BAYESIAN ANALYSIS OF VARIABLE-ORDER, REVERSIBLE MARKOV CHAINS
成果类型：
Article
署名作者：
Bacallado, Sergio
署名单位：
Stanford University
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
DOI：
10.1214/10-AOS857
发表日期：
2011
页码：
838-864
关键词：
摘要：
We define a conjugate prior for the reversible Markov chain of order r. The prior arises from a partially exchangeable reinforced random walk, in the same way that the Beta distribution arises from the exchangeable Polya urn. An extension to variable-order Markov chains is also derived. We show the utility of this prior in testing the order and estimating the parameters of a reversible Markov model.