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Application of Markov Chains to Analyze and Predict the Time Series

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  • Tie Liu

Abstract

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.

Suggested Citation

  • Tie Liu, 2010. "Application of Markov Chains to Analyze and Predict the Time Series," Modern Applied Science, Canadian Center of Science and Education, vol. 4(5), pages 162-162, May.
    • Handle: RePEc:ibn:masjnl:v:4:y:2010:i:5:p:162
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    References listed on IDEAS

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    1. Wai Ki Ching & Eric S. Fung & Michael K. Ng, 2004. "Higher‐order Markov chain models for categorical data sequences," Naval Research Logistics (NRL), John Wiley & Sons, vol. 51(4), pages 557-574, June.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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