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A simple check of the time homogeneity of Markov chains

✍ Scribed by Anders Mattsson; Daniel Thorburn

Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
417 KB
Volume
8
Category
Article
ISSN
0277-6693

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✦ Synopsis

In this paper we consider a population where the state of each individual follows a Markov chain. If the population is recorded for a very few periods only, it is still possible to estimate the transition matrix and to make projections into the far future. These forecasts are sensible if the chains are time homogeneous, but this is difficult to check if only a few periods are observed. We suggest a simple method to check this assumption, and obtain an upper bound on the time the process can have been time homogeneous. The method is also applied to a second-order Markov chain and to the mover-stayer model.

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