Unbiased estimation for homogeneous Markov chains
β Scribed by Ya. P. Lumel'skii; V. V. Chichagov
- Publisher
- Springer US
- Year
- 1987
- Tongue
- English
- Weight
- 275 KB
- Volume
- 39
- Category
- Article
- ISSN
- 1573-8795
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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
In this paper, the conservative Monte Carlo error estimation methods and theory developed in Geyer (1992a, Statist. Sci. 7, 473-483) are extended from univariate to multivariate Markov chain applications. A small simulation study demonstrates the feasibility of the proposed estimators.