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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Bibliographic Details
Main Author: Damásio, Bruno (author)
Other Authors: Nicolau, João (author)
Format: workingPaper
Language:eng
Published: 2020
Subjects:
Online Access:http://hdl.handle.net/10400.5/20164
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/20164