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

@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 -