English

Markov Chain Order Estimation and Relative Entropy

Statistics Theory 2012-06-20 v5 Methodology Statistics Theory

Abstract

We use the fdivergencef-divergence also called relative entropy as a measure of diversity between probability densities and review its basic properties. In the sequence we define a few objects which capture relevant information from the sample of a Markov Chain to be used in the definition of a couple of estimators i.e. the Local Dependency Level and Global Dependency Level for a Markov chain sample. After exploring their properties we propose a new estimator for the Markov chain order. Finally we show a few tables containing numerical simulation results, comparing the performance of the new estimator with the well known and already established AIC and BIC estimators.

Keywords

Cite

@article{arxiv.0910.0264,
  title  = {Markov Chain Order Estimation and Relative Entropy},
  author = {A. R. Baigorri and C. R. Goncalves and P. A. A. Resende},
  journal= {arXiv preprint arXiv:0910.0264},
  year   = {2012}
}

Comments

Revised for better and shorter proof, new numerical simulations as well as improved references

R2 v1 2026-06-21T13:53:09.909Z