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Communications in Statistics - Simulation and Computation Volume 38, 2009 - Issue 5
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Original Articles

A Novel Estimation Approach for Mixture Transition Distribution Model in High-Order Markov Chains

D. G. Chen Department of Mathematics and Statistics, Agricultural Experiment Station, South Dakota State University, Brookings, South Dakota, USA; Department of Surgery, Sanford School of Medicine, University of South Dakota, Sioux Falls, South Dakota, USA
&
Y. L. Lio Department of Mathematical Sciences, University of South Dakota, Vermillion, South Dakota, USACorrespondence[email protected]
Pages 990-1003 | Received 20 Aug 2008, Accepted 23 Dec 2008, Published online: 25 Feb 2009

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Bruno Damásio & Sandro Mendonça. (2023) Leader-follower dynamics in real historical time: a Markovian test of non-linear causality between sail and steam (co-)development. Applied Economics 55:17, pages 1908-1918.
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Bruno Damásio & Sandro Mendonça. (2019) Modelling insurgent-incumbent dynamics: Vector autoregressions, multivariate Markov chains, and the nature of technological competition. Applied Economics Letters 26:10, pages 843-849.
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Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo & Bence Tóth. (2018) Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model. Quantitative Finance 18:6, pages 917-931.
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Articles from other publishers (3)

Flavio Ivo Riedlinger & João Nicolau. (2019) The Profitability in the FTSE 100 Index: A New Markov Chain Approach. Asia-Pacific Financial Markets 27:1, pages 61-81.
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João Nicolau. (2014) A New Model for Multivariate Markov Chains. Scandinavian Journal of Statistics 41:4, pages 1124-1135.
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Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo & Bence Toth. (2016) Linear Models for the Impact of Order Flow on Prices II. The Mixture Transition Distribution Model. SSRN Electronic Journal.
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