کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1151116 | 1489828 | 2013 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A stationarity test on Markov chain models based on marginal distribution
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
A stationarity test on Markov chain models is proposed in this paper. Most of the previous test procedures for the Markov chain models have been done based on the conditional probabilities of a transition matrix. The likelihood ratio and Pearson type chi-square tests have been used for testing stationarity and order of Markov chains. This paper uses the efficient score test, an extension of the test developed by Tsiatis (1980) [18], for testing the stationarity of Markov chain models based on the marginal distribution as obtained by Azzalini (1994) [2]. For testing the suitability of the proposed method, a numerical example of real life data and simulation studies for comparison with an alternative test procedure are given.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistical Methodology - Volume 11, March 2013, Pages 68–76
Journal: Statistical Methodology - Volume 11, March 2013, Pages 68–76
نویسندگان
Mahboobeh Zangeneh Sirdari, M. Ataharul Islam, Norhashidah Awang,