The Double Chain Markov Model
نویسنده
چکیده
Among the class of discrete time Markovian processes, two models are widely used, the Markov chain and the Hidden Markov Model. A major di erence between these two models lies in the relation between successive outputs of the observed variable. In a visible Markov chain, these are directly correlated while in hidden models they are not. However, in some situations it is possible to observe both a hidden Markov chain and a direct relation between successive observed outputs. Unfortunately, the use of either a visible or a hidden model implies the suppression of one of these hypothesis. This paper presents a Markovian model called the Double Chain Markov Model which takes into account the main features of both visible and hidden models. Its main purpose is the modeling of non-homogeneous time-series. It is very exible and can be estimated with traditional methods. The model is applied on a sequence of wind speeds and it appears to model data more successfully than both the usual Markov chains and hidden Markov models.
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