A multivariate Markov chain model for categorical data sequences and its applications in demand predictions

A multivariate Markov chain model for categorical data sequences and its applications in demand predictions

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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: , ,
Keywords: statistics: multivariate, demand, time series & forecasting methods
Abstract:

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.

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