TESTING FOR REVERSIBILITY IN MARKOV CHAIN DATA
β Scribed by Steuber, Tara L. (author);Kiessler, Peter C. (author);Lund, Robert (author)
- Book ID
- 118069494
- Publisher
- Cambridge University Press
- Year
- 2012
- Tongue
- English
- Weight
- 574 KB
- Volume
- 26
- Category
- Article
- ISSN
- 0269-9648
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
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.
The test we develop expresses the null hypothesis in terms of proximity of the distribution of a Markov chain (yt) to the subspace ~ of homogeneous Markov chains. The distance we use is the Kullback distance which turns out to be conceptually appropriate. Departure from the point null hypothesis all