Testing stationary distributions of Markov chains based on Rao's divergence
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 es...
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 1999 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/57824 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/57824 |
| Access Level: | acceso abierto |
| Palabra clave: | 519.22 Markov chain Rao's divergence Minimum Rφ-divergence estimate Goodness-of-fit tests Rφ-statistic. Estadística matemática (Matemáticas) 1209 Estadística |
| Sumario: | 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 γ-level tests are obtained. |
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