Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151116 | Statistical Methodology | 2013 | 9 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Mahboobeh Zangeneh Sirdari, M. Ataharul Islam, Norhashidah Awang,