Bayesian analysis of variable-order, reversible Markov chains
Statistics Theory
2011-05-16 v1 Statistics Theory
Abstract
We define a conjugate prior for the reversible Markov chain of order . The prior arises from a partially exchangeable reinforced random walk, in the same way that the Beta distribution arises from the exchangeable Poly\'{a} 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.
Keywords
Cite
@article{arxiv.1105.2640,
title = {Bayesian analysis of variable-order, reversible Markov chains},
author = {Sergio Bacallado},
journal= {arXiv preprint arXiv:1105.2640},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.1214/10-AOS857 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)