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

✍ Scribed by M.C. Pardo

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
310 KB
Volume
12
Category
Article
ISSN
0893-9659

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✦ Synopsis

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 -/-level tests are obtained. ~

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