Markov-Modulated Linear Regression

01/28/2019

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by   Alexander M. Andronov, et al.

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Classical linear regression is considered for a case when regression parameters depend on the external random environment. The last is described as a continuous time Markov chain with finite state space. Here the expected sojourn times in various states are additional regressors. Necessary formulas for an estimation of regression parameters have been derived. The numerical example illustrates the results obtained.