Damásio, Bruno; Nicolau, João - In: Statistics & Probability Letters 90 (2014) C, pp. 108-113
This paper proposes a new concept: the usage of Multivariate Markov Chains (MMC) as covariates. Our approach is based on the observation that we can treat possible categorical (or discrete) regressors, whose values are unknown in the forecast period, as an MMC in order to improve the forecast...