Vector Markov chain with partial connections and statistical inferences on its parameters
A new mathematical model of discrete time series is proposed. It is called homogenous vector Markov chain of the order s with partial connections. The conditional probability distribution for this model is determined only by a few components of previous vector states. Probabilistic properties of the model are given: ergodicity conditions and conditions under which the stationary probability distribution is uniform. Consistent statistical estimators for model parameters are constructed.