- About this Journal ·
- Abstracting and Indexing ·
- Aims and Scope ·
- Annual Issues ·
- Article Processing Charges ·
- Articles in Press ·
- Author Guidelines ·
- Bibliographic Information ·
- Citations to this Journal ·
- Contact Information ·
- Editorial Board ·
- Editorial Workflow ·
- Free eTOC Alerts ·
- Publication Ethics ·
- Reviewers Acknowledgment ·
- Submit a Manuscript ·
- Subscription Information ·
- Table of Contents
Journal of Applied Mathematics
Volume 2013 (2013), Article ID 902972, 10 pages
A New Improved Parsimonious Multivariate Markov Chain Model
School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, Sichuan 611731, China
Received 12 November 2012; Revised 17 December 2012; Accepted 2 January 2013
Academic Editor: Marco H. Terra
Copyright © 2013 Chao Wang and Ting-Zhu Huang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
- W.-K. Ching and M. K. Ng, Markov Chains: Models, Algorithms and Applications, International Series on Operations Research and Management Science, Springer, New York, NY, USA, 2006.
- W.-K. Ching, E. S. Fung, and M. K. Ng, “A multivariate Markov chain model for categorical data sequences and its applications in demand predictions,” IMA Journal of Management Mathematics, vol. 13, no. 3, pp. 187–199, 2002.
- W. K. Ching, E. S. Fung, and M. K. Ng, “Higher-order Markov chain models for categorical data sequences,” Naval Research Logistics, vol. 51, no. 4, pp. 557–574, 2004.
- W. K. Ching, M. M. Ng, E. S. Fung, and T. Akutsu, “On construction of stochastic genetic networks based on gene expression sequences,” International Journal of Neural Systems, vol. 15, no. 4, pp. 297–310, 2005.
- W. Ching, T. Siu, and L. Li, “An improved parsimonious multivariate Markov chain model for credit risk,” Journal of Credit Risk, vol. 5, pp. 1–25, 2009.
- D. W. C. Miao and B. M. Hambly, “Recursive formulas for the default probability distribution of a heterogeneous group of defauleable entities,” 2012.
- W.-K. Ching, M. K. Ng, and E. S. Fung, “Higher-order multivariate Markov chains and their applications,” Linear Algebra and Its Applications, vol. 428, no. 2-3, pp. 492–507, 2008.
- C. Wang, T. Z. Huang, and C. Wen, “A simplified higher-order multivariate Markov chains model,” submitted.
- C. Wang and T. Z. Huang, “Improved multivariate Markov chain model with the new convergence condition,” submitted.
- T.-K. Siu, W.-K. Ching, E. S. Fung, and M. K. Ng, “On a multivariate Markov chain model for credit risk measurement,” Quantitative Finance, vol. 5, no. 6, pp. 543–556, 2005.
- R. A. Horn and C. R. Johnson, Matrix Analysis, Cambridge University Press, Cambridge, UK, 1985.
- Z.-Y. You and C.-L. Wang, “A concept of nonlinear block diagonal dominance,” Journal of Computational and Applied Mathematics, vol. 83, no. 1, pp. 1–10, 1997.
- C. Wang, T. Z. Huang, and W. K. Ching, “On simplified parsimonious models for higher-order multivariate Markov chains,” submitted.