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中国工业与应用数学学会会刊
主管：中华人民共和国教育部
主办：西安交通大学
ISSN 1005-3085  CN 61-1269/O1
工程数学学报

工程数学学报 ›› 2015, Vol. 32 ›› Issue (3): 462-474.doi: 10.3969/j.issn.1005-3085.2015.03.014

• • 上一篇    

新高阶多变量马尔可夫模型(英)

王  超1,   黄廷祝1,   程玮琪2   

  1. 1- 中国电子科技大学数学科学学院，成都 611731
    2- 香港大学数学系/高级建模与应用计算实验室，薄扶林道，香港
  • 收稿日期:2014-01-21 接受日期:2014-06-02 出版日期:2015-06-15 发布日期:2015-08-15

A New Higher-order Multivariate Markov Chain Model

WANG Chao1,   HUANG Ting-zhu1,   CHING Wai-ki2   

  1. 1- School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu 611731
    2- Advanced Modeling and Applied Computing Laboratory/Department of Mathematics, University of Hong Kong, Pokfulam Road, Hongkong
  • Received:2014-01-21 Accepted:2014-06-02 Online:2015-06-15 Published:2015-08-15

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摘要： 本文提出了一种新高阶多变量马尔可夫模型，并对其收敛性进行了分析．给出了模型的参数估计方法．数值实验表明在预测精度方面新高阶多变量马尔可夫模型比高阶多变量马尔可夫模型更加有效．

关键词: 高阶多变量马尔可夫模型, 分类数据序列, 多变量马尔可夫链

Abstract:

In this paper, a new higher-order multivariate Markov chain model is proposed. The convergence property of the model is also analyzed. Numerical experiments are given to show that the new higher-order multivariate Markov chain model is more efficient than the higher-order multivariate Markov chain model in precision of prediction.

Key words: higher-order multivariate Markov chain model, categorical data sequences, multivariate Markov chains

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