We develop a new Bayesian modelling framework for the class of higher-order, variable-memory Markov chains, and introduce an associated collection of methodological tools for exact inference with discrete time series. We show that a version of the context tree weighting algorithm can compute the prior predictive likelihood exactly (averaged over both models and parameters), and two related algorithms are introduced, which identify the a posteriori most likely models and compute their exact posterior probabilities. All three algorithms are deterministic and have linear-time complexity. A family of variable-dimension Markov chain Monte Carlo samplers is also provided, facilitating further exploration of the posterior. The performance of the proposed methods in model selection, Markov order estimation and prediction is illustrated through simulation experiments and real-world applications with data from finance, genetics, neuroscience, and animal communication. The associated algorithms are implemented in the R package BCT.
翻译:我们为高阶、可变分子马可夫链类开发新的巴伊西亚建模框架,并推出一套相关的方法工具,用于对离散时间序列进行精确推断。我们显示,背景树加权算法的版本可以精确地计算先前预测概率(在模型和参数中均值),并采用两种相关的算法,确定后种最可能的模型,并计算其确切的后种概率。所有三种算法都是决定性的,具有线性时间复杂性。还提供了一组变式马可夫链马可夫取样器,便于进一步探索后种。拟议方法在模型选择、马尔科夫订单估计和预测方面的性能,通过模拟实验和现实世界应用金融、遗传学、神经科学和动物通信数据加以说明。相关的算法在R包 BCT中实施。