| Title:
|
Inference about stationary distributions of Markov chains based on divergences with observed frequencies (English) |
| Author:
|
Menéndez, María Luisa |
| Author:
|
Morales, Domingo |
| Author:
|
Pardo, Leandro |
| Author:
|
Vajda, Igor |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
35 |
| Issue:
|
3 |
| Year:
|
1999 |
| Pages:
|
[265]-280 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
$\phi$-divergence |
| Keyword:
|
empirical distributions |
| Keyword:
|
parameter estimation |
| Keyword:
|
hypotheses testing |
| MSC:
|
62E20 |
| MSC:
|
62M02 |
| MSC:
|
62M05 |
| idZBL:
|
Zbl 1274.62548 |
| idMR:
|
MR1704667 |
| . |
| Date available:
|
2009-09-24T19:25:47Z |
| Last updated:
|
2015-03-27 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135288 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
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| Reference:
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[14] Salicrú M., Morales D., Menéndez M. L., Pardo L.: On the applications of divergence type measures in testing statistical hypotheses.J. Multivariate Anal. 51 (1994), 372–391 Zbl 0815.62003, 10.1006/jmva.1994.1068 |
| Reference:
|
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