Corpus ID: 88517596

Markov Chain Order Estimation and Relative Entropy

@inproceedings{Baigorri2009MarkovCO,
  title={Markov Chain Order Estimation and Relative Entropy},
  author={Angel Rodolfo Baigorri and C{\'a}tia Regina Gonçalves and Paulo Angelo Alves Resende},
  year={2009}
}
We use the $f-divergence$ also called relative entropy as a measure of diversity between probability densities and review its basic properties. In the sequence we define a few objects which capture relevant information from the sample of a Markov Chain to be used in the definition of a couple of estimators i.e. the Local Dependency Level and Global Dependency Level for a Markov chain sample. After exploring their properties we propose a new estimator for the Markov chain order. Finally we show… CONTINUE READING

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