Publication: Testing stationary distributions of Markov chains based on Rao's divergence
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Publication Date
1999-01
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Pergamon-Elsevier Science Ltd
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Abstract
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 γ-level tests are obtained.
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This work was supported by Grants DGICYT PB96-0635 and PR156/97-7159.
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