Testing stationary distributions of Markov chains based on Rao's divergence

被引：1

作者：

Pardo, MC ^{[1
]}

机构：

[1] Univ Complutense Madrid, Univ Sch Stat, E-28040 Madrid, Spain

来源：

APPLIED MATHEMATICS LETTERS | 1999年 / 12卷 / 01期

关键词：

Markov chain; Rao's divergence; minimum R-phi-divergenceestimate; goodness-of-fit tests; R-phi-statistic;

D O I：

10.1016/S0893-9659(98)00122-0

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Statistical inference problems such as the estimation of parameters and testing composite hypothesis about stationary distributions in the set of states of Markov chains are solved. Both, the estimator and the statistic proposed are based on Rao's divergence. The asymptotic properties of the estimator and the critical values of asymptotically gamma-level tests are obtained. (C) 1998 Elsevier Science Ltd. All rights reserved.

引用

页码：31 / 36

页数：6

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