Article ID: | iaor20073849 |
Country: | United Kingdom |
Volume: | 13 |
Issue: | 3 |
Start Page Number: | 187 |
End Page Number: | 199 |
Publication Date: | Jul 2002 |
Journal: | IMA Journal of Management Mathematics (Print) |
Authors: | Ng Michael K., Ching Wai-Ki, Fung Eric S. |
Keywords: | statistics: multivariate, demand, time series & forecasting methods |
Markov models are commonly used in modelling many practical systems such as telecommunication systems, manufacturing systems and inventory systems. In this paper we propose a multivariate Markov chain model for modelling multiple categorical data sequences. We develop efficient estimation methods for the model parameters. We then apply the model and method to demand predictions for a soft-drink company in Hong Kong.