Hypothesis testing for Markovian models with random time observations

DOI10.1016/J.JSPI.2015.12.009MaRDI QIDQ254927zbMATH OpenOpenAlexFDO

Authors Flavia Barsotti, Anne Philippe, Paul Rochet

Publication date 8 March 2016

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.06101

zbMATH Keywords

Markov chainasymptotic tests of statistical hypothesesrandom sampling

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02)

Abstract: The aim of this paper is to propose a methodology for testing general hypothesis in a Markovian setting with random sampling. A discrete Markov chain X is observed at random time intervals $au$ k, assumed to be iid with unknown distribution $mu$. Two test procedures are investigated. The first one is devoted to testing if the transition matrix P of the Markov chain X satisfies specific affine constraints, covering a wide range of situations such as symmetry or sparsity. The second procedure is a goodness-of-fit test on the distribution $mu$, which reveals to be consistent under mild assumptions even though the time gaps are not observed. The theoretical results are supported by a Monte Carlo simulation study to show the performance and robustness of the proposed methodologies on specific numerical examples.

Recommendations

• Nonparametric tests of the Markov hypothesis in continuous-time models
• scientific article; zbMATH DE number 1097778
• A stationarity test on Markov chain models based on marginal distribution
• Estimating the transition matrix of a Markov chain observed at random times
• Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation

Cites work

• scientific article; zbMATH DE number 3064553 (Why is no real title available?)
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Estimating the transition matrix of a Markov chain observed at random times
• Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
• Imbedded Markov Chain Analysis of a Waiting-Line Process in Continuous Time
• Statistical Inference about Markov Chains
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• Stochastic Modeling of Scientific Data

Cited in

(8)

• On some statistical models with a random number of observations
• Testing hypothesis on transition distributions of a Markov sequence
• Domain theory, testing and simulation for labelled Markov processes
• Twistor spaces and harmonic maps
• Relations between connected and self-avoiding hikes in labelled complete digraphs
• Parameter estimation and model testing for Markov processes via conditional characteristic functions
• An algorithm for simulation in mixed models with crossed factors considering the sample sizes as random
• Nonparametric tests of the Markov hypothesis in continuous-time models

Describes a project that uses

Uses Software

• AS 155

This page was built for publication: Hypothesis testing for Markovian models with random time observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q254927)