Work

Markov-Modulated Linear Regression

Year: 2019

Type: preprint

Abstract: Classical linear regression is considered for a case when regression parameters depend on the external random environment. The last is described as a continuous time Markov chain with finite state space. Here the expected sojourn times in various states are additional regressors. Necessary formulas for an estimation of regression parameters have been derived. The numerical example illustrates the results obtained.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1901.09600

Authors: Andronov, Alexander M., Spiridovska, Nadezda

Language: English

Topic: Statistical and numerical algorithms

Subfield: Applied Mathematics

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

OpenAlex ID: W2913977440

Cites: 1

Cited by: 3

Related to: 10