2 papers
math.PR2021
Continuous-Time Higher Order Markov Chains: Formulation and Parameter Estimation
Suryadeepto Nag
Stochastic processes find applications in modelling systems in a variety of disciplines. A large number of stochastic models considered are Markovian in nature. It is often observe…
q-fin.TR2020
Modeling the commodity prices of base metals in Indian commodity market using a Higher Order Markovian Approach
Suryadeepto Nag, Sankarshan Basu, Siddhartha P. Chakrabarty
A Higher Order Markovian (HOM) model to capture the dynamics of commodity prices is proposed as an alternative to a Markovian model. In particular, the order of the former model, i…