Inference about stationary distributions of Markov chains based on divergences with observed frequencies

María Luisa Menéndez; Domingo Morales; Leandro Pardo; Igor Vajda

Kybernetika (1999)

  • Volume: 35, Issue: 3, page [265]-280
  • ISSN: 0023-5954

Abstract

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For data generated by stationary Markov chains there are considered estimates of chain parameters minimizing φ –divergences between theoretical and empirical distributions of states. Consistency and asymptotic normality are established and the asymptotic covariance matrices are evaluated. Testing of hypotheses about the stationary distributions based on φ –divergences between the estimated and empirical distributions is considered as well. Asymptotic distributions of φ –divergence test statistics are found, enabling to specify asymptotically α -level tests.

How to cite

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Menéndez, María Luisa, et al. "Inference about stationary distributions of Markov chains based on divergences with observed frequencies." Kybernetika 35.3 (1999): [265]-280. <http://eudml.org/doc/33428>.

@article{Menéndez1999,
abstract = {For data generated by stationary Markov chains there are considered estimates of chain parameters minimizing $\phi $–divergences between theoretical and empirical distributions of states. Consistency and asymptotic normality are established and the asymptotic covariance matrices are evaluated. Testing of hypotheses about the stationary distributions based on $\phi $–divergences between the estimated and empirical distributions is considered as well. Asymptotic distributions of $\phi $–divergence test statistics are found, enabling to specify asymptotically $\alpha $-level tests.},
author = {Menéndez, María Luisa, Morales, Domingo, Pardo, Leandro, Vajda, Igor},
journal = {Kybernetika},
keywords = {$\phi $-divergence; empirical distributions; parameter estimation; hypotheses testing; -divergence; empirical distributions; parameter estimation; hypotheses testing},
language = {eng},
number = {3},
pages = {[265]-280},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Inference about stationary distributions of Markov chains based on divergences with observed frequencies},
url = {http://eudml.org/doc/33428},
volume = {35},
year = {1999},
}

TY - JOUR
AU - Menéndez, María Luisa
AU - Morales, Domingo
AU - Pardo, Leandro
AU - Vajda, Igor
TI - Inference about stationary distributions of Markov chains based on divergences with observed frequencies
JO - Kybernetika
PY - 1999
PB - Institute of Information Theory and Automation AS CR
VL - 35
IS - 3
SP - [265]
EP - 280
AB - For data generated by stationary Markov chains there are considered estimates of chain parameters minimizing $\phi $–divergences between theoretical and empirical distributions of states. Consistency and asymptotic normality are established and the asymptotic covariance matrices are evaluated. Testing of hypotheses about the stationary distributions based on $\phi $–divergences between the estimated and empirical distributions is considered as well. Asymptotic distributions of $\phi $–divergence test statistics are found, enabling to specify asymptotically $\alpha $-level tests.
LA - eng
KW - $\phi $-divergence; empirical distributions; parameter estimation; hypotheses testing; -divergence; empirical distributions; parameter estimation; hypotheses testing
UR - http://eudml.org/doc/33428
ER -

References

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  12. Morales D., Pardo L., Vajda I., 10.1016/0378-3758(95)00013-Y, J. Statist. Plann. Inference 48 (1995), 347–369 (1995) Zbl0839.62004MR1368984DOI10.1016/0378-3758(95)00013-Y
  13. Read T. R. C., Cressie N. A. C., Goodness–of–Fit Statistics for Discrete Multivariate Data, Springer, Berlin 1988 Zbl0663.62065MR0955054
  14. Salicrú M., Morales D., Menéndez M. L., Pardo L., 10.1006/jmva.1994.1068, J. Multivariate Anal. 51 (1994), 372–391 (1994) Zbl0815.62003DOI10.1006/jmva.1994.1068
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