Multivariate Markov chain models
Elizabeth-Sharon Fung, Wai‐Ki Ching, S. Chu, M. L. NG, Wenan Zang · 2003
We study multivariate Markov chain models for approximating a conventional Markov chain model with a huge number of states. We propose an efficient estimation method for the parameters in the proposed model. Numerical examples are given to illustrate the usefulness of the proposed model.