Inferring Markov Chains: Bayesian Estimation, Model Comparison, Entropy Rate, and Out-of-class Modeling

Christopher C. Strelioff, James P. Crutchfield, Alfred W. Hubler

Markov chains are a natural and well understood tool for describing one-dimensional patterns in time or space. We show how to infer $k$-th order Markov chains, for arbitrary $k$, f…