Bayesian analysis of variable-order, reversible Markov chains
The Annals of Statistics · 2011 · Volume 39 · Issue 2
Abstract
We define a conjugate prior for the reversible Markov chain of order r. The prior arises from a partially exchangeable reinforced random walk, in the same way that the Beta distribution arises from the exchangeable Polyá urn. An extension to variable-order Markov chains is also derived. We show the utility of this prior in testing the order and estimating the parameters of a reversible Markov model.
Keywords
62C10, 62M02, Bayesian analysis, conjugate priors, reinforced random walks, reversibility, variable-order Markov chains
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