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
β¦ LIBER β¦
Wiener's test and Markov chains
β Scribed by John Lamperti
- Publisher
- Elsevier Science
- Year
- 1963
- Tongue
- English
- Weight
- 438 KB
- Volume
- 6
- Category
- Article
- ISSN
- 0022-247X
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