernández Jesús E García |
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Institution: | 1. BM&2. FBOVESPA, Pra?a Ant?nio Prado, S?o Paulo (SP), Brazil;3. Department of Statistics, University of Campinas, Campinas, SP, Brazil |
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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. |
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Keywords: | Bayesian information criterion copula distribution function Markov chains the curse of dimensionality |
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