Confidence Intervals for the Mixture Transition Distribution (MTD) Model and Other Markovian Models

André Berchtold
2020 Symmetry  
The Mixture Transition Distribution (MTD) model used for the approximation of high-order Markov chains does not allow a simple calculation of confidence intervals, and computationnally intensive methods based on bootstrap are generally used. We show here how standard methods can be extended to the MTD model as well as other models such as the Hidden Markov Model. Starting from existing methods used for multinomial distributions, we describe how the quantities required for their application can
more » ... ir application can be obtained directly from the data or from one run of the E-step of an EM algorithm. Simulation results indicate that when the MTD model is estimated reliably, the resulting confidence intervals are comparable to those obtained from more demanding methods.
doi:10.3390/sym12030351 fatcat:ntiipwkmbvgobfxbloxiqzjdim