1
$\begingroup$

Is the topic of Markov Process and Transition Matrices considered a part of time series analysis? Transition matrix has the intuition of being a time based process because the transition probabilities are w.r.t time periods.

So are transition matrices considered time series analysis. I ask because I could not find them in a book on machine learning, so was wondering what kind of book should cover this topic?

Improve this question
$\endgroup$
1
  • $\begingroup$ The usual "go to" by James Hamilton - "Time Series Analysis" - covers this. Also featured in Kim and Nelson's "State-Space Models with Regime Switching". You will find treatments in other fields, too; for example, see Ljungqvist and Sargent's "Recursive Macroeconomic Theory" - Chapter 2. A decent undergraduate linear algebra book should also touch on this material. $\endgroup$
    – Graeme Walsh
    Commented Sep 26, 2015 at 10:41

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.