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2010•Modern Applied ScienceOpen access

Application of Markov Chains to Analyze and Predict the Time Series

Tie Liu

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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.

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What this paper is about

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.

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Available 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.

Key concepts: Markov chain, Series (stratigraphy), Variable-order Markov model, Markov model, Markov chain mixing time, Computer science, Markov property, Markov renewal process

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