J un 2 00 5 Two new Markov order estimators
نویسنده
چکیده
We present two new methods for estimating the order (memory depth) of a finite alphabet Markov chain from observation of a sample path. One method is based on entropy estimation via recurrence times of patterns, and the other relies on a comparison of empirical conditional probabilities. The key to both methods is a qualitative change that occurs when a parameter (a candidate for the order) passes the true order. We also present extensions to order estimation for Markov random fields. AMS 2000 subject classification: Primary 62F12, 62M05; Secondary 62M09, 62M40, 60J10
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تاریخ انتشار 2005