First order autoregressive markov processes

First-Order Markov Decision Processes

Markov Decision Processes (MDPs) [7] have developed lately as a standard method for representing uncertainty in decision-theoretic planning. Traditional MDP solution techniques have the drawback that they require an explicit state space, limiting their applicability to real-world problems due to the large number of world states occurring in such problems. Recent work addresses this drawback via...

Autoregressive Gaussian Random Vectors of First Order

ON THE INFINITE ORDER MARKOV PROCESSES

The notion of infinite order Markov process is introduced and the Markov property of the flow of information is established.

Predicting Markov-Switching Vector Autoregressive Processes

Abstract While there has been a great deal of interest in the modelling of non-linearities and regime shifts in economic time series, there is no clear consensus regarding the forecasting abilities of these models. In this paper we develop a general approach to predict multiple time series subject to Markovian shifts in the regime. The feasibility of the proposed forecasting techniques in empir...

on the infinite order markov processes

the notion of infinite order markov process is introduced and the markov property of the flow of information is established.