Zheng, Xiaotian; Kottas, Athanasios; Sansó, Bruno On construction and estimation of stationary mixture transition distribution models. (English) Zbl 07546476 J. Comput. Graph. Stat. 31, No. 1, 283-293 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Tank, Alex; Li, Xiudi; Fox, Emily B.; Shojaie, Ali The convex mixture distribution: Granger causality for categorical time series. (English) Zbl 1468.62310 SIAM J. Math. Data Sci. 3, No. 1, 83-112 (2021). MSC: 62H30 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Riedlinger, Flavio Ivo; Nicolau, João The profitability in the FTSE 100 index: a new Markov chain approach. (English) Zbl 1437.91420 Asia-Pac. Financ. Mark. 27, No. 1, 61-81 (2020). MSC: 91G15 60J20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, Jean-Philippe; Lillo, Fabrizio; Tóth, Bence Linear models for the impact of order flow on prices. II: The mixture transition distribution model. (English) Zbl 1400.91565 Quant. Finance 18, No. 6, 917-931 (2018). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Nicolau, João A new model for multivariate Markov chains. (English) Zbl 1305.60061 Scand. J. Stat. 41, No. 4, 1124-1135 (2014). MSC: 60J10 62H12 × Cite Format Result Cite Review PDF Full Text: DOI Link
Vassiliou, P.-C. G.; Moysiadis, T. P. \(\mathcal{G}\)-inhomogeneous Markov systems of high order. (English) Zbl 1195.60101 Methodol. Comput. Appl. Probab. 12, No. 2, 271-292 (2010). Reviewer: Gabriel V. Orman (Braşov) MSC: 60J10 × Cite Format Result Cite Review PDF Full Text: DOI
Luo, Ji; Qiu, Hongbing Parameter estimation of the WMTD model. (English) Zbl 1211.62054 Appl. Math., Ser. B (Engl. Ed.) 24, No. 4, 379-388 (2009). MSC: 62F40 62F25 62M05 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, D. G.; Lio, Y. L. A novel estimation approach for mixture transition distribution model in high-order Markov chains. (English) Zbl 1163.65005 Commun. Stat., Simulation Comput. 38, No. 5, 990-1003 (2009). MSC: 65C40 60J10 60J22 62M05 65K05 90C15 90C53 × Cite Format Result Cite Review PDF Full Text: DOI
Lèbre, Sophie; Bourguignon, Pierre-Yves An EM algorithm for estimation in the mixture transition distribution model. (English) Zbl 1145.62064 J. Stat. Comput. Simulation 78, No. 8, 713-729 (2008). MSC: 62M05 65C60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Prinzie, Anita; Van den Poel, Dirk Investigating purchasing-sequence patterns for financial services using Markov, MTD and MTDG models. (English) Zbl 1091.90527 Eur. J. Oper. Res. 170, No. 3, 710-734 (2006). MSC: 90B60 90B50 × Cite Format Result Cite Review PDF Full Text: DOI
Berchtold, André Mixture transition distribution (MTD) modeling of heteroscedastic time series. (English) Zbl 1256.62048 Comput. Stat. Data Anal. 41, No. 3, 399-411 (2003). MSC: 62M10 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Fokianos, Konstantinos; Kedem, Benjamin Regression theory for categorical time series. (English) Zbl 1055.62095 Stat. Sci. 18, No. 3, 357-376 (2003). MSC: 62M10 62F12 62J12 × Cite Format Result Cite Review PDF Full Text: DOI
Berchtold, André; Raftery, Adrian E. The mixture transition distribution model for high-order Markov chains and non-Gaussian time series. (English) Zbl 1013.62088 Stat. Sci. 17, No. 3, 328-356 (2002). MSC: 62M10 62M30 × Cite Format Result Cite Review PDF Full Text: DOI
Berchtold, André High-order extensions of the double chain Markov model. (English) Zbl 1006.60071 Stoch. Models 18, No. 2, 193-227 (2002). Reviewer: Jiří Anděl (Praha) MSC: 60J20 62M10 × Cite Format Result Cite Review PDF Full Text: DOI