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

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Pardo Llorente, María del Carmen (1999) Testing stationary distributions of Markov chains based on Rao's divergence. Applied Mathematics Letters, 12 (1). pp. 31-36. ISSN 0893-9659

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Official URL: http://www.sciencedirect.com/science/article/pii/S0893965998001220


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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.


Item Type:Article
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This work was supported by Grants DGICYT PB96-0635 and PR156/97-7159.

Uncontrolled Keywords:Markov chain, Rao's divergence, Minimum Rφ-divergence estimate, Goodness-of-fit tests, Rφ-statistic.
Subjects:Sciences > Mathematics > Mathematical statistics
ID Code:17811
Deposited On:21 Jan 2013 10:20
Last Modified:26 Feb 2015 09:28

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