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Lumpable Markov chains in risk management

โœ Scribed by M. I. Loizides; A. N. Yannacopoulos


Book ID
113085764
Publisher
Springer-Verlag
Year
2011
Tongue
English
Weight
158 KB
Volume
6
Category
Article
ISSN
1862-4472

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Testing lumpability in Markov chains
โœ Robert W. Jernigan; Robert H. Baran ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 203 KB

The chi-squared test of Markov chain lumpability is shown to operate reliably under a corrected derivation of the degrees of freedom. The test is used to screen out lumping schemes that corrupt the Markov property and give rise to higher order dependence.