Open AccessApplication of Markov Chains to Analyze and Predict the Time Series
Author(s) -
Shipeng Li
Publication year - 2010
Publication title -
modern applied science
Language(s) - English
Resource type - Journals
eISSN - 1913-1852
pISSN - 1913-1844
DOI - 10.5539/mas.v4n5p162
Subject(s) - markov chain , series (stratigraphy) , variable order markov model , markov model , markov chain mixing time , computer science , markov property , markov renewal process , balance equation , examples of markov chains , markov process , mathematical optimization , mathematics , algorithm , statistics , machine learning , paleontology , biology
Markov chains are usually used in modeling many practical problems. They are also effective in modeling time series. In this paper, we apply the Markov chains model to analyze and predict the time series. Some series can be expressed by a first-order discrete-time Markov chain and others must be expressed by a higher-order Markov chain model. Numerical examples are given. The results show that the performance and effectiveness of the Markov chain model to predict the time series is very well.