Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown
Markov chains models are used in several applications and different areas of study. Usually a Markov chain model is assumed to be homogeneous in the sense that the transition probabilities are time invariant. Yet, ignoring the inhomogeneous nature of a stochastic process by disregarding the presence...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2020
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| Texto completo: | http://hdl.handle.net/10400.5/20164 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/20164 |