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April 2011 Bayesian analysis of variable-order, reversible Markov chains
Sergio Bacallado
Ann. Statist. 39(2): 838-864 (April 2011). DOI: 10.1214/10-AOS857

Abstract

We define a conjugate prior for the reversible Markov chain of order r. The prior arises from a partially exchangeable reinforced random walk, in the same way that the Beta distribution arises from the exchangeable Polyá 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.

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Sergio Bacallado. "Bayesian analysis of variable-order, reversible Markov chains." Ann. Statist. 39 (2) 838 - 864, April 2011. https://doi.org/10.1214/10-AOS857

Information

Published: April 2011
First available in Project Euclid: 9 March 2011

zbMATH: 1215.62083
MathSciNet: MR2816340
Digital Object Identifier: 10.1214/10-AOS857

Subjects:
Primary: 62M02
Secondary: 62C10

Keywords: Bayesian analysis , conjugate priors , reinforced random walks , reversibility , variable-order Markov chains

Rights: Copyright © 2011 Institute of Mathematical Statistics

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Vol.39 • No. 2 • April 2011
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