Fitting Sparse Markov Models to Categorical Time Series Using Regularization

no code implementations • 11 Feb 2022 • Tuhin Majumder, Soumendra Lahiri, Donald Martin

A more general approach is called Sparse Markov Model (SMM), where all possible histories of order $m$ form a partition so that the transition probability vectors are identical for the histories belonging to a particular group.

Model Selection Time Series +1