Markov-modulated multivariate linear regression | Zendy

Alexander Andronov | Zendy

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Markov-modulated multivariate linear regression

Author(s) -

Alexander Andronov

Publication year - 2017

Publication title -

acta et commentationes universitatis tartuensis de mathematica

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.276

H-Index - 6

eISSN - 2228-4699

pISSN - 1406-2283

DOI - 10.12697/acutm.2017.21.03

Subject(s) - bayesian multivariate linear regression , markov chain , multivariate statistics , proper linear model , linear regression , mathematics , statistics , regression analysis , variable order markov model , general linear model , principal component regression , markov model , econometrics

The article concerns parameter estimation for the Markov-modulated multivariate linear regression model. It is supposed that the parameters of the linear regression are dependent from states of a random environment. The last is described as a continuous-time homogeneous irreducible Markov chain with known parameters. The procedure of estimating the regression parameters is established.

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